[F1PART 3 U.K. MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS
1. Tables 2 and 3 map exposure classes to be used to calculate capital requirements in accordance with CRR to counterparty sectors used in FINREP tables. U.K.
Table 2
Standardised Approach
ANNEX V Table 2: rows 1 - 18
| [F1SA 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.] |
Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance).