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

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

While instructions and templates are in general clear, we have questions for clarification concerning few templates.

Reporting requirements if FRTB is postponed:

Instructions should clearly clarify the COREP reporting requirements for all templates if FRTB application for OFR calculation is postponed.

Information on ‘Unique identifier’ C015 on securitization templates C 14.00 and C 14.01

Each securitization shall be assigned a unique identifier composed of the incremental elements, in sequential order on C 14.00 and C 14.01. The first item is composed by the LEI of the reporting entity. 

Respondents ask for clarification regarding this unique ID. What should institutions use to define the unique ID? 

1. the LEI code of the booking entity (individual) or 
2. the LEI code of the reporting entity at top consolidation level (when reporting COREP at Group level) and LEI code of reporting entity at sub-group level (when reporting COREP at sub-group level))? 

In case ii., we would have different unique identifiers depending on the level of the reporting (consolidated vs sub-groups).

Templates C 13.01 and C 14.01: Memo items for Output floor: RWEA related to the impact of transitional provisions of Art. 465 (5b) CRR3.

On template C 13.01 columns 0940 to 0960 and on template C 14.01 columns 0451 to 0453, the RWEA related to the impact of transitional provisions shall be reported for the SEC-IRBA approach, the IAA approach, and the Specific treatment of senior tranches in qualifying NPE securitizations.

The EBA refers to the transitional provisions described in Art.465(5b) CRR3 which refers to the application of a 45% RW until 31 December 2029 to any remaining part of exposures secured by mortgages on residential property up to 80 % of the property value.

The respondents do not see a connection with securitization topics and presume an error of the CRR3 reference mentioned. Isn’t the EBA rather referring to transitional provisions described in Article 465(7) CRR3 (related to the p factor)? If yes, instructions and templates should be amended accordingly. 

If the CRR3 reference is correct, could the EBA provide more details about the impact expected on this specific point? Which type of securitization instrument/part/scope is covered on this section of the template? Is the EBA targeting the underlying exposures?

Question 2: Do the respondents identify any discrepancies between these templates and instructions and the calculation of the requirements set out in the underlying regulation?

• On output floor and capital ratios:
• Europe has recognized the need for long transitional measures, some of which could be further extended or even made permanent. This is to allow banks to adapt to the international context despite the lack of relevance of the far too high loss measurements which constituted their basis (notably on residential real estate). 
• The multiplication of ratios ((i) “normal” and (ii) “fully loaded” without the phasing of the output floor and (iii) ”full fully loaded” without the application of the transitional measures, far from bringing transparency, generates confusion and non-experts systematically align themselves with the least favorable ratios for banks.
• We do not share the choice of option 3b which would go completely against the European text. Given the complexity of the CRR3 text, in the event of publication of two ratios, one being current and the other said to be fully loaded, analysts and investors would align themselves - as was the case in other circumstances - on the weaker ratio and the contribution of transitional measures would be purely erased. 
• It’s a major attention point for French banks.
  • But Article 438(d) require the calculation of the TREA to be broken down the different risk categories or exposure classes for the disclosure of own funds requirements and risk-weighted exposure amounts.

• On TREA
  • Article 92(3) requires the calculation of the TREA (TREA=max (U TREA; x S TREA)) at institution level and on the sum of all risks (Articles 92.4 & 5).  
• We identify inconsistency inside the regulatory text and incapacity to implement this feeding into reporting and disclosure because the TREA is calculated only at Group level or solo level with the sum of risks and because none allocation rules defined anywhere.
• So Template C02 column 10 should be modified and clarified à We expect to have the restitution of U-TREA in column C10.

