How shall exposures to entities that are classified differently between different reporting frameworks (i.e. FINREP and COREP) be assigned to an exposure class in Template C33?
Paragraph 156 of Annex II to EBA/ITS/2017/01 defines the scope of the data contained in C 33.00 as follows: ‘156. Exposures to ‘General governments’ are included in different exposure classes in accordance with Article 112 and Article 147 of CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02.’
In accordance with the aforementioned paragraph 156, exposures shall be connected to the risk exposure classes that are defined in template C 33.01. According to the OeNB newsletter regarding new reporting requirements (https://www.oenb.at/Statistik/Meldewesen/news/Newsarchiv/2014/reminder-neue-meldebestimmungen-vermoegensausweis-vera-a1a-beleg-15-ab-berichtstermin-31122014.html), all reporting based on ESVG must apply the classifications regarding the public sector (http://www.statistik.at/web_de/statistiken/wirtschaft/oeffentliche_finanzen_und_
COREP does not currently provide for this treatment. This gives rise to the following situation: an exposure to an entity mentioned in the list in the link from Statistik Austria above is assigned in FINREP to ESVG Sektor S.1313 (local government) in accordance with Statistik Austria’s ‘Classification of institutional sectors – as of March 2017’ and subsequently to FINREP economic sector ‘General governments’. In COREP, an exposure to this entity is assigned to exposure class ‘Corporates’ (see Articles 122 and 123 CRR) and subsequently cannot be reported in detail in template C 33.00.
The European System of National and Regional Accounts (ESA 2010) has been used as a basis on which to report counterparty sector information in certain templates of Annexes III and IV (FINREP) to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting); see Q&A 2015_1758.
According to ESA 2010, the general government sector consists only of institutional units that are non-market producers. Thus, a corporation controlled by the government and assessed as a non-market producer in the meaning of ESA 2010 leads to the classification ‘Central government’ in FINREP (ESA 2010), but may lead to a classification as ‘Corporate’ for the purposes of calculation of own funds requirements for credit risk (Article 112 (g) of Regulation (EU) No 575/2013 (CRR)).
The exposure classes listed in rows 040 to 070 and 090 to 150 of template C 33.00 of Annex I to t
* 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.