EBA · 2022_6465 Rejected question

Reporting of underlying exposures of a CIU

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Consultancy firm
Submitted
2022-05-24
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Question

As per Article 132a(1) CRR, institutions should do the risk weighting all underlying exposures of the CIU as if they were directly held by those institutions. If underlying exposures are of mix approaches (STD and IRB), then should they be reported on C 07.00 and C 08.x and C 34.x respectively?

Background

According to Article 132a(1) CRR, where the conditions set out in Article 132(3) CRR are met, institutions that have sufficient information about the individual underlying exposures of a CIU shall look through to those exposures to calculate the risk-weighted exposure amount of the CIU, risk weighting all underlying exposures of the CIU as if they were directly held by those institutions. However, it is unclear where the risk weighted underlying exposures will be reported?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6465

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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