Question
Please can we clarify where exposure per article 48 (4), should be reported in COREP Template C 07, Row 0250. The underlying item of investment in question is an Equity investment arising from Trading book primarily assessed for Market Risk; to be more specific, the underlying are CET1 instruments which are in scope for Significant Holding per article 48 (1). Art. 133 is part of Standardised Approach to Credit Risk within Title II of the CRR where all Banking book investments are risk weighted by reading across 48(4) in line with 133(2). While Art. 48 is applicable for both Trading book and Banking book investments, the specific question is the applicability of Article 133(2) for a Trading book Equity Investment and therefore where should such items be reported in COREP C07 Template. EBA's Q&A referred to below is generic in nature.
Background on the question
Art 48 (4) Threshold exemptions from deduction from Common Equity Tier 1 items 4. The amounts of the items that are not deducted pursuant to paragraph 1 shall be risk weighted at 250 %. EBA Q&A 2013_670https://www.eba.europa.eu/single-rule-book-qa/qna/view/publicId/2013_670 ....CET1 instruments of financial sector entities where the institution has a significant investment that are risk weighted at 250% are direct, indirect and synthetic holdings of CET1 own funds instruments. As regards the standardised approach, Article 133(2) of CRR mentions equity exposures which a 250% risk weight is assigned to in accordance with Article 48(4) CRR. Consequently, CET1 instruments of financial sector entities where the institution has a significant investment that are risk weighted at 250% shall be reported in template C 07.00 (CR SA) of Annex I of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) in the equity exposure class (and in the total exposure class).....
Answer
Where an institution holds participations in the trading book and the own funds requirements for such participations are calculated in accordance with Article 48(4) of Regulation (EU) No 575/2013 (CRR) (i.e. by applying a risk weight of 250%), the participations should be reported in template C 21.00, row 0010, column 0070, of sheet 0001 (total). In that case, the institution may not comply with validation rule v0620_m. Where the institution benefits from the derogation of Article 94 CRR, it shall report the participations in the credit risk templates, as indicated in Q&A 670 instead.