• On Asset Classes : 
• CRR3 in article 112 (i) defines new asset class “Exposures secured by mortgages on immovable property and ADC exposures”. When we study the mapping tool between reporting and Pillar 3, we discover creation of several asset class (named S000XX) corresponding to the additional row in COREP C02 / C08.
• We consider that ITS go beyond the request of CRR3 on this topic and the proposal is not homogeneous. In regard of the timeline very short for the first step of ITS CRR3 reporting evolution, the non-mandatory definition of this new class in CRR3, we recommend the abrogation of this assets class in the final version and take time to be consistent between reporting and Pillar 3 in the second step of the consultation.

Templates C35.01.02.03 – NPE loss coverage:

These templates should be amended in order to allow to reflect amendments provided by CRR 3 to Article 47c of CRR:

• Introductory part of paragraph 4 is amended as follows: ‘By way of derogation from paragraph 3 of this Article, the following factors shall apply to the part of the non-performing exposure guaranteed or counter-guaranteed by an eligible protection provider referred to in points (a) to (e) of Article 201(1), unsecured exposures to which would be assigned a risk weight of 0 % under Chapter 2 of Title II of Part 3
• (ii) point (b) has been replaced by the following: 1 for the secured part of the non-performing exposure to be applied as of the first day of the eighth year following its classification as non-performing, unless the eligible protection provider agreed to fulfill all payment obligations of the obligor towards the institution in full and in accordance with the original contractual payment schedule, in which case a factor of 0 for the secured part of the non-performing exposure will apply

• The following paragraph has been inserted: 4a. By way of derogation from paragraph 3 of this Article, the part of the non-performing exposure guaranteed or insured by an official export credit agency shall not be subject to the requirements laid down in this article.

Template C 34.02 – Counterparty risk

• Column 0250, some cells should be greyed as the alpha factor only applies in the calculation of exposure for transactions calculated with IMM method, and that are not SWWR (Specific Wrong-Way risk). Therefore, for column 0250, the lines 0010, 0020, 0030, 0080, 0090, 0100, 0120 should be greyed.

• On C34.02 reporting instruction, column 230 & 240, it is written “…in accordance with Article 92(54) of Regulation (EU) No 575/2013.” à This article doesn’t exist in Regulation (EU) No 575/2013.

Question 3: Do the respondents agree that the amended ITS fits the purpose of the underlying regulation?

Output floor. Breakdown by assets or type of assets

The Output floor is a global calculation and should not be broken down by assets or type of assets. When there are IRB measures in a bank, this involves showing the total standard RWA at 100% (which should be detailed separately) and displaying the formula with 72.5% to produce the impact of the output floor in a unique single figure which depends on all the components of risks used.

See answer in question 2.

NPE Loss coverage

Related COREP templates (C35.00, C35.01, C35.02) have not been modified whereas CRR 3 amended Article 47c to exempt NPE backed by OECA and lighten prudential provisioning requirements for some guaranteed NPE. 

These templates should be amended in order to reflect amendments on Article 47c.

Question 4 - Cost of compliance with the reporting requirements: Is or are there any element(s) of this proposal for new and amended reporting requirements that you expect to trigger a particularly high, or in your view disproportionate, effort or cost of compliance? If yes, please: ▪ specify which element(s) of the proposal trigger(s) that particularly high cost of compliance, ▪ explain the nature/source of the cost (i.e. explain what makes it costly to comply with this particular element of the proposal) and specify whether the cost arises as part of the implementation, or as part of the on-going compliance with the reporting requirements, ▪ offer suggestions on alternative ways to achieve the same/a similar result with lower cost of compliance for you. ▪ what are your views on introducing more granular reporting in Step 2 in credit risk IRB templates C 08.XX to include obligor or loan level reporting? Explain the nature/source of the cost and the benefits.

More granular reporting in step 2 in credit risk IRB templates with inclusion of obligor or loan level reporting is not well understand. Current reportings are not well design for that change and would have to be totally rebuilt. That will be source of more cost to make them design with quality. 

We will have to multiplicate calculation run that have not been anticipate for now. It is too a very expensive and complex change. This project is on discussion and should not have to be in step 2.

