Question ID
2014_1187
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex II
Type of submitter
Credit institution
Subject matter
Template C07.00 Column 240: of which: with a credit assessment derived from Central Government
Question

Column 240: of which: with a credit assessment derived from Central Government, is this column only applicable to exposure classes institutions, public sector entities or regional governments and local authorities? Or should it also include corporates under CRR Article 122.2 where the risk weight was derived from the central government of the jurisdiction in which the corporate is incorporated?

Background on the question

The requirements for assigning a risk weight when a nominated ECAI is not available differs between (a) corporates and (b) institutions, public sector entities or regional governments and local authorities (a) Corporate exposures for which a credit assessment is not available shall be assigned a 100% risk weight or the risk weight of exposures to the central government of the jurisdiction in which the corporate is incorporated, whichever is the higher. (Article 122.2 of the CRR) (b) Exposure to institutions, public sector entities or regional governments and local authorities for which a credit assessment by a nominated ECAI is not available shall be assigned a risk weight in accordance with the credit quality step to which exposures to the central government of the jurisdiction in which the institution, public sector entity or regional government and local authority is incorporated are assigned in accordance with: 22 Article 116 Table 2 for public sector entities 22 Article 121 Table 5 for institutions and regional governments and local authorities

Submission date
Final publishing date
Final answer
Where for exposures to corporates no credit assessment of a nominated ECAI is available, Article 122 (2) of Regulation (EU) No 5725/2013 (CRR) is applicable. In this case, if the risk weight assigned is the risk weight of the central government, these exposures shall be included in column 240 of template C 07.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting). If applicable, column 240 should be populated for the following exposure classes, where the risk weight could be derived from the central government: 
  • 22 Exposures to institutions, public sector entities or regional governments and local authorities
  • 22 Exposures to multilateral development banks
  • 22 Exposures to corporates
  • 22 Exposures in the form of covered bonds
  • 22 Exposures in the form of units or shares in CIUs.
Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.