Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - COREP (incl. IP Losses)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
C08.07: credit risk only?

Is report C08.07 limited to Credit Risk only, or is Counterparty Credit Risk included in the scope?

Background on the question:
  1. From Reporting Framework 3.0 Annex 2 (Solvency) we find the following 
    1. General remarks

83. For the purpose of this template, institutions calculating the risk-weighted exposure amounts under the IRB approach to credit risk shall allocate their exposures subject to Standardised approach laid down in Chapter 2 of Title II of Part Three CRR or to the IRB approach laid down in Chapter 3 of Title II of Part Three CRR, as well as the part of each exposure class subject to a roll-out plan. Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template

These chapters (2 and 3), include the definition of exposure for Counterparty Credit Risk. This would lead us to assume that counterparty credit risk is included in the report C08.07.

However, the title of the report is 

      1. C 08.07 - Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches (CR IRB 7))

As opposed C08.01 for instance where 'Counterparty Credit Risk' is clearly in scope and explicitly included.

Also, the report is aligned with Pillar 3 disclosure template CR6A, for which counterparty credit risk is excluded.

These last two elements lead us to believe that counterparty credit risk should be excluded.



Date of submission:
Published as Rejected Q&A
Rationale for rejection:

This question has been rejected because the matter it refers to is in the process of being answered in Q&A 6387.

Rejected question