Response to consultation on draft ITS on Pillar 3 disclosure
Question 1: Are the amended/new templates EU OV1, EU KM1, EU CMS1, EU CMS2 and the related instructions clear to the respondents? If no, please motivate your response.
Please find below the issues indentified for each of the templates mentioned:
- Template EU OV1:
We have individuated a possible typo in row 6, column b, where there is a reference to Template C02.00 row 640.
Here you can find a potential solution that we propose (please find in italic and underlined the element that we propose to eliminate) in case of confirmation of the typo above mentioned:
{C 07.00, r0090, c0220, s0001} + {C 07.00, r0110, c0220, s0001} + {C 07.00, r0130, c0220, s0001} + {C 08.01, r0040, c0260, s0001} + {C 08.01, r0050, c0260, s0001} + {C 08.01, r0060, c0260, s0001} + {C 08.01, r0040, c0260, s0002} + {C 08.01, r0050, c0260, s0002} + {C 08.01, r0060, c0260, s0002} + {C 02.00, r0460, c0010} + {C 02.00, r0640, c0010}
Data as of the preceding reference date Template CMS1:
Found some possible typos in the following formulas:
- for row 1, column a, we suggest to add in formula below the integration in bold
{C 02.00, r0240, c0010} - [ {C 08.01, r0040, c0260, s0001} + {C 08.01, r0050, c0260, s0001} + {C 08.01, r0060, c0260, s0001} +{C 08.01, r0040, c0260, s0002} + {C 08.01, r0050, c0260, s0002} + {C 08.01 r0060, c0260, s0002}]- for row 2, column a, we suggest to add in formula below the integration in bold
{C 08.01, r0040, c0260, s0001} + {C 08.01, r0050, c0260, s0001} + {C 08.01, r0060, c0260, s0001} + {C 08.01, r0040, c0260, s0002} + {C 08.01, r0050, c0260, s0002} + {C 08.01, r0060, c0260, s0002} + {C 02.00, r0460, c0010}
furthermore we suggest to map C 02 r0460 in column b (specific for RWEA Standard).- for row 2, column b, we suggest to change the formula below as follows in italic and underlined the element that we propose to eliminate and the integration in bold
{C 07.00, r0090, c0220, s0001} + {C 07.00, r0090 r0110, c0220, s0001} + {C 07.00, r0130, c0220, s0001}- for row 2, column d and EUd, we suggest to add in formula below the the integration in bold
EUd
{C 07.00, r0090, c0220, s0001} + {C 07.00, r0110, c0220, s0001} + {C 07.00, r0130, c0220, s0001} + C10.00, r0010, c0070) + {C 02.00, r0460, c0010}
d
{C 07.00, r0090, c0220, s0001} + {C 07.00, r0110, c0220, s0001} + {C 07.00, r0130, c0220, s0001} + {C10.00, r0010, c0070) + {C10.00, r0110, c0250} + {C 02.00, r0460, c0010}
Furthermore, for column "d" there is an inaccurate connection, the combination r0110, c0250 in Template C10.00 does not exist.Template CMS2
1) Is it correct to consider cells with “no mapping available” in column a as "not applicable" (so not to be populated similarly to row 3 Equity)? If not, the production of additional detail (not required in template C08.01) would entail significant effort and create a misalignment between P1 and P3.
2) Identified a discrepancy between the “Total” row formulas present in the mapping tool - regarding the sums provided in row 9 (Total) - and the instructions in Annex II (Sum of rows 1, EU1a, EU1b, EU1c, EU1d, 2, 3, 5, 6, EU6a, EU6b, EU6c, EU6d, EU6e, EU6f, 8), declined differently for each column. In particular:
Column a considers only the rows mapped from C08.01, whereas the cells with "no mapping" are excluded
In column b, the reference to row 6b seems to be missing.
In column c, d, and EUd, the reference to row 6a seems to be missing.3) We have found some possible typos in the following:
- for row 3, column b, we suggest to add in formula below in italic and underlined the element that we propose to eliminate and the integration in bold
{C10.00, r0240 r0230, c0060}-{C10.00, r0240 r0230, c0070}
same for columns d and EUd.- in row 5, column d, is the reference to sheet 0008 of Template C07.00 correct, considering that in columns c and EUd sheets 0018 and 0019 of C07.00 are mentioned?
