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?
Overall, the instructions and templates are understandable, but we see a need for further clarification in the following areas:
Template C 101.01
- Column 0050 (Rating):
Additional guidance is needed on the rating categories R95, R96, R97 and R98 (e.g. their intended meaning, mapping rules, and typical use cases).
Template C 102.01
- RWA decomposition (columns 0203 and 0204):
The differences between the following should be explained more explicitly, with clear definitions and examples, especially for cases where we only apply MoCs and supervisory measures at parameter level:- 0203 – RWA without MoC and without supervisory measures at parameter level
- 0204 – RWA without MoC, supervisory measures at parameter level and add‑ons applied at portfolio level
- Columns 0120 and 0121 (CCF):
We would welcome clearer guidance on the distinction between:- 0120 – CCF, and
- 0121 – IRB CCF.
As the EBA benchmarking exercise focuses on IRB models, it would be helpful to confirm whether these two columns are generally expected to be identical, or to specify in which situations they may differ.
Template C 104.00
- Given the complexity of the new template, a concrete worked example would be very useful, particularly for the loss‑rate reporting over the 15‑year horizon and the correct use of the individual columns.
We have encountered some practical issues when applying the current instructions and have prepared a working example based on our interpretation, which we attach for your review and to illustrate where further clarification would be helpful.
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?
Yes, there are certain inconsistencies. For example, CCF / IRB‑CCF / SA‑CCF can exceed 1, and the EBA guidelines do not cap CCF values at 1, so this requirement does not appear appropriate. In addition, we have identified discrepancies in template C104 regarding the application portfolio to be used for loss rate data, and we have described our questions on this in more detail in later sections.
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?
Article 78 CRD aims to ensure effective supervisory control over the redemption and repurchase of own funds instruments (AT1 and Tier 2), based on a sound and reliable assessment of capital adequacy. The benchmarking framework supports this by helping supervisors validate that RWAs and capital requirements are not understated due to optimistic internal models.
From our perspective, the requirement to report risk parameters at model ID level (PD, LGD and CCF) significantly enhances transparency and the understanding of internal models. This improved granularity and comparability of risk data strengthens supervisors’ ability to assess the true capital position when applying Article 78.
Therefore, we agree that the amended ITS on Supervisory Reporting enables supervisors to better fulfil the requirements and purpose of Article 78 of the CRD.
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.
Provision of information for RWA without MoCs, the implementation of new exposure classes, and the requirement to supply loss rate data for the past 15 years in template C104.00 (columns 0040 to 0074) is considered especially costly and burdensome. Collecting, reconstructing, and validating such long-term historical data would require substantial effort, time, and resources (e.g. extracting data from legacy systems, performing data quality checks, and reviewing methodological consistency).
Since template C104.00 is new, we are currently unable to provide a reliable quantitative estimate of the implementation and ongoing costs or to compare them with our current overall reporting costs. Nevertheless, we expect the incremental cost associated with these specific columns to be significant, mainly due to the complexity of gathering and processing historical data.
General 5: what is the reporting level for banking groups that you deem more appropriate?
We consider reporting at the individual model‑ID level within the consolidated banking group to be the most appropriate.
Under the new ITS, portfolios are reported at model‑ID level. This approach avoids the need to average or aggregate materially different portfolios across group entities (e.g. Commerzbank and mBank), which use distinct internal models for PD, LGD and CCF. Reporting at model‑ID level within the consolidated scope therefore provides a more accurate and granular representation of the functioning of each internal model, while still aligning with the prudential consolidation framework.
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?
At present, we do not see any difficulties in providing the data for the counterparties listed in template C 100.00. Although we have not yet carried out a full mapping exercise to the additional Large Exposures counterparties from template C 27.00, we expect to be able to provide the required data for these new counterparties as well and do not foresee major issues in doing so.
CR 2: Do you identify any errors in the list of counterparties in C 100.00? If so, please report it to us.
At this stage, we do not identify any errors in the list of counterparties in template C 100.00.
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?
Yes, we agree that this approach enhances transparency and comparability across banks. However, it will also increase the effort required, as introducing the portfolio/model split will significantly increase the number of rows and, consequently, the reporting workload.
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?
We need clarification on two points:
- If there are no additional RWA add-ons at portfolio level, will columns 0203 and 0204 be identical, or is there any other difference intended between them?
- If the only conservatism comes from MoCs (PD, LGD, CCF) and supervisory adjustments to PD, LGD and CCF, should column 0205 (RWA add-ons) reflect only the RWA increments due to those parameter-level measures? Or is column 0205 restricted solely to top‑down RWA surcharges not embedded in the parameters?
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?
We do not agree with this, as the IRB and Standardised (SA) approaches have different exposure classes. Therefore, comparing them directly and simply applying the Standardised Approach is not meaningful. Even for exposure classes that are common to both IRB and SA, the relationship between PD and RWA under the Standardised Approach is non-linear and cannot be directly derived from RWEA alone. As a result, the Standardised RWEA reported in column 0202 does not provide a complete view of the underlying standardised parameters and restricts the ability to compare IRB and Standardised results at the parameter level.
