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?
The overall documentation is clear; however, certain definitions and instructions require further clarification or confirmation.
1. Definition of asset classes
We understand that asset classes must be reported in accordance with COREP, including memorandum items (e.g., "Retail Other SME" (A46) and "Retail Other non-SME" (A47) as sub-portfolios of "Retail Other" (A43)). This approach necessitates the management of duplicated exposures.
Could you please confirm if this understanding is correct and if this requirement is intended to enable a more granular analysis of specific sub-portfolios?
2. Rating split for specialized lending
On page 15 of the consultation paper, the synthetic table of sub-portfolios reports ratings based on MasterScale 2 (R01…R08, R91…R98) for both specialized lending (SLE) with slotting criteria (S30) and SLE without slotting criteria (F30, A30). However, the instruction paper states that MasterScale 2 is dedicated exclusively to SLE slotting criteria (S30), while MasterScale 1 (R01…R14, R91…R98) should be used for all other exposure classes.
This discrepancy creates ambiguity, as applying two different rating scales to the same exposure classes (A30, F30) may lead to inconsistent interpretations and increase operational complexity in managing the reporting.
Could you please clarify whether MasterScale 2 is indeed expected for specialized lending excluding slotting criteria (F30, A30), specifically for the "Type of exposure and rating split for Specialized lending", whereas MasterScale 1 should be used for these same categories (F30, A30) within the “Geographical & Rating split for HDP”? Alternatively, could you confirm if the reference to MasterScale 2 for these categories (F30, A30) on page 15 is a typo?
3. Typos
A) In the instruction paper, an example of a portfolio is provided on page 21: Exposure Class: FIRB, General Corporates – Midsize; Geographical area: AT; Rating: 0.75 to <1.25; Sector: Total; ILTV: Total; Type of exposures: Total; Collateral Type: Total; Facility Type: Total. The provided portfolio ID is: F32_AT_R06_99_99_99_99_99. Given that the rating is "0.75 to <1.25", should the ID not be R07 instead of R06?
B) Could you please confirm if there is a typo in the Excel sheet C102.01? Item 0210 ("of which: Number of performing obligors at the end of the previous year") and item 0211("Number of defaulted obligors during the year") appear to be reversed compared to the descriptions provided in the Instruction Paper.
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?
Following a detailed review of the benchmarking templates and the accompanying instruction paper, we have not identified any material discrepancies between the documentation provided and the calculation methodology prescribed by the underlying CRR, CRD, and IFRS 9 regulations.
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?
Yes, we agree that the revised ITS on Supervisory Reporting (ITS 2024/3117, as amended) provides the data and the analytical granularity needed to meet the objectives 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.
Response: The requirement to calculate 5-year default and loss rates (columns 0214 and 0301 of template C102.01) at the requested level of segmentation (asset class, geographical area, rating, sector, and model split), particularly for the new CRR III asset classes that came into force on 1st January 2025 seems to be particularly costly.
Proposal: To mitigate mapping issues within historical series for asset class definition, and reduce operational costs, we propose a phased approach: using the existing 2-year historical series under CRR III as a baseline and adding one additional year of data each subsequent year. This would allow for a full 5-year history to be achieved after three years of reporting.
General 5: what is the reporting level for banking groups that you deem more appropriate?
We support the EBA’s transition toward a simplified reporting hierarchy and consider consolidated group-level reporting to be the most appropriate approach. Such an approach would significantly reduce operational burdens and implementation costs by streamlining the delivery of benchmark templates to national regulators and enhancing overall organizational efficiency.
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?
Response: Our understanding is that we must report exposures related to both the list of counterparties provided by the EBA (C100.00) and the counterparties reported in the institution’s COREP LE (C27.00 - c011) as of the EBA Benchmarking reference date, within templates C 101.01 (IRB) and C 101.02 (IFRS 9). However, we require clarification regarding the required level of granularity for “connected-client groups” and the treatment of related entities belonging to a group already present in C 100.00.
Specifically, when a counterparty appears in C 27.00 and is part of a group also identified in C 29.00, should the benchmarking row in C 101.01 (and the equivalent row in C 101.02) be reported using:
a) the individual client code (C 27.00 c011), or
b) the group code (C 29.00 c020)?
Furthermore, if an individual legal entity (e.g., a subsidiary) is listed in C 27.00 and is a “related entity” of a counterparty already appearing in the EBA list C 100.00 (e.g., the parent company), should we:
a) Exclude the subsidiary from C 101.01 / C 101.02 entirely (as per the exclusion clause in the C 100.00 definition), or
b) Report it using its individual C 27.00 code, as it serves to enrich the low-default portfolio counterparty list?
