Auszug SCOM Arbeitsinstanz 14.4.2015 ITS on Benchmarking Portfolios Hauptabteilung Statistik www.oenb.at

ITS on Benchmarking Portfolios Veröffentlichung finaler ITS/RTS am 2.3.2015 auf EBA-Homepage http://www.eba.europa.eu/-/eba-delivers-benchmarking-package Jährliche Meldung (solo + konsolidiert) Melderkreis gem. Art. 1 ITS (Referenzierung auf Art. 78 Abs. 1 CRD): Institute, die interne Ansätze zur Berechnung von risikogewichteten Positionsbeträgen oder Eigenmittelanforderungen, außer für das operationelle Risiko, anwenden dürfen. Zu melden sind die Ergebnisse der Berechnungen ihrer internen Ansätze für diejenigen ihrer Risikopositionen oder Positionen, die in den Referenzportfolios enthalten sind. Beachte Ausnahmebestimmungen gem. Art. 4 ITS Erstmalige Meldung mit Daten aus Q4/2015 Kreditrisiko: Meldestichtag 31. Dezember 2015 Marktrisiko: Meldestichtage im Annex V und VI definiert Übermittlungsfrist für KIs jeweils 11. April eines jeden Jahres (Template C 106.00 „Initial Market Valuation (IMV)“ bereits mit 2. November 2015)

Rechtliche Grundlage --- Art. 78 CRD IV --- Aufsichtlicher Vergleich interner Ansätze zur Berechnung der Eigenmittelanforderungen (1) Die zuständigen Behörden stellen sicher, dass Institute, die interne Ansätze zur Berechnung von risikogewichteten Positionsbeträgen oder Eigenmittelanforderungen, außer für das operationelle Risiko, anwenden dürfen, die Ergebnisse der Berechnungen ihrer internen Ansätze für diejenigen ihrer Risikopositionen oder Positionen, die in den Referenzportfolios enthalten sind, melden. Die Institute übermitteln den zuständigen Behörden die Ergebnisse ihrer Berechnungen zusammen mit einer Erläuterung der dabei angewandten Methoden in angemessenen zeitlichen Abständen, jedoch mindestens jährlich. (2) Die zuständigen Behörden stellen sicher, dass die Institute den zuständigen Behörden und der EBA die Ergebnisse der Berechnungen nach Absatz 1 entsprechend dem von der EBA erstellten Musters gemäß Absatz 8 übermitteln. … (7) Die EBA arbeitet Entwürfe technischer Regulierungsstandards aus, in denen Folgendes präzisiert wird: a) die Verfahren für die gemeinsame Nutzung der Bewertungen nach Abs 3 durch die zuständigen Behörden und die EBA, b) die Normen für die von den zuständigen Behörden gemäß Absatz 3 vorgenommene Bewertung. (8) Die EBA arbeitet Entwürfe technischer Durchführungsstandards aus, in denen Folgendes präzisiert wird: a) das Muster, die Begriffsbestimmungen und die IT-Lösungen, die für Meldungen gem. Abs 2 zu verwenden sind; b) das Referenzportfolio bzw. die Referenzportfolios im Sinne des Absatzes 1.

optional: EBA may issue Guidelines & Recommendations Scope ITS / RTS optional: EBA may issue Guidelines & Recommendations Art. 78 CRD IV The draft implementing technical standards (ITS) specify: the template, the definitions and the IT solutions to be applied in the Union for the reporting of benchmarking portfolios; and the benchmark portfolio or portfolios for the internal models applied to calculate capital requirements for credit risk (IRB) as well as for market risk (including VaR, SVaR, IRC and Correlation Trading models), counterparty risk and CVA risk. The draft regulatory technical standards (RTS) specify: the procedures for sharing the assessments between competent authorities and with the EBA, and the standards for assessments made by competent authorities, for the internal models applied to calculate capital requirements for credit risk (IRB) and own funds for market risk (including VaR, SVaR, IRC and Correlation Trading models), counterparty risk and CVA risk.

Structure of the benchmarking portfolios Market risk internal models: For market risk, the EBA is providing: individual and aggregated portfolios, which will comprise a number of the individual portfolios The individual portfolios used to assess VaR, SVaR and IRC will be categorised around the following broad risk categories: Interest Rate Equity FX Commodities Credit Besides the above categories, there will be a set of portfolios for correlation trading activities (which, due to their nature, encompass different risk categories) which will not be included in aggregated portfolios.

