Response to consultation on draft ITS amending Commission Implementing Regulation (EU) 2024/3117 regarding Credit Risk and IFRS 9 Benchmarking reporting
General 1: Are the instructions and templates clear to the respondents? If not, what should be clarified?
We have identified several points in the instructions provided, which to our view show certain inconsistency. For each of those points, we have raised a separate question.
- Point 6 of the Instructions Benchmarking reporting (CR and IFRS 9)
In point 6 of the Document Instructions Benchmarking reporting (CR and IFRS 9) it is specified that template C 101.01 should contain only exposures subject to IFRS 9 standard. To our understanding, such restriction would prevent institutions who apply local accounting standard (e.g. local Austrian accounting standard UGB) to report this template at all, as the requirement to use IFRS 9 is not fulfilled.
We kindly ask you to confirm whether our interpretation is correct and if not, how institutions applying local accounting standards are expected to report these templates.
- Points 7 and 8 of the Instructions Benchmarking reporting (CR and IFRS 9)
In point 7 of the document Instructions Benchmarking Reporting (CR and IFRS 9), it is specified that templates C 101.01 and C 101.02 should include only those clients listed in template C 100.00, as well as clients reported by the Bank for the same reporting period in the COREP template C 27.00. Furthermore, it is stated that only clients treated under the IRB approach should be considered.
In point 8 of the same document, it is specified that templates C 101.02 and C 102.02 should include clients listed in template C 100.00 and clients reported in COREP template C 27.00 for the same reporting period. However, in this case, it is also permitted to include clients treated under the STA approach.
In relation to these instructions, we would like to highlight the following points for clarification:
- Ambiguity regarding Template C 101.02:
Template C 101.02 is referenced in both point 7 and point 8, which creates uncertainty as to whether it should include only clients treated under the IRB approach, or if clients under the STA approach may also be included.
- Scope of Template C 102.02:
Template C 102.02, as mentioned in point 8, is defined at the portfolio ID level. To our understanding, this appears to contradict the instruction that it should include only clients listed in template C 100.00 and those reported in COREP template C 27.00 for the same reporting period.
Based on the above, we kindly request clarification on the following questions:
a) Which templates are required to include only IRB clients, and which may also include STA clients?
b) For which templates should the scope be limited to clients listed in template C 100.00 and those reported in COREP template C 27.00 for the same reporting period?
c) Is our understanding correct that templates defined at the client level are limited in scope to clients listed in template C 100.00 and those reported in COREP template C 27.00, while templates defined at the portfolio ID level are not subject to this limitation and may cover a broader segment of the Bank’s portfolio?
- Point 14 of the Instructions Benchmarking reporting (CR and IFRS 9)
In point 14 of the document Instructions Benchmarking Reporting (CR and IFRS 9), it is specified that templates C 101.02 and C 102.02 should include only exposures subject to the IFRS 9 standard. Could you please confirm whether our understanding is correct that, in cases where the Bank does not apply IFRS 9 but instead follows a local accounting standard (e.g., the Austrian accounting standard UGB), there would be no obligation to populate these templates? From technical perspective, if our interpretation is correct, should such institution treat these templates as non-applicable and leave them either blank or indicate ‘NULL’ in the cells following the instructions provided, or should institution not deliver these templates at all.
- First reporting reference date and reporting remittance date
In Chapter 4, "Draft Implementing Technical Standards," of the Consultation Paper, it is specified that the standards shall apply from December 2026. Additionally, an annual reporting frequency is confirmed, with December 31 designated as the reporting date. In Chapter 2, "Executive Summary," of the Consultation Paper following is stated: “it will be possible to postpone the reference date or the reporting date for the first year of reporting. It will be also possible to revert to the 2026 ITS on benchmarking reporting also for December 2026 data”. Furthermore, according to the EBA website, Reporting Framework 4.4 which includes Benchmarking CR and IFRS9, will be applicable as of 09/2027.
Considering above mentioned, we kindly ask you to confirm the reporting reference date and the reporting remittance date that are expected to apply for the first implementation of this technical standard.
- Historical data on default rate in template C 102.01
Regarding the fields “Default rate latest year” and “Default rate past 5 years” in Template C 102.01, we kindly request clarification on whether these fields must be completed regardless of the IRB model’s initial application year. Specifically, is the Bank required to populate for instance field “Default rate past 5 years” field if the IRB approach has only been in use for one year? If yes, could the EBA clarify how missing historical observations should be reported where the required observation period is not yet available?
From our perspective, this topic is highly relevant, as we have applied for approval to use the IRB approach and are currently in the implementation phase. As a result, when we report the Benchmarking for the first time, we will not have the historical default data required for these fields.
Therefore, we would like to suggest that the time span used for reporting these fields is gradually increased, depending on how long the institution has already been using the IRB approach. This would mean that each additional year of IRB usage would allow us to provide one more year of historical data for these fields.
Alternatively, we propose that these two fields be considered non-applicable and left blank if the required historical data is missing due to the limited period of IRB usage.
General 2: Do the respondents identify any discrepancies between these templates and instructions and the calculation of the requirements set out in the underlying regulation?
Non-Applicable
General 3: Do the respondents agree that the amended ITS on Supervisory Reporting allows to fulfil the requirements and purpose of the Article 78 of the CRD?
