Question
Are credit institutions that apply the Standardized Approach (SA) for credit risk and the Internal Model Method (IMM) for counterparty credit risk, in order to calculate exposure amounts of SA exposures, required to report template C10.00 row 0270 (Memo item)?
Background on the question
According to the “IT Solutions - Annex II - Credit risk IRB Output Floor”, institutions that apply the IRB approach must report a separate template C 10.00 for the purpose of the output floor. The title of the template also suggest that only credit institutions applying the IRB approach should report template C 10.00, titled “Credit and counterparty credit risks and free deliveries: IRB exposures subject to output floor”. However, the general instructions in paragraph 91c of Annex II require institutions that apply the IMM to calculate exposure amounts of SA exposures to report row 0270 of this template. The instructions do not differentiate between IRB and SA credit institutions, making it unclear whether SA credit institutions also need to report template C 10.00.
Answer
SA credit institutions shall report template C10.00 in case they apply the Internal Model Method (IMM) as set out in Section 6 of Chapter 6 of Regulation (EU) No 575/2013 to calculate exposure amounts of SA exposures (see the general instructions in paragraph 91c of Annex II).However, these SA credit institutions are only required to report the information on counterparty credit risk of this template.