We have noted the deletion of several columns in several templates of Annex 1 of the COREP, detail below:
C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)
C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) NO 575/2013 (CR IRB 5B)
C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6)
Instructions for this column are maintained in Annex 2
C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
These deletions of columns do not seem justified to us, can you confirm that these columns are to be maintained in the different templates ?
Divergence in the structure of the template between the European Commission version and the version published in the European official journal on December 22, 2022.
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