Of course, a more granular reporting on obligor or loan level would massively increase the cost for the reporting. On this aspect of granularity, our understanding is this topic should be included in the context of BIRD and IReF

 for statistical and social reportings and IRS for prudential and resolution reporting. There are many aspects to clarify before asking to include this granularity level into one COREP template à it’s not made sense.

Do you identify any issues regarding the introduction of this template? Would it be more useful to report the information in C 08.01 to directly compare between capital requirements determined by the IRB approach and the SA?

Based on all considerations detailed in general remarks, it is considered that C10.00 Template should not require to report impact of the application of transitional provisions related to exposures secured by residential mortgages and unrated corporates. Considering that this information should be subject to ad hoc data collection to allow EBA and EU co-legislators to monitor and evaluate impacts and appropriateness of these transitional arrangements.   

• The introduction of this template to report IRB exposures subject to the output floor broken down by SA exposure classes and reflecting the main steps of the calculation of the standardized risk weighted exposure amounts and capture the impact of transitional provisions for S-TREA is welcome.

It gives clarity on the comparison between capital requirements determined by the IRB approach and the SA.

• On C10 reporting instruction, section 92, It is written “Columns 0100-0120 collect information on the impact of transitional provisions related to the output floor for these exposures.”  à It should be right to read “Columns 090-0110” instead “Columns 0100-0120”

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.

 On the template C02:

• Currently the reporting is fed by C07 and C08
• For the integration of CRR3 evolution In column C20, the S-TREA for standard portfolio is not restituted in detailed C07 template. 
• The link between column 20 of C02 template and C07 template is not possible for class exposures concern by article 465.
• The link between C07 template and CMS1 & CMS2 template are not possible for class exposures concern by article 465.
• Synthetic report (as C02) and detailed reporting (as C07) should be stay linked.
• Row 35: restitution of floor adjustment in TREA column causes confusion within reporting and the column TREA which should be modified.

On template C03 :

• Lines 330 to 380 are capital ratios without application of the transitional provisions on the output floor (article 465). 
• To be consistent with arguments developed around the position on output floor fully loaded, we consider that lines 330 to 380 in the memorandum items don’t make sense.
• Transitional provisions should be applicated and thus capital ratios should not be calculated and restituted without application of the transitional provisions on the output floor. 

On templates C04 and C10 reporting: clear, no additional comment.

On template C14: the column 300 « Legal final maturity date » is missing. It should be added.

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 have no comments.

Question 8 – Do you have any other comment on the changes to reporting related to the output floor?

The Output floor is an overall calculation and depends on all risk components used in the relevant banking entity. The output floor therefore has the original characteristic of being non-additive so as to consolidate. 

In the case of a group where the Member State authorizes the exemption from the application of the output floor at the level of the sub-entities making up the group in its country, it will be very important to specify the absence of declaration of output floor elements at the level of these exempt entities. Indeed, they are not relevant at the highest level of consolidation as there will be this specific calculation at this group level.

On this question, the EBA indicated during the virtual public hearing on January 23 that the reporting would only apply at consolidated level and that they will consider making this clear in the instructions.

Accordingly, we would welcome that this clarification is added to the ITS instructions. 

Do you identify any issues related to the introduction of this new subset? Is this proposal clear enough? If you identify any issues, please suggest how to clarify the reporting.

On the new subset proposal, we identify issues because : 

• We consider that ITS go beyond the request of CRR3 on this topic and the proposal is not homogeneous. In regard of the timeline very short for the first step of ITS CRR3 reporting evolution, the non-mandatory definition of this new classes in CRR3, we recommend the abrogation of theses asset classes in the final version and take time to be consistent between reporting and pilar 3 in the second step of the consultation by creation of a dedicated new template for subset of “exposures secured by mortgages on immovable property and ADC exposures”
• According to article 112 of Regulation (EU) No 575/2013, each exposure shall be assigned to several exposure classes, of which (in only one classes‘(i) exposures secured by mortgages on immovable property and ADC exposures).
• Article 112.i in CRR3 modified the perimeter of exposure class class “Secured by mortgage on immovable property” to add “ADC” perimeter.
• The sub classes are defined in articles 124 / 125.1 / 126.1 to precise the calculation of theses exposures, but these articles don’t define the notion of exposure class in term of reporting.

