EBA E-mail alert June 13, 2025

The newly introduced paragraph 2(b) in article 394 of CRR3 requires institutions to report as well the total Shadow Bank Exposure. This request is in addition to the top 10 such SBEs, already reported under CRR2, in line with paragraph 2(a) of the same article. Nonetheless the new ITS published under taxonomy v4.0, do not include any field which would allow us to report such information.

 

Could EBA provide guidance on whether institutions that do not apply the transitional arrangements set out in Article 465(5) of CRR can leave the rows 0151 and 0152 ‘of which: exposures secured by mortgages on residential property up to 55% of the property value’ and ‘of which: exposures secured by mortgages on residential property between the 55% and 80% of the property value’ empty in template C 10.00?  

In the report C0700 we saw that the new dynamism with the errata 5 is using the value qEC:qx1 to display the “total” breakdown and for us it seems to be fine

Where in report C080* and C3407, we understand that the taxonomy is allowing three types of totals :

=> (In the table below qae0 is used on report C0801,C0802, C08.03,C0805, C0805.1 , where aAE0 is used for report C3407)

From my point of view when I look at the ITS and more specifically to the ITS relative to the report C08* exposure classes, I only see that the report should have a :

• Dedicated sheet for A.1 Total under the “IRB approaches when neither own estimates of LGD nor Conversion Factors are used (Foundation IRB approach)” section for me this correspond to qx2022
• Dedicated sheet for B.1 Total under the “IRB approaches when own estimates of LGD and/or Conversion Factors are used” section for me this correspond to qx2023

But I do not see a need for a dedicated sheet corresponding to an overall TOTAL as it should be for “qx0 : Not applicable/ All exposure classes and approaches” 

Furthermore when I look at the validation I saw that some of them that works on the TOTAL exposures like :

v0680_m  : with {default: 0, interval: true}: sum ({tC_43.00.a, r0040, c0020}) = sum ({tC_07.00.a, r0130, c0220} [ where qEBB in {[eba_qEC:qx0]}]) + sum ({tC_08.01.a, r0060, c0260} [ where qEEA in {[eba_qAE:qx2022], [eba_qAE:qx2023]}])

We see that for report C0700 the value eba_qEC:qx0 (now this value correspond to value qx1 since the errata 5 of the taxonomy) is used where for report C0801 only the values eba_qAE:qx2022, eba_qAE:qx2023 are used.

• Can you indicate If the EBA is expecting the filler to fill up the dynamism on dimension eba_qAE:qx1 for report C080* / C3407or if we can tell our client to not use this value? 

For DPM 4.0 the cells {C_08.01.c, r0070, c0130, s*} and {C_08.01.c, r0180, c0130, s*} are identified as identical and have the same VariableID. Considering the instructions for reporting the data in rows 0070 and 0180 different values are expected.

C 02.00 – Row 690/ Col 0020 (Other RWA under S-TREA):
If the firm were back testing any models that identified a shortfall, would this necessarily result in the equivalent Fully Standardised RWA needing to be computed, given that the fully standardised position would be driven by rule-based criteria, so in essence captured in the appropriate rows before Row 690 (risk types) already? In addition, for any regulator driven add-ons, again assume the same would be applied.