Question
Could you please confirm that the coloumn a) "Total exposures" of CR7-A template should be filled with outstanding amount post application of credit conversion factor without taking into account any substitution effects due to the existence of a guarantee in accordance with Articles 166 to 167 CRR, in case the exposure covered by only unfunded credit protection (guarantees)?
Background on the question
e.g Template AIRB CR7-A Outstanding amount - obligor under AIRB treatment=100 Exposure covered by guarantees under standard treatment. The guarantees meet the requirement laid down in Articles 213, 214, 215 and, when relevant, 217 and 232(4) CRR= 10 CCF=100% Exposure in column a)= 100
Answer
According to the IT-solutions (Annex XXII) to the Regulation (EU) 2024/3172, 'total exposures disclosed in column a of template EU CR 7-A are: 'Exposure value (post conversion factors) in accordance with Articles 166 to 167 of Regulation (EU) No 575/2013. Exposures shall be disclosed in accordance with the exposure class applicable to the obligor, without taking into account any substitution effects due to the existence of a guarantee. The amounts disclosed in this column should be consistent with the amounts reported in column 110 of reporting template C 08.01. The instructions of the latter specify that in column 110 of C 08.01, the exposure values are determined in accordance with Article 166 of Regulation (EU) No 575/2013 and the second sentence of Article 230(1) of that Regulation. This implies that the amounts are calculated post conversion factors and after CRM substitution effects. Same provisions should be applicable to column a (Total exposures) of template EU CR 7-A to calculate the amount of exposures, while the classification of the exposures in the rows of exposure classes should be done in accordance with the exposure class applicable to the obligor, without taking into account any substitution effects due to the existence of a guarantee.