Commission Implementing Regulation (EU) No 680/2014Show full title

PART 3 MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS

1. The following tables map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables.

ANNEX V Table 2: rows 1 - 18

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
(c) Public sector entities	(2) General governments
(d) Multilateral development banks	(3) Credit institutions
(e) International organisations	(2) General governments
(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
(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 should be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, when securitized positions remain recognised in the balance sheet, the counterparty sectors are 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 are 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	(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 are 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, when securitized positions remain recognised in the balance sheet, the counterparty sectors are 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.