Rationale: The current wording in the C 100.00 definition is categorical (“subsidiaries and parent companies shall not be reported”), but the separate instruction for C 101.01 (directing the use of the individual client code when a client appears in C 27.00) could be interpreted as an exception. Clarification is necessary to avoid double-counting or, conversely, the omission of exposures that are part of the low-default portfolio but belong to a group already captured via C 100.00.
Additional remark: Additionally, regarding template C 101.02, the instructions for the Counterparty Code (item 0010) state that the Counterparty code, “together with the combination of model IDs (cols 0040-0042), shall be a row identifier.” Could you please confirm if these instructions are intended solely for the IRB template (C 101.01) and are not applicable to the IFRS 9 template (C 101.02)?
CR 2: Do you identify any errors in the list of counterparties in C 100.00? If so, please report it to us.
No, we have not identified any error in the C 100.00 counterparties list.
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. The new portfolio/model split gives a clearer and more transparent view of how each internal model is applied to each portfolio, allowing a direct and straightforward interpretation of the data.
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?
Yes, it is technically feasible to produce the RWEA add‑ons and MoC details required for columns 0203, 0204 and 0205 of template C 102.01 at the segmentation level defined in the instructions, the impacts being calculated at the facility level.
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?
Yes, we agree with the simplification of column 0202 and we consider the proposed segmentation level to be sufficient to expose the material differences between the IRB and the Standardised Approach.
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?
In previous exercises, exposures were split across several collateral types (by apportionment). The new instructions state that “Collateralised facilities shall be assigned to a single, unique collateral type among the classes (2-digit code) 10–40 below based on the prevalent collateral type”. This approach is simpler to implement, as it requires reporting only one collateral type per facility.
Nevertheless, we require clarification on the following points:
1. Collateral type when total collateralisation is higher than 100% : If the total collateral value (considering all credit protection for the facility) is equal to or exceeds 100%, but no single collateral item individually covers 100% of the exposure: should the facility be reported as “Exposures with partial collateralisation” (class 60), or under the prevalent collateral type?
Example: Consider a facility with two collaterals:
- Collateral A: covering 90% of the facility’s exposure
- Collateral B: covering 20% of the facility’s exposure
The total collateral value exceeds 100%. In this case, should we report the class of Collateral A (prevalent type) or report the facility as “Exposures with partial collateralisation” (class 60) even if the total collateral value exceeds 100%?
2. Collateral value (column 0140 of new template C 102.01): The guidelines specify that the collateral value should be the market value of the collateral. When reporting portfolios with a collateral split, should we report only the value of the prevalent collateral type, or the total collateral value of all the facility's eligible collaterals?
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)?
Response: No material obstacles have been identified, but we require clarification. The instruction paper states that this column should be filled for rating R95 ("This information shall be provided only for [...] and for the values ‘R95’ of the column 0030"), whereas the end of the instructions mention only non-defaulted exposures (“The number-weighted average of the loss rates as defined above and observed in the calibration period shall be reported for portfolio IDs relating to ‘non-defaulted’ exposures only”).
Rationale: Since this column appears to be intended for comparing estimated LGD with the realised loss rate during the model calibration period, we assume the expected rating should be R98 (total performing). Could you confirm that the Long-Run Loss Rate (LR-LR) should be reported for performing exposures and that there is a typo in the detailed instructions?
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?
The requirements for the new template will entail a significant increase in workload for data collection compared to the current Benchmarking exercise. To ensure the correct implementation of these requirements, we would appreciate clarification on the following points:
1: Could you confirm that, assuming a first reporting date at the end of 2026, we must report the realized LGD of exposures that entered default and subsequently exited default during the year 2025?
2: Does this include exposures that both entered and exited default within the same calendar year (2025)?
3: How should a facility that entered and exited default multiple times within the same year be treated (in terms of the number of facilities reported)? Furthermore, how should we proceed if the recovery type differs for each event? (e.g., within the same year, a first default of the facility is recovered by returning to performing status, and a second default is recovered via disposal).
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?
Yes, the current facility‑type classification (Annex I, Reg EU No 575/2013) is appropriate for monitoring the performance of CCF models. Adding further product‑type breakdowns would provide limited incremental insight while substantially increasing the data‑collection effort.
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?
We prefer the single‑column solution (column 0110 in template C 101.01 and column 0120 in template C 102.01). The single‑column CCF reporting meets the supervisory objectives, aligns with the regulatory definition, and offers the greatest operational efficiency for banks and the EBA alike.
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 and its proposed granularity. Applying a uniform scale across all institutions ensures that all benchmarking participants report on a consistent set of grades. This eliminates the inconsistencies encountered when institutions applied their own internal master scales, which often featured differing numbers of grades and varying cut-off points.
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.