Final Report on amendments to the ITS on Supervisory reporting-CRR3 CRD6

EBA-ITS/2024/06
09/07/2024
Final Report
Final Draft Implementing Technical Standards amending Commission Implementing Regulation (EU) 2021/451 on supervisory reporting referred to in Article 430 (7) of Regulation (EU) No 575/2013 concerning output floor, credit risk, market risk, operational risk, crypto assets and leverage ratio

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 Contents

Executive Summary 3
Background and rationale 6
2.1 Changes to the reporting framework and implementation timelines 7
2.2 Reporting changes topic by topic 9
2.2.1 General remarks 9
2.2.2 Output floor 10
2.2.3 Credit risk SA 10
2.2.4 Credit Risk IRB 11
2.2.5 IP Losses 13
2.2.6 CVA & Market risk 14
2.2.7 The boundary between trading book and banking book 15
2.2.8 Operational risk 17
2.2.9 Crypto assets 23
2.2.10 Leverage ratio 23
2.2.11 Other changes 24
2.3 Cost of compliance 25
Draft implementing technical standards 26
Accompanying documents 43
4.1 Draft cost-benefit analysis / impact assessment 43
4.2 Feedback on the public consultation 50

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6

Executive Summary
The EBA supervisory reporting framework helps national and European supervisory authorities to consistently regulate and supervise credit institutions. It facilitates monitoring of institutional risks using the common supervisory risk assessment. It also allows micro- and macroprudential authorities to track system-wide risk. Therefore, it is important to keep this framework updated to consider the reporting needs of users of information, the development of the disclosure and the regulatory changes. Regulation (EU) No 575/2013 (‘the CRR’) mandates the EBA, in Article 430(7), to develop uniform reporting requirements. These reporting requirements are included in the proposed Implementing Technical Standards. These standards cover information on institutions’ compliance with prudential requirements as put forward by the CRR and related technical standards as well as additional financial information required by supervisors to perform their supervisory tasks. As such, the ITS on supervisory reporting need to be updated whenever prudential or supervisory requirements change. New regulatory requirements and impact on reporting On 19 June 2024, Regulation (EU) 2024/1623 amending Regulation (EU) No 575/2013 1 (the Capital Requirements Regulation (CRR 3)) and Directive (EU) 2024/1619 amending Directive 2013/36/EU 2 (the Capital Requirements Directive (CRD VI)) were published in the Official Journal of the European Union. This publication follows a political agreement 3 reached on 27 June 2023, between the Council of the European Union 4 and the European Parliament 5 on the proposal put forward by the European Commission on 27 October 2021 on the banking package. The banking package will implement the latest Basel III reforms, which will underpin a robust regulatory framework, efficient supervision, and enhanced risk control by credit institutions. Following the CRDVI/CRR3, the EBA will be asked to work on the layer of the regulatory products that ensures a technical implementation of the prudential framework, including amendments to the reporting framework. With the application date of the banking package set to 1 January 2025, the EBA published the “EBA Roadmap on Strengthening the Prudential Framework” on 14 December 2023, together with the consultaiton of the reporting technical standards that are the object of this final report. The Regulation - EU - 2024/1623 - EN - EUR-Lex (europa.eu) 2 Directive - EU - 2024/1619 - EN - EUR-Lex (europa.eu) Commission welcomes political agreement on EU banking package. The Council of the European Union agreed on 15 February 2023 their position: Council agrees its position on the implementation of Basel III reforms. The European Parliament confirmed their position in the plenary on 15 February 2023: Report on the proposal for a regulation of the European Parliament and of the Council amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit valuation adjustment risk, operational risk,
market risk and the output floor.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 roadmap provides the implementation timeline of the EBA mandates under this package clarifying how the EBA will develop the mandates implementing the legislation, and how it expects to finalise the most significant components prior to the application date. According to the roadmap, when developing reporting and disclosure requirements, the EBA follows a two-step process prioritising in step 1 those mandates and changes necessary to implement and monitor Basel III requirements in the EU. In step 2, the EBA will implement other reporting and disclosure requirements that are not directly linked to Basel III implementation. Following this approach, the EBA is publishing this final report on final draft Implementing Technical Standards amending Commission Implementing Regulation (EU) 2021/451 on supervisory reporting referred to in Article 430(7) of Regulation (EU) No 575/2013 concerning output floor, credit risk, market risk, operational risk, crypto assets and leverage ratio on the changes to the current reporting framework that derive from the implementation of Basel III reforms in the CRR3. The consulation on reporting requirements on operational risks was launched soon after the publication of the roadmap on 20 February 2024 . The finalisation of the ITS on operational risk conulted will take place in two moments: These final draft ITS include the minimum reporting requirements on operational risk that will be applicable to institutions from the date of application of the CRR3. By the end of the year, together with the related policy products, the EBA will finalise the rest of the reporting requirements on operational risks, taking into account the relevant policy choices including more granular data. Many stakeholders raised concerns on the short timeline for the implementation of the amendments to the reporitng requirements. While the date of application of the reporting requirements is driven by the level 1 text (1 January 2025), in repsonce to the stakeholders concernst, the remittance date for the first reporting reference date (31 March 2025) will be extended from 12 May to the end of June 2025 (6 weeks). For the other topics, the remaining impacts of CRR3 and CRD VI in reporting will be implemented in subsequent phases, in separate consultation papers, in line with the abovementioned roadmap.
Article 430(7) as amended by CRR3, refers to the IT soluitons, including templates and instructions,
that the EBA is asked to developed to implement the reporting requirements. These IT solutions will continue to be specified in the ITS and will be avaialble on the EBA website only. In view of this new legislative process and to provide institutions with a comprehensive integrated set of uniform supervisory reporting requirements, after the public consultation, it was decided to provide new draft ITS on supervisory reporting that will cover all supervisory reporting requirements for institutions under the CRR. These ITS will repeal the Commission Implementing Regulation (EU) 2021/451 6 . Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 .

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 On 21 June 2024, the EBA published the final report on Final Draft Implementing Technical Standards amending Commission Implementing Regulation (EU) 2021/637 on public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013. Together with this final report on amendments to the ITS on supervisory reporting, the EBA is also publishing an updated version of the mapping tool between the disclosure and reporting requirements specified in both texts. These publications ensure coordination between reporting and disclosure requirements. Next steps After the publication of the final report, the EBA will deliver the final draft ITS to the EU Commission in order for the implementation date of the supervisory reporting to be aligned with the application of the CRDVI/CRR3 requirements. The EBA will also develop the data-point model (DPM), XBRL taxonomy and validation rules based on the final draft ITS. The application date of these ITS will be 1 January 2025 and the first reference date 31 March 2025, in line with the date of application of the CRR3. The first remittance date will be extended from 12 May to the end of June 2025.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6
2. Background and rationale

The EBA reporting framework, specified in binding technical standards, is uniform and
directly applicable ensuring maximum harmonisation, level playing field for institutions and comparability of data. The EBA reporting framework has evolved over the years since its inception, with the first reporting framework published in 2013. The EBA has since then reviewed the content of the framework on a regular basis to ensure its relevance and has also continued to develop the technical package and version management to facilitate implementation and support of reporting processes.
One of the main tasks of the EBA is to contribute, through the adoption of binding Technical
Standards (BTS) and Guidelines, to the creation of the European Single Rulebook in banking. The Single Rulebook aims at providing a single set of harmonised prudential rules for financial institutions throughout the EU, helping create a level playing field and providing high protection to depositors, investors and consumers. These draft Implementing Technical Standards (ITS) reflect the single rulebook at the reporting level. These draft ITS form part of this single rulebook for banking in Europe and become directly applicable in all Member States once adopted by the European Commission and published in the Official Journal of the EU.
The CRR mandates the EBA, in Article 430(7), to develop implementing technical standards
(ITS) specifying uniform reporting requirements. These standards cover information on institutions’ compliance with prudential requirements as put forward by the CRR and related technical standards as well as additional financial information required by supervisors to perform their supervisory tasks. Hence, the ITS on supervisory reporting needs to be updated whenever the underlying legal requirements change, or it is necessary to improve the supervisors’ ability to monitor and assess institutions. New banking regulatory package
On 19 June 2024, the Capital Requirements Regulation (CRR 3) and the Capital Requirements
Directive (CRD VI) were published in the Official Journal of the European Union, to implement the Basel Committee on Banking Supervision (BCBS)’s December 2017 Basel III post-crisis regulatory reforms, while considering the specific aspects of the EU's banking sector. These new rules will ensure that EU banks become more resilient to potential future economic shocks, while contributing to Europe's recovery from the COVID-19 pandemic as well as to the transition to climate neutrality.
The banking package implements a number of innovations in the prudential framework of
credit institutions. Firstly, it includes the final elements of the framework set up in the Basel III accord, ensuring international level playing field while taking into account the specific features of the EU's banking sector. It also contributes to the green transition including new

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 rules requiring banks to systematically identify, disclose and manage risks arising from environmental, social and governance factors (ESG) as part of their risk management. Furthermore, the banking package provides stronger enforcement tools for supervisors overseeing EU banks, aiming at ensuring their sound management and, ultimately, protecting financial stability.
6. The EBA is committed to the prompt and faithful implementation of the Basel III accord in
Europe via the banking package. In this context, this final report includes changes to the current reporting framework that derive from the implementation of Basel III reforms in the CRR3. This includes output floor, credit risk (including IP Losses), CVA, market risk, operational risk, crypto assets and leverage ratio.
7. The reporting requirements on crypto assets included in this final report are limited to the
transitional prudential treatment of institutions’ exposures to crypto assets referred to in
Article 501d, paragraphs 2 and 3 of the CRR 3. These reporting requirements were not
included in the consultation paper published on 14 December 2023 as it was initially planned to develop the full reporting once the underlying policy mandates are finalised. However, considering that there is a transitional prudential treatment applicable while the full framework is developed, as set out in Article 501d (2), and applicable from the date of entry into force of the CRR 3, the final draft ITS include a simple template specifying the uniform reporting formats for the transitional treatment applicable from the same date.
8. The final draft ITS also includes changes in the templates and instructions on non-performing
exposures loss coverage templates (NPE LC) to reflect the changes to Article 47c CRR3, related to the new provisioning calendar on NPE covered by external credit agencies and guarantors eligible, and to Article 36(5) CRR3 on the specialised debt restructurers.
9. Pursuant to Article 430 paragraph 7, subparagraph 1 as amended by the CRR 3, the templates
and related instructions included in final report will not be part of ITS published in the official journal, as they shall be published on the EBA website as part of the ITS-related IT tools. This change in the process aims at easier operationalisation of the ITS. The templates and instructions will be available in all languages and shall remain directly applicable in all Member States as part of the ITS once the ITS are adopted by the European Commission and published in the Official Journal of the EU.
10. As a consequence of this new legislative process, this final report provides new draft ITS on
supervisory reporting that will cover all supervisory reporting requirements for institutions under the CRR. These ITS will repeal the Commission Implementing Regulation (EU) 2021/451.
2.1 Changes to the reporting framework and implementation
timelines

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6
11. In the area of supervisory reporting, the EBA will follow a two-step sequential approach,
prioritising in phase 1 those mandates and changes driven by the CRR3/CRDVI necessary to implement and monitor Basel III requirements in the EU, so that they are applicable in line with the CRR3 application date. As part of phase 2, the EBA will implement those reporting requirements not linked to Basel III implementation, together with those requirements that depend on other Level 2 substance policy mandates with an extended development timeline. The same approach will be applied for disclosure requirements and coordination between the development of the reporting and the disclosure requirements will be ensured in the process, to ensure for consistency between the frameworks and updated mapping between disclosure and reporting data.
12. Moreover, under Step 2 the EBA will include other changes needed to keep the supervisory
reporting framework meaningful for supervisors, including those that may come from the work that the authority is conducting on assessing the possibility to introduce granular data for credit risk in COREP and Supervisory Benchmarking, or the review of the liquidity reporting templates and their frequency. Timeline for reporting frameworks to meet CRR3 reporting mandates in Step 1 of the version 4.0 framework release.
13. On operational risk, the feedback received from the public consultation for the draft ITS on
supervisory reporting 7 will be analysed and finalised in two different moments: i. the final draft ITS that are being published now include a small package covering the minimum reporting on operational risk own funds requirements, after a partial review of the feedback https://www.eba.europa.eu/publications-and-media/press-releases/eba-consults-new-framework-business-indicatoroperational

