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
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