Reporting modules by name

The amendments to Commission Implementing Regulation (EU) 2021/622 introduce a semi-annual reporting cycle, replacing the current annual submission. They also enhance the reporting of discretionary elements applied by resolution authorities when setting MREL and streamline certain data fields to reduce the reporting burden for resolution authorities. In addition, targeted changes have been introduced to reflect recent updates to the legal framework, including those stemming from Directive (EU) 2024/1174 (the “Daisy Chain Directive”).

Minor changes to COREP templates reported by class 2 investment firms due to CRR3/CRD6    

For market risk benchmarking, the changes will be limited in light of the second postponement of the FRTB. The set of instruments and subjects in the scope of the exercise will not change substantially compared to the previous exercise. Minor changes to the templates' structure include a new template for reporting the ASA validation information. Data collection will also be restricted to the ASA information set compared to the previous exercise.

For the credit risk benchmarking, the amendments to the ITS will provide a mapping between the asset classes used for the definition of the benchmarking portfolios and the breakdown of Credit Risk IRB templates adopted in the revised ITS on supervisory reporting

For market risk benchmarking, the EBA suggests reshaping the classical portfolios and expanding the validation portfolios for the Alternative Standardised Approach. In light of the FRTB postponement, the FRTB templates and instructions for collecting the alternative internal model approach (AIMA)  FRTB risk measures (expected shortfall, default risk charge, and stress scenario risk measure) were paused.

Due to the complexity to fully reconstruct the historical record, it has been agreed to assume that the change occurred at version 4.0. Consequently, only subsequent modifications will be reflected in the TT.

Roll out for the benchmarking of accounting metrics (IFRS9) to high default portfolios (HDP). 

Due to the complexity to fully reconstruct the historical record, it has been agreed to assume that the change occurred at version 4.0. Consequently, only subsequent modifications will be reflected in the TT.

Credit risk benchmarking is subject to very minor changes to clarify the mandatory nature (if applicable) of reporting the probability of default and the loss given default risk parameters concerning the Margin of Conservatism, regulatory add-on, and downturn component. These changes also clarify the use of internal model IDs used with the Competent Authorities. 

Due to the complexity to fully reconstruct the historical record, it has been agreed to assume that the change occurred at version 4.0. Consequently, only subsequent modifications will be reflected in the TT.

Minor technical amendments

For market risk benchmarking, the changes will be limited in light of the second postponement of the FRTB. The set of instruments and subjects in the scope of the exercise will not change substantially compared to the previous exercise. Minor changes to the templates' structure include a new template for reporting the ASA validation information. Data collection will also be restricted to the ASA information set compared to the previous exercise.

Additional reporting requirements in relation to CRR3/CRD6 in COREP covering reporting in scope of operational risk own funds requirements.