Do CIU exposures for which the IRB look-through approach is applied, but which are subject to the Standardised Approach for calculating the risk-weighted exposure amount as per Article 152(4), point (c), of Regulation (EU) No 575/2013, have to be reported in template C 07.00 (CR SA) or in the C 08 templates (CR IRB)?
According to the description of the scope of the CR IRB templates in paragraph 73 of Annex II to the Regulation (EU) No 2021/451 (ITS on Supervisory Reporting), exposures for which the risk weighted exposure amounts are calculated in accordance with Articles 151 to 157 of Chapter 3 of Title II of Part Three of the CRR (IRB approach) shall be reported in the CR IRB templates. Article 152 CRR does fall under the aforementioned (IRB) articles. However, for the purpose of calculating the risk weighted exposure amount, for certain CIU look-through exposures, Article 152(4), point (c) of the CRR demands the application of the Standardised Approach of Chapter 2 instead of the IRB approach of Chapter 3. According to paragraph 50 of Annex II of the ITS on Supervisory Reporting, exposures for which the own funds requirements are calculated in accordance with Chapter 2 (Standardised Approach) shall be reported in the CR SA templates, not the CR IRB templates.
Consequently, the components of a CIU in the look-through approach may be split between the templates CR SA and CR IRB, depending on if the IRB approach or the Standardised Approach is applied for the respective CIU exposure.
Institutions are allowed to apply the Look-through approach to their exposures in CIUs if the conditions in Article 132(3) of Regulation (EU) No 575/2013 (CRR) are met and they have sufficient information about the individual underlying exposures. In accordance with Articles 132a(1) and 152(2) CRR, this applies to institutions using the Standardised Approach and/or IRB approaches for the calculation of their own funds requirements for credit risk. In all cases, 'where the conditions set out in Article 132(3) are met, institutions that have sufficient information about the individual underlying exposures of a CIU shall look through to those underlying 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 the institutions.'
Therefore, if the institution is authorised to use an IRB method for the calculation of the own funds requirements of the underlying instruments, it will apply Part Three, Title II, Chapter 3, CRR. In accordance with paragraphs 73, 93 and 107 of Annex II to Regulation (EU) 2021/451 (ITS on Supervisory Reporting) - and the underlying exposures will be reported in the templates CR IRB, EQU IRB and CR SEC, as applicable, accordingly.
In the case described in the question, however, the institution applies the provisions of Article 152(4) CRR, i.e. it is not authorised to use an IRB method for the calculation of the own funds requirements for some or all of the underlying instruments.
Where institutions, ultimately, apply the SA laid down in Chapter 2 of the same Title in accordance with Article 152(4), point (c), CRR to some of the underlying exposures, they should report those exposures in the template CR SA, in accordance with Annex II, paragraph 50, of the ITS on Supervisory Reporting. More specifically, those exposures should be reported within the exposure class 'Collective Investment Undertakings', since the use of the Look-through approach does not affect the classification of the institution’s exposures under Article 112, point (o), CRR, according to Q&A 5629.
In conclusion, where an institution that is authorised to use the IRBA for the calculation of the own funds requirements, applies the look-through approach for the calculation of the own funds requirements for credit risk of a CIU, information on the CIU exposure and the associated own funds requirements may be distributed across several templates in Annex I to the ITS on Supervisory Reporting.