Question ID
2014_1540
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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex I, C 08.01, r010, c300
Name of institution / submitter
Co-operative Bank
Country of incorporation / residence
United Kingdom
Type of submitter
Credit institution
Subject matter
Obligors for total exposures in template CR IRB 1
Question

Should r010, c300 of template C 08.01 be additive for number of obligors e.g. a retail Customer has 3 exposures in different obligor grades, 2 are On Balance sheet and 1 is Off Balance sheet. In template C 08.02 this would be disclosed as 3 obligors given that they are included within 3 different grades. In templates C 08.01 should this customer then be disclosed as 3 obligors in r010, c300 or 1 obligor?

Background on the question

Guidance is provided for template C08.02 for obligors, but no guidance for how obligors in template C08.01 correspond to template C08.02

Submission date
Final publishing date
Final answer

Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), Annex II, chapter 3.3.3.1, column 300 (template C 08.01), states that:

‘Within the exposure class retail the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172 (2) of CRR applies, an obligor may be considered in more than one grade.’

Therefore, where the institution assigns ratings at exposure level and not at obligor level within the exposures class ‘retail’, the total number of exposures shall be reported in row 010, column 300 of template C 08.01.

For the example mentioned in the question, this means:

Total exposures:                {C 08.01, r010, c300} = 3 for the respective sheets,

On balance sheet items:    {C 08.01, r020, c300} = 2 for the respective sheets,

Off balance sheet items:    {C 08.01, r030, c300} = 1 for the respective sheets.

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

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