For an original exposure (pre-CCF, pre-CRM) of EUR 100 that receives an IRB treatment, that however based on an eligible guarantee and CRM/substitution effects becomes an SA exposure (e.g. assume a guarantee from a central government where the bank has a permanent partial use of SA approval in place to apply SA to exposures to central governments). For the example, assume the guarantee secured EUR 60 of the EUR 100 exposure. For the U-TREA calculation, EUR 60 would effectively be an SA exposure that is reported in C07.00 (in the after CRM columns). The calculated RWEA for this EUR 60 of exposure would be reported in an SA row (central governments in the example) in C02.00. The EUR 40 of the original exposure remains an IRB exposure and RWEA is calculated and reported in C08.01 and RWEA amount for the EUR 40 is reported in C02.00 on an IRB row. 

If we look at the reporting instructions/IT Solutions (in Annex II of COMMISSION IMPLEMENTING REGULATION (EU) 2024/3117)   for the output floor template (C 10.00), we see that the instructions in Section 3.5.a refer to “IRB exposures subject to output floor” and “IRB exposures broken down by SA exposure classes” while explaining the scope of the template. Our understanding is that this should be interpreted as the exposures for which an institution applies IRB approach for the purpose of U-TREA calculations. Hence, our interpretation is that in template C 10.00, we have to report the exposures for which we apply IRB treatment, and that we have to allocate into the appropriate SA exposure classes in this template. This effectively would mean that if an exposure is not treated under IRB (for U-TREA purposes) , it should not be reported in template C 10.00.  

Based on the above, our understanding is that if an exposure ends up in the guarantor’s exposure class under the SA treatment, as a result of the application of the CRM (RW substitution) the exposure no longer gets an IRB treatment and has to be deemed as an SA exposure and has to be reported in template C 02.00 as such. Therefore, we should not expect such exposures to be reported in C 10.00 (output floor template). For the example described above, it could be understood that only the EUR 40 should be reported in C10.00 column 0010 as only that portion gets an IRB treatment for the purpose of own funds requirements calculations/U-TREA calculations. The request for guidance or confirmation is because the reporting instruction for C 10.00 column 0010 is the exposure value pre-CCF and pre-CRM. If in this example EUR 100 would be expected in C 10.00 column 0010, then it would be helpful if EBA could clarify how the other columns should be reported (e.g. C 10.00 column 0040).