Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - COREP (incl. IP Losses)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
8 / Annex I + II
Disclose name of institution / entity:
Name of institution / submitter:
Aareal Bank AG
Country of incorporation / residence:
Type of submitter:
Credit institution
Subject Matter:
C08.07 / CR6-A: Contradictory instructions on inclusion of CCR into reporting and disclosure template

Shall counterparty credit risk exposures be included included in or excluded from CoRep reporting template C08.07?

Background on the question:

With the application of CRR II and the introduction of DPM 3.0 EBA aimed at streamlining reporting and disclosure data. In this regard a so called “mapping tool” has been published, to indicate which information that is submitted to the competent authorities shall be disclosed in institutions’ Pillar 3 disclosure reports.

Reporting template C08.07 corresponds to disclosure template CR6-A. According to the EBA mapping tool it shall include the exact same values.

However the instructions for reporting template C08.07 can be read as contradictory to the instructions for disclosure template CR6-A in regards to the inclusion of counterparty credit risk (CCR) exposures.

The title of chapter 3.3.6 of Annex II of Commission Implementing Regulation (EU) 2021/451 indicates, that the reporting template refers to credit risk and free deliveries (and not CCR exposures).

The instructions for reporting template C08.07 in para 84 of Annex II (EU) 2021/451 state, that the template “should cover the full spectrum of exposures, so the sum of each row for those three columns should be 100 % of all exposure classes except of securitisation positions and deducted positions”. It remains unclear as to whether CCR exposures shall be included in the scope of reporting or not, as these are not explicitly mentioned in the instructions to C08.07.

In contrast, the instructions for disclosure template CR6-A are explicit in regards to the exclusion of CCR from the scope of disclosure. The title of Annex XXII of Commission Implementing Regulation (EU) 2021/637 is “Disclosure of the use of the IRB Approach to credit risk (excluding counterparty credit risk)”. In para 4 of Annex XXII (EU) 2021/634 it is stated that “This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), and securitisation exposures”.

As stated before, the EBA mapping tool, indicates that the disclosure template CR6-A shall be filled by using the reporting values from template C08.07.

Therefore it remains unclear, how to treat CCR exposures in these templates. We therefore kindly ask EBA to clarify whether the scope of exposures to be included shall differ or not. This should be reflected in an update of either the instructions in the ITS or an exclusion from disclosure template CR6-A from the EBA mapping tool.

Date of submission:
Published as Rejected Q&A
Rationale for rejection:

This question has been rejected because the matter it refers to is in the process of being answered in Q&A 6387.

Rejected question