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 received, ii. by the end of this year, the full package covering all the data needed by supervisory authorities to analyse institution’s compliance with the calculation of own funds requirements for operational risk will be published later in the year, aligning the publication date with that for related policy products and finalising the review of all the feedback received.
14. The proposal for reporting in scope of operational losses, consulted on in February, will be
implemented. The remaining impact of CRR3 and CRD VI on operational risk reporting, in particular with respect to operational losses, will be incorporated into a second consultation paper which is expected to be published in 2025, accounting for pending policy work development with respect to operational risk losses. Key dates for the revision of Operational risk reporting framework due to CRR3 changes
2.2 Reporting changes topic by topic
2.2.1 General remarks
15. This final report aims at introducing the changes deriving from the Basel III reforms, which
impact reporting directly. The purpose of this approach is to update the current reporting framework as soon as possible to have it in place by the application date of CRR3, otherwise institutions cannot report the correct data that they will calculate. Besides, other technical amendments unrelated to the CRR3 changes and which will be applicable at this point, have been included in this final report.
16. The commitment to fully align the disclosure requirements with supervisory reporting means
that all the quantitative information disclosed by institutions is also included in supervisory reporting. This approach facilitates institutions’ compliance with both sets of requirements and it ensures the quality and the consistency of the disclosed information, as institutions are required to use the same data to fulfil their reporting and disclosure obligations. In this regard, an updated mapping between disclosure and reporting data for the templates affected by the CRR3 changes is published.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6
2.2.2 Output floor
17. The output floor represents one of the key measures of the Basel III reforms and aims to
reduce the excessive variability of institutions’ own funds requirements calculated using internal models, and thereby enhance the comparability of institutions’ capital ratios. It sets a lower limit to the capital requirements that are produced by institutions’ internal models, at 72.5% of the own funds requirements that would apply on the basis of standardised approaches.
18. The CRR3 provides for transitional arrangements for calculating the output floor total risk
exposure amount (TREA) and for computing the standardised total risk exposure amounts (STREA) for low-risk exposures secured by mortgages on residential property, for exposures to unrated corporates, for the calculation of the exposure value for counterparty credit risk for some types of derivatives and for the computation of the TREA for securitisation.
19. The CRR3 sets out the level of application of the output floor at individual and consolidated
level and provides with a derogation for Member States to apply the output floor only on a consolidated level if some prerequisites are met.
20. Capital adequacy templates C02.00-C04.00 are amended to include reporting information on
the output floor in the own funds requirements and capital ratios, comprising in those templates the impact of transitional provisions for the output floor. To monitor the impact of the output floor withing a group, a new column is introduced in the group solvency template C06.02 where institutions should report the floor adjustment of entities subject to own funds requirements. With a view to ensure a proper monitoring of the application of the SA approach to exposures subject to the IRB necessary for the calculation of the output floor, a separate template C 10.00 is set out, where institutions would be asked to report IRB exposures subject to the output floor, broken down by SA exposure classes and reflecting the main steps and the outcome of the calculation of the standardised risk weighted exposure amounts. Besides, templates including modelled reporting data (C13.01, C14.01 on securitization, C34.02 on counterparty credit risk) have been updated to include information on the impact of the output floor. Some of the changes in reporting related to the output floor aim at ensuring consistency with the disclosure requirements on the output floor introduced by the CRR3 that the EBA is implementing in alignment with the Basel Pillar 3 framework, especially the requirement to disclose the S-TREA for credit risk internally modelled exposures at asset class level, which is reflected in C 02.00 and in C 10.00.
2.2.3 Credit risk SA
21. The CRR3 increases the risk-sensitivity of the standardised approach for credit risk (SA) in
relation to several key aspects. To that end the CRR3 introduces a more granular approach to the treatment of different Credit Risk exposures such as: exposures to institutions, exposures to corporates, specialised lending exposures, retail exposures, exposures with currency mismatches, exposures secured by real estate, subordinated debt exposures, equity exposures and defaulted exposures. Furthermore, changes are also introduced to the

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 exposure value of off-balance sheet items as well as to the use of credit assessments by External Credit Assessment Institutions and mapping. A phasing-in period is provided for the application of certain provisions.
22. The own funds requirements and the standardised credit risk templates (C 02.00, C 07.00
and C 09.01) have been updated to reflect the new exposure class ‘Subordinated debt exposures’, the amended exposure class ‘secured by mortgages on immovable property and ADC’, the requirement to identify separately within the corporates exposure class specialized lending exposures, as well as new risk weights introduced by the CRR3. Considering the increased granularity provided by CRR3 in the treatment of exposures secured by mortgages on immovable property and acquisition, development and construction (ADC exposures), a more detailed breakdown has been included in C 02.00 and C 07.00 and C 09.01 for those exposures, to allow for distinguishing between exposures secured by mortgages by residential immovable property and exposures secured by commercial (within each of those exposures displaying separately other exposures secured by immovable property) with a further split between income producing real estate (IPRE), non-IPRE exposures (and for the later with an additional split for the loan-splitting approach). The memorandum items have also been updated to align with the more granular subset of exposures secured by immovable property. Besides, a new “of which” row has been included in C 07.00 to report separately exposures to central banks.
23. Changes have also been introduced in C 07.00 to allow for the monitoring and reporting of
the transitional provisions applicable to credit conversion factors (CCFs) for unconditionally cancellable commitments(UCC), to reflect the impact of the currency mismatch (Article 123a of CRR3). Following the public consultation, suggestions have been taken on board, in the instructions of template C 07.00, the decision tree has been revised to move exposures in the form of CIU after securitisations positions and before the exposure class “equity”. Accordingly, row 0015 of template C 07.00 have been amended to include defaulted exposures in the exposure class ‘CIUs’. Adjustments have also been made in the template and instructions to clarify the reporting of equity exposures during the transitional period.
2.2.4 Credit Risk IRB
Exposure classes
24. The current applicable framework in the CRR regarding internal risk based (IRB) approaches
contains insufficient limits as regards the availability of IRB approaches for exposure classes that are difficult to model. Therefore, in the CRR3 it was decided to limit the use of advanced modelling approaches in order to reduce complexity and improve the comparability of own funds requirements. Furthermore, new exposure classes were introduced, namely on Collective Investment Undertakings (CIUs).
25. The new exposure class structure was implemented in line with the changes which will be
introduced in the CRR3. These changes include:

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 a) Introduction of Regional governments or local authorities and Public sector entities as a separate exposure class from Central governments and central banks, both in Foundation IRB (F-IRB) and Advanced IRB (A-IRB) approaches; b) Introduction of the exposure class on Corporates - Purchased receivables for both F-IRB and A-IRB approaches; c) Introduction of Large corporates as a new breakdown in the IRB templates z-axis and in the C 02.00 template (‘memorandum item ‘Corporates – Large corporates’). The CRR3 defines ‘Large corporates’ exposures as any corporate undertaking having consolidated annual sales of more than EUR 500 million, which have been restricted to the F-IRB approach (except for positions treated according to Art. 151 (8) c) CRR3). The memorandum items ‘Corporates – Large corporates’ have been added as new breakdowns in the F-IRB and in the A-IRB, both in the IRB templates z-axis and in the C
02.00 template;
d) Redesign of the ‘Corporates – SME’ breakdown in the IRB templates z-axis and in the C02.00 template (‘memorandum item’) to align with the breakdown for ‘Corporates - Large corporates’ (memorandum item). The memorandum items ‘Corporates – SME’ have been added as new breakdowns in the F-IRB and in the A-IRB, both in the IRB templates z-axis and in the C 02.00 template e) Removal of the possibility to report “Institutions” under the A-IRB approach; f) Introduction of the exposure class on Retail - Purchased receivables under the A-IRB approach. g) Change of the previous Retail exposure class from “Retail – Secured by real estate” to “Retail - Secured by residential real estate” under the A-IRB approach; h) Introduction of two new breakdowns in the IRB templates z-axis and in the C 02.00 template: ‘Retail - Secured by immovable property SME’ and ‘Retail - Secured by immovable property SME non-SME’, under the A-IRB approach, since this detail has been lost with the change described in point “f”. i) Redesign of the ‘Retail – Other’ breakdown with the introduction in the IRB templates zaxis and in the C 02.00 template of the memorandum items ‘Retail – Other SME’ and ‘Retail – Other non-SME’, under the A-IRB approach. j) Introduction of the new IRB exposure class “Collective investments undertakings (CIU)”, which has been included in the IRB templates in line with what is currently being reported in the CR-SA templates. As CIUs will be reported in the IRB templates, row 0120 (‘CIU exposures subject to the fallback approach’) of template C 10.1 – Credit risk: Equity IRB, has been deleted.
26. These changes impact directly or indirectly the following templates: C 02.00, C 08.01, C 08.02,
C 08.03, C 08.05, C 08.05.1, C 08.07 and C 09.02. The introduction of memorandum items in the F-IRB and in the A-IRB for ‘Corporates – Large corporates’, ‘Corporates – SME’, and in the F-IRB for ‘Retail – Secured by immovable property – SME’, ‘Retail – Secured by immovable property non-SME’, ‘Retail – Other SME’ and ‘Retail – other non-SME’, that apply in the C 08.XX templates z-axis and in the C 02.00 template, allow to reflect the breakdown of the IRB

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 exposure classes in the CRR and to align the design of the breakdown on SME with the design of the breakdown on Large corporates. CRM and CCF
27. With the new framework, the CRR3 introduces amendments on existing methods for
calculating the effects of Funded Credit Protection (FCP) under the F-IRB approach and the effect of Unfunded Credit Protection (UFCP) under the A-IRB approach. These changes do not impact the templates but they do impact instructions. Instructions have been amended accordingly, namely on references to articles in the underlying regulation.
28. Further, the CRR3 introduces new rules for conversion factors. Also the scope of the
computation of own estimations of CCFs has been revised, as have the calculation methodologies. New columns have been introduced in C 08.01 and C 08.02 in order to cater for these changes and to capture the difference between modeled and standard CCFs. Other changes
29. Compared to the CR-SA templates, vital information concerning immovable property was
lacking from the CR-IRB templates. In this context, some rows were introduced in the C 08.01 template in order to capture information on IPRE, non-IPRE and ADC exposures, for exposures secured by residential and commercial immovable property.
30. There were also changes in CRR3 impacting the credit risk IRB framework which were not
considered to impact reporting, namely the introduction of additional or higher floor to credit risk parameters with respect to the ones currently in place and new input floors for Specialised Lending, starting with a discount factor of 50% which gradually increases to 100% over a period of 5 years.
31. Finally, for the exposure class equity, the use of IRB approach will no longer be applicable.
These exposures are nevertheless subject to transitional provisions until 2029 and the related respective templates (C 10.01 and C 10.02) will need to be kept until then. No changes were introduced in this template to minimize any implementation costs which would be only temporary with regard to reporting of equity. However, the row which requires to report information on CIUs under the fall-back approach will be deleted. After the public consultation, following suggestions by some respondents, minor changes have been made in the instructions of templates C 10.01 and C 10.02, as well as C 07.00, to clarify the reporting of equity exposures during the transitional period.
2.2.5 IP Losses
32. Following the new provisions introduced in the CRR3 for exposures secured by immovable
property and the revised specific reporting obligations under Article 430a, the instructions and template C 15.00 on the reporting on losses stemming from lending collateralised by

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 immovable property have been amended. Besides, certain aspects in the instructions have been clarified.
33. Finally, the legal references in the instructions have been updated to align with the new
articles introduced in the CRR3 for exposures secured by immovable property and the revised
Article 430a on specific reporting obligations.
2.2.6 CVA & Market risk
CVA
34. The CRR3 sets out the three new approaches(simplified, basic, standardised) that institutions
should use to calculate their own funds requirements for CVA risk, as well as the conditions for using a combination of those approaches.
35. Templates C 02.00 (own funds requirements) and C 25.01 (CVA) have been amended to
reflect the 3 new approaches, capturing: the mandatory reporting of own funds requirements calculations for excluded transactions, the reporting of the discretion to calculate own funds requirements also for excluded transactions, where institution uses eligible hedges, the reporting of own funds requirementsstemming from derivative positions of CIUs in case the institution employed the simplified treatment for those positions. A breakdown by counterparty types for the number of counterparties for transactions subject to the SA-CVA approach has been introduced in alignment with CRR3 disclosure requirements for CVA. The reporting of systematic and idiosyncratic components of CVA risk for the reduced basic approach has also been included. Market risk
36. As regards the standardised approach for market risk (‘simplified standardised approach’ in
the terminology of the CRR3), the reporting templates C 18.00, C 21.00, C 22.00 and C 23.00 are proposed to be amended to reflect the multiplication factors introduced in Article 325(2) CRR3, by repurposing existing columns and opening a few cells that were previously greyed out. Besides that, minor clarifications are being introduced in some of the instructions. In line with requests by the industry, no structural changes were made to the templates or instructions (e.g. no breakdown by ‘offsetting group’ as defined in Article 325b of both the CRR2 and CRR3).
37. The current internal models approach for market risk as set out Part Three, Title IV, chapter
5, CRR2, will no longer be used to calculate own funds requirements for market risks, once the framework as set out in the Basel Committee on Banking Supervision’s (BCBS) Fundamental review of the trading book (FRTB framework) becomes the basis for calculating the own funds requirements for market risk. Consequently, the template C 24.00 currently used to report those own funds requirements should be deleted, in principle with effect as of the date of application of the CRR3. However, the Commission is empowered to postpone the application of the FRTB framework by means of a Delegated Act (see Article 461a, second

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 subparagraph, point (b) of the CRR3). It was announced on 18 June 2024 8 that the Commission will make use of this empowerment to postpone the application of the FRTB until 1 January 2026. Template C 24.00 would have to remain part of COREP until the date when the FRTB approaches actually supersede the current approaches for calculating own funds requirements for market risk. Accordingly, the draft ITS main body clarifies (Article 5(2)) that until the new regime enters into force, the current reporting continues applying.
38. The application of the FRTB approaches for the purposes of calculating own funds
requirements for market risk will also entail the need to change the reporting on the overview of the RWEA in template C 02.00. Besides that, the group solvency template C 06.02 is proposed to be amended to include a mapping of the legal entities of the group to the offsetting groups in accordance with Article 325b CRR; institutions only need to provide that mapping, if they apply one of the FRTB approaches. Please refer to section 2.5.3 of the Final Report on the ITS amending Commission Implementing Regulation (EU) 2021/451 with regard to reporting requirements for market risk and repealing Commission Implementing Regulation (EU) 2021/453 (see EBA/ITS/2024/02) for further explanations on both amendments. Minor amendments are also made to C 14.01 in response to the introduction of the FRTB.
39. Transitional provisions on the application of the market risk framework by investment firms
included in the Investment Firms Regulation (Article 57(2) of Regulation (EU) 2019/2033, ‘IFR’) imply that institutions applying the CRR and investment firms (class 2) applying the IFR may ‘migrate’ to the FRTB approaches at different points in time. In order to decouple the reporting by CRR-institutions and IFR-investment firms at technical level, templates C 18 to C 23 have been renumbered to C 18.01 to C 23.01 for CRR-institutions.
2.2.7 The boundary between trading book and banking book
40. The CRR2 also introduced, and the CRR3 modifies, the revised framework for allocating
positions to the trading book and non-trading book (banking book), including default assumptions for the allocation to books, documentation and monitoring requirements, and the own funds requirements for certain reclassifications. These boundary and reclassification rules apply to all institutions regardless of the approach applied to calculate the own funds requirements for their trading book business (application of the credit risk framework, the simplified standardized approach or the FRTB approaches).
41. The amendments to the ITS presented in this final report include a template dedicated to the
composition of the trading book.
42. With the aim of designing a reporting requirement that entails a limited cost of compliance
for institutions, the EBA had sought feedback on institutions practices regarding the monitoring of the boundary as part of the consultation paper on amendments to the ITS on specific reporting requirements for market risk (ITS on FRTB reporting, EBA/CP/2023/03), as European Financial Integration 2024 (europa.eu)

