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).
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.