In general, they are. Please refer to the answers below.
In general, no discrepancies have been identified. Please refer to the answers below.
Template CR6 is based on article 452 (g) of the CRR. However, the ITS goes beyond CRR as the CRR article requires to disclose across a sufficient number of obligor grades (including default), but not by PD range. This gold plating applies also to template CCR4
Concerning the Template CR6-A “Scope of the use of IRB and SA approaches”, we welcome the initiative from EBA to include a synthesis template in these ITS presenting the same exposures amount (leverage) with the same exposure classification (IRBA asset classes).
However, the multiplication of amount definition within the Pillar 3 is also a source of complexity for investors (different totals between templates) and burdensome for banks (harder reconciliation exercises). Indeed, Pillar 3 templates uses FINREP (accounting) amounts, COREP (risk) amounts and Leverage Ratio amounts, sometimes gross of provisions and sometimes net of provisions that may lead to significant gaps.
Moreover, in the same context of multiplication of the source (COREP, FINREP, Leverage ratio, etc) in the Pillar 3, we would like to point out that exposures are classified differently in the various ITS templates, leading to confusion and complexity for investors and banks:
• Indeed investors must face complexity of the various definition:
• in CR6-A, all exposures will be split by COREP IRBA asset classes
• in CQ3, all exposures will be split by FINREP asset classes
• in CR4/5 standard exposures will be split by COREP STD asset classes
• These COREP/ FINREP asset classifications have sometimes the same/close name (ex. “Institutions”) but have significant differences in definition leading to significant differences in amounts between 2 templates with the close/same title. This complexity is harmful for a large part of investors not familiar with all the EU regulations.
• These differences in asset classification bring also complexity for banks to understand and implement these regulations, in a context where supervisors are constantly requiring reconciliation exercises to banks (stress tests, loan tapes etc.)
We invite the EBA to harmonise asset classification as much as possible.
However, we believe that the detailed level of information related to funded credit protection is too granular with no added value for market participants. Therefore, columns D, E, F and H, I, J, of template EU CR7-a should be deleted for a more readable template.
We believe that the information in this template should be presented in accordance with the classification of exposures before the substitution effect to be aligned with COREP templates.
ITS is going beyond Article 452.h of the CRR as it does not require columns g “Average margin of conservatism”.
In addition, the granularity of the PD ranges is uselessly excessive.
To be in tune with the CRR (see answer 40) and the data feed mode by the majority of banks, it would be preferable to choose for the use of internal PD ranges. To ensure comparability, it is possible to add a table showing the average PD of each internal scale. In addition, if we had to apply standard ranges, some ranges will be empty due to the feeding method made by the main banks and this would bring misunderstanding and misinterpretation for stakeholders. In fact, the majority of banks would be forced to set up a mapping between the average PD of an internal scale to be linked to standard ranges. Consequently, some ranges of standardised PDs will be empty.
Please refer to question 44.
We do not believe that additional templated on equity exposures and on specialised lending under the slotting approach should be added. Indeed, similar information is already available under existing templates. Moreover, as there is a need to prioritise Pillar 3 disclosures, the scope of equity exposures and specialised lending under the slotting approach is too narrow to develop additional information that would be meaningful for market participants.