Question ID:
2014_1188
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
99
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Template C07.00 Column 230: of which: with a credit assessment by a nominated ECAI
Question:

Column 230: of which: with a credit assessment by a nominated ECAI, is this column only reported for exposures where the ECAI rating was used to determine the risk weight?

Background on the question:

Example: If a Corporate obligor had an ECAI of S&P BBB+ but was classified as 'in-default' the risk weight would be determined under Article 127 based on the percentage of specific credit risk adjustment and not the ECAI rating. In the exposure class 18in-default' would column 230 be populated?

Date of submission:
13/05/2014
Published as Final Q&A:
09/09/2016
EBA Answer:

Column 230 of template C 07.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) includes only exposures where the ECAI ratings are relevant to determine the risk weights.

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
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