Concretely in term of impact in the reporting, we should have:

• In C07 : only one exposure class for Secured by mortgage on immovable property and ADC (S0010 before)
• In C08.1 : 
  • Suppression of lines 017 / 018 / 019 / 0910 / 0920 / 0930 / 0940 / 0950
  • Creation of a dedicated line for all the exposures link to Secured by mortgage on immovable property and ADC
• In C09.1 : Suppression of lines 091 / 092 / 093 / 094 / 0900 / 0901 / 0902 / 0903 / 0904
• In C02 : Suppression of lines 0151 to 0159

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.

On CCF restitution, article 111 of Regulation (EU) No 575/2013 confirms the new 10% CCF for UCC but with the application of a phasing period set out in article 495 (d) of Regulation (EU) No 575/2013.

We consider that ITS are not enough clear with the application phasing period restitution in C 07.00 template. It should be more explicit that  the column “others” is for the transitional multiplicators for the 10% CCF (article 495d of regulation (EU) No 575/2013.

Breakdown of total exposures by risk weights should be available for all RW including phasing period as 160%; 190%; 220%; 280%; 340% set out on article 495a (1) and 495a (2) of Regulation (EU) No 575/2013

Row 20 is unavailable and grey for column 10,30,40 because of article 232(3), point ( c ) of Regulation (EU) No 575/2013 instruction. However, 70% RW is also use for whole loan approach according to article 126(2) of Regulation (EU) No 575/2013 and row 20 should be available for column 10,30,40.

Question 11: CIUs under the SA approach – Please also refer to question 16 on the reporting of CIU positions and underlying exposures under the IRB: Do institutions have information readily at their disposal on underlying exposures of CIUs in order to be reported as it is proposed to be done in C 08.01? Would this add substantial reporting costs?

Reporting exposures of CIUs across the existing underlying exposure classes based on a look-through/mandate-based approach under the SA approach is not deemed needful as C07 reporting already proposed sufficient information with risk weights breakdown for underlying exposures. This modification would generate additional work for banks. 

Which option would be preferable taking into account the ready available data and reporting costs? Which one would be more advantageous for data analysis?

The option 1, as outlaid in the proposed template appears feasible and is preferred.

Question 13 – IRB retail: Is the breakdown of exposure class ‘Retail’ clear and unambiguous? Would an “of which” approach analogous to option 2 described in question 12 but referring to “Secured by immovable property” instead of “Large Corporates” be advantageous for data analysis and preferable taking into account the ready available data and reporting costs?

We have no comments.

Would it be less costly to report the whole breakdown of exposure classes of Art. 147 (2) c) CRR3, i.e. including ‘Corporates-other’ instead of reporting ‘of which’ items for Specialised Lending exposures and purchased receivables?

We are in line with the proposal to include all exposures as ‘of which’ but the list should be reviewed to be exhaustive.

• Question 15.1: Is it clear how positions of exposure class CIU (Art. 147 (2) e1) CRR3 are to be reflected in the CR-IRB templates (C 08.01 to C 08.07)?

Instructions are clear on how positions of exposure class CIU have to be reflected in the CR-IRB template and why Option 5b has been chosen as the preferred option.

• Question 15.3: If you identify any issues, please suggest how to clarify their treatment in the templates and/or instructions.

On template C 08.02: the reference to the” double default” should be deleted in the title of the group of columns 150-210 as it is in the template C08.01 for the same group of columns.

