Response to consultation on draft ITS amending Commission Implementing Regulation (EU) 2024/3117 regarding Credit Risk and IFRS 9 Benchmarking reporting
General 1: Are the instructions and templates clear to the respondents? If not, what should be clarified?
The instructions are not sufficiently clear on what information should be provided. We suggest to clearly differentiate between the SA and IRB requirements to better identify which information each bank should provide
General 2: Do the respondents identify any discrepancies between these templates and instructions and the calculation of the requirements set out in the underlying regulation?
Currently, IFRS9 benchmarking data is gathered once every four years, while according to the consultation, IFRS9 benchmarking data would be gathered annually. This would indicate a fourfold increase in the number of data points delivered over the current four-year reporting period for benchmarking, which contradicts the simplification objective. This appears difficult to reconcile with the objective of simplification. It also remains unclear why IFRS-related information should be delivered at such a granular level to supervisors, as they do not have a direct remit on governing IFRS. In principle, IFRS9 benchmarking information should not be part of regular supervisory reporting
Moreover, IFRS 9 models have by now reached a significant degree of maturity across institutions, following several years of implementation, supervisory scrutiny and iterative refinement. Against this backdrop, the incremental supervisory value of substantially more frequent data collection is likely to be limited.
Supervisors should therefore carefully assess the marginal benefit of any additional information requested against the operational burden imposed on banks, ensuring that increased reporting frequency remains both proportionate and justified.
General 3: Do the respondents agree that the amended ITS on Supervisory Reporting allows to fulfil the requirements and purpose of the Article 78 of the CRD?
NA
General 4: what is the information (please refer to single columns) that you see as particularly costly to be provided? Please provide detailed information about the implementation and running costs of the proposed changes, also compared to the current total costs.
NA
General 5: what is the reporting level for banking groups that you deem more appropriate?
NA
CR 1: Do you foresee any issues with supplementing the sample of counterparties listed in C 100.00 by the Large Exposures counterparties reported in the Template C 27.00 at the same reference date in order to expand the sample of low default counterparties for the reporting for template C 101.01/.02?
NA
CR 2: Do you identify any errors in the list of counterparties in C 100.00? If so, please report it to us.
NA
CR 3: Do you foresee any issues with the transfer of the portfolio/model split from the former template C 105.02 to the template C 101.01 and the new template C 102.01? Do you agree with the EBA’s assessment that the portfolio/model split in the new template C 102.01 is the preferred option compared to designing a separate template increasing the reporting details of the former templates C 105.01 and C 105.02?
NA
CR 4: Do you think it is possible to provide the details of the impacts of the RWEA add-ons and MoCs (columns 0203, 0204, 0205 of Template C 102.01) at the required segmentation level?
NA
CR 5: Do you agree with the proposed simplification in the reporting for column 0202 (RWEA Standardised) of the template C 102.01? Do you deem the segmentation level for which the information is requested sufficient to highlight the key differences between the IRB approach and the Standardised Approach?
NA
CR 6: The split by collateral type (column 0061 of new template C 102.01) differs from the split used in the current Benchmarking portfolios. Do you foresee any issues or disadvantages with the new definition and instructions as compared to the ones currently in use?
NA
CR 7: Do you see material obstacles in providing the information required by the column 0302 of the template C 102.01 (Long-run average realized loss rate of assigned facility grades)?
NA
CR 8: Do you see material obstacles in providing the information required by the new loss rate template (C 104.00)? Would alternative measures of loss rates be more appropriate?
NA
CR 9.1: The split by facility type (column 0062 of template C 102.01) is designed to collect information on the functioning of the CCF models. The classification into buckets (facility types) of off-balance-sheet items is based on Annex I of Regulation (EU) No 575/2013. Do you think there exist other classifications (for example product types) of off-balance-sheet items that would be more useful for representing the CCF models?
NA
CR 9.2: Template C 101.01 and C 102.01 propose two alternatives to collect the information on the CCF, either by one column (column 0110 in C 101.01 and column 0120 in C 102.01) or by two separate columns (columns 0111/0112 in C 101.01 and columns 0121/0122 in C 102.01). Which of these reporting alternatives do you prefer?
NA
CR 10: Do you support the use and the proposed granularity of the common master scale to limit the number of reported rating grades? What alternative would you propose.
NA
IFRS9 1: Do you agree with the proposed definition of SA institutions as relevant for the benchmarking reporting?
NA
IFRS9 2: Do you agree with the proposal to refer to SA exposure classes in defining the portfolios for SA institutions?
No. IFRS9 is not based on SA exposure classes. Exposure class is not relevant information in the context of IFRS9.