QA2020-165 - CFR

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Feb 01, 2024
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QA2020-165

Question


Could you precise the mapping/correspondance between the counterparties in COREP 02.00 item 1.1 and the economic functions of the CFR (Households, Non-financial corporations, General Governments) for the Risk Weighted Assets?


Response


The bank is expected to find the appropriate mapping, e.g. ‘Households’ would correspond to ‘Retail’, ‘General Governments’ would correspond to ‘Central Governments or Central Banks’ etc. In the previous version of the guidance, the same reference was made.