The current COREP templates do not provide for explicit reporting for RNIME. The consideration of RNIME within COREP C02.00 row 0760 leads to a variety of inconsistencies within reporting and disclosure templates:

When RNIME is shown in COREP 02.00 row 0760, the respective amount is included under row 1 “Credit Risk (excluding CCR)” of the EBA disclosure template OV1. As per EBA mapping tool the cell includes the amount of COREP 02.00 row 0690 “Other Risk Exposure Amounts”, which amongst others contains row 0760 “Of which: Additional risk exposure amount due to Article 3 CRR”. Hence, reporting of RNIME in COREP 02.00 row 0760 would lead to RNIME, an integral component of market risk, being disclosed as credit risk.

Furthermore, the instructions to CA2 explicitly state that the additional risk exposure amounts in row 0760 do not have a link to details templates. Which also means, that they do not have a link to a specific risk category (like credit risk, market risk, cva risk, operational risk …). The missing allocation to detailed risk categories would even make it impossible to consider RNIME for all supervisory provisions referring to (parts of) the TREA according to article 92 (3) of CRR, as this is the case for the institution-specific countercyclical capital buffer (calculation is based on credit risk and market risk TREA). The same applies to national capital buffer for systemic risk, which refer to limited asset classes of portfolios.

It is, however, highly debatable whether RNIME in general should be considered “as a measure that is in excess of, or a measure that is stricter than those required by this regulation” as per article 3 CRR. Stricter measures in this sense are something voluntary (“This regulation shall not prevent institutions …”) and in addition to the minimum requirements of the CRR and thus, entirely in the discretion of the respective institution. The “ECB Guideline to internal models” describes, in accordance with Article 367 (1)(a) of the CRR, that “any internal model used to calculate capital requirements for market risk must capture accurately all material price risks”. The guidelines further elaborate, that the RNIME is “an integral part of the overall processes of the IMA for market risks”. This indicates that RNIME is not merely a stricter measure in excess of CRR, which institutions voluntarily impose on themselves, but rather an integral component of the internal models used for market risk calculation in accordance with Part Three, Title IV of CRR “Own Funds Requirements for Market Risk”. As its clearly a component of market risk it would be thus necessary to include the amounts in the respective market risk details template C 24.00 MKR IM. With the inclusion in C 02.00 row 0760, however, it would not be explicitly classified as market risk, thus not included in the details templates C 24 MKR IM and consequently be omitted in a variety of reporting requirements that explicitly refer to those market risk templates.

In addition, the effects on market transparency and the EBA transparency exercise should be considered. Reporting the RNIME add-on in C 02.00 row 0760 would lead to the TREA being shown in the EBA transparency exercise “Overview of Risk exposure amounts” in the separate line "Other risk exposure amounts" and not as “Market risk”. This would lead to deviation of EBA transparency, Pillar 3 disclosure and other external reporting of Market risk TREA for a single bank. This would contradict the objectives of the EBA transparency exercise to foster transparency and market discipline in the EU financial market.