- Question ID
-
2015_2256
- Legal act
- Directive 2013/36/EU (CRD)
- Topic
- Supervisory reporting - Supervisory Benchmarking
- Article
-
78
- Paragraph
-
2
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
- Article/Paragraph
-
Annex I-IV to Draft ITS
- Type of submitter
-
Credit institution
- Subject matter
-
Reporting of different AIRB models in the same benchmarking class (portfolio) - credit risk
- Question
-
If one of the credit risk portfolios defined in the benchmarking exercise covers two different AIRB models, how it should be presented in the benchmarking templates?
- Background on the question
-
Reporting data on consolidated basis implies necessary presentation of values for distinct AIRB models in the same class (portfolios) (eg. different PD models applied by bank and its subsidiaries). Models are dedicated for different types of business, however they should be reported in one and the same class of exposures (portfolio).
- Submission date
- Final answer
-
The reported risk values should be aggregated and presented as exposure weighted figures (compare use of column 110 in the C 103.00 template, as stated in Annex IV of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) and instructions of column 060), as required by provisions referred in Art. 452 (e-ii) of the Regulation (EU) No. 575/2013 (CRR) and also of Annex IV. The reported exposure values should simply be summed. This applies to all IRB banks. DISCLAIMER: The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.
- Status
-
Archive
- Answer prepared by
-
Answer prepared by the EBA.
- Note to Q&A
-
Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.