On templates C13.01 and C14.01: the title of the group of columns “Memorandum item” refers to paragraph 5d of article 465. It should be modified, and it should refer to paragraph 7 that describes specific transitional provisions related to securitization. 

In template C 08.01 a breakdown on mortgages is added for covering supervisory information needs on residential and commercial real estate as well as IPRE and ADC exposures. In this context, a breakdown for non-IPRE exposures into “secured” and “unsecured” (risk weighted as not secured by immovable property) is introduced referring to Articles 125 (1) respectively 126 (1) CRR3 in order to further align reporting for SA and IRB exposures. Do institutions – in particular the ones applying own LGD estimates – have information readily at their disposal for providing this further split into “secured” and “unsecured”. Would this add substantial reporting costs?

We consider that ITS go beyond the request of CRR3 on this topic and that the mortgages breakdown is not mandatory for IRB class exposures. 

In regard of the timeline very short for the first step of ITS CRR3 reporting evolution, the non-mandatory definition of this new classes in CRR3, we recommend the abrogation of theses breakdown in the final version and in the second step of the consultation by creation of a dedicated new template for subset of “exposures secured by mortgages on immovable property and ADC exposures”.

If this split stay in the final version, it will generate cos for the implementation. 

Regarding asset Classes, CRR3 in article 112 (i) define new asset class “ Exposures secured by mortgages on immovable property and ADC exposures”. When we study the mapping tool between reporting and Pilar 3, we discover creation of several asset class (named S000XX) corresponding to the additional row in COREP C02 / C08.

We consider that ITS go beyond the request of CRR3 on this topic and the proposal is not homogeneous. In regard of the timeline very short for the first step of ITS CRR3 reporting evolution, the non-mandatory definition of this new class in CRR3, we recommend the abrogation of this assets class in the final version and take time to be consistent between reporting and pilar 3 in the second step of the consultation.

Question 17 – revised instructions for template C 15.00: The instructions have been updated to align with the legal references with the new articles introduced in Regulation (EU) No 575/2013 for exposures secured by immovable property and the revised [Article 430a] on specific reporting obligations. The instructions have been clarified on certain aspects. The template has been amended to remove the two columns referring to the mortgage lending value. Are the revised instructions clear enough? If you identify any issues, please suggest how to clarify the reporting.

Revised instructions are clear enough.

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

The reporting is clear enough. 

However, the draft proposal for COREP requires the reporting of the marginal impact of reintegration of exempted transactions for CVA own funds requirement calculations (Template C 25.00, lines 0040 to 0110). This requirement is deemed disproportionate as the CRR requires a review of CVA provisions only every two years (Art. 382 (5)). It also adds compliance complexity and ambiguity, as details on different types of transactions are requested, while macro hedges cannot always be allocated to one single type of transaction. This requires building up allocation rules that are both artificial and complex to implement.

It is proposed to remove lines 0040 to 0110 from template C 25.00 and report only necessary items with an adapted frequency in separate existing reports, such as QIS.

• C 25.00 (Column 0020) “Own funds requirements for CCR”
  •  counterparty credit risk and credit valuation adjustment risk or

It is unclear, which positions and values have to be reported here. The instructions make reference to Article 192(4), point (a), of Regulation (EU) No 575/2013 and Part Three, Title VI of Regulation (EU) No 575/2013). The headline suggests that it is expected only own funds requirements for CCR. It is needed to clarify if the filling for column 0020 concern own funds requirements for all transactions subject to CVA risk for:

•  counterparty credit risk only or
•  credit valuation adjustment risk only.

