EBA · 2020_5549 Final Q&A

Missing reporting of Securitization under the Internal Assessment Approach in C14.01 template

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2020-10-12
Answered
2021-04-30
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Based on ITS instructions, in template C14.01 shall be reported only securitization under the SEC_IRBA, SEC_ERBA, SEC_SA methodology or securitizations weighted according to a RW equal to 1.250%. Is it confirmed that such perimeter doesn’t consider securitizations under the IAA approach, nevertheless such amount is included in CoRep template C13.01?

Background

Analyzing the instructions reported in Annex 2 of ITS EBA, the template C14.01 shall be reported separately for the following approaches: 1. SEC_IRBA 2. SEC_ERBA 3. SEC_SA 4. 1.250% Hence, no information related to the IAA approach is included in the instruction. In addition, analyzing XBRL metrics (EBA template “Annotated Table layout 290 – COREP 2.9.1”), the metrics that have to be considered for the generation of template C14.01 are the following “(MRW:AP) Methods to determine risk weights”: 1. SEC_IRBA: AP:x118 2. SEC_ERBA: AP:x125 3. SEC_SA: AP:x122 4. 1.250%: AP:x1 In the EBA template a template with information regarding IAA approach with XBRL metric AP:x25 assigned to IAA approach is not considered.

Answer

In accordance with Art. 266 (1) (2) of Regulation (EU) 575/2013 as amended by Regulation (EU) 2017/2401 the Internal Assessment Approach is part of the SEC ERBA approach. Therefore, the risk weighted exposure shall be calculated following instructions from Art. 266 and 263 or Art. 264, as applicable. The DPM takes this into account by assigning the Dimension “MRW” (Method used to determine risk weights) to the data point in the z-axis of C14.01 and Dimension “APR” (Approach used for prudential purposes) to the data points in the columns of C13.01, so that the exposures under IAA are reported under MRW/AP:x125 in C14.01 and under APR/AP:x25 in C13.01.

Original source: European Banking Authority, Q&A ID 2020_5549

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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