Question
How shall mortgage portfolios for which - based on Art. 230 (3) CRR when the conditions of Art. 199 (6) CRR are satisfied - an alternative risk weight (e.g. 50% for commercial real estate) is used, be reported in the benchmarking exercise. Or should these exposures where no PD or LGD estimation is available for regulatory purposes be exempted from the reporting.
Background on the question
How shall mortgage portfolios for which - based on Art. 230 (3) CRR when the conditions of Art. 199 (6) CRR are satisfied - an alternative risk weight (e.g. 50% for commercial real estate) is used, be reported in the benchmarking exercise. Or should these exposures where no PD or LGD estimation is available for regulatory purposes be exempted from the reporting.
Answer
Paragraph 2 of Part I (General Instructions) of Annex IV to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) states that data shall be submitted only for those exposures where an internal model has been approved and is used in the calculation of the RWA. Hence, if for the mentioned exposures no PD or LGD model is available for regulatory purposes, they shall not be reported. 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. The text of the Implementing Regulation may differ from the text of the draft ITS to which this Q&A refers.