- in row 5.1, column d, reference to row 100 and columns 90 and 100 of Template C10.00 is incorrect. We suggest to change the formula below, please find in italic and underlined the element that we propose to eliminate.
{C10.00, r0250, c60}-{C10.00, r0250, c0070}{C10.00, r0100, c0110}]+{C10.00, r0250, c0090}+{C10.00, r0250, c0100}+{C10.00, r0250, c0110}- in row 5.2, column d, reference to columns 90 and 100 of Template C10.00 is incorrect. We suggest to change the formula below, please find in italic and underlined the element that we propose to eliminate.
{C10.00, r0260, c60}-{C10.00, r0260, c0070}+{C10.00, r0260, c0090}+{C10.00, r0260, c0100}+{C10.00, r0260, c0110}- in row 5.2a, column b, we suggest to add in the formula the following integration proposed in red {C10.00, r0100, c60}-{C10.00, r0100, c0070} - [{C10.00, r0110, c60}-{C10.00, r0110, c0070}]. In mapping tool row 5.2a, column b is linked to row 0100 of C10.00. Considering that in C10.00 row r0100 also includes values exposed in r0110 (that is an “of which”), row 5.2a of CMS2 would incorporate the values of row 5.2c (which is linked to row 0110 of C10.00 in the mapping tool).
In general, row 5.2a, defined as “Corporates general”, should include all corporates (the one called in C08.01 “large corporates”, “corporates SME”, “corporates other” and in C07.00 "corporates other") not reported in other rows of CMS2 (5.2b and 5.2c)? If so, in column c, d, and EUd the reference to C07.00 s0018 is missing.
- in rows 6.2 and 6a, we suggest to reconsider the connection and the denomination reported in the EBA mapping tool, to make them consistent with what is represented in C10.00
- row 6a, column c, in absence of mapping, it needs to be clarified whether it should be connected with the sheets of C07.00 dedicated to this portfolio
{C 07.00, r0070, c0220, sheets from 0020 to 0028} + {C 07.00, r0080, c0220, sheets from 0020 to 0028}
(codes to be confirmed, since DPM CRR3 is currently not available).- for row 6a, column d, we suggest to change the formula below as follows in italic and underlined the element that we propose to eliminate and the integration in bold
{C10.00, r0160, c60}-{C10.00, r0160, c0070}+{C10.00, r0250 r0160, c0090}+{C10.00, r0250 r0160, c0100}- - row 6.1b, defined as “Retail other”, should it also include the retail of C07.00? If so, in column c, d and EUd the reference to C07.00 s0009 is missing.
Question 2: Do the respondents identify any discrepancies between these templates and related instructions and the calculation of the requirements set out in the underlying regulation?
We have found these discrepancises on template CMS1:
- According to EBA mapping tool row 4, columns a,b,c are not linked to Corep (P1) templates. Column c is not set as the sum of columns a and b, is this a typo or is it intentional?
- More instructions are requested regarding the treatment of the case of NPE Qualifying 100% securitization ex Art. 269a: should these operations be reported only in the total (column c) or should they also be divided within columns a and b, based on the original methodology?
Question 9: Are the amended templates EU CR 6, EU CR 6-A, EU CR 7, EU CR 7-A and the related instructions clear to the respondents? If no, please motivate your response.
We have found the following possible issues:
- Template EU CR6-A: According to EBA mapping tool row 6.4 (of which Retail - Other retail exposures) is not linked to Corep (P1) templates.
Proposed possible solution: C08.07 r0130+r0140 - Template EU CR6-A: Column d does not appear in CR6-A table whereas it appears in the version of the table contained in the annexes VII and VIII. Is that intentional or a typo?
Question 15: Do the respondents identify any discrepancies between these templates and instructions and the calculation of the requirements set out in the underlying regulation?
We have found the following possible issue:
- Template EU MR3: Considering art. 325 par.2d, is it correct to apply the scaling factor of 1.3 to row 0325 of C18.00 as indicated in the EBA Mapping Tool ?
Question 21: Do the respondents consider that the “mapping tool” appropriately reflects the mapping of the quantitative disclosure templates with supervisory reporting templates?
We would have a need for clarification:
- Table EU SEC2: Since columns 460 and 470 of Template C14.01 of Corep have been deleted, is an update of mapping tool for the feeding of table EU SEC2 planned? The deletion of the two mentioned columns means that the SEC2 table is no longer mapped with COREP P1.