Question ID
2014_702
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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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
5 (a) (4)
Name of institution / submitter
Deutsche Bank
Country of incorporation / residence
Poland
Type of submitter
Credit institution
Subject matter
ITS on supervisory reporting under the CRR COREP CR GB template
Question

What exposure value have to be taken into consideration to verify threshold of 10% of total exposures in all exposures classes according to Article 5 (a) (4)? Should the total exposures be taken as reported in row 010 column 010 of template 7 of Annex I as original exposure pre conversion factors? Which institutions should report information on the geographical distribution of exposures by country on template CR GB 1, CR GB 2? Should only those institutions report CR GB 1, CR GB 2 templates whose ‘non-domestic’ exposures are equal or higher than 10% of total exposures?

Background on the question

According to Article 5 (a) (4) of the draft Implementing Technical Standards (ITS) on Supervisory Reporting under the CRR, non-domestic original exposures in all ‘non-domestic’ countries in all exposures classes, are reported in row 850 of template 4 of Annex I and that total domestic and non domestic original exposures are reported in row 860 of template 4 of Annex I. Data reported in 850 and 860 row of template 4 of Annex I refers to own funds requirements for investments firms not for the exposures.

Submission date
Final publishing date
Final answer
As clarified with the reference to rows 850 and 860 of C 04.00 Template in Annex I of the Regulation (EU) No 680/2014 13 ITS on Supervisory Reporting of institutions (ITS), the value used to calculate the threshold of Article 5(a)(4) of the ITS is the original exposure pre conversion factors. For exposures, the risk weighted assets of which are calculated under the Standardised Approach in Chapter 2 of Part 3, Title II of Regulation (EU) No. 575/2013 (CRR), the values relevant for the threshold would correlate to the values reported in {C 07.00, r010, c010} of Annex I of the ITS. For exposures, the risk weighted assets of which are calculated under the IRB Approach in Chapter 3 of Part 3, Title II of CRR the values relevant for the threshold would correlate to the values reported in {C 08.01, r010, c020} of Annex I of the ITS. According to the threshold of Article 5(a)(4) of the ITS, only those institutions whose ratio of non-domestic original exposures pre conversion factors to total original exposures pre conversion factors are equal or higher than 10% shall report templates C 09.01 and C 09.02. The entry and exit criteria of Article 4 of the ITS should be considered.
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.