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 well as information for example on the measurement basis they use in their internal monitoring. The responses received to EBA/CP/2023/03 did not reveal any common practices among institutions. However, the proposal included in this final report foresees exempting institutions that apply the credit risk framework to calculate own funds requirements for their trading book business (i.e. institutions whose trading book does not exceed the threshold of Article 94 CRR) from the requirement to provide the detailed information on the composition of their trading book, in response to the comments received.
43. The proposal as consulted originally included two templates, one dedicated to the
composition of the banking book and one on the composition of the trading book. Both templates were designed around two main objectives: Capture the composition of the respective book with regard to the presumptions presented in Article 104 CRR3 regarding types of instruments which must, should, should not or must not be included in respective book; and, in the spirit of integrated reporting, ensure that the data provided in this template links, to the extent possible, to information already provided (e.g. template C 90.00 on the trading book threshold) in other parts of the reporting framework.
44. Respondents to the public consultation qualified both templates in general as complex and
requested a postponement of the first reference date for filling in these templates by six months (i.e. to September 2025). In particular with regard to the banking book template, a few respondents highlighted a number of issues regarding the reconcilability of the data and requested further clarifications of the exact information to be provided. Weighing the need for the data as a supporting tool for assessing institutions’ compliance with the boundary rules against the complexity of the information request, the EBA has decided to limit the reporting, for the time being, to the trading book template. Information on the composition of the banking book may be added in a future revision of the reporting framework.
45. The trading book template is built around a breakdown by main type of risk, to obtain a
better view of the ‘stock’ of positions per risk type, mapped to the presumptions in the CRR. Information is requested on all presumptions listed in Article 104(2) and the derogations included in other paragraphs of the same article. The template contains a memorandum item enabling the assessment of how much the accounting classification of the instruments aligns with the prudential concept of the trading book. In alignment with Article 325a CRR, all instruments to be reported in this template are to be reported at their market values. Following the public consultation, the breakdown by long and short positions has been extended to the entire template, to improve the interpretability of the information reported and to enable the reconciliation with data already reported in template C 90.00.
46. The trading book template would also be a suitable place to capture some information on
items excluded from the threshold calculation, such as credit derivatives recognized as internal hedges, or internal risk transfers, that supervisors have a particular interest in monitoring, but may not be able to single out based on the templates capturing own funds requirements. No information on exemptions was included for the moment but may be added in future revisions of the reporting framework.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6
47. As a complement to the ‘composition’-templates, a template aiming to capture
reclassifications between the banking and the trading book (or vice versa), and the associated own funds requirements, will be added to COREP as part of the final draft amending ITS on reporting requirements for market risk (FRTB reporting) (please refer to EBA/ITS/2024/02).
2.2.8 Operational risk
48. Given the progressive approach taken in implementing the supervisory reporting
requirements for operational risk, as explained Section 2.1, the overview of the reporting requirements for operational risk proposed in this Final report is:
Overview of draft ITS reporting requirements on Operational risk (small package) Reporting template Frequency Scope of institutions C 16.01 quarterly All institutions, Ind and Con C 17.01 Semi-annual Same scope as dec 2024 reporting 9 ; Ind and Con C 17.02 Semi-annual Same scope as dec 2024 reporting; Ind and Con
2.2.8.1. Reporting in scope of own funds requirements for Operational risk (small
package)
49. Template C 16.00 is currently capturing the information on own funds requirements for
operational risk according to the 3 approaches that institutions are currently allowed to use for the calculation of the own funds requirements: the Basic Indicator Approach (BIA), Standardised/Alternative standardized approach (TSA/ASA) and Advanced measurement approaches (AMA). Its frequency is quarterly and is reported by all institutions at individual and consolidated level. In addition to template C 16.00, template C 02.00 captures the overall risk exposure amounts of the institutions for all risks including for operational risk. Template C 02.00 is reported quarterly by all institutions at individual and consolidated level.
50. The CRR3 proposal is to replace all the methods currently allowed with one single approach,
the so-called Business Indicator Component (based on a Business Indicator (BI) which is a financial statement-based proxy for operational risk). For this reason, it is needed that template C 16.00 be decommissioned. Instead, a series of templates have been developed that would cover the reporting in scope of assessing institutions’ compliance with the own funds requirements for operational risk.
51. As part of the small package, template 16.01 would cover the minimum information that
supervisors would need to assess institution’s own funds requirements calculation. In addition, in the absence of template C 16.02 (that was proposed under consultation), information on other operating expenses and information on the approach used by

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 institutions to compute FC have been added to this template as it was deemed important for supervisory authorities to have early information on it. With the development of the full package, it is expected that C 16.01 will slightly be amended by deleting information that would be available in other templatesthat would be part of the full package and avoid double reporting.
52. Template C 16.01 shall be reported on an individual and consolidated basis in accordance
with Section 2 of Chapter 2 of Title II of Part 1 of Regulation (EU) No 575/2013.
2.2.8.2. Template C 16.01 - OPERATIONAL RISK – Own Funds Requirements (OPR OFR)
53. This template is covering both the calculation of the own funds requirements for operational
risk under the Business Indicator Component and the Risk exposure amount (REA) for operational risk.
54. The BIC comes from the so-called Business indicator (BI), a financial-statement-based proxy,
multiplied by a set of regulatory determined marginal coefficients. The BI comprises three components: the interest, leases and dividend component (ILDC), the services component (SC) and the financial component (FC). Then, the BI is defined as follows:
BI = ILDC + SC + FC
55. Each of the three components of the BI, which shall be calculated as the average over the
last three years, are defined in the formula below which mirrors the methodology set out in the Basel framework 10:
Interest, leases and dividend component (ILDC) = min (Interest component (IC), 0.0225*asset component (AC)) + dividend component (DC) Services component(SC) = max (other operating income (OI), other operating expenses (OE)) + max (fee and commission income component (FI), fee and commission expenses component (FE)) Financial component (FC) = Trading book component (TC) + Banking book component (BC)
56. Unlike for ILDC and SC, for the FC, institutions applying the Prudential Boundary Approach
(PBA) 11 will report the values in accordance with the PBA. The approach used shall be indicated in the template.
57. To calculate the BIC, the BI is multiplied by the marginal coefficients which increase with the
size of the BI as shown below. For banks in the first bucket (i.e. with a BI less than or equal 10 See paragraph OPE25.5 from Basel III OPE – Calculation of REA for Operational risk. 11 The prudential boundary is a concept that clarifies the separation between the trading and the non-trading (i.e. banking) books and Chapter 3 in Part three, Title I of CRR3 outlines the rules and procedures to follow in order to proceed with this separation

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 to €1bn) the BIC is equal to BI x 12%. The marginal increase in the BIC resulting from a one unit increase in the BI is 12% in bucket 1, 15% in bucket 2 and 18% in bucket 3. BI ranges and marginal coefficients Bucket BI range (in €bn) BI marginal coefficients 1 ≤1 12% 2 1 < BI ≤30 15% 3 > 30 18%
58. For example, for a given BI amounting to €50bn, the BIC = (1 x 12%) + (30-1) x 15% + (50-30)
x 18% = €8.07bn.
59. Some important aspects that should be accounted for when reporting are highlighted below:

Adjustments due to mergers, acquisition and disposals: The value of the items included in
the template should consider the adjustments due to mergers, acquisitions and/or disposals of entities or activities. To reflect the materiality of these adjustments, information on the size of these adjustments in comparison with the total value of the main components of the BI is requested in the template.
Exchange rate to be used for the calculation of BIC and BI: For the calculation of the BI (e.g.
in the case of institutions with subsidiaries with a currency other than the reporting currency of the institution) institutions should apply the relevant FX rate for that year, in accordance with the applicable accounting framework (in line with FAQ2 of 25.18 BCBS operational risk framework) which means that the FX rate used in the respective year should not be updated in every reporting date. Regarding the application of the thresholds to compute the BIC for institutions belonging out of the Euro area which report the supervisory information in their local currency, institutions should use the average exchange rate for the period for which the BIC is computed in accordance with the accounting framework, for the conversion of the CRR3 threshold into their local currency.
Calculation of the Business indicator considering past periods Similar with the approach
employed currently, Institutions shall calculate their OFR and report information in the templates, based on the information available at the financial year-end. The last three twelve-monthly observations starting from the end of the financial year shall therefore be used (e.g. for reporting dates “December Y-1, March Y, June Y, September Y” and a financial year – end “December 31”, the calculations shall be based on the financial situation as at “December 31” using the whole financial years Y-1, Y-2 and Y-3). The only changes expected for these reports are related to scope adjustments in the event of disposals/M&A during year Y.

Example regarding the period that should be considered in the calculation for a financial year
ending in December. Figures for December might also differ from figures reported in March due to the unavailability of audited figures already in December. Full year data to be considered Dec-25 Dec-24 Dec-23 Dec-22

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 Reporting reference date Dec-24 x Mar-25 x Jun-25 x Sep-25 x Dec-25 x Mar-26 x

ILDC calculation – Article 314(3) of Regulation (EU) No 575/2013: Paragraph 3 of Article
314 of Regulation (EU) No 575/2013 states that under certain conditions, an institution may opt to calculate a separate interest, leases and dividend component for any of its specific subsidiary and sum the outcome of this calculation with the interest leases and dividend component calculated, on a consolidated basis, for the other entities of the group. This means that the ILDC shall be calculated at consolidated level except for those institutions for which ILDC is calculated separately. Thus, Template C16.01 allows for reporting of both ways of calculating the ILDC:
o row 0040 will reflect the ILDC related to the individual or consolidated group excluding entities considered by Article 314 (3). o row 0050 will reflect the ILDC computed separately for the specific subsidiaries to which the derogation of paragraph 3 of Article 314 of CRR3 applies.

The final ILDC will be the sum of the 2 separate ILDCs, where values will be filled in if
applicable. That is, if Article 314(3) does not apply then only row 0040 should be filled in at individual or consolidated group.

ASA requirement – Article 314(4) of Regulation (EU) No 575/2013: Paragraph 4 of Article
314 of Regulation (EU) No 575/2013 states that under certain conditions, an institution may continue to use the Alternative Standardized approach as it stood prior to entry into force of CRR3 for the purpose of calculating the own funds requirements for operational risk relating to these two business lines and according to the scope subject to the current permission. For this reason, rows 0080 and 0090 capture the own funds requirements for retail and commercial banking business lines where Article 314(4) applies. Two important aspects are to be highlighted:
o In case the institution applies Article 314(4) the figures used for the computation of the Business indicator component will not include items related to retail banking and commercial banking for which the ASA is applied.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 o The Own funds requirements will be the Business indicator component (other than retail banking and commercial banking for which the ASA is computed) + ASA (retail and commercial banking business lines where ASA applies)

Memorandum Item: As a memorandum item, institution are also required to report the
ILDC related to individual and consolidated reporting under the hypothesis that Article 314, paragraphs 3 would not apply. Therefore, the figure reported in the memorandum item (row 0100) would be the same with the figure reported in row 0040 if the institution would not apply article 314(3), in which case the institution does not need to report the memorandum item). The memorandum item is important for supervisory authorities as it would facilitate the assessment of the appropriate basis for calculating own funds requirements for operational risk.

Changes to template C 02.00: Rows 0600, 0610 and 0620 in template C 02.00 will also need
to be deleted as they are corresponding to operational risk figures computed following the 3 methods currently allowed to be used to compute the own funds for operational risk and that are no longer applicable under the CRR3.
2.2.8.3. Templates that would cover information related to operational risk losses
Article 316 of the CRR requires institution to calculate an annual operational risk loss while
according to Article 317 of the CRR, institutions shall have in place arrangements, processes and mechanisms to inform and maintain updated on an on-going basis a loss data set recording operational risk events stemming from all entities that are part of the prudential scope of consolidation.
Institutions are currently reporting information on operational losses: in template C 17.01
detailed information grouped by business lines and event types as well as statistics on the distribution of such losses are reported, while in C 17.02 granular information on large loss events is being reported. These templates are requested with a semi-annual frequency at both individual and consolidated level while the scope of the institutions to report such data is dependent on the size of the institution and the method of own fund requirements calculation it applies.
Given the changes brought by CRR3 to the operational risk framework and the requirements
on operational loss data, templates C 17.01 and C 17.02 would need to be adjusted or decommissioned in favour of new templates to capture the new provisions.
The CRR3 foresees a series of Level 2 mandates to be developed 12 with impact on institution’s
operational risk loss datasets and calculations which are in the process of development and the finalisation of which is expected later. For this reason, only minor changes to the 12 In particular: the development of a risk taxonomy on operational risk and loss event classification, exclusion of losses from operational risk loss calculation and adjustment to the operational risk loss calculation due to mergers and acquisitions

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 currently applicable reporting framework for operational losses are introduces while the modifications to the operational loss reporting framework will be done once the rest of the Level 2 mandates will be finalised.
67. Therefore, templates C 17.01 and C 17.02 and the scope of reporting will remain as they are:
institutions that calculate in December 2024 their own funds requirement in accordance with one of the three methods shall continue to report the same information as they did for reference date December 2024, for an interim period, which depends on the finalisation of the Level 2 mandates.
68. Requiring institutions to keep reporting C 17.01 and C 17.02 will ensure supervisors have the
necessary data to perform their analysis and will avoid any breaks in the time series. Proportionality has been considered in this decision and it is expected that it would entail minimum costs for the institutions:

