Question
Are the securitisations and equity exposures in scope of this reporting exercise? If yes, the securitisations and equity exposures shall be classified in the Exposure Class: "(i) Not applicable" in table C103, column 020?
Background on the question
It is unclear whether the securitisations and equity exposures are in scope of this reporting exercise. In Annex IV, table C103, column 030, "Regulatory approach" both securitisation and equity exposures are mentioned. If these exposures are in scope, it is unclear to what Exposure Class they shall be assigned in table C103, column 020.
Answer
The portfolios in scope are defined in template C 103.00 of Annex I of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking). Column 040 (Exposure Class) of template C 103.00 of Annex II of Draft ITS on benchmarking does not list securitisations and equity. Therefore, the exposure classes of Article 147 of Regulation (EU) No. 575/2013 (CRR) "equity exposures" and "items representing securitisation positions" are not within the scope. Column 030 of template C 103.00 of Annex IV of the draft ITS on benchmarking covers all approaches in IRB, regardless of whether the approaches are applicable to the different portfolios. DISCLAIMER: The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.