Please can you advise how Regulatory High Risk exposures which are in default should be reported in C 09.01?
Should High Risk Exposures - in form of speculative immovable property financing which are in default - be reported as Items associated with particularly high risk (row 110) or Exposures in default (row 100) in column 010 of the CR GB1 / C 09.01 template? The ITS flow chart suggests that these items should be reported as High Risk Exposures - in line with their nature - in preference to Exposures in Default. If this is the case, would these defaulted items also be reported in column 020 (and thus, total of column 020 would not equal to row 100 of column 010)?
Also, CR GB1 does not grey out the intersection of column 020 and row110 (implying that there was no intention that banks should not report data here).
As Q&A 2014_847 and 2013_215 clarify, exposures which qualify for the exposure class ‘exposures associated with particularly high risk’ (Art. 112 point (k) of Regulation (EU) No. 575/2013 (CRR)) and which are defaulted must not be assigned to exposure class ‘exposures in default’ (Art. 112 point (j) of CRR). This also holds for template C 09.01 of Annex I of Regulation (EU) No. 680/2014 – ITS on Supervisory Reporting of institutions (ITS on reporting) because the breakdown of information by exposure classes is reported based on the assignment of exposures to exposure classes according to Article 112 of CRR.
Therefore, defaulted exposures assigned to the exposure class ‘exposures associated with particularly high risk’ are reported in template C 09.01, row 110. As a consequence of the decision tree in Part II, chapter 3.2.3 of Annex II of the ITS, column 020 of this row may not be populated with valid values.
Another consequence of the application of the decision tree is that the ‘total’ of column 020 of C 09.01 has to equal the amount reported in C 09.01, r100, c010.