• On C25 reporting instruction, column 290, it is written “Article 92(7), point (b), of Regulation (EU) No 575/2013 à It should be right to read “Article 92(6)” instead “Article 92(7)”

• On C25 reporting instruction, column 20, it is written “Own funds requirements for CCR (Article 92(4), point (a) …” à It should be right to read “Article 92(4), point (f)” instead “Article 92(4), point (a)”

Question 19 – Simplified standardized approach, market risk overview in C 02.00 and offsetting group concept in the group solvency templates a) Did you identify any issues regarding the representation of the (policy) framework regarding the simplified standardized approach, the overall RWEA for market risk and the offsetting group concept in the templates C 02.00, C 06.02 and C 18.00 to C 23.00? Are further amendments necessary to align the reporting with the CRR3? b) Are the amended templates and instructions clear?

Reporting requirements if FRTB is not postponed. 

In template C 02.00, the EBA should ensure that there is no restricting rule on the total RWA for market risk (line 0520) and on each reporting line (it should be possible to fill lines 0530 and 0581 or lines 0530 and 0585 together), as the combined use of the three methods is allowed by article 325(4) at consolidated level. 

The templates C 18.00 to C 23.00, recycled to report the new SSA, should be renamed accordingly to prevent confusion with the reportings under A-SA or current SA.

Reporting requirements if FRTB is postponed. 

For market risk, the template C 02.00 is broken-down by:

1. New RWEA under SSA (vision OFR calc. under FRTB) => New, would apply once FRTB binding for OFR calculation
2. New RWEA under A-SA (vision OFR calc. under FRTB) => New, would apply once FRTB binding for OFR calculation
3. New RWEA under A-IMA (vision OFR calc. under FRTB) => New, would apply once FRTB binding for OFR calculation
4. RWEA under current IM (vision OFR calc. current) => to be kept, if application of the FRTB as binding framework for the calculation of OFR for market risk is being postponed

The templates C 18.00 to C 23.00 are recycled to report the new SSA (current SA with the application of specific scaling factors) / The template C 24.00 is maintained if FRTB application is being postponed for OFR calculation.

In this sense, if FRTB application for OFR calculation is being postponed, it seems that the EBA only provides the ability to report the Simplified Standardized Approach - ‘FRTB SSA’ (i.e. no item available to report the current Standardized Approach) and there is no specific information in the instructions regarding the reporting requirements under this scenario. 

Respondents understood from the Public Hearing that fields and templates dedicated to the Simplified Standardized Approach (‘FRTB SSA’) should be filled with a scaling factor 1 in order the reflect the OFRs and detailed OFRs under the current Standardized approach if FRTB is postponed.

Instructions should clearly clarify the COREP reporting requirements if FRTB is postponed. 

On the market risk, COREP template C19 is not amended. With FRTB templates, all products will be restituted by type of risk and in some cases, some COREP will be no longer applicable for some bank (depending on the size and the approach).

COREP C19 should be limited to banking book perimeter only (as the trading book is widely restitute on FRTB template).

There seems to be the following typo errors: 

• On template C19: the column 083 with the "1250%" weighting factor seems to be missing. 

• On templates C18 and C21: in the instructions, the references to the scaling factor article are not aligned between the column “Own funds requirements before application of scaling factor” (reference to article 325.2 point a) and the column TREA (article 325. 2. point a(i) and (d))

a) Did you identify any issues regarding the representation of the (policy) framework for the boundary in templates C 90.05 and C 90.06?

First application date: Template C 24.01 (MOV)

The template C 24.01 initially part of the FRTB reporting will merge into the Supervisory reporting. Respondents understood from the Public Hearing that this template shall be reported once FRTB is binding. Instructions should be amended to precise the 1st application date of this template.

First application date of templates C 90.05 and C 90.06

Regarding the first application date of templates C 90.05 and C 90.06, respondents strongly suggest starting to report them only once FRTB applies 

1. This working assumption would be aligned with the EBA’s no-action letter stating and arguing that a front-loaded application of the boundary provisions compared to the rest of the Fundamental Review of the Trading Book (FRTB) framework would create several significant operational issues.

Such two-step implementation of the boundary and would lead to fragmentation in the regulatory framework and, hence, in the financial markets, as well as potential unlevel playing field issues.

