Concerning the EBA reporting of the templates “C 08.01.c - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL (SMEs subject to supporting factor)” and “C 08.01.d - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL - Of which arising from counterparty credit risk and off balance sheet (SMEs subject to supporting factor)”, we think that the two sheets 22 and 23 of the last Data Point Model (2013/12/02) not have to be treated. Indeed sheet 022 is entitled “Retail - Secured by immovable property SME subject to SME-supporting factor - without own estimates of LGD or conversion factors” and sheet 023, “Retail - Other SME subject to SME-supporting factor - without own estimates of LGD or conversion factors” Whereas it is explained in ANNEX II - REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS, part. 3.3.1 (Scope of the CR IRB template), that in any case, for the reporting of the retail portfolios, own estimates of LGD and credit conversion factors are used (Advanced IRB) Moreover those sheets would represent “of which” of non existing positions ? Extract of ANNEX II - REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS, part. 3.3.1 (Scope of the CR IRB template) : Scope of the CR IRB template The scope of the CR IRB template covers own funds requirements for: i. Credit risk in the banking book, among which: Counterparty credit risk in the banking book; Dilution risk for purchased receivables; ii. Counterparty credit risk in the trading book; iii. Free deliveries resulting from all business activities.. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach). The CR IRB template does not cover the following data: i. Equity exposures, which are reported in the CR EQU IRB template; ii. Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates; iii. “Other non-obligation assets”, according to Article 147 (2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template; iv. Credit valuation adjustment risk, which is reported on the CVA Risk template; The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB. In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class: "NO" = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB) "YES" = in case own estimates of LGD and credit conversion factors are used (Advanced IRB) In any case, for the reporting of the retail portfolios "YES" has to be reported. In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported. Could you please confirm our opinion ?
- Legal act: Regulation (EU) No 575/2013 (CRR)
- COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
