Single Rulebook Q&A

Question ID: 2018_4291
Legal act : Directive 2013/36/EU as amended by Directive (EU) 2019/878 – CRD5
Topic : Supervisory reporting
Article: 78
Paragraph:
Subparagraph:
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
Article/Paragraph : Annex IV, C103, c230-c240
Name of institution / submitter: BaFin
Country of incorporation / residence: Germany
Type of submitter: Competent authority
Subject matter : Definition of RWA* and RWA**
Question:

The application portfolios of RWA-/--/+/++ are defined as follows in Annex IV: CORP_ALL_0086_**_****_**_Rx0, SMEC_ALL_0106_**_****_**_Rx0, SMEC_ALL_0106_**_****_**_Rx0, MORT_ALL_0094_**_****_**_Rx0. However, in Annex I these portfolios exist with a suffix ALL, ONX, OFF und OTH only. Shall RWA-/--/+/++ be reported for all these portfolios?

Background on the question:

Ensure that there is no other interpretation.

Date of submission: 25/09/2018
Published as Final Q&A: 26/07/2019
EBA answer:

The computation of RWA -/--/+/++ is restricted to the total non-defaulted portfolios with ‘type of risk “Credit risk, Counterparty credit risk and free deliveries”  covering both on and off balance-sheet exposures, i.e. the collection of the following portfolios:

CORP_ALL_0086_CT_****_**_Rx0_ALL, SMEC_ALL_0106_CT_****_**_Rx0_ALL, SMER_ALL_0106_CT_****_**_Rx0_ALL, MORT_ALL_0094_CT_****_**_Rx0_ALL]

The respective instructions for Annex I to the Draft ITS on Supervisory Reporting , c250, c260, c270, c280 should be amended in the following way:

Institutions shall calculate and report RWA[-/--/+/++] for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total non-defaulted portfolio and a country level. These portfolios are defined in Annex I, template 103 with the following portfolio ID, respectively:

 

CORP_ALL_0086_ CT_****_**_Rx0_ALL

SMEC_ALL_0106_ CT_****_**_Rx0_ALL

SMER_ALL_0106_ CT_****_**_Rx0_ALL

MORT_ALL_0094_ CT_****_**_Rx0_ALL

Status: Final Q&A
Permanent link: link