2022_6465 Reporting of underlying exposures of a CIU

Question ID:

2022_6465

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Supervisory reporting - COREP (incl. IP Losses)

Article:

430

COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:

Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions

Article/Paragraph:

Index I and II

Disclose name of institution / entity:

Yes

Name of institution / submitter:

SAS R&D Pvt. LTD.

Country of incorporation / residence:

INDIA

Type of submitter:

Consultancy firm

Subject Matter:

Reporting of underlying exposures of a CIU

Question:

As per Article 132a(1) CRR, institutions should do the risk weighting all underlying exposures of the CIU as if they were directly held by those institutions. If underlying exposures are of mix approaches (STD and IRB), then should they be reported on C 07.00 and C 08.x and C 34.x respectively?

Background on the question:

According to Article 132a(1) CRR, where the conditions set out in Article 132(3) CRR are met, institutions that have sufficient information about the individual underlying exposures of a CIU shall look through to those exposures to calculate the risk-weighted exposure amount of the CIU, risk weighting all underlying exposures of the CIU as if they were directly held by those institutions.

However, it is unclear where the risk weighted underlying exposures will be reported?

Date of submission:

24/05/2022

Published as Rejected Q&A

25/01/2023

Rationale for rejection:

This question has been rejected because the matter it refers to is in the process of being answered in Q&A 6528.

Status:

Rejected question