EBA · 2013_446 Final Q&A

Original Exposure pre-conversion Factors

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
111, para. 1
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Competent authority
Submitted
2013-10-31
Answered
2014-03-21
Answer provided by
ESAs (EBA, ESMA, EIOPA)
Browse ECB SSM Register → More Q&As on this regulation →

Question

The draft ITS on Supervisory reporting state that the Exposure value (for on-balance sheet exposures) equals to the exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques. However, article 111(1) states that "The exposure value of an asset item shall be its accounting value remaining after specific credit risk adjustments". Additionally, the accounting value of an exposure is net of certain value adjustments e.g. non-recoverable income, etc. If for example, we have a customer loan with the following data: A. Balance: 100 B. Non-recoverable income -10 (usually from non-accrual status) C. Gross Accounting value (A+B) 90 D. Provisions -20 E. Net Exposure (C+D) 70 What is the Original Exposure pre-conversion Factors, A or C?

Background

Value adjustments are considered any adjustments that decrease the value of an exposure. Additionally, the non-recoverable income are usually not notified to the customer.

Answer

As set in the instructions of CR SA, CR IRB and CR GB 1 and 2  (Annex II of the Regulation (EU) No 680/2014 13 ITS on supervisory reporting of institutionsITS on reporting), the amounts to be reported in the columns titled "Original Exposure pre conversion Factors" shall be gross of value adjustments and provisions referred to in Article 110 of CRR. With regard to the example, the amount of the original exposure pre conversion factors is 100. The exposure value of an asset under the standardised method referred to in Article 111(1) is the exposure value net of value adjustments and provisions. This amount shall be reported in column 040 of the CR SA template.   *As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.

Original source: European Banking Authority, Q&A ID 2013_446

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

Similar Q&As

Original Exposure value of Securities Financing Transactions calculated under Article 220 of Regulation (EU) No 575/2013 (CRR)

Answered 2019-10-04

Clarification of Value Adjustments according to Art. 111 of CRR2

Answered 2021-06-25

Exposures towards QCCPs under CRR Art. 306 (2) under standardised method (C 07.00) - validation rules v0010_h, v0306_m, v0307_m, v0308_m and v0312_m

Answered 2020-07-17

Exposures towards QCCPs under CRR Art. 306(c) under standardised method

Answered 2017-04-07

ITS on supervisory reporting under the CRR COREP CR GB template

Answered 2014-08-22

More Q&As on this topic

Validation rules taxonomy V4.0 C_47.00, C_43.00.a, C_43.00.b, C_43.00.c - v4456_m

Answered 2026-07-03

Threshold exemptions from deduction from Common Equity Tier 1 items – Reporting within CoRep C 07.00

Answered 2026-01-09

Calculation of Ideosyncratic and Systematic Risk

Answered 2026-01-09

Appropriate reporting of unconditionally cancellable commitments (UCCs) subject to transitional arrangements of Article 495d in CR SA (COREP C_07.00)

Answered 2025-12-05

C 25.01 - CREDIT VALUATION ADJUSTMENT RISK (CVA) – Col 0090 - Instruction Clarification

Answered 2025-12-05

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.