Question ID:
2020_5549
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:
Annex II - Template C14.01, Paragraph 3.9.4
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Missing reporting of Securitization under the Internal Assessment Approach in C14.01 template
Question:

Based on ITS instructions, in template C14.01 shall be reported only securitization under the SEC_IRBA, SEC_ERBA, SEC_SA methodology or securitizations weighted according to a RW equal to 1.250%.
Is it confirmed that such perimeter doesn’t consider securitizations under the IAA approach, nevertheless such amount is included in CoRep template C13.01?

Background on the question:

Analyzing the instructions reported in Annex 2 of ITS EBA, the template C14.01 shall be reported separately for the following approaches:
1. SEC_IRBA
2. SEC_ERBA
3. SEC_SA
4. 1.250%
Hence, no information related to the IAA approach is included in the instruction.
In addition, analyzing XBRL metrics (EBA template “Annotated Table layout 290 – COREP 2.9.1”), the metrics that have to be considered for the generation of template C14.01 are the following “(MRW:AP) Methods to determine risk weights”:
1. SEC_IRBA: AP:x118
2. SEC_ERBA: AP:x125
3. SEC_SA: AP:x122
4. 1.250%: AP:x1
In the EBA template a template with information regarding IAA approach with XBRL metric AP:x25 assigned to IAA approach is not considered.

Date of submission:
12/10/2020
Published as Final Q&A:
30/04/2021
EBA Answer:

In accordance with Art. 266 (1) (2) of Regulation (EU) 575/2013 as amended by Regulation (EU) 2017/2401 the Internal Assessment Approach is part of the SEC ERBA approach. Therefore, the risk weighted exposure shall be calculated following instructions from Art. 266 and 263 or Art. 264, as applicable.
The DPM takes this into account by assigning the Dimension “MRW” (Method used to determine risk weights) to the data point in the z-axis of C14.01 and Dimension “APR” (Approach used for prudential purposes) to the data points in the columns of C13.01, so that the exposures under IAA are reported under MRW/AP:x125 in C14.01 and under APR/AP:x25 in C13.01.

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