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?
We already hold the data necessary to meet the new collateral‑type split required in template C 102.01. Accordingly, we do not foresee any issues or disadvantages with the new definitions and instructions and are able to provide the requested information without difficulty.
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)?
We do not see fundamental obstacles to providing the required information and expect to be able to deliver the data. However, compiling long‑run average realised loss rates at facility‑grade level will involve substantial effort and cost, particularly in terms of extracting, reconstructing and validating historical data over an extended period.
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?
We don’t foresee any fundamental obstacles in providing the requested information; however, it will certainly entail considerable time and effort costs. At the same time, further clarification is clearly needed.
We have already set out detailed questions and points requiring clarification below, and we would appreciate more precise guidance on those aspects before implementation.
Assume the reporting date is 31.12.2026, with reference year 2026 (t) and the previous year 2025 (t-1).
- Population of facilities to be included
The instructions say:- Facilities that entered default between 2012 and 2026,
- Whose recovery process was concluded in 2025 (t‑1).
- It is logically impossible for a facility to enter default in 2026 and have its recovery process conclude in 2025. So default year “t” should presumably be excluded from the conclusion year “t‑1” set.
- What about facilities that:
- defaulted before 2025, and
- had their recovery process concluded before 2025 and were closed before 2025?
Are these excluded entirely, or should they be reported elsewhere?
- For the 2026 reporting date, should we include only those facilities whose recovery process concluded in 2025, irrespective of the default year (as long as it is within the 15-year window)?
- In the example:
- 100 facilities defaulted in 2024
- 50 concluded in 2024
- 25 concluded in 2025
- 25 concluded in 2026
- 100 facilities defaulted in 2024
- Sample data
We have prepared and attached an Excel file with sample data based on our understanding. It would be helpful if you could confirm whether our interpretation and data structure are correct or indicate any necessary adjustments. - Totals at exposure class level
The template does not appear to require totals at exposure class level (e.g. total for all AIRB or FIRB accounts).- Please confirm whether aggregated totals by exposure class (or AIRB/FIRB) are expected anywhere in C 104.00, or whether the template is strictly at facility level without such aggregated lines.
Facilities entered default status in the last 15 years starting from the reference date and whose recovery process was concluded (cured, written off, disposed, repossession) within the year before the reference date.
This wording is confusing. The way it is written, it appears to require:
This leads to several questions:
A clear rule is needed, for example:
Should we then report only the 25 facilities whose recovery process concluded in 2025 (t‑1), and exclude the 50 concluded in 2024 and the 25 concluded in 2026?
A worked example in the ITS (with numbers across several years) would be very helpful to avoid misinterpretation.
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?
We do not consider alternative classifications necessary. In our view, the proposed five‑bucket structure based on facility type is appropriate and sufficient for representing CCF models, and we do not see a need for a different (e.g. product‑based) classification.
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?
Since the EBA benchmarking exercise focuses on IRB portfolios, the role of the SA‑CCF column is unclear.
- If only IRB exposures are in scope, what is the purpose of column 0112 SA‑CCF?
- If SA exposures are not in scope, then columns 0110 (CCF) and 0111 (IRB‑CCF) would in practice contain the same information, and this should be explicitly confirmed.
From our perspective, it would be more efficient and transparent to:
- Use column 0110 in template C 101.01 and
- Use column 0120 in template C 102.01
as the single CCF fields, rather than duplicating the information across separate IRB‑CCF and SA‑CCF columns. Since we only report IRB exposure classes in the EBA benchmarking exercise, there is no added value in providing the same CCF information twice. The current structure only makes sense if both IRB and SA portfolios are expected to be reported, which is not the case in this context.
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.
Yes, we support the use of the common master scale.
It would be helpful if you could provide more detailed guidance on the following rating grades:
- R96: PD = 100% – Defaulted, of which 90 days past due
Clarification needed on:- Whether R96 should include all defaulted exposures that meet the 90‑days‑past‑due criterion, regardless of other default triggers.
- How to treat exposures that are both 90 days past due and classified as UTP (i.e. allocation between R96 and R97).
- R97: PD = 100% – Defaulted, of which UTP (Unlikely to Pay)
Clarification needed on:- Whether R97 should include all defaulted exposures where the primary trigger is UTP, even if they are not 90 days past due.
- Priority rules if multiple default triggers apply (e.g. UTP plus 90 days past due).
- R98: Total Performing
Clarification needed on:- Whether R98 is intended to represent the sum of all non‑defaulted rating grades (e.g. R01–R14) or a separate category.
- Whether exposures in R98 should exclude any accounts with cured/default history, or whether it simply covers all exposures currently classified as performing at the reference date.
Additional examples or formal definitions for R96, R97 and R98 in the ITS or an accompanying guidance document would be very valuable to ensure consistent implementation across institutions.