39.There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded.
40.Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.
41.Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection / partial protection — equal seniority.
42.Articles 196, 197 and 200 of CRR regulate the funded credit protection.
43.Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class.
44.The exposure type does not change because of unfunded credit protection.
45.If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class.
46.The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template.
Reporting of Counterparty Credit Risk
47.Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.
C 07.00 - Credit and counterparty credit risks and free deliveries: Standardised Approach to Own funds Requirements (CR SA)
48.The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on:
the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes ;
the amount and type of credit risk mitigation techniques used for mitigating the risks.
Scope of the CR SA template
49.According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements.
50.The information in CR SA is requested for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.
51.However the following positions are not within the scope of CR SA:
Exposures assigned to exposure class ‘items representing securitisation positions’ according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.
Exposures deducted from own funds.
52.The scope of the CR SA template covers the following own funds requirements:
Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;
Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;
Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.
53.The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94 (1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/ off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.
54.In addition CR SA includes memorandum items in rows 220 to 250 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.
55.These memorandum items shall only be reported for the following exposure classes:
Central governments or central banks (Article 112 point (a) of CRR)
Regional governments or local authorities (Article 112 point (b) of CRR)
Public sector entities (Article 112 point (c) of CRR)
Institutions (Article 112 point (f) of CRR)
Corporates (Article 112 point (g) of CRR)
Retail (Article 112 point (h) of CRR).
56.The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA,.
57.The memorandum rows provide additional information about the obligor structure of the exposure classes 'in default' or 'secured by immovable property'. Here exposures shall be reported where
the obligors would have been reported in the exposure classes ‘Central governments or central banks’, ‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’, ‘Corporates’ and ‘Retail’ of CR SA, if those exposures were not assigned to the exposure classes 'in default' or 'secured by immovable property'.
58.E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20%, then this information is reported in CR SA, rows 220 in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 220 of exposure class 'institutions'.