Question ID
2025_7534
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2024/3117 - ITS on supervisory reporting of institutions
Article/Paragraph
430 / 1
Type of submitter
Credit institution
Subject matter
CoRep Reporting C07.00 Template - Clarification regarding Default in Equity Exposures
Question

The COREP template C07.00 requires institutions to report all counterparties treated under the Standardised risk weight approach to be split by Asset Class. These 'Asset Classes' are defined under Article 112 of CRR. The template clearly calls out that for the 'Exposure in Default' Asset Class, any exposure that is not subject to 'Equities' (under Article 133) should be included, hence the Equities exposures positions are not reported under Exposure in Default Asset Class. 

The COREP template has a specific section to report Default in Equity Exposures – Row 0015. However, there is no definition of Equity Exposures at Default from a standardized risk weight perspective, hence we are seeking clarity on how this should be managed/disclosed. For example, we are now needing to disclose counterparties that have had loan restructuring and as part of this, equities have been issued and hence, this is where the Equity exposure position is classified as default. 

 

Background on the question

There is no definition of the treatment to be applied to Equity Exposures at default from a standardized risk weight perspective and also, how these should be disclosed.

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question