EBA · 2014_1540 Final Q&A

Obligors for total exposures in template CR IRB 1

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2014-10-13
Answered
2017-02-03
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Should r010, c300 of template C 08.01 be additive for number of obligors e.g. a retail Customer has 3 exposures in different obligor grades, 2 are On Balance sheet and 1 is Off Balance sheet. In template C 08.02 this would be disclosed as 3 obligors given that they are included within 3 different grades. In templates C 08.01 should this customer then be disclosed as 3 obligors in r010, c300 or 1 obligor?

Background

Guidance is provided for template C08.02 for obligors, but no guidance for how obligors in template C08.01 correspond to template C08.02

Answer

Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), Annex II, chapter 3.3.3.1, column 300 (template C 08.01), states that: ‘ Within the exposure class retail the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172 (2) of CRR applies, an obligor may be considered in more than one grade .’ Therefore, where the institution assigns ratings at exposure level and not at obligor level within the exposures class ‘retail’, the total number of exposures shall be reported in row 010, column 300 of template C 08.01. For the example mentioned in the question, this means: Total exposures:                {C 08.01, r010, c300} = 3 for the respective sheets, On balance sheet items:    {C 08.01, r020, c300} = 2 for the respective sheets, Off balance sheet items:    {C 08.01, r030, c300} = 1 for the respective sheets.

Original source: European Banking Authority, Q&A ID 2014_1540

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.

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