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?
According to the consultation paper, the first reporting under the new ITS is aimed for the 2027 Supervisory Benchmarking Portfolios (SBP) exercise for the December 2026 reference date. Due to significant dependencies of many banks on external software providers and extensive changes within the new framework (concerning all existing templates as well as introducing new templates), it is not possible to implement the new ITS in time for the upcoming SBP exercise. Therefore, for the 2027 SBP exercise, the existing 2026 SBP ITS should remain effective, as proposed by EBA in the consultation paper as the fallback option. The new ITS should come to effect not before the SBP 2028 exercise.
For CR-SA institutions applying IFRS, and in particular IFRS 9, which will be included in the benchmarking exercise for the first time, an exemption from the benchmarking exercise as at the reference date of 31 December 2026 should be granted. This is to avoid a situation in which such institutions would be required to report both under the Delegated Implementing Regulation (EU) 2016/2070, as currently in force, and under the regulation currently under consultation. In any event, it must be ensured that CR-SA institutions report in accordance with the ITS as now under consultation.
There is a need for clarification as for the template C 100. Is it correct to assume that the template C 100 must not be reported and instead should be treated as an annex to define the relevant LDP counterparties for the template C 101? Please clarify.
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?
No comments.
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?
No comments.
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.
Template C 104 Loss Rates:
It would be costly if not unattainable to collect and report historical data going back 15 years.
Template C102.01
Column 024/025 RWA without MoC/supervisory measures requires two full additional benchmarking calculations. It is already very time and cost consuming to determine PD values without MoC/supervisory measures (columns 0090-0092) on portfolio level. The burden would be amplified by the additional RWA requirements.
Templates C101.02 and C102.02
The requirement to report scenario-weighted parameters (0210, 0230, 0231, 0232, 0233, 0235, 0420, 0421, 0422, 0430, 0431, 0450, 0451, 0480–0484) within a regular reporting framework would impose a disproportionate implementation. In our view, the effect of IFRS 9 scenarios can already be assessed in a sufficiently robust manner by comparing scenario-dependent ECL outcomes with the corresponding baseline parameters. The proposed requirement should therefore be reconsidered.
Template C102.02, Column 0495 – “Additional ECL amount in case of transfer to stage 2”
IFRS 9 impairment engines are primarily designed to generate accounting outputs, whereas simulation functionalities, where available, are typically not embedded in the standard reporting architecture. As a result, integrating such simulation outputs into the regular reporting process would require substantial additional implementation effort and cost. Moreover, transfers to lifetime ECL are generally driven by changes in PD, which are not appropriately reflected in the ECL amount reported in this column. Consequently, the proposed datapoint does not appear to provide information commensurate with the operational burden involved. We therefore believe that this requirement should be reassessed from a cost-benefit and proportionality perspective.
General 5: what is the reporting level for banking groups that you deem more appropriate?
One reporting obligation at the group level.
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?
Information must be gathered from 2 separate sources and must be cross-referenced with each other. Counterparties from the C 100.00 Annex are already considered within the current benchmarking data collection. Considering counterparties from the C 27 Large exposure template additionally is a new step, that must be implemented accordingly. This expansion stands in opposition to the overarching agenda of simplifying the benchmarking data collection.
CR 2: Do you identify any errors in the list of counterparties in C 100.00? If so, please report it to us.
No comments.
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?
The current portfolio/model split in template C 105.02 has a high level of granularity due to the large pool of portfolio/model combinations and results in many data points while offering comparably limited new Information. Therefore, we welcome the proposed new model split within the new template C 102.01. However, it is still somewhat unclear whether this results in an actual reduction of data points or whether the outcome is rather a regrouping from template C 105 to C 102.
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?
Please refer to question General 4.
The implementation would be very time and cost intensive. The current regulatory reporting software does not allow the delivery of multiple PDs for the same deal. As a result, benchmarking calculation must be done multiple times with different PD values.
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?
We agree. The segmentation level is sufficient.
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?
No comments.
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)?
No comments.
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?
From a cost-benefit perspective, we do not consider it appropriate to fill Template C 104.00 for FIRB portfolios. We suggest limiting the requirement to fill this template for AIRB portfolios in general.
Typically, realized LGDs are calculated during regular validation activities or review of estimates resp. calibrations. This process is time-intensive and semi-automated due to the complexity of a regulatory required calculation logic and the dependence on all required information (e.g., accounting measures for indirect costs). Additionally, the regular calculation is triggered by specific cut-off dates of the regular validation activities or review of estimates resp. calibrations, e.g., 30th June each year. Due to both, the time-intensive process and the specific cut-off date, the information for the benchmarking cut-off date is not available neither without additional significant burden.
The existing requirements based on write-offs (realized loss) and provisions (best guess of further expected loss) is pragmatic for a comparison between institutions. It combines a simple calculation logic with comparability as it does not depend on the specific implementation of the realized LGD, e.g., the indirect cost amount that is differently defined across institutions. Further clarification resp. simplicity on the current existing calculation logic is expected to increase harmony between institutions on the reported information.
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?
From a cost-benefit perspective, we do not consider it appropriate to fill these columns for FIRB portfolios. We suggest limiting the requirement to fill these columns for AIRB portfolios in general.
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?
CCF should be reported by one column (=0110 in C101.01 and 0120 in C102.01).
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.
No comments.
IFRS9 1: Do you agree with the proposed definition of SA institutions as relevant for the benchmarking reporting?
No comments.
IFRS9 2: Do you agree with the proposal to refer to SA exposure classes in defining the portfolios for SA institutions?
No comments..