Single Rulebook Q&A

Question ID: 2017_3479
Legal act : Regulation (EU) No 575/2013 (CRR)
Topic : Supervisory reporting
Article: 99
Paragraph:
Subparagraph:
Article/Paragraph : Annex II, Part II, C 33.00, paragraph 6.3, instructions on row 150
COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting of Institutions
Subject matter : International Organisations allocated to the 'Institutions' exposure class
Question:

Could you please advise based on which criteria are International Organizations allocated to the “Institutions” exposure class under IRB Approach.

Background on the question:

As per EBA/ITS/2017/01, Annex II, C 33.00, paragraph 6.3, instructions on row 150 refer to Article 147(4)(a) of CRR and as specified by the instructions for template C 08.01 and C 08.02. Article 147(3)(c) CRR defines exposures to International Organizations assigned to exposures to "Central Government and Central Banks".

Date of submission: 18/08/2017
Published as Final Q&A: 17/11/2017
EBA answer:

The purpose of the breakdown of exposures included in rows 020 to 150 of template C 33.00 of Annex I to the EBA/ITS/2017/01 Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) as amended by Regulation (EU) 2017/2114 is to provide a comprehensive view of exposures to General governments across the credit risk regulatory approaches. To do so, it is imperative to maintain integrity with the allocation of exposure classes reported in COREP templates C 07.00 (for exposures under the standardized approach) and in C 08.01 and C 08.02 (for the IRB approach).

However, exposure classes listed in rows 040 to 070 and 090 to 150 of template C 33.00 do not represent an exhaustive list of all possible exposure classes which could include exposures to General governments. Therefore exposures to General governments corresponding to an exposure class other than those listed in the aforementioned rows of template C 33.00 shall be reported in the total rows 030 (standardised approach) and 080 (IRB approach), as applicable, but not in any of the rows 040 to 070 or 090 to 150.

This is explicitly the case for international organisations according to the definition of General government, which is based on ESA 2010 (see Q&A 2015_1758), which are not considered as such for the purposes of Regulation (EU) No 575/2013 (CRR). Article 118 CRR provides the exhaustive list of counterparts that must be considered international organisations and must then be reported in template C 07.00 as such and also in row 070 of template C 33.00. The rest, as described in Q&A 2014_968, will be considered ‘corporates’ as reported as such in template C 07.00 and included in row 030 of template C 33.00, but in none of the rows 040 to 070 of C 33.00.

Regarding the allocation of international organisations under the Internal Ratings Based Approach in template C 33.00 (rows 140 and 150), reporting institutions are required to allocate their positions to exposure classes in accordance with Article 147 (3) (c) CRR. Thus exposures to international organisations included in the list provided in Article 118 CRR are assigned to exposures to ‘Central Government and Central Banks’ and will be reported in row 140 ‘International Organisations [Central governments]’ of template C 33.00, since these exposures are to be reported as ‘central governments’ in templates C 08.01 and C 08.02. Conversely, any other exposure to international organisations covered by the definition of General government but not included in the list provided in Article 118 CRR is to be assigned to the ‘Corporate’ exposure class in accordance with Article 147 (7) CRR and shall be included in row 080 of template C 33.00, but not in row 150 thereof.

Row 150 will be deleted since it does not correspond to any possible exposure allocation. Instructions in Annex II will be amended accordingly as well.

 

* As of 21/03/2018, the content of this answer was modified to reflect the publication of the Regulation (EU) 2017/2114 in the Official Journal of the European Union. As a result, the references to the ITS on Supervisory Reporting were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.

Status: Final Q&A
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