Very minor changes are proposed to these templates therefore the cost of system
adaptation for the institutions to report this data should be limited;
Institutions already have in place the processes, business knowledge and IT systems to
report the data;
Institutions that do not report such data for reference date December 2024 will not be
required to report C 17.01 and C 17.02 to avoid any burden in implementing such templates for the interim period;
No new templates are being developed and requested from the institutions that would have
been needed to be changed after the policy products would have been developed. Therefore, the proposed way forward considers that is less burdensome for institutions to continue to report what they have reported so far as opposed to implementing new templates for an interim period and then further changing them.
Few minor amendments have been made to the instructions to ensure the alignment to the
CRR3 requirements, in particular referring to:
Considerations Actions
Definitions
Most of the definitions used in reporting of C 17.01 and C 17.02 are aligned with CRR3: e.g. losses and recoveries, new loss events, loss adjustments, gross losses Update of the instructions with the new references in CRR3.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 Considerations Actions Recoveries from insurance and other risk transfer mechanism Other “risk transfer mechanism” will no longer be referred to as they were related with the AMA approach and not much used in practice. Update the instructions and template.
2.2.8.4. Other changes
69. Given the significant changes made to the reporting framework on operational risk the Q&As
on operational risk reporting have been revised and where additional clarifications were needed, they have been reflected in the instructions. Therefore, the following Q&As will be archived: 2014_1233, 2014_1448, 2014_1571, 2017_3522, 2018_4208, 2018_4259, 2013_285, 2013_580.
2.2.9 Crypto assets
70. In December 2022, the Basel Committee on Banking Supervision published the final
prudential standard on the treatment of institutions' crypto-asset exposures to address potential risks for institutions caused by these exposures that are not sufficiently covered by the existing prudential framework. The standard is applicable from 1 January 2026, although some technical elements are still being further developed.
71. Along with the on-going developments at Basel Committee level, CRR 3 introduced a
transitional prudential treatment for institutions’ exposures to crypto-assets, taking into account the legal framework introduced by Regulation (EU) 2023/1114 (MiCA Regulation) This transitional prudential treatment is applicable until the adoption of the new regulatory framework as referred to in Article 501d (1) of the CRR 3.
72. Considering the application of the transitional prudential treatment to crypto-assets from
the entry into force of the CRR3, a new reporting template is introduced to have simple standardised prudential information on the calculation of own funds requirements for the types of crypto-assets as referred to in in Article 501d, paragraphs 2 and 3 of the CRR 3.
2.2.10 Leverage ratio
73. CRR3 brings a series of minor updates and clarifications to Leverage ratio. References to the
CRR articles have been updated and in few cases, rows have been added to capture the additional provisions such as those referring to exclusions from total exposure measure:

related to Article 429a, paragraph 1 point (ca) concerning deductions for exposures related
to members of the same institutional protection scheme.
related to Article 429a, paragraph 1 point (da) concerning institution’s collateralized
exposures to its shareholders that are credit institutions.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6
74. In addition, changes to the credit risk framework impact Leverage ratio reporting with
respect to:

the calculation of the exposure value of off-balance sheet items(Article 111(2)) determining
changes to Article 429f) resulting in the introduction in reporting of a row corresponding to the credit conversion factor of 40% and amendments to instructions. The 10% credit conversion factor had already been present in Leverage ratio reporting.
the changes to exposure classes defined in the credit risk framework impact on the leverage
ratio exposure value reporting whereby a split by SA and IRB exposure classes is requested to be reported in C 43.00. As such instructions have been amended to reflect the changes brought by CRR3. In addition, row 0190 is being recast to “secured by mortgages on immovable property and ADC exposures”, in line with the changes in COREP tables for RWA which introduces ADC (Acquisition, development and construction) category according to
Article 112 point (i) CRR3. It is also clarified in the instructions that the output floor
adjustments will not be taken into account for the purpose of this template.

In addition to changes brought by CRR3, the Amending Regulation (EU) 2022/2036 of 19
October 2022 amends CRR (point (q) of Article 429a(1) ) by excluding from total leverage exposure measure those exposures that are subject to the treatment set out in Article 72e(5). Reporting has been amended to reflect this derogation.
As the IFRS9 transitional provisions according to Article 473a (8) will no longer apply, in
template C 47.00. The associated row capturing this information has been deleted and the instructions in row 0280 from the same template have been amended.
In line with reporting for own funds, a row has been added to template C 47.00 to capture
the possible application of stricter requirements by institutions in determining the leverage ratio exposure measure according to Article 3 CRR. The row is used in the formula for the calculation of the leverage ratio exposure value (to better reflect this, the position of the item was moved to row 0269 versus row 0500 in the consultation paper).
2.2.11 Other changes
Changes have been made in the templates and instructions on non-performing exposures
loss coverage templates (NPE LC) after the public consultation and in response to comments received, to reflect the changes to Article 47c CRR3, related to the new provisioning calendar on NPE covered by external credit agencies and guarantors eligible, and to Article 36(5) CRR3 on the specialised debt restructurers.
As the IFRS9 transitional provisions according to Article 473a paragraph 6 will no longer
apply, in the templates capturing this information the associated rows have been deleted and references to Article 473a have been removed from the instructions. In particular, in template C 03.00, the memorandum Items “Capital ratios without application of the transitional provisions on IFRS 9” have been deleted.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6
80. The body of the ITS has been adjusted in order to reflect Q&A 2022_6444, which answers
that the reporting of the templates covered by Article 8 of these ITS should be aligned to the financial year-end dates. Therefore, Articles 2 and 3 have been amended accordingly to clarify this aspect. Moreover, two paragraphs were added to Article 4 that clarify what entities that engage into the activities of a credit institution for the first time need to report regarding templates subject to thresholds.
2.3 Cost of compliance
81. Proportionality is a key principle for European legislators. This is embedded in the CRR from
the beginning and further emphasised in the subsequent revisions, including the CRR2 and CRR3. The CRR aims to enhance proportionality, as the rules are better adapted to the size, risk and systemic importance of the institutions. In addition, for SNCIs it includes less stringent requirements on reporting, disclosure and remuneration.
82. In this context, the EBA was mandated under the CRR2 to measure and gain insights into the
costs that institutions incur when complying with the supervisory reporting requirements, and in particular with those set out in the EBA’s ITS on supervisory reporting. The EBA was also tasked with assessing whether these reporting costs are proportionate compared to the benefits delivered for the purposes of prudential supervision. Based on that assessment, the EBA made recommendations on how to reduce reporting costs, particularly for SNCIs. The findings from this analysis were included in the EBA study on the cost of compliance with supervisory reporting requirements, published in 2021 13 .
83. The conclusions and recommendations included in this report have been present in the EBA
work on successive framework releases since the publication of the report. Furthermore, this report includes proposals to remove whenever possible information in the current reporting framework no longer required under CRR3. Moreover, only minimal changes were included to implement the new banking package, to allow supervisors to obtain the strictly necessary information to monitor the new prudential requirements.
84. Further proportionality will be included in the next phase, where discussions will be held to
decide on which templates are being used the least by competent authorities and if they can be removed or simplified. Furthermore, the newly introduced topics (such as ESG) will include proportionality measures, where SNCIs will report less information. https://www.eba.europa.eu/sites/default/documents/files/document_library/Publications/Reports/2021/1013948/Stu dy%20of%20the%20cost%20of%20compliance%20with%20supervisory%20reporting%20requirement.pdf

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6
3. Draft implementing technical
standards
The changes in the ITS implement not only the changes brought by CRR3/CRD6, but also by Article 430(7), first subparagraph, as amended by the CRR 3. According to that amended provision, the templates and related instructions included in final report will not be published in the Official Journal anymore but will be published on the EBA website instead as part of the ITS-related ‘IT solutions’. Most of the information previously included in the ITS main body, such as the thresholds and criteria for submitting specific templates, will also be published on the EBA website, as part of the ITS-related IT tools. COMMISSION IMPLEMENTING REGULATION (EU) [XX] of [XX XX 2024] laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Commission Implementing Regulation (EU) 2021/451 (Text with EEA relevance) THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 14 and in particular Article 415(3), third subparagraph, Article 415(3a), third subparagraph, Article 430(7), third subparagraph, and Article 430(9), fifth subparagraph thereof, Whereas:
(1) Commission Implementing Regulation (EU) 2021/451 15 lays down, on the basis of Article 415 and Article 430 of Regulation (EU) No 575/2013, a coherent reporting framework including information on own funds and own funds requirements, financial information according to IFRS and GAAP, information on losses stemming from lending collateralised by immovable property, information on large exposures, on the leverage ratio, on stable 14 OJ L 176, 27.6.2013, p. 1. 15 Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 funding, on additional liquidity monitoring metrics, on asset encumbrance, information for the purposes of identifying G-SIIs and assigning G-SII buffer rates, information on interest rate risk in the banking book. Implementing Regulation (EU) 2021/451 has been amended several times following the amendments of Regulation (EU) No 575/2013 adopted to introduce, further develop, or adapt prudential elements. (2) Regulation (EU) No 575/2013 as amended by Regulation (EU) 2024/1623 of the European Parliament and of the Council 16 implements the final set of international standards of the Basel Committee on Banking Supervision (Basel III). These developments call for a revision of the reporting framework as set out in the Commission Implementing Regulation (EU) 2021/451. (3) Given the changes brought by Regulation (EU) 2024/1623 to Regulation (EU) No 575/2013, it is necessary to proceed to a revision of the reporting of own funds and own funds requirements (output floor, credit risk and counterparty credit risk, credit valuation adjustments, market risk, operational risk, loss coverage of non-performing exposures and crypto assets), of the reporting of information on losses stemming from lending collateralised by immovable property and of the reporting of the leverage ratio. In addition, the new adoption process set out in Article 430(7) first subparagraph of Regulation (EU) 575/2013 as amended by Regulation (EU) 2024/1623 which results in the publication of the templates and related instructions on the EBA website as part of the ITS-related ‘IT solutions’, it is necessary to repeal Implementing Regulation (EU) 2021/451. (4) The provisions in this Regulation are closely linked, since they deal with institutions’ reporting requirements. To ensure coherence between those provisions, and to facilitate a comprehensive view and compact access to them by persons subject to those obligations, it is desirable to include all related implementing technical standards required by Regulation (EU) No 575/2013 in a single Regulation. (5) In particular, the capital adequacy templates should be amended to include reporting information on the output floor in the own funds requirements and capital ratios, comprising in those templates the impact of transitional provisions for the output floor. Templates including modelled reporting data should be similarly updated to also include the impact of the output floor and of transitional provisions. For credit risk, a separate template should be added for institutions to report Internal Ratings Approach (‘IRB’) exposures subject to the output floor. In the group solvency templates a new column should be introduced to report the floor adjustment for entities subject to own funds requirements. (6) Credit risk templates for the Standardised approach (‘SA’) should be updated to reflect changes in the exposure classes, new risk weights, the more granular
approach applied to exposures secured by mortgages on immovable property and some changes in the calculation of the exposure value of off-balance sheet items. (7) Credit risk templates for the IRB should be updated to reflect changes in the exposure classes, namely to limit the use of Institutions and Large Corporates exposures under 16 Regulation (EU) 2024/1623 of the European Parliament and of the Council of 31 May 2024 amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor (OJ L, 19.6.2024, ELI: http://data.europa.eu/eli/reg/2024/1623/oj).

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 Foundation-IRB (‘FIRB‘) and to include new exposure classes such as Public sector entities (PSEs) and regional governments or local authorities (RGLAs). Moreover, instructions should be amended to reflect the new calculations of the effects of funded credit protection under the FIRB approach and the effect of unfunded credit protection under the Advanced-IRB approach. Finally, the templates should be amended in order to add the reporting of both standard and own computation credit conversion factors. (8) The reporting of non-performing exposures loss coverage should be amended to reflect the changes in the scope of exposures subject to the requirements and the changes in the provisioning calendar. (9) The reporting of transitional provisions for exposures to crypto assets should be included in a new template to reflect the total risk exposure amounts for these exposures. (10) The reporting of aggregate data for each national immovable property market (“IP Losses”) should be amended in accordance with the specific reporting obligations specified in Regulation (EU) 2024/1623. (11) The reporting of credit valuation adjustments (‘CVA’) should be amended to reflect the standardised, basic and simplified approaches and to capture some specific reporting requirements on CVA risk. (12) Regulation (EU) 2024/1623 revised the framework for the boundary between the trading and the non-trading book. The reporting should be amended to include information on the composition of the trading book with regards to the presumptions stipulated in
Article 104 of Regulation (EU) 2024/1623.
(13) Regulation (EU) No 2022/2036, amending Regulation (EU) No 575/2013, has introduced an additional deduction from the total exposure measure of the leverage ratio, amending
Article 429a(1) of that Regulation by introducing point (q). This requirement will apply
from 1 January 2024. As a result, the leverage ratio reporting should be updated to reflect the new requirements and adjustment in the exposure calculation. (14) Articles 2 and 3 of Implementing Regulation (EU) 2021/451 should be amended in order to clarify that the reporting of the templates covered by Article 8 of that Regulation should be aligned to the financial year-end dates. (15) Article 4 of Implementing Regulation (EU) 2021/451 should be amended to allow entities that engage into the activities of a credit institution for the first time more time to submit the templates subject to the thresholds set out in that Article. (16) To provide institutions with sufficient time to prepare for reporting in accordance with this Regulation, for the first remittance date, transitional provisions should be included with regard to the reporting of data with a quarterly reporting frequency relating to the reference date 31 March 2025, to be reported by 30 June 2025 at the latest. (17) To provide institutions with sufficient time to prepare for the reporting of information on the composition of the trading book in accordance with this Regulation, transitional provisions should be included to allow for a later first reference date of this reporting to 30 September 2025. (18) Moreover, templates and instructions of Implementing Regulation (EU) 2021/451 should be reviewed to reassess the convenience and appropriateness of items included in that Regulation as well as to correct typos, erroneous references and formatting inconsistencies which were discovered in the course of its application.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 (19) This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority (EBA). (20) The EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits, and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council ( 17), with the exception of the provisions reflecting the amendments of Regulation (EU) No 575/2013 by Regulation (EU) 2020/873. (21) To provide institutions with sufficient time to prepare for reporting in accordance with this Regulation, it should enter into force on the day following the date of its publication in the Official Journal of the European Union, HAS ADOPTED THIS REGULATION:
Article 1
Subject matter and scope

