C 101.00 / C 102.00 – Calculation of exposure weighted CCF (c100)

For those portfolios which, by definition, comprise both on-balance and off-balance sheet items, the credit conversion factor (CCF) reported in column 100 of template C 102.00 of Annex III to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) shall refer to all exposures allocated to the respective portfolio, independent from the type of the exposure. In those cases where Regulation (EU) No 575/2013 (CRR) does not envisage the application of a CCF to the certain types of exposures included in such a portfolio, thus in case of on-balance and counterparty credit risk exposures, the CCF used to calculate the average CCF as reported in column 100 of template C 102.00 shall be assumed to be 100%. The same applies for exposures to counterparties as defined in template C 101.00 of Annex I to the ITS on Supervisory Benchmarking and reported in template C 101.00 of Annex III to the ITS on Supervisory Benchmarking which consist of both off-balance sheet and other exposures.