Question
Which exposure shall be taken into account for the calculation of the exposure weighted CCF?
Background on the question
In our opinion there are two possibilities to obtain the exposure weighted CCF: (1) The whole exposures (related to on- and off-balance sheet items) are taken into account. For on-balance sheet items a CCF of 100% is applied even though the application of CCFs is originally intended by CRR only for off-balance sheet items. (2) Only exposures related to off-balance sheet items are taken into account. In this case it should be taken into consideration that the exposure amount related to the off-balance sheet items is not available in the reporting templates for most of the defined portfolios.
Answer
For those portfolios which, by definition, comprise both on-balance and off-balance sheet items, the credit conversion factor (CCF) reported in column 100 of template C 102.00 of Annex III to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) shall refer to all exposures allocated to the respective portfolio, independent from the type of the exposure. In those cases where Regulation (EU) No 575/2013 (CRR) does not envisage the application of a CCF to the certain types of exposures included in such a portfolio, thus in case of on-balance and counterparty credit risk exposures, the CCF used to calculate the average CCF as reported in column 100 of template C 102.00 shall be assumed to be 100%. The same applies for exposures to counterparties as defined in template C 101.00 of Annex I to the ITS on Supervisory Benchmarking and reported in template C 101.00 of Annex III to the ITS on Supervisory Benchmarking which consist of both off-balance sheet and other exposures.