This Regulation lays down uniform reporting formats, the frequency and dates
of reporting, as well as the definitions, for the reporting by institutions to their competent authorities in accordance with Article 415, paragraphs 3 and 3a, of Regulation (EU) No 575/2013, and Article 430, paragraphs 1 to 4, 7 and 9 of that Regulation.
Institutions shall submit to competent authorities the information described in
this Regulation by using the IT solutions including the templates and instructions, published on the European Banking Authority website.
Article 2
Reporting reference dates
Institutions shall submit information to competent authorities as this
information stands on the following reporting reference dates:
(a) monthly reporting: on the last day of each month; (b) quarterly reporting: 31 March, 30 June, 30 September and 31 December; 17 Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 (c) semi-annual reporting: 30 June and 31 December; (d) annual reporting: 31 December.
2. Financial information in accordance with IFRS and with national accounting
frameworks and referring to a certain period, shall be reported cumulatively from the first day of the accounting year to the reference date.
3. Where institutions are permitted by national laws to report their financial
information based on their accounting year-end, which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information, of information reported in accordance with
Article 8 and of information for the purposes of identifying global systemically
important institutions (G-SIIs) and assigning G-SII buffer rates is done every three, six or twelve months from their accounting year-end, respectively.
Article 3
Reporting remittance dates

Institutions shall submit information to competent authorities by close of
business on the following remittance dates:
(a) monthly reporting: 15th calendar day after the reporting reference date; (b) quarterly reporting: 12 May, 11 August, 11 November and 11 February; (c) semi-annual reporting: 11 August and 11 February; (d) annual reporting: 11 February.
If the remittance day is a public holiday in the Member State of the competent
authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.
Where institutions report their financial information or information reported
in accordance with Article 8 or the information for the purposes of identifying G-SIIs and assigning G-SII buffer rates using adjusted reporting reference dates based on their accounting year-end as set out in Article 2(3), the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.
Institutions may submit unaudited figures. Where audited figures deviate
from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor’s opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6
5. Other corrections to the submitted reports shall also be submitted to the
competent authorities without undue delay.
Article 4
Reporting thresholds – entry and exit criteria

Institutions that meet the conditions set out in in Article 4(1), point (145), of
Regulation (EU) No 575/2013 shall start reporting information as small and non-complex institutions on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
Institutions that meet the conditions set out in Article 4(1), point (146), of
Regulation (EU) No 575/2013 shall start reporting information as large institutions, on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
Institutions shall start reporting information subject to the thresholds set out
in this Regulation on the next reporting reference date after those thresholds have been exceeded on two consecutive reporting reference dates. Institutions may stop reporting information subject to the thresholds set out in this Regulation on the next reporting reference date after they have fallen below the relevant thresholds on three consecutive reporting reference dates.
By way of derogation from paragraph 3, institutions shall start reporting in
accordance with the requirements set out in this Regulation where they meet any of the following conditions in the six months preceding the reference date:
(a) they have obtained the authorisation to commence their activities as a credit institution pursuant to the national transposition measures for Article 8 of Directive 2013/36/EU 18; (b) they are investment firms that become subject to the compliance with the provisions of Regulation (EU) No 575/2013, by virtue of exceeding the threshold set out in Article 4(1), point (b) of that Regulation or by virtue of a 18 Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27/06/2013, p. 338 ELI: http://data.europa.eu/eli/dir/2013/36/oj).

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 decision of the competent authority in accordance with Article 5 of Directive (EU) 2019/2034 19; (c) they are entities resulting from either the merger of at least two institutions or the split of an institution into at least two institutions.
5. For the institutions referred to in paragraph 4, the following shall apply in
relation to their reporting subject to the thresholds set out in this Regulation for the first two reference dates:
(a) if they exceed the relevant threshold already on the first reference date, institutions shall report the information that is subject to that threshold both for the first and for the second reference dates; (b) if they exceed the relevant threshold only on the second reference date, institutions shall report the information that is subject to that threshold on the second reference date. Institutions may stop reporting information on the next reporting reference date where they have fallen below the relevant thresholds referred to in points (a) and (b) on three consecutive reporting reference dates.
Article 5
Reporting on own funds and own funds requirements on an individual basis – quarterly reporting

In order to report information on own funds and on own funds requirements
in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit the information referred to in this Article as specified in the IT solution named ‘Reporting on own funds and own funds requirements - 2024 - version 1’ [made available on the EBA website] with a quarterly frequency.
Until the date of application of the use of the alternative approaches set out
in Part Three, Title IV, Chapters 1a and 1b of Regulation (EU) No 575/2013 for the purposes of actually calculating the own funds requirements referred to in Article 92(4), points (b)(i) and (c), and Article 92(5), points (b) and (c), 19 Directive (EU) 2019/2034 of the European Parliament and of the Council of 27 November 2019 on the prudential supervision of investment firms and amending Directives 2002/87/EC, 2009/65/EC, 2011/61/EU, 2013/36/EU, 2014/59/EU and 2014/65/EU (OJ L 314, 5.12.2019, p. 64, ELI: http://data.europa.eu/eli/dir/2019/2034/oj).

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 of that Regulation, institutions shall submit the information in accordance with
Article 5(12) of Commission Implementing Regulation (EU) 2021/451 in the
version applicable on [the day before the entry into force of this Regulation].
Article 6
Reporting on own funds and own funds requirements on an individual basis – semi-annual reporting In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit the information referred to in this
Article as specified in the IT solution named ‘Reporting on own funds and own
funds requirements - 2024 - version 1’ [made available on the EBA website] with a semi-annual frequency.
Article 7
Reporting on own funds and own funds requirements on a consolidated basis In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information as specified in the IT solution named ‘Reporting on own funds and own funds requirements - 2024

version 1’ [made available on the EBA website] as follows:
(a) the information of the IT solution that further specifies the reporting required pursuant to Articles 5 and 6 of this Regulation with the frequency specified therein; (b) the information of the IT solution that further specifies the reporting relating the group solvency regarding entities included in the scope of consolidation, with a semi-annual frequency.
Article 8
Reporting on own funds and own funds requirements – additional reporting requirements on individual and consolidated basis

Institutions subject to a requirement to disclose the information referred to in
Article 438, points (e) or (h), or Article 452, points (b), (g) or (h), of Regulation
(EU) No 575/2013 with the frequency set out in Article 433a or Article 433c,

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, of that Regulation, as applicable, shall submit the information as specified in the IT solution named ‘Reporting on own funds and own funds requirements - 2024 - version 1’ [made available on the EBA website] with the same frequency and on the same basis.
2. Institutions subject to a requirement to disclose the information referred to in
point (l) of Article 439 of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, of that Regulation, as applicable, shall submit the information as specified in the IT solution named ‘Reporting on own funds and own funds requirements

2024 - version 1’ [made available on the EBA website] with the same
frequency and on the same basis.
Article 9
Reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on an individual basis

Investment firms that apply the transitional provisions of Article 57(3) of
Regulation (EU) 2019/2033 20 shall submit information as set out in this Article.
In order to report information on own funds and on own funds requirements
in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, with the exception of information on the leverage ratio, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the information as specified in the IT solution named ‘Reporting on own funds and own funds requirements - 2024 - version 1’ [made available on the EBA website] with the same frequency and on the same basis.
In order to report information on own funds and own funds requirements in
accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the information as specified in the IT solution named ‘Reporting on own funds and own funds requirements - 2024 - version 1’ [made available on 20 Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements of investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 OJ L 314, 5.12.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/2033/oj).

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 the EBA website] with the frequency laid down in Articles 5 and 6 of this Regulation.
Article 10
Reporting on own funds and own funds requirements for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on a consolidated basis

Investment firms that apply the transitional provisions of Article 57(3) of
Regulation (EU) 2019/2033 shall submit information as set out in this Article.
In order to report information on own funds and on own funds requirements
in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, with the exception of information on the leverage ratio, investment firms of groups that consist only of investment firms making use of
Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of
Regulation (EU) No 575/2013 shall submit the information as specified in the IT solution named ‘Reporting on own funds and own funds requirements - 2024

version 1’ [made available on the EBA website] with the same frequency.

In order to report information on own funds and on own funds requirements
in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups that consist only of investment firms subject to Article 95 and investment firms subject to Article 96 or of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the information as specified in the IT solution named ‘Reporting on own funds and own funds requirements - 2024 - version 1’ [made available on the EBA website] with the same frequency.
Article 11
Reporting on financial information on a consolidated basis for institutions subject to Regulation (EC) No 1606/2002 of the European Parliament and of the Council 21 In order to report financial information on a consolidated basis in accordance with Article 430(3) or (4) of Regulation (EU) No 575/2013, institutions shall submit the information referred to in this Article as specified in the IT solution 21 Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11/09/2002, p. 1, ELI: http://data.europa.eu/eli/reg/2002/1606/oj).

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 named ‘Reporting on Financial information according to IFRS - 2024 - version 1’ [made available on the EBA website] with the same frequency.
Article 12
Reporting on financial information on a consolidated basis for institutions applying national accounting frameworks Where a competent authority has extended the reporting requirements on financial information to institutions established in a Member State in accordance with Article 430(9) of Regulation (EU) No 575/2013, institutions shall submit the financial information on a consolidated basis as specified in the IT solution named ‘Reporting on Financial information according to GAAP - 2024 - version 1’ [made available on the EBA website] with the same frequency.
Article 13
Reporting on losses stemming from lending collateralised by immovable property in accordance with Article 430a(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis

Institutions shall submit information on losses stemming from lending
collateralised by immovable property in accordance with Article 430a(1) of Regulation (EU) No 575/2013 on a consolidated basis as specified in the IT solution named ‘Reporting on information on losses stemming from lending collateralised by immovable property - 2024 - version 1’ [made available on the EBA website] with an annual frequency.
Institutions shall submit information on losses stemming from lending
collateralised by immovable property in accordance with Article 430a(1) of Regulation (EU) No 575/2013 on an individual basis as specified in the IT solution named ‘Reporting on information on losses stemming from lending collateralised by immovable property - 2024 - version 1’ [made available on the EBA website] with an annual frequency.
Where an institution has a branch in another Member State, that branch shall
submit to the competent authority of the host Member State the information as specified in the IT solution named ‘Reporting on information on losses stemming from lending collateralised by immovable property - 2024 - version 1’ [made available on the EBA website] with an annual frequency.
Article 14

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 Reporting on large exposures on an individual and a consolidated basis In order to report information on large exposures to clients and groups of connected clients in accordance with Article 394 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in the IT solution named ‘Reporting on large exposures

2024 - version 1’ [made available on the EBA website] with the same
frequency.
Article 15
Reporting on leverage ratio on an individual and a consolidated basis

In order to report information on the leverage ratio in accordance with Article
430(1), point (a), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in the IT solution named ‘Reporting on the leverage ratio - 2024 - version 1’ [made available on the EBA website] with the same frequency.
Institutions shall calculate the leverage ratio at the reporting reference date
in accordance with Article 429 of Regulation (EU) No 575/2013.
Article 16
Reporting on the liquidity coverage requirement on an individual and a consolidated basis
In order to report information on the liquidity coverage requirement in
accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in the IT solution named ‘Reporting on the liquidity coverage requirement - 2024 - version 1’ [made available on the EBA website] with the same frequency and on the same basis.
For the purposes of reporting the information set out in the IT solution named
‘Reporting on liquidity coverage - 2024 - version 1’ [made available on the EBA website] shall take into account the information submitted for the reference date and the information on the cash-flows over the 30 calendar days following the reference date.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6
Article 17
Reporting on stable funding on an individual and a consolidated basis In order to report information on stable funding in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information referred to in this
Article as specified in the IT solution named ‘Reporting on stable funding - 2024

version 1’ [made available on the EBA website] with a quarterly frequency.
Article 18
Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis When reporting information on additional liquidity monitoring metrics in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit information, as specified in the IT solution named ‘Reporting on additional liquidity monitoring metrics - 2024 - version 1’ [made available on the EBA website] with the same frequency.
Article 19
Reporting on asset encumbrance on an individual and a consolidated basis In order to report information on asset encumbrance in accordance with Article 430(1), point (g), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in the IT solution named ‘Reporting on asset encumbrance - 2024 - version 1’ [made available on the EBA website] with the same frequency.
Article 20
Supplementary reporting for the purposes of identifying G-SIIs and assigning G-SII buffer rates

When reporting supplementary information for the purposes of identifying
G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall submit the information as specified in the IT solution named ‘Reporting for the purposes of identifying G-SIIs and assigning

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 G-SII buffer rates - 2024 - version 1’ [made available on the EBA website], on a consolidated basis with a quarterly frequency, where both of the following conditions are met:
(a)the total exposure measure of the group, including insurance subsidiaries, is equal to or exceeds EUR 125 000; (b)the EU parent or any of its subsidiaries or any branch operated by the parent or by a subsidiary is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council 22 .
2. In order to report supplementary information for the purposes of identifying
G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, institutions shall submit the information as specified in the IT solution named ‘Reporting for the purposes of identifying G-SIIs and assigning G-SII buffer rates - 2024 - version 1’ [made available on the EBA website], on an individual basis with a quarterly frequency, where all of the following conditions are met:
(a)the total exposure measure of the institution is equal to or exceeds EUR 125 000; (b)the institution is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014; (c)the institution is not part of a group that is subject to consolidated supervision in accordance with Chapter 1, Title II, Part One of Regulation (EU) No 575/2013 (“standalone institution”).
3. By way of derogation from Article 3(1), point (b), the information referred
to in paragraphs 1 and 2 of this Article shall be submitted by close of business on the following remittance dates: 1 July, 1 October, 2 January and 1 April.
4. By way of derogation from Article 4, the following shall apply with regard
to the thresholds specified in paragraph 1, point (a), and paragraph 2, point (a), of this Article:
(a)the EU parent institution, EU parent financial holding, EU parent mixed financial holding or standalone institution, as applicable, shall immediately start reporting the information in accordance with this Article where its leverage ratio exposure measure exceeds the specified threshold as of the end of the accounting year, and shall report this information for the end of that accounting year and the subsequent three quarterly reference dates; 22 Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1, ELI: http://data.europa.eu/eli/reg/2014/806/oj).

