Question
Instructions on c100 of C 103 in ANNEX IV to the ITS state that institutions should report own estimates for CCFs. If the institutions apply the FIRB approach, they have to use regulatory CCFs. Further, in the case that there are no off-balance positions in the exposure no CCF is applied. Would it be correct to report regulatory CCFs if no own estimation is undertaken or should these cells be left blank? If no CCF is applied, should the cell be left blank or be filled with a 1cnot applicable 1d?
Background on the question
Institutions differ in their way of reporting CCFs for FIRB exposures. Some leave the cells blank, other report regulatory CCFs.
Answer
Column 100 of template C 103.00 of Annex III of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) has to be reported also in case that the institution does not estimate CCFs on its own. In that case the regulatory one has to be reported if there are exposures on which this CCF is applied. The weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD.