Response to consultation on Implementing Technical Standards amending Commission Implementing Regulation (EU) 2021/451 on supervisory reporting

Go back

Question 1: Are the instructions and templates clear to the respondents?

We would be pleased if you can provide further guidance on the below points. 

  1. It has been clarified in the instructions for CR-IRB templates, for which exposure or sub-exposures classes the templates shall be reported/presented. However, it is not that explicit in the instructions for template C 07.00 whether it has to be reported for the new sub-exposure classes as well. Could you please clarify whether the CR-SA template shall be reported also for sub-exposure classes?
  2. If an institution does not apply the SME-supporting factor to certain exposures, because it does not have 'adequate current information' on the turnover for these clients/exposures, given also the changed instructions in Annex II for the "of which: SME" row (C07.00 row 0020), should the institution then also not report the exposure in that "of which: SME" row?
  3. CRR art. 166(8a) instructs that the SA-CCF should be applied to the lower value of the 'committed but undrawn amount' and the 'value that reflects any possible constraining of the availability of the facility'. Because the Annex II instructions (for C08.01) only refer to 166(8a) for the standard conversion factors (c0102-c0107) does that mean that the effect of the possible constraining of the availability of the facility should already be included in the exposure value as reported in C08.01 column 0090? 
  4. As per CRR 2 and the current applicable EBA DPM, CRM presentation is not allowed for SL-slotting approach. The explicit guidance by EBA Q&A 2017_3295, which does not allow the recognition of UFCP through CRM framework (for SL exposures treated under slotting approach) also appears to support this. However, given the explicit wording of the new Article 236/1d as well as the Article 235a, under CRR3, it appears to be the case that the additional UFCP that has not been taken into account in the process of categorization/RW determination as per Article 153/5 could be recognized through CRM framework. From this we understand that institutions should be allowed/or even required to present the impact of those additional UFCP in the relevant COREP template. However, under DPM 4.0, the relevant data fields in template C 08.01 wrt the presentation of CRM for “SL exposures under slotting approach” are greyed-out. Could you please provide further guidance on how to report the above mentioned type of UFCP for “SL exposures under slotting approach”?

 

 

Is the design for the reporting of transitional provisions for the output floor clear enough? If you identify any issues, please specify the related templates and instructions.

We would be pleased if you can provide further guidance on the below points. 

  1. Do we understand correctly that in C02.00 row 0036 and all rows below it are unfloored amounts?
  2. In both the template (Annex I) and the instruction (Annex II), for C03.00, rows 0360-0380 EBA refers to CRR Articles 465(3), (4), (5) and (5b). The reference is not fully clear ((5) and (5b)), does EBA mean without application of anything from art. 495(5)?

Question 7 – group solvency template C06.02: Do you identify any issues with the new column 0075 introduced in the group solvency template C06.02 to report the floor adjustment of group entities subject to own funds requirements?

We would be pleased if you can provide further guidance on the below.

  1. The instructions for C06.02 column 0075 can benefit from further clarification. For example, for which entities reported in C06.02 does EBA expect that this column should be reported? Based on CRR art. 92(3)(b) the calculation of output floor is applicable to institutions. CRR art. 92(3)(b) provides a Member State option for that requirement to be waiver. If such is applied by the Member State, can the column then remain empty? If values do have to be reported, given the instructions as apply for column 0070, 0080, it is difficult to interpret the "calculated on an individual basis". Meaning, the TREA amount reported is amount based on prudential scope for which C06.02 is reported, this will be different from the "calculated on an individual basis" instruction. Or does EBA expect a more simple difference to be reported between the U-TREA for a particular entity (based on prudential scope as included in C06.02) and TREA for that particular entity (then calculated based on S-TREA for that particular entity and based on application of transitional arrangements for the output floor at the level of that particular entity)? A simplified numerical example would be helpful for a consistent understanding of the institutions.

Question 10: Do you have any comment on the other changes included in the C 07.00 template? Other changes include a separate exposure class for “Corporates – Specialised lending, an “of which” row for exposures to central banks, revised memorandum item rows to align with the breakdown for exposures secured by immovable property, a new column “other” for transitional CCFs for UCC, and a last column to report the impact of transitional provisions on CCFs for UCC.

Can the EBA please include explicit instruction for CCF reporting in C07.00? This specifically for the case of a UCC, where art. 495d is applied, which means that until 31 December 2029, effectively still a 0% CCF is applied, whether such cases should be reported in C07.00 column 0160 (0%), or whether any CCF that follows from the application of art. 495d should be reported in column 0195 (Other)?

Are the reporting template C 25.00 and related instructions clear enough? If you identify any issues, please suggest how to clarify the reporting.

We would be pleased if you can provide further guidance on the below points. 

  1. The instructions for C25.00 column 0020 refer to CRR art. 92(4)(a) AND Part Three, Title VI, this means that EBA wants us to report the sum of own funds requirements for CCR and the own funds requirement for CVA risk. Can EBA please confirm that intention?
  2. The instructions for C25.00 column 0030 (notional amount) provide the same instruction as is provided for C34.02 columns 0030. Does that also mean that EBA expects the notional amount to be reported in C25.00 column 0030, row 0020 is the same as is reported in C34.02 column 0030, row 0030? To confirm, the before any netting means that notional amounts are reported/summed per derivative?
  3. The Annex II instructions for C25.00 row 0040 indicate that transactions mentioned in Article 382(4)(c) are not considered exempted transactions, since the transitional provisions for the application of that exemption expired. Article 382(4)(c) however refers to EMIR Article 89(1), whereas we agree that the transitional provision from the first sub-paragraph of Article 89(1) has expired, it appears that the type of transactions mentioned in the 2nd subparagraph would still apply and can still exist. Based on the design of the new C25.00 template it is then however not clear in which rows these should be reported.

Name of the organization

ABN AMRO Bank NV