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 (b)the EU parent institution, EU parent financial holding, EU parent mixed financial holding or standalone institution, as applicable, shall immediately stop reporting the information in accordance with this Article where its leverage ratio exposure measure falls below the specified threshold as of the end of their accounting year.
Article 20a
Reporting on interest rate risk in the banking book on an individual and a consolidated basis In order to report information on interest rate risk in the banking book in accordance with Articles 84(5), 84(6) and 98(5a) of Directive 2013/36/EU on an individual and a consolidated basis, institutions shall submit the information referred to in these Articles as specified in the IT solution named ‘Reporting on interest rate risk in the banking book - 2024 - version 1’ [made available on the EBA website] with the same frequency.
Article 21
Data exchange formats and information accompanying submissions

Institutions shall submit the information in the data exchange formats and,
representations specified by the competent authorities, respecting the data point definition of the data point model and the validation formulae referred to in the IT solutions made available on the EBA website, as well as the following specifications:
(a) information that is not required or not applicable shall not be included in a data submission; (b) numerical values shall be submitted as follows:
(i) data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to ten thousands of units; (ii) data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals; (iii) data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units; (c) institutions and insurance undertakings shall be identified solely by their Legal Entity Identifier (LEI); (d) legal entities and counterparties other than institutions and insurance undertakings shall be identified by their LEI where available.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6
2. Institutions shall accompany the submitted data with the following
information:
(a) reporting reference date and reference period; (b) reporting currency; (c) accounting standard; (d) Legal Entity Identifier (LEI) of the reporting institution; (e) scope of consolidation.
Article 22
Transitional provisions

The remittance date for data with a quarterly reporting frequency relating to
the reference date 31 March 2025, for the information to be reported pursuant to Articles 5, 7 to 10 and in Article 15 of this Regulation, shall be 30 June 2025 at the latest.
The first reference date for information to be reported on the composition of
the trading book pursuant to Article 5 of this Regulation shall be 30 September 2025.
Article 23
Final provisions
Implementing Regulation (EU) 2021/451 is repealed.
References to the repealed Regulations shall be construed as references to this Regulation.
Article 24
Entry into force and application
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union. It shall apply from XXXXXX.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 This Regulation shall be binding in its entirety and directly applicable in all Member States.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6
4. Accompanying documents
4.1 Draft cost-benefit analysis / impact assessment
As per Article 15 of Regulation (EU) No 1093/2010 (EBA Regulation), any draft implementing technical standards (ITS) developed by the EBA shall be accompanied by an Impact Assessment (IA), which analyses ‘the potential related costs and benefits’. This analysis presents the IA of the main policy options included in this final report on the draft ITS amending Commission Implementing Regulation (EU) 2021/451 concerning output floor, credit risk, market risk, operational risk, crypto assets and leverage ratio (“the Draft ITS”). The analysis provides an overview of the identified problem, the proposed options to address this problem as well as the potential impact of these options. The IA is high level and qualitative in nature. D. Problem identification and background
Article 430(7) of the Regulation (EU) No 575/2013 (‘the CRR’) mandates the EBA to ‘develop draft
implementing technical standards to specify the uniform reporting formats and templates, the instructions and methodology on how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting (…).’. Under this mandate the EBA developed several ITS to create the reporting templates and their instructions but also, over time, to adapt these reporting templates and instructions to the related changes of the regulations. These ITS, adopted by the Commission, are now published by the Commission under the Commission Implementing Regulation (EU) 2021/451. Thus, this Regulation is important for institutions and competent authorities as it gathers the latest reporting templates and instructions; therefore this Regulation needs to be updated when the underlying related Regulation is modified. Currently, the EU co-legislators are finalizing amendments to the CRR in the context of the Capital Requirements Directive (CRD 6) and Capital Requirements Regulation (CRR 3) package. The CRR3 will implement Basel III reforms, which will underpin a robust regulatory framework, efficient supervision, and enhanced risk control by credit institutions. Some new or modified requirements from the CRR3, compared to the CRR2 have an impact on reporting elements and will thus make the current reporting templates and instructions out to date. Consequently, Commission Implementing Regulation (EU) 2021/451 needs to be amended to adapt reporting templates and instructions to CRR3 related requirements.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 B. Policy objectives The draft ITS amending Commission Implementing Regulation (EU) 2021/451 concerning output floor, credit risk, market risk, operational risk, crypto assets and leverage ratio aims at adapting the current reporting templates and instructions to the CRR3 related new requirements.
C. Options considered, assessment of the options and preferred options
Section C. presents the main policy options discussed and the decisions made by the EBA during
the development of the Draft ITS. Advantages and disadvantages, as well as potential costs and benefits from the qualitative perspective of the policy options and the preferred options resulting from this analysis, are provided. Output floor The CRR3 sets a lower limit to the capital requirements that are produced by institutions’ internal models, at 72.5% of the own funds requirements that would apply on the basis of standardized approaches. For the concerned exposures, in addition to the total risk exposure amount (TREA), a standardised total risk exposure amount (S-TREA) would be computed. The above-mentioned limit (the ‘output floor’) represents one of the key measures of the Basel III reforms and aims to reduce the excessive variability of institutions’ own funds requirements calculated using internal models, and thereby enhance the comparability of institutions’ capital ratios. Regarding the way the output floor elements would be reported by institutions for credit risk IRB exposures, the EBA considered two policy options. Option 1a: To request information on S-TREA in template C 02.00 only. Option 1b: To request information on S-TREA in template C 02.00 and to create a new template with the computation details of the S-TREA for IRB exposures with the split by standardised approach asset classes. The inclusion of a separate column with the standardised risk exposure amounts in C 02.00 would provide, in addition to the current credit risk IRB exposure amounts, the amounts that would have been computed with the credit risk standardised approach. As such, for each IRB exposure classes, both risk exposure amounts would be available to the supervisors. Nevertheless, the details of the computation of the standardised approach risk amounts for IRB exposures would not be provided as this is the case for the standardised approach exposures (in template C 07.00). These details are important information for the supervisors to be able to monitor the application of the different steps of computation of the risk weighted assets and, in fine, to perform their supervisory tasks. On these grounds, the option 1a has been rejected. In order to report these computation details, the creation of a new template was necessary. The costs associated with the production of this template by the institutions is not deemed to be significant as, in any case, the computation would have to be performed.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 Based on the above, the Option 1b has been chosen as the preferred option and the reporting will request information on S-TREA in template C 02.00 and have a new template with the computation details of the S-TREA for IRB exposures with the split by standardised approach asset classes. Information on transitional provisions for the output floor The CRR3 includes a phasing-in for the output floor and a transitional cap both set out in the Basel IV package. Furthermore, the CRR3 includes transitional provisions applicable to internally modelled approaches for the computation of S-TREA (mortgages, unrated corporates, CCR, securitisation). Regarding the necessity to add information on those transitional provisions in the COREP templates, the EBA considered two options. Option 2a: To request, in the reporting, information provisions applicable at the date of reporting without collecting information on the impact of transitional provisions applicable to internally modelled approaches for the computation of S-TREA. Option 2b: To request, in the reporting, the same level of granularity as used in the CRR3 for transitional provisions applicable to internally modelled approaches for the computation of STREA. Reflecting in the COREP templates the same level of granularity as used in the CRR3 for transitional provisions applicable to internally modelled approaches for the computation of S-TREA would naturally trigger reporting costs for the institutions. However, the CRR3 mandates the EBA to monitor those transitional provisions. As such, the costs generated by the inclusion in the COREP templates of the information related to these transitional provisions are absorbed by the inevitable costs triggered by this underlying mandate and this inclusion was deemed to be one economic solution in order to respond to this mandate. Based on the above, the Option 2b has been chosen as the preferred option and the reporting will request the same level of granularity as used in the CRR3 for transitional provisions applicable to internally modelled approaches for the computation of S-TREA. Immovable property – Standardised approach Under the Standardised approach for Credit risk, the CRR3 introduces a more granular approach for exposures secured by immovable properties. Thus, new sub-exposures were introduced such as Income-producing residential real estate (IPRRE), Income-producing residential real estate (IPCRE), Other income-producing real estate (Other-IPRE) or Acquisition, development and construction exposures (ADC). When it comes to deciding how the introduction of those sub-exposures should be tackled in the reporting, the EBA considered two options. Option 3a: To keep the reporting unchanged and not adding data request regarding new immovable property sub-exposures. Option 3b: To insert new rows in COREP templates C 02.00, C07.00 and C 09.01 in order to have the same level of granularity
as used in Regulation (EU) No 575/2013 for IPRRE (secured, unsecured (risk-weighted as not secured by immovable property)), IPCRE (secured, unsecured (risk-weighted as not secured by immovable property)), Other-IPRE, ADC.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 The addition of those sub-exposures by the CRR3 was notably made because of the impact of shortcomings of the current standardised treatments for real estate sector exposures in the financial crisis of 2008-2009. The CRR3 inserted for the standardised approach a more granular regulatory treatment for this sector’s exposures. Requesting in the reporting additional granular data on the subset of exposure classes for exposures secured by immovable property was thus deemed necessary in order to allow the supervisors to be able to perform their monitoring of the correct application of the related new CRR3 requirements and rules. The costs incurred to institutions should not be significant as the subsetting of exposure classes for exposures secured by immovable property would in any case (i.e. whether or not reported in the COREP templates) need to be performed. Costs would hence be exceeded by the aforementioned benefits. Based on the above, Option 3b has been chosen as the preferred option and reporting will insert new rows in COREP templates C 02.00, C07.00 and C 09.01 in order to have the same level of granularity as used in Regulation (EU) No 575/2013 for IPRRE (secured, unsecured (risk-weighted as not secured by immovable property)), IPCRE (secured, unsecured (risk-weighted as not secured by immovable property)), Other-IPRE, Other non-IPRE (with a split between residential/commercial in each case), ADC. Large corporates sub-exposure The CRR3 defines a separate treatment for a type of exposures inside the corporate exposures: the Large corporates. Large corporates are defined as any corporate undertaking having consolidated annual sales of more than EUR 500 million or belonging to a group where the total annual sales for the consolidated group is more than EUR 500 million. Regarding the necessity to add Large corporates as a separate sub-exposure in the IRB templates C 08.XX, the EBA considered two options. Option 4a: To add Large corporates as a separate sub-exposure in the IRB templates C 08.XX. Option 4b: Not to add Large corporates as a separate sub-exposure breakdown in the IRB templates C 08.XX. The CRR3 sets out a separate treatment for Large corporates exposures. However, the CRR3 – in the Article 147 - does not set Large corporates as a separate sub-exposure class for the IRB approach. Thus, the need of adding this exposure as a separate sub-exposure in the IRB template was not, at first sight, seen as automatic. On the other hand, the CRR3 foresees a special treatment for Large corporates as they can no longer be treated under A-IRB (except for positions treated according to Art. 151 (8) c) CRR3) and it was deemed necessary for the supervisors – in order to properly perform their supervisory tasks – to be able to monitor the correct application of this treatment. The inclusion of Large corporates as a sub-exposure breakdown in the form of a “memorandum item” in
the z-axis of the IRB templates C 08.XX and rows in the C 02.00 template was seen as an adequate solution for the performance of this monitoring. This inclusion could trigger costs of reporting for institutions but they should not be significant and furthermore – for institutions using the A-IRB approach for corporates – the costs of creating this sub-exposure would be in any way supported.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 Based on the above, the Option 4a has been chosen as the preferred option and the reporting will include Large corporates as a separate sub-exposure ” in the z-axis of the IRB templates C 08.XX and rows in the C 02.00 template. Collective Investment Undertakings Under the Internal Rating Based (‘IRB’) approach, the CRR3 creates a new exposure class for the exposures towards Collective Investment Undertakings (‘CIU’). Currently, when treated under the IRB approach, these exposures are reported across the existing underlying exposure classes based on a look-through/mandate-based approach but there is no view of the CIU positions as a whole. Under the Standardized approach (‘CR-SA’) CIU was already an exposure class and reported separately with thus information on the CIU positions as a whole but without information on the related underlying exposure classes. Regarding the way the new exposure class of CIU under IRB approach would be reported by institutions, the EBA considered three policy options. Option 5a: To only add a row “Collective investments undertakings (CIU)” on template C 02.00 Option 5b: To add a row “Collective investments undertakings (CIU)” on template C 02.00 and add the CIUs in templates C 08.01 (with split by method used as asked in template C 07.00) and C 08.07 Option 5c: To add a row “Collective investments undertakings (CIU)” on template C 02.00 and create a new template specifically for CIUs exposure class with a breakdown by lookthrough/mandate-based exposure classes (in this option, the CIU exposure class data requests would be removed from C 07.00 and C 08.00 templates). Given its importance, CIU has been set as a new distinct exposure class under IRB. With the single addition of one row in the template C 02.00 the information available, for CIU exposure class as a whole, will only be the risk exposure amount and this was deemed insufficient for supervisors to perform their supervisory tasks. On this ground, option 5a has been rejected. Creating a new template specifically for CIUs exposure class with a breakdown by lookthrough/mandate-based underlying exposure classes would have the full benefit of capturing information on the CIU positions but also on these underlying exposures. This full set of information would give a complete view for the supervisors. On the other hand, it is deemed that this would create a burden for the institutions and high additional costs. For this reason, option 5c has been rejected. In addition of the additional row in template C 02.00, leveraging on other existing templates to get further information on CIUs exposure classes under IRB was seen as a solution which could on one hand provide the supervisors with necessary data without incurring disproportionate costs for institutions. Based on the above, Option 5b has been chosen as the preferred option and reporting will add a row “Collective investments undertakings
(CIU)” on template C 02.00 and add the CIUs in templates C 08.01 (with split by method used as asked in template C 07.00) and C 08.07. Immovable property– IRB approach

