We would like to know that whether ECAI rated CRM will be considered to report this column.
Case: Unrated Corporate customer pledges ECAI rated debt instruments. Will this exposure be reported in column 230?
We see instructions provided in the instruction document for this column ambiguous. It talks about exposure but not about ECAI rated CRMs.
According to the information provided by the question, the reporting institution has an exposure to a corporate customer assigned to the exposure class ‘corporate’. A credit assessment of the ECAI, which was nominated by the reporting institution, is not available for this exposure (i.e. unrated corporate client). The unrated corporate client pledges a debt instrument, which is eligible according to Article 197 of Regulation (EU) No 575/2013 (CRR). The risk weight of this debt instrument is derived according to Article 222 CRR, i.e. the credit assessment of the nominated ECAI is relevant to derive the risk weight of the debt instrument.
Based on the assumption above, the risk-weighted exposure amount of the unsecured part is reported in the exposure class ‘corporates’. No figures are reported in column 230 of template C 07.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) for the unsecured part, because the risk weight of the unsecured part of the exposure is not derived from ECAI credit assessments.
After the application of the Financial Collateral Simple Method, the secured part of the exposure to the unrated corporate should be allocated to the exposure class of the issuer of the debt instrument. The risk-weighted exposure amount of the debt instrument should be reported in column 230 of template C 07.00 of Annex I of the ITS on Supervisory Reporting, as the risk weight is defined by using the credit assessment according to Article 139 CRR.