Non-Applicable
General 4: what is the information (please refer to single columns) that you see as particularly costly to be provided? Please provide detailed information about the implementation and running costs of the proposed changes, also compared to the current total costs.
Non-Applicable
General 5: what is the reporting level for banking groups that you deem more appropriate?
Non-Applicable
CR 1: Do you foresee any issues with supplementing the sample of counterparties listed in C 100.00 by the Large Exposures counterparties reported in the Template C 27.00 at the same reference date in order to expand the sample of low default counterparties for the reporting for template C 101.01/.02?
Non-Applicable
CR 2: Do you identify any errors in the list of counterparties in C 100.00? If so, please report it to us.
Table C 100.00 includes several clients for whom neither a LEI code nor a Bloomberg ticker is available, leaving only the client’s name as a basis for identification. This approach may not always facilitate efficient analysis or reliable matching. We have also observed that all these clients are listed in Annex I of the currently valid ITS, where either a credit register code or a commercial register code is provided as an available identifier. Could you please clarify the rationale for limiting the available identifiers in Table C 100.00 to only the LEI code and Bloomberg ticker?
CR 3: Do you foresee any issues with the transfer of the portfolio/model split from the former template C 105.02 to the template C 101.01 and the new template C 102.01? Do you agree with the EBA’s assessment that the portfolio/model split in the new template C 102.01 is the preferred option compared to designing a separate template increasing the reporting details of the former templates C 105.01 and C 105.02?
Non-Applicable
CR 4: Do you think it is possible to provide the details of the impacts of the RWEA add-ons and MoCs (columns 0203, 0204, 0205 of Template C 102.01) at the required segmentation level?
Non-Applicable
CR 5: Do you agree with the proposed simplification in the reporting for column 0202 (RWEA Standardised) of the template C 102.01? Do you deem the segmentation level for which the information is requested sufficient to highlight the key differences between the IRB approach and the Standardised Approach?
Non-Applicable
CR 6: The split by collateral type (column 0061 of new template C 102.01) differs from the split used in the current Benchmarking portfolios. Do you foresee any issues or disadvantages with the new definition and instructions as compared to the ones currently in use?
Non-Applicable
CR 7: Do you see material obstacles in providing the information required by the column 0302 of the template C 102.01 (Long-run average realized loss rate of assigned facility grades)?
Non-Applicable
CR 8: Do you see material obstacles in providing the information required by the new loss rate template (C 104.00)? Would alternative measures of loss rates be more appropriate?
Related to template C 104.00 we would like to raise two points:
- Exposure class S30 Corporates – Specialised lending
Following the instruction provided, field 0031 LGD bucket needs to be populated for asset classes, A10 to A47 and S30. Given that there is no LGD model used for slotting approach, the reference to asset class S30 does appear inadequate. Can we kindly ask you for a clarification on this point.
- Purpose do the template C 104.00
The selection of fields in template C 104.00 - Loss rates template suggests that the primary objective of the template is to highlight potential differences between realized LGD and the assessed LGD. This interpretation is further explicitly confirmed in the consultation paper in chapter 5.2.1.3 Problem identification: loss rate template, on page 7.
Based on this understanding, we would kindly ask you to confirm our understanding that this template is mandatory only for A-IRB banks. For F-IRB banks, the intended purpose of the template cannot be achieved, as given the lack of LGD models, regulatory LGDs are used in the calculation.
If F-IRB institutions are nevertheless expected to report template C104,00 could EBA clarify the intended supervisory purpose of collecting this information, given that no internally estimated LGDs are available for comparison?
For institutions applying the F-IRB approach, it is unclear how the information required for template C 104.00 is expected to be derived. While certain underlying credit risk data may exist for other supervisory or internal risk management purposes, these data are generally not maintained in a form that supports the calculation and reporting of realized versus internally estimated LGDs are required by this template.
Given the potentially significant implementation effort associated with establishing the required reporting processes for F-IRB institutions, it is important to clearly understand both the intended supervisory objective of template C 104.00 and the expected reporting methodology for F-IRB banks.
CR 9.1: The split by facility type (column 0062 of template C 102.01) is designed to collect information on the functioning of the CCF models. The classification into buckets (facility types) of off-balance-sheet items is based on Annex I of Regulation (EU) No 575/2013. Do you think there exist other classifications (for example product types) of off-balance-sheet items that would be more useful for representing the CCF models?
Non-Applicable
CR 9.2: Template C 101.01 and C 102.01 propose two alternatives to collect the information on the CCF, either by one column (column 0110 in C 101.01 and column 0120 in C 102.01) or by two separate columns (columns 0111/0112 in C 101.01 and columns 0121/0122 in C 102.01). Which of these reporting alternatives do you prefer?
Non-Applicable
CR 10: Do you support the use and the proposed granularity of the common master scale to limit the number of reported rating grades? What alternative would you propose.
Non-Applicable
IFRS9 1: Do you agree with the proposed definition of SA institutions as relevant for the benchmarking reporting?
Non-Applicable
IFRS9 2: Do you agree with the proposal to refer to SA exposure classes in defining the portfolios for SA institutions?
Non-Applicable