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 Under the IRB approach for Credit risk, the CRR3 introduces a more granular approach for exposures secured by immovable properties. Thus, new sub-exposures were introduced such as Income-producing real estate (IPRE) or Acquisition, development and construction exposures (ADC). When it comes to deciding how the introduction of those sub-exposures should be tackled in the reporting, the EBA considered three options. Option 6a: To keep the reporting unchanged and not adding data request regarding new immovable property sub-exposures. Option 6b: To request the same level of granularity as for Standardised approach templates (see option 3) in COREP templates C 02.00 and in all C 08.XX templates. Option 6c: To request the same level of granularity as for Standardised approach templates (see option 3) in COREP template C 08.01 Option 6d: To request a lower level of granularity than for the Standardised approach templates in COREP template C 08.01 and to request the same level of granularity as for Standardised approach templates (see option 3) in template C 10.00 The addition of those sub-exposures by the CRR3 was notably made because of the impact of shortcomings of the current standardized treatments for real estate sector exposures in the financial crisis of 2008-2009. The CRR3 inserted a more granular regulatory treatment for this sector’s exposures. Requesting in the IRB templates additional granular data – as used for standardized approach templates – on the subset of exposure classes for exposures secured by immovable property was thus deemed necessary in order to allow the supervisors to be able to perform their monitoring and have comparability with the Standardised approach. For this reason option 6a was rejected. On the other hand, it has been noticed that requesting those granular data in C 02.00 and in all C 08.XX templates would be burdensome for institutions and trigger disproportionate costs. Furthermore, it was deemed sufficient for supervisors to get a lower level of detail (aggregate information on exposures secured by immovable property) only in one template (i.e. C 08.01 template) and to add instead the level of granularity of the standardized approach in the C 10.00 template where institutions shall report their IRB exposures and calculate the RWEA as under the standardised approach As such, the costs incurred to institutions should not be significant. Costs would hence be exceeded by the benefit of an ability for supervisors to be able to perform their monitoring. Based on the above, Option 6d has been chosen as the preferred option and the Draft ITS will request the same level of granularity as for Standardised approach templates (see option 3) in COREP templates C 08.01. Scope of entities that has to provide more detailed information about the composition of the banking and trading book The CRR defines two ‘books’ for the institutions’ positions in
financial instruments : the ‘trading book’ and the non-trading book (‘the banking book’). This distinction (the ‘boundary rules’) has implications in the risk weighted assets computation. The CRR3 modifies the revised framework for allocating positions to the trading book and banking book, including default assumptions for the

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 allocation to books, documentation and monitoring requirements. In order to monitor the correct application of these boundary rules, it was deemed necessary to request institutions to report information about them. However, regarding the scope of institutions that would have to provide that information, the EBA considered two options. Option 7a: To request boundary rules data from all institutions. Option 7b: To request boundary rules data only from institutions that have to apply the FRTB framework on a mandatory basis or the simplified standardized approach. Requesting information in the reporting about the boundary rules application would give a tool to the supervisors that would allow them to understand, to some extent, if the institution applied the boundary rules correctly. In the CRR3, the boundary rules apply to all institutions, whether they calculate the own funds requirements for their trading book business based on the credit risk framework, the simplified standardized approach or the FRTB approaches. As such, requesting all institutions to report the data on the boundary rules – even institutions whose trading book and business subject to market risk are small – seems appropriate. On the other hand, in the view of applying some proportionality that avoids triggering high compliance costs for smaller institutions, it was deemed relevant to request the provision of the boundary rules data at least from institutions which, if they broke these rules, would have likely misclassified a material amount of their business activities. For this purpose,the pertinent entity scope was seen as the institutions applying the FRTB approach (on a mandatory basis) or the simplified standardized approach, as this scope of entities is clearly identified by the CRR and gathers institutions that have at least enough market risk business to apply the market risk rules. One could argue that a material part of the business of institutions with significant non-trading (banking) books and small trading book could also be affected, if they breach the boundary rules, and that the implications of a misapplication of the boundary framework may be even more far-reaching (e.g. move from credit risk rules to an entirely different market risk framework). However, it is also assumed that such institutions will likely be invested in simpler instruments that meet (or do not meet) the criteria set out in Article 104 CRR more clearly. Also, it was considered that creating additional scopes of institutions (e.g. institutions with banking and trading books above a certain threshold other than the thresholds set out in Articles 94 or 325a CRR, or institutions meeting other criteria) would make the reporting framework more complex. Against these considerations, only institutions applying the FRTB framework on a mandatory basis or the simplified standardized approach are envisaged to be in the scope of
the reporting obligation. Based on the above, the Option 7b has been chosen as the preferred option and the reporting instructions will request boundary rules data only from institutions that apply the FRTB on a mandatory basis or the simplified standardized approach Data on operational risk losses The current reporting requires institutions to report details on operational risk events. One COREP template (C 17.01) requests detailed losses and recoveries by business lines and by event types as well as statistics on the distribution of such events and another COREP template (C 17.02) requests granular information on large loss events. In the context of changes brought by the CRR3, the EBA considered two options regarding the necessity to modify those templates.

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 Option 2a: To modify the COREP templates C 17.01 and C 17.02 for an application as of 1 January 2025. Option 2b: To keep the COREP templates C 17.01 and C 17.02 unchanged. Given the changes brought by the CRR3 to the operational risk framework and the requirements on operational loss data, the COREP templates C 17.01 and C 17.02 would need to be adjusted or decommissioned in favor of new templates to capture the new provisions. On the other hand, the CRR3 also foresees a series of Level 2 mandates which would impact the institution’s operational risk loss datasets and calculations and those mandates are in the process of development with a finalization expected at a later date. As such, if the modification or a replacement of the COREP templates C 17.01 and C 17.02 was done in this Draft ITS, another modification or replacement of those templates would have to be done at a later stage (i.e. when the additional level 2 mandates will have been developed). As keeping the current templates23 will not be contradictory with the Level 1 new obligations and the Competent Authorities could continue their monitoring of operational risk events with those templates from the time being, the costs for institutions and Competent Authorities of a double modification and changes of the templates is not deemed to exceed their benefits. Based on the above, the Option 2b has been chosen as the preferred option and the reporting will keep the COREP templates C 17.01 and C 17.02 unchanged and the EBA will reassess the need of modification in the light of the upcoming development of related operational risk Level 2 mandates. D. Conclusion The Draft ITS will amend the Commission Implementing Regulation (EU) 2021/451 in order to adapt the reporting templates and instructions with the underlying related changes of the Regulation (EU) No 575/2013 brought by the CRR3. For the institutions, the Draft ITS requirements are expected to trigger costs given that more information will be requested in existing templates and also some additional templates will be requested. However, the majority of these requirements are linked to the CRR3 changes and thus the costs are not all to be associated with the Draft ITS but with the underlying related changes brought by the CRR3. Moreover, these requirements are necessary to allow supervisors to perform an adequate monitoring of the application of the CRR3 and this benefit exceeds the costs for institutions and the additional costs of monitoring that will be incurred to the supervisors. Overall, the impact assessment on the Draft ITS suggests that the expected benefits are higher than the incurred expected costs.
4.2 Feedback on the public consultation
The EBA publicly consulted on the draft proposal contained in this paper. The consultation period began on 14 12 2023 and ended on 14 03 2024. 13 responses were received, of which 12 were published on the EBA website. 23 minor adjustments have been made to ensure full alignment with level 1 text

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 This paper presents a summary of the key points and other comments arising from the consultation, the analysis and discussion triggered by these comments and the actions taken to address them if deemed necessary. In many cases several industry bodies made similar comments, or the same body repeated its comments in the response to different questions. In these cases, the comments, and EBA analysis are included in the section of this paper where the EBA considers them most appropriate. Changes to the draft ITS have been incorporated as a result of the responses received during the public consultation. In addition, the EBA consulted on draft ITS concerning Operational risk (EBA/CP/2024/07) and a partial review (see Section 2.1) of the comments received can be read in the table below. In total 11 replies have been received, out of which 2 confidential responses. Summary of key issues and the EBA’s response Respondents showed a general support to the EBA’s proposal of amendments to the ITS on Supervisory reporting related to Amending Regulation (EU) 2024/1623 to Regulation (EU) No 575/2013 (CRR3). Many of the respondents raised issues on the short timeline for the implementation of these amendments (expected delivery of the final DPM 4.0 ITS pack in Q3 2024 and first reference period of reporting in Q1 2025, they suggest ways to decrease the burden, such as publishing the final updated ITS and relevant DPM as soon as possible, postponing the reporting of new templates, extending the remittance date period for the first two reference dates, increasing the data quality tolerance for the first remittance dates. In response, the EBA will extend the first remittance date to the end of June. Many of the respondents highlighted the high cost of compliance of the new reporting requirements on the output floor, including the reporting of the impact of the related transitional provisions, and of the more detailed reporting requirements on the treatment of the exposures secured by mortgages on immovable property in the SA and IRB templates, clarifications were asked on a few reporting aspects on those topics. Taking on board some suggestions, the instructions on the reporting of the output floor were made clearer and the breakdown of exposures secured by mortgages on immovable property has been aligned with the breakdown required for the Pillar 3 disclosures. The mortgages breakdown (according to the categories of mortgages set out in the standardised approach) in the IRB template C 08.01 has been reduced to a less detailed breakdown, nevertheless as the detailed breakdown of IRB mortgages is needed for supervisory analysis, it has been moved to template C10.00 which requires information on RWEA calculated under the standardised approach for IRB exposures. Another major concern of many of the respondents with regards to the high cost of compliance was the reporting of new exposure class
“CIUs” under the IRB approach. Respondents pointed out high cost of compliance of the new approach proposed for C 08.01 for CIUs due to the additional time that would be needed to obtain and present the necessary information. In response, the

FINAL REPORT ON AMENDMENTS TO THE ITS ON SUPERVISORY REPORTING – CRR3/CRD6 reporting of CIUs in the IRB templates was aligned with what is currently being reported in the CRSA templates for CIUs. Several respondents asked streamlining the breakdown of sub-exposure classes in the credit risk IRB templates C 08.XX, which has been taken on board. The breakdown has been aligned between IRB templates and with the CRR3 exposure classes. The exposure classes Corporates – Large corporates and Corporates – SMEs have been moved to the level of “memorandum items” subtemplates of the exposure class ‘Corporates’. The same approach has been applied to the breakdown for Retail in the IRB: the differentiation between SME and non-SME exposures has been moved to “memorandum items” sub-templates of the Retail – secured by immovable property (summarising the exposures from Retail - secured by residential real estate and commercial real estate from Retail- Other) and Retail – Other. A consistent approach has been applied in the template C 09.02 (geographical breakdown of IRB exposures), albeit keeping a more detailed breakdown for specialised lending exposures. The revised breakdown of sub-exposure classes in the credit risk IRB templates C 08.XX has been also reflected in the C 02.00 template. Finally, some respondents pointed out that the change in Article 47c of CRR3 was not reflected in the templates on the NPE loss coverage. In response, the templates and instructions have been updated. Besides, a new template ‘Exposures to crypto assets’ and related instructions have been added to the ITS to report the transitional treatment of exposures to crypto assets in accordance with Article 501d (paragraphs 2 and 3) of CRR3. Concerning operational risk, the development of the reporting requirements are closely linked with the development of other Level 2 policy products, a small package covering the minimum requirements for reporting on own funds requirements is published as part of Step 1, while the full package will be published later in the year, aligning the publication date with that for the other Level 2 products and finalising the review of all the feedback received.

Summary of responses to the consultation and the EBA’s analysis Amendments to the proposals General comments Timeline Respondents think that the timeline between the expected delivery of the final DPM 4.0 ITS pack (3Q
2024) and first reference period of reporting (1Q 2025)
is very short.
They ask the EBA to provide the banking industry with ways to decrease the substantial burden on institutions and support these handling all changes in such a challenging implementation deadline. Suggested ways to decrease the burden include: To publish the final updated ITS and relevant DPM as soon as possible. Postponing the reporting (and disclosure) of new templates. Extending the remittance date period for the first two reference dates. Increasing the data quality tolerance. The tight timeline and date of application of the ITS (with 31 March 2024 being the first reporting reference date) are driven by the level 1 text and date of application of CRR3. The extension of the remittance period for the first reporting will be granted (end of June instead of 12 May). As regards the data quality tolerance, it is being raised to 10000 monetary units instead of 1000, in line with what was announced when publishing the EBA guidelines on resubmission policy. The DPM will be published to allow for a 6-month period between the publication and the first remittance date. The remittance period for the first reporting (reference date 31 March 2025) will be extended (end of June instead of 12May). Output floor Respondents urge the EBA to amend the obligation for institutions to report the “fully loaded” risk-based capital ratio and the risk exposures amounts considering the impact of the output floor excluding On template C 03.00, the memorandum items on capital ratios without application of transitional provisions for the No amendment

Amendments to the proposals the EU transitional arrangements provided by Article 465 (3) to (7) of the CRR 3 text, from both ITS on supervisory reporting and P3 disclosures, considering that this information should be collected through ad hoc data collection and to limit the notion of “fully loaded output floor” capital ratios to the application of an output floor set at 72.5%. output floor (‘’fully loaded) and in template C 04.00 the ‘fully loaded’ floor adjustment, as well as the impact of transitional provisions on the output floor which shall be reported in the relevant templates are requested for the purpose of supervisory analysis and to provide quantitative data for EBA to fulfil CRR3 mandates for the EBA to monitor those transitional provisions. Track changes in final draft ITSs To ease the comparison between the consultation versions and the final amended versions, respondents ask the EBA to continue to provide the track changes versions of templates/disclosures between the current ITSs in application and the amended ITSs to be applied. Furthermore, they also ask to provide the track changes versions of templates and instructions between draft ITSs submit to consultation and final draft ITSs. The EBA will continue publishing the track changes version of the amended templates and instructions in comparison with the current applicable ITS. No amendment FINREP and COREP alignment Respondents highlight that the new SME definition of
article 5(8) CRR3 results in a de facto misalignment
between Financial Reporting (FINREP) and Common Reporting (COREP). In detail, for the purposes of COREP the new definition of SME in art. 5(8) CRR3, referring to the size "Turnover", will be included in field 5805 of the reporting base, while for the purposes of The definition of SME in COREP must reflect the new SME definition in the CRR3. In FINREP this will be considered as part of the changes in the next release. No amendment