The same reasoning should be followed for the reporting framework since, as specified by the EBA, institutions would be subject to an operationally burdensome complex and costly fragmented two-step implementation of the boundary framework.

2. If the reclassifications template C 24.01 is expected once FRTB is binding, the boundaries templates should also follow the same temporality in order to avoid any asymmetry. In this sense, the reporting of reclassifications, boundaries and the OFR calculation should be aligned.

3. Respondents also underline the very high complexity these two new templates will involve in terms of implementation, as data required implies several new developments in the systems and the creation of new axes of reporting. 

Report long and short positions broken down by main risk drivers requested in template C 90.05 will be very complex. Such additional breakdown will have no added value from a supervision standpoint and is not required on the Level 1 Texts (neither CRR2 nor CRR3). Respondents suggest accordingly to delete this information from the template. 

Furthermore, the method for identifying the main risk driver of a position and for determining whether a transaction represents a long or a short position is not clearly defined in the Regulation and the EBA ask institutions to refer to a ‘RTS on long and short positions’ which has not been published yet.

Therefore, respondents strongly ask the EBA to consider the first application of these 2 templates once FRTB is the binding framework. 

b) Are the scope of application of the requirement to report the different templates, the scope of positions/instruments/profits and losses etc. included in the scope of every template, the template itself and the instructions clear? If not, please explain the issues needing clarification, and make a suggestion on how to address them.

Respondents feel that instructions regarding the scope of positions expected by the EBA on templates C 90.05 and C 90.06 could be clarified as the reference to the article 325a, which deals with the SSA and its threshold calculation, and the headers “value to the effect of Article 325a of Regulation (EU) No 575/2013” could be quite misleading and could generate different interpretations by institutions. 

For template C 90.05, the instructions say that “Institutions shall report all positions assigned to the trading book as referred to in Article 4(1), point (85), of Regulation (EU) No 575/2013 in this template, with the exception of instruments and positions excluded from the calculation of the threshold referred to in Article 325a of Regulation (EU) No 575/2013.”.

- Respondents understand that all trading book positions are in the scope of this template except the positions described in Art.325a(2) point a which are credit derivatives that are recognized as internal hedges against non-trading book credit risk exposures and the credit derivative transactions that perfectly offset the market risk of the internal hedges as referred to in Article 106(3).

- Is the EBA aligned with this interpretation? Can an institution which does not use the SSA, also apply this criterion (i.e., exempt the positions described in art.325a(2) point a from the reporting scope)? 

Could the EBA add more precision to the instructions regarding the scope of positions which should be reported on template C 90.05?

For template C 90.06, the instructions say that “Institutions shall report all positions assigned to the non-trading book in this template, regardless of their inclusions or exclusion from the calculation of the threshold referred to in Article 325a of Regulation (EU) No 575/2013.”.

- Respondents understand that all banking book positions are expected in this template including positions described in Art.325a(2) point a which are credit derivatives that are recognized as internal hedges against non-trading book credit risk exposures and the credit derivative transactions that perfectly offset the market risk of the internal hedges as referred to in Article 106(3).

Is the EBA aligned with this interpretation? Could the EBA add more precision to the instructions regarding the scope of positions which should be reported on template C 90.06? More specifically, could the EBA add more precisions regarding the inclusions or exclusions of Article 325a CRR it is referring to?

For columns 0030 and 0040 of template C 90.06 dealing with instruments and positions subject to commodities risk, institutions understand that the header “Value to the effect of Article 325a of Regulation (EU) No 575/2013” refers to the metric to be used to report such banking book instruments. In the same way as the other points raised above, the instructions and the link with the CRR references could be more specific to avoid any misinterpretation. 

Question 21: Do you agree with the changes to the Leverage ratio reporting as implementing the new CRR3 provisions? Do you see any further amendments needed?

We have no comments.

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