EBA · 2022_6441 Rejected question

C08.07: credit risk only?

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2022-05-09

Question

Is report C08.07 limited to Credit Risk only, or is Counterparty Credit Risk included in the scope?

Background

From Reporting Framework 3.0 Annex 2 (Solvency) we find the following  General remarks 83. For the purpose of this template, institutions calculating the risk-weighted exposure amounts under the IRB approach to credit risk shall allocate their exposures subject to Standardised approach laid down in Chapter 2 of Title II of Part Three CRR or to the IRB approach laid down in Chapter 3 of Title II of Part Three CRR, as well as the part of each exposure class subject to a roll-out plan. Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template These chapters (2 and 3), include the definition of exposure for Counterparty Credit Risk. This would lead us to assume that counterparty credit risk is included in the report C08.07. However, the title of the report is  C 08.07 - Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches (CR IRB 7)) As opposed C08.01 for instance where 'Counterparty Credit Risk' is clearly in scope and explicitly included. Also, the report is aligned with Pillar 3 disclosure template CR6A, for which counterparty credit risk is excluded. These last two elements lead us to believe that counterparty credit risk should be excluded.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6441

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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