Part 3

Table 2 Standardised Approach

SA exposure classes (CRR Article 112)

FINREP counterparty sectors

Comments

(a) Central governments or central banks

(1) Central banks

(2) General governments

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(b) Regional governments or local authorities

(2) General governments

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(c) Public sector entities

(2) General governments

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations.

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(d) Multilateral development banks

(3) Credit institutions

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(e) International organisations

(2) General governments

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(f) Institutions

(i.e. credit institutions and investment firms)

(3) Credit institutions

(4) Other financial corporations

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(g) Corporates

(2) General governments

(4) Other financial corporations

(5) Non-financial corporations.

(6) Households

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(h) Retail

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(i) Secured by mortgages on immovable property

(2) General governments

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

(j) In default

(1) Central banks

(2) General governments

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

(ja) Items associated with particularly high risk

(1) Central banks

(2) General governments

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

(k) Covered bonds

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

(l) Securitisation positions

(2) General governments

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions.

(m) Institutions and corporates with a short-term credit assessment

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

(n) Collective investment undertakings

Equity instruments

Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through.

(o) Equity

Equity instruments

In FINREP, equities shall be separated as instruments under different categories of financial assets

(p) Other items

Various items of the balance sheet

In FINREP, other items may be included under different asset categories.

Table 3 Internal Ratings Based Approach

IRBA exposure classes

(CRR Article 147)

FINREP counterparty sectors

Comments

(a) Central governments and central banks

(1) Central banks

(2) General governments

(3) Credit institutions

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(b) Institutions

(i.e. credit institution and investment firms as well as some general governments and multilateral banks)

(2) General governments

(3) Credit institutions

(4) Other financial corporations

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(c) Corporates

(2) General governments

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(d) Retail

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

(e) Equity

Equity instruments

In FINREP, equities shall be separated as instruments under different categories of financial assets

(f) Securitisation positions

(2) General governments

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation positions. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions

(g) Other non credit obligations

Various items of the balance sheet

In FINREP, other items may be included under different asset categories.