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

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

Template C02.00 - Interpretation of Article 92(3) and 92(5), feeding rules of Templates C02.00 and link to other CoRep templates

Could you please confirm the correctness of the below interpretation? Otherwise, could you please better clarify the feeding rules from rows 0036 to row 0590 of template C02.00 and the consequently link to the other CoRep templates?

For institutions subject the output floor as per Article 92(3) of Regulation (EU) No 575/2013, only institutions using internal models are required to disclose the standardised total risk exposure amount (S-TREA) calculated in accordance with Article 92(5). As a matter of facts, while calculating the standardised total risk exposure amount (S-TREA) for the purpose of C02.00 template, the possible solution shall be the following: 

  1. For c0010 “TREA”:
  • r0010 “TOTAL RISK EXPOSURE AMOUNT” represents the total risk exposure amount, calculated using the formula set in Article 92(3) CRR: “TREA = max {U-TREA; x ∙ S-TREA}”, where:
  • “U-TREA” is the un-floored total risk exposure amount calculated as in row 0036 “Total Risk Exposure Amount Pre-Floor” c0010
  • “S-TREA” is the standardised total risk exposure amount calculated as in c0020 “OUTPUT FLOOR S-TREA” [see below for further detail] r0010
  • “x” is the multiplicative factor of 72,5% (even though, it is subject to transitional provisions as shown in Art. 465(1) CRR)
  • r0040 and below represent the risk exposure amount of the un-floored risk (as referred to: Credit and Counterparty risk SA and IRB, Securitisation, Market risk, and Operational Risk templates). Our interpretation is based to the fact that, even if c0010 requires to include the TREA Amount, this row requires to include the unfloored amount or RWA. This assumption allows to calculate r0010 as sum of r0035 and r0036. In this way the amount reported in each row shall be reconciled and directly linked with the specific templates of Credit and Counterparty risk (SA and IRB), Securitisation, Market risk, and Operational Risk.
  1. For c0020 “OUTPUT FLOOR S-TREA”:
  • r0010 “TOTAL RISK EXPOSURE AMOUNT” represents the Standardised Total Risk Exposure Amount (S-TREA) calculated as the sum of risk types and their underlying asset classes.
  • r0040 and below, represent the standardised risk exposure amount calculated as the “Full Standard RWA”. 

Please note: “Full Standard RWA” means:

  • amounts under IRB exposures shall be converted from their un-floored exposure amounts to their full standardised exposure amounts
  • amounts under the standardised approach shall be fed with same amount reported in column 10

The amount reported in each row cannot be reconciled with the new template C10.00 for the following reasons:

  1. According to EBA instructions, “Institutions which apply the IRB approach shall report in C 10.00 the IRB exposures broken down by SA exposure classes and information on the calculation of standardised total risk exposure amount for these exposures”. It is interpreted that only IRB exposures treated under standardised approach shall be included in this template and all exposures shall be broken down under SA exposures classes.
  2. In the template C02.00 the amount reported in column c.0020 shall be broken down according to asset class IRB.

 

Template C 03.00 - Feeding of the templates on capital ratios requirements

Based on the below interpretation, could you please confirm that no fully loaded capital ratios are required without take in consideration the provisions of Articles 495 to 495h?

Template C03.00 requires feeding the capital ratios considering 4 different scenarios:

  1. Capital ratios transitional (from row 0010 to row 0060)
  2. Capital ratios unfloored calculated in accordance with Article 92(4) of CRR3 (from row 0070 to 0090)
  3. Fully loaded capital ratios not considering the application of article 465 of CRR3 (from row 0330 to 0350)
  4. Fully loaded capital ratios not considering the application of article 465 (3) (4) (5) and (5b) of CRR3 (from row 0360 to 0380)

 

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?

Recalculation of SEC-SA for secutisation treated under SEC-IRBA and IAA

Could you please confirm the correctness of the below interpretation? Otherwise, could you please better clarify the correct rule to be applied?

The recalculation of SEC-SA for securitisation treated under SEC-IRBA and IAA is not clearly defined. Article 465(5b) of CRR3 requires to calculate the SEC-SA for exposures that are risk-weighted using the SEC-IRBA or the IAA considering the application, until 31 December 2032 of the following p factors:

  • p = 0,25 for a position in a securitisation to which Article 262 applies; 
  • p = 0,5 for a position in a securitisation to which Article 261 applies.

For all exposures treated under the SEC-IRBA and IAA and for which is calculated the significant risk transfer, it will remain fixed for the same securitization calculated under the SEC-SA Approach. No updates of significant risk transfer will be performed in the full standard calculation.

Name of the organization

Unicredit SpA