Table 3 Internal Ratings Based Approach IRBA exposure classes FINREP counterparty sectors Comments (CRR article 142) These exposures shall be assigned to (1) Central banks (a) Central governments and central FINREP counterparty sectors according (2) General governments banks to the nature of the immediate (3) Credit institutions counterparty (b) Institutions These exposures shall be assigned to (2) General governments FINREP counterparty sectors according (i.e. credit institution and investment (3) Credit institutions to the nature of the immediate firms as well as some general (4) Other financial corporations counterparty governments and multilateral banks) These exposures shall be assigned to (4) Other financial corporations FINREP counterparty sectors allocation (c) Corporates (5) Non-financial corporations classes according to the nature of the (6) Households immediate counterparty exposures shall be assigned to (4) Other financial corporations FINREP counterparty sectors according (d) Retail (5) Non financial corporations to the nature of the immediate (6) Households counterparty In FINREP, equities are separated as (e) Equity Equity instruments instruments different categories of financial assets exposures shall be assigned to FINREP counterparty sectors according (2) General governments to the underlying risk of the (3) Credit institutions securitisation positions. In FINREP, (f) Securitisation positions (4) Other financial corporations when securitized positions remain recognised in the balance sheet, the (5) Non-financial corporations counterparty sectors are the sectors of the (6) Households immediate counterparties of these positions In FINREP, other items may be included (g) Other non credit obligations Various items of the balance sheet under different asset categories.
Table 3 Internal Ratings Based Approach IRBA exposure classes (CRR article 142) 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 allocation classes according to the nature of the immediate counterparty (d) Retail (4) Other financial corporations (5) Non financial corporations (6) Households 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 different categories of financial assets (f) Securitisation positions (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households 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.
Annex+V_Instructions_FINREP.docx