With the application of CRR II and the introduction of DPM 3.0 EBA aimed at streamlining reporting and disclosure data. In this regard a so called “mapping tool” has been published, to indicate which information that is submitted to the competent authorities shall be disclosed in institutions’ Pillar 3 disclosure reports.

Reporting template C08.07 corresponds to disclosure template CR6-A. According to the EBA mapping tool it shall include the exact same values.

However the instructions for reporting template C 08.07 can be read as contradictory to the instructions for disclosure template CR6-A in regards to the inclusion of counterparty credit risk (CCR) exposures.

The title of chapter 3.3.6 of Annex II of Commission Implementing Regulation (EU) 2021/451 indicates, that the reporting template refers to credit risk and free deliveries (and not CCR exposures).

The instructions for reporting template C 08.07 in paragraph 84 of Annex II to Regulation (EU) 2021/451 state, that the template “should cover the full spectrum of exposures, so the sum of each row for those three columns should be 100 % of all exposure classes except of securitisation positions and deducted positions”. It remains unclear as to whether CCR exposures shall be included in the scope of reporting or not, as these are not explicitly mentioned in the instructions to C 08.07.

In contrast, the instructions for disclosure template CR6-A are explicit in regards to the exclusion of CCR from the scope of disclosure. The title of Annex XXII of Regulation (EU) 2021/637 is “Disclosure of the use of the IRB Approach to credit risk (excluding counterparty credit risk)”. In paragraph 4 of Annex XXII to Regulation (EU) 2021/634 it is stated that “This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), and securitisation exposures”.

As stated before, the EBA mapping tool, indicates that the disclosure template CR6-A shall be filled by using the reporting values from template C 08.07.

Therefore it remains unclear, how to treat CCR exposures in these templates. We kindly ask EBA to clarify whether the scope of exposures to be included in reporting and disclosure shall differ or not. In case a different scope is not intended, this should be reflected by an update of the instructions in the ITS (reporting and/or disclosure). In case a different scope is intended disclosure template CR6-A should be excluded from the EBA mapping tool.