Single Rulebook Q&A

Question ID: 2019_4459
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 III, C103, column 270
Type of submitter: Credit institution
Subject matter : Clarification of negative RWA--, Annex III, Benchmarking exercise
Question:

What should we do if the value of RWA-- gets negative? Should we do nothing or should the value change to example 0?

Background on the question:

When calculation the RWA with a confidence interval, some of the calculated value of RWA-- may be negative. p-- is the smallest negative value which affect the value of RWA--.

Date of submission: 14/01/2019
Published as Final Q&A: 26/07/2019
EBA answer:

According to template C 103 of Annex IV to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) – Details on exposures in High Default Portfolio, column 270, “for each obligor grade, p−− shall be the smallest positive value satisfying the equation”.

In this sense, p-- should not be negative and, consequently, the RWA-- should also not be negative.

Status: Final Q&A
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