Structure of the benchmarking portfolios Credit risk (IRB): The individual portfolios used to assess credit risk exposures are the following broad risk portfolios: Low default portfolios (LDP: central governments, institutions, large corporate) High default portfolios (HDP: corporate, SMEs, residential mortgages) In particular, it is envisaged to use: a set of real LDP cluster portfolios designed by grouping the actual exposures according to some key dimensions (rating grade, facility type, collateral type, geography, economic sector, company size, etc.); a sample of actual exposures identified through a list of names for central governments, banks and large corporate; a set of real HDP cluster portfolios (corporate, SME corporate, SME retail and residential mortgages) designed by grouping the exposures according to some key dimensions (rating grade, collateral type, geography/country, company size, indexed loan to value, etc.); and a set of hypothetical transactions for LDP exposures investigating maturity, own CCF (EAD) and own LGD estimates for different transactions and collateral types.

IT solutions and the reporting templates The EBA has reused existing definitions of the COREP part of the ITS on supervisory reporting and extended these definitions to achieve the higher level of granularity needed for benchmarking purposes. This also allows the existing infrastructure available to be used for data submissions related to the ITS on reporting. Hence, the specification of the data requirements for the benchmarking exercise build on the existing Data Point Model (DPM), which has already been implemented by institutions Art. 6 ITS: IT solutions for the reporting of Article 78(3) of Directive 2013/36/EU The IT solution for the reporting of Article 78(3) of Directive 2013/36/EU shall be the same as, and shall form an integral part of, the IT solution developed for the supervisory reporting of institutions to competent authorities in accordance with Implementing Regulation (EU) No 680/2014.

Anhänge im ITS betreffend “Credit Risk” Annex I to IV are about Credit risk: Annex I (template) and II (instructions): Definition of Supervisory Benchmarking portfolios (The templates identify the benchmarking portfolios and are pre-filled by the EBA) Annex III (template) and IV (instructions): Results Supervisory Benchmarking portfolios (The templates are used by the Institutions to report the results)

Anhänge im ITS betreffend “Market Risk” Annex V to VII are about Market risk: Annex V: Definition of Supervisory Benchmarking portfolios (These documents identify the market risk benchmarking portfolios) Annex VII (template) and VI (instructions): Results Supervisory Benchmarking portfolios (The templates are used by the Institutions to report the results)

Ausnahmebestimmungen gem. Art. 4 ITS Exceptions from reporting for market risk on a consolidated & individual basis: Art. 4 (1): For the purposes of the reporting on market risk referred to in Article 78(2) of Directive 2013/36/EU, institutions may refrain from reporting any of the templates relating to individual portfolios as referred to in Article 2, where: such institutions do not have a model authorisation from their competent authority to model the relevant instruments, or risk factors, which are included in the portfolio; there is no internal authorisation by the management of these institutions to operate in certain instruments or the underlying assets included in the relevant portfolios; one or more of the instruments included in the portfolios incorporate underlying risks or modelling features which are not contemplated in the institution’s risk metrics. Art. 4 (2): Where institutions meet the requirements of paragraph 1 and have exercised the option of refraining from reporting certain templates relating to individual market risk portfolios, they shall still report data for the aggregated portfolios included in Annex V, considering only the individual portfolios which they are able and authorised to model.

Übergangsbestimmungen gem. Art. 7 ITS Art. 7 (1): As a derogation from Article 2(1), during the first year of application of this Regulation, institutions shall submit only the information referred to in points (c) and (e) of that Article.  dh, betreffend Credit Risk sind für das Jahr 2015 ausschließlich die Templates 103 und 105 des Annex III zu melden. Art. 7 (2): As a derogation from Article 2(1), during the second year of application of this Regulation, institutions shall submit only the information referred to in points (a), (b), (d) and (e) of that Article.  dh, betreffend Credit Risk sind für das Jahr 2016 ausschließlich die Templates 101, 102, 104 und 105 des Annex III zu melden. Art. 7 (3): As a derogation from Article 2, and until 1.1.2017, institutions that do not compute the own funds requirements for credit risk resulting from the application of the standardised approach as referred to in Article 4 of Regulation xx/xxx [RTS], shall not be required to report column No 180 of templates No 102 and 103 of Annex III.  dh, betreffend Credit Risk ist für die Jahre 2015 + 2016 von den genannten Instituten die Spalte 180 (“RWA Standardised”) der Templates 102 und 103 des Annex III nicht zu melden.