Amendments to the proposals
FINREP the definition of SME will remain the one in
article 2(2) of Recommendation 2003/361/EC of 6 May
2003 which, referring also to the size "Number of employees", will be included in field 5804 of the reporting base. Definitions Respondents ask for further clarifications of definitions such as “Commitment” defined differently in articles 5(B)(9) CRR3 and 111(4) CRR3. Another comment is raised with regards to the exposures which are not considered as “Retail exposures”, more concretely, respondents ask for clarifications regarding “Derivative exposures to retail customers”. Clarifications about the definitions and allocation of exposures in the exposure classes set out in the CRR3 are out of the scope of the ITS on Reporting. No amendment Responses to questions in Consultation Paper EBA/CP/2023/39 Q1: Are the instructions and templates clear to the respondents? Four respondents agree that the instructions and templates are in general clear. However, eleven respondents see the need to clarify certain aspects. Two respondents argue that instructions should clearly clarify the COREP reporting requirements for all templates in case that FRTB application for OFR calculation is postponed. Furthermore, one respondent asks why some templates of FRTB transferred and some are not included in COREP Annex I report. On Template C 02.00, two respondents ask the EBA to clarify the feeding rules from rows 0036 to row 0590 As regards the FRTB, and market risk reporting in general, no instructions have been included at this stage into Annex II that would provide guidance on how to report in the scenario of a Delegated Act being issued by the Commission in accordance with Article 461a CRR3, given that it is not known at this stage if, and in which way, the Commission may make use of the Delegated Act. Further In template C 02.00, instructions on the output floor have been clarified. In the ITS, a reference to the level of application of the output floor has been added. In template C 07.00,

Amendments to the proposals and the consequent link to the other COREP templates. Furthermore, with regards to rows 0151 to 0158, two respondents state that in Template C 07.00 (which is referred to in the instructions of C 02.00) there are no specific rows with the IPRE/Non-IPRE breakdown, and the breakdown requested in C 08.01 has no impact in the calculation of the RWAs by IRB approach. An example to clarify this is requested. Regarding the same template, one respondent asks if exposures to which the whole loan approach is applied should be considered as secured or unsecured. Furthermore, four respondents argue that it should be made clearer that reporting requirements (rows, columns) concerning internal models (i.e. output floor; TREA) shall only be reported by institutions using internal models. One respondent asks for a more developed description of column 0020 in the same template. One respondent identifies an inconsistency regarding the calculation of TREA inside the regulatory text and an incapacity to implement this feeding into reporting and disclosure since the TREA is calculated only at group level or solo level with the sum of risks and no allocation rules are clearly defined anywhere. More guidance about what is to be reported in row 690 et. seq. is requested by two respondents, especially what needs to be reported in row 760. Additionally, the same respondents ask if this row should be used for mandatory requirements by competent authorities and/or for risk exposure amounts which could by guidance may be provided at a later stage (e.g. through Q&As). While all the market risk and FRTB reporting will be part of the ITS on Supervisory Reporting, once this amending ITS has been adopted, only the SSA templates (C 18-C22) and the boundary-related templates (thresholds, composition, reclassifications) are included in Annexes I and II for the moment. The ASA and AIMA templates have been included in a separate Annex due to the number of templates and length of instructions. It is envisaged to integrate all boundary- (TBT, BOU, MOV) and market-risk related templates (SSA-, ASA-, AIMA-, P&L-templates) into the COREP XBRL module at some point (possibly in v4.0). On template C 02.00, the feeding rules for column 0020 and the reason why there is no link to the corresponding other COREP templates will be clarified in the instructions. Column 0020 is requested for credit institutions subject to the the IPRE exposures meeting the criteria for being treated as nonIPRE have been moved to their original category (IPRE) and identified as “of which” rows in the relevant subexposure classes. The category “Other” has been broken down further between residential and commercial exposures secured by mortgages on immovable property. In template C 07.00, the label of the column 0195 has been renamed to clearly refer to the impact of

Amendments to the proposals assigned to a risk category like credit risk or market risk. On Template C 03.00, two respondents highlight that, with regards to rows 0360 to 0380, inside the regulatory references in Annex I and II, paragraphs 5(a) and 7 of the new art. 465 of Regulation should be added in addition to paragraph 3, 4, 5 and 5b. Another respondent asks for confirmation that no fully loaded capital ratios are required without taking into consideration the provisions of Articles 495 to 495h. On Template C 06.01, one respondent asks for clarification about the reconciliation of TREA indicated in column 0250, in line with the current DPM 3.2 - with TREA indicated in row 0010 column 0010 of template C 02.00 or with the row 0036 (U-TREA pre floor). On Template C 07.00, one respondent requests information on the monitoring of the new SCRA rating grade. Furthermore, the same respondent asks if the breakdown of the RW used for equity’s transitional provisions is expected to be reported in the row “Other risk weights”. The same respondent asks if in the case of currency mismatch, the breakdown by RW in the C
07.00 template is expected to be broken down before
or after applying the mismatch.
Regarding the same template, another respondent asks about what would happen with the reporting of the exposure in the "of which: SME" row if an institution does not apply the SME-supporting factor to certain exposures, because it does not have output floor: in the rows related to IM approaches the standardised TREA (S-TREA) shall be reported (for those rows there is no link to the corresponding templates), in the rows related to the SA approaches, the same amount as in column 0010 shall be reported (for those rows a link to the corresponding template will be inserted, it is the same as in column 0010). The row 0010 of column 0020 captures the total S-TREA which is required to calculate the output floor. The level of application of the output floor (Article 92(3), second subparagraph of CRR3) will be clarified in the ITS and in the instructions. Regarding C 07.00, the breakdown of exposures secured by mortgages on immovable property, similar to the breakdown in C 02.00, is in the z-axis. In C 08.01, this breakdown was presented in the consultation paper as “of which” rows for the purpose of supervisory analysis (it had no
Article 495d
CRR3.
The reporting of row 690 et. seq. has been clarified.
In C 08.01 instructions, the reference to
Article 228(2)
CRR has been replaced by
Article 230 CRR
(Article 228(2) has been deleted in CRR3).
The reference to
Article 465
paragraph 5(a)
CRR3 has been replaced by paragraph 7
CRR3.
In some columns of the templates
C 18.00, C 21.00,
C 22.00 and C
23.00, the reference to
Article 92 (7) of

Amendments to the proposals
'adequate current information' on the turnover for these, given also the changed instructions in Annex II for the "of which: SME" row (C07.00 row 0020). Furthermore, another respondent asks for clarification on whether the CR-SA template shall be reported also for sub-exposure classes. One respondent requests more information regarding the term “sub-exposure class”; its nature and purpose. Another respondent argues that it is still not very clear which exposure classes will be opened for the C07 (STD) and C08.1/C08.02 (IRB) reports. In template C 08.01, three respondents ask for further details on the reporting of CCFs under the IRB approach (columns 0101 to 0107). Regarding the same template C 08.01, article 228(2) has been deleted in the CRR3 proposal. Hence, it is not clear how institutions should report in column 0230 as well as in columns 0150 to 0210. On Template C 08.06, two respondents noticed that column 90 is missing in the corresponding reporting templates in Annex I. On Template C 09.02, two respondents suggest renaming row 0011 as follows to improve the understanding of the content and avoid misunderstandings: “Of which: Regional governments or local authorities” to “Of which: Regional governments or local authorities treated as exposures to central governments”. impact on the calculation of RWEAs). The breakdown in C
08.01 will be moved to C 10.00
where the standardised approach shall be applied to IRB exposures.
The reporting of the whole loan approach does not split the exposure between secured ad unsecured. The reporting of row 690 et. seq. will be clarified. In the template and instructions for C 03.00, the reference to
Article 465 paragraph 5(a) CRR3
will be replaced by paragraph 7
CRR3, the same as regards the templates and instructions on securitisations. The fully loaded capital ratios that are required to be reported in template C 03.00 only cover the transitional provisions related to the output floor (Article 465 CRR3). Indeed, the fully loaded capital ratios related to the output floor are required without taking into CRR3 has been replaced Article 92(6) of CRR3. On template C 34.07, the instructions for column 0040 have been corrected to refer to Article 230 CRR3 instead of Article 228(2 CRR). On templates C
14.00 and C 14.1,
the reporting of the columns
0015 ‘Unique identifier’ (LEI) have been clarified.

Amendments to the proposals
On Template C 10.00, a respondent asks for confirmation regarding the reference to a single paragraph of Article 465 (par. 5, point a) for column 0090; par. 5, point b) for column 0100; par. 3 for column 0110) or if it would be more correct to consider all the paragraphs included in art 465. On template 14.00, two respondents argue that more clarity would be welcome on the updated instructions, considering additional information is expected to be fulfilled by investors. Furthermore, four respondents ask for further clarification with regards to the unique identifier on securitization templates C 14.00 and C 14.01. One respondent asks about Article 465(7) of CRR3 that 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; and
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 (SRT), 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. consideration the provisions of Articles 495 to 495h. On template C 06.01, reconciliation of the TREA in column 0250 is expected with TREA indicated in row 0010 column 0010 of template C
02.00 and with the row 0036 (UTREA pre floor) for institution
applying internal models.
On template C 07.00 there is no specific requirement to report information on the SCRA rating grades. There is also no specific requirement to report information on the impact of the transitional provisions for equity in the IRB approach, the exposures subject to these transitional provisions shall be reported in the equity templates for the IRB (C 10.1, c 10.2). In the case of currency mismatch, the factor shall be included in the column 0220 of C 07.00 (RWEA after supporting factor). In C 07.00, template shall be reported also for sub-exposure classes. For exposures secured by mortgages on immovable

Amendments to the proposals
Additionally, on template C 14.01, columns 0430 to 0444, a respondent argues that it is impossible to define useful information for the generation of such columns for the Trading Book securitisations, because it is not possible to detail for each single ISIN the capital absorption / RWA resulting from the SBA Sensitivity/ Credit Spread Risk methodology, since the risk measure is aggregated through correlations dependent on regulatory buckets. On template C 14.01, one respondent notes that while columns 0460 and 0470 have been removed (according to Excel Annex 1) this has not been updated in Annex 2, which indicates the mandatory fields for trading securitisations. One respondent notes that in some columns of the templates C 18.00, C 21.00, C 22.00 and C 23.00, Art.
92.7 (the TREA) is mentioned; however, in the latest
CRR 3 version (trilogues published December 2023), the last section of Art. 92.6 is. Thus, they argue that it is necessary to verify that ITS Annex mentions Art. 92.6 of the latest publication. On template C 34.02, column 0250, one respondent requests confirmation with regards to the exclusive reference to paragraph (4) of Article 465 for reporting of the mentioned column or the consideration of all possible interrelations between paragraphs (3)(4)(5a)(5b) included in art 465. property. The breakdown by sub-exposure classes aims at aligning with the BCBS Pillar 3 Disclosures framework which requires a detailed breakdown by risk-weights, and it is also requested for the purpose of supervisory analysis. The breakdown of exposures secured by mortgages on immovable property in C 08.01 in “of which” rows (no subexposure classes) is requested for the purpose of supervisory analysis. For the IRB, the CRR3 introduces new rules for conversion factors. Also, the scope of the computation of own estimations of CCFs has been revised, as have the calculation methodologies. New columns have been introduced in C 08.01 and C 08.02 in order to cater for these changes and to capture the difference between modelled and standard CCFs. In C 08.01 instructions, the reference to Article 228(2) CRR will be replaced by Article 230

Amendments to the proposals
Another respondent asks for a clarification on the definition of the reporting for transitional provisions in C 34.02, columns 230 to 250. On template C 34.07, one respondent argues that the instructions for column 0040 are also referring to the removed article 228(2). Hence, these instructions should also be updated. . CRR (Article 228(2) has been deleted in CRR3). In template C 08.06 there is no column 0090, but in the instructions, there is column 0090: the columns will be put back in the template. In template C 09.02, the label of row 0011 reflects Article 147(2)(a1)(ii) of CRR3. On Template C 10.00, the memorandum items do not refer to all paragraphs of Article 465 but only those listed in the instructions. On template 14.00, originators have to report all the columns of the template. There is an exception for investors, which report fewer columns. In this case, the columns to be reported have expanded to gather information the investor has to know to apply SEC-SA (W, Ksa, and structure of the securitisation for A and D). This is necessary for supervisors to verify compliance of investors with the output floor.

Amendments to the proposals
Regarding the unique identifier on securitization templates C
14.00 and C 14.01, instructions
will provide additional clarifications. As per the instructions the unique identifier is defined in Article 11 of Commission Delegated Regulation (EU)2020/1224. The unique identifier should be reported for both the originator/sponsor and investor positions and is not expected to change depending on the level of the reporting (consolidated vs. sub-groups). As per point (a) of Article 11(1)(a) and 11(2)(a), the LEI (first item of the unique identifier) is strictly defined as the one of the “reporting entity” as defined in Article 7(2) of Regulation (EU) 2017/2402. In some cases the institution reporting the COREP templates and the “reporting entity” (e.g. if it is the originator or sponsor), in some cases not. As per Article 11 (3) of Commission Delegated Regulation (EU) 2020/1224), unique identifier cannot be amended by the reporting entity, which implies that they

Amendments to the proposals cannot be amended for the purpose of the reporting in the COREP templates. SRT does not intervene at all in the related columns. Any securitisation position RWEA reported by an originator (which obviously implies that SRT has been achieved) or an investor under SEC-IRBA or IAA has to be recalculated for the purposes of the output floor under the SECSA in accordance with Art 456(7). And the aggregated amounts have to be reported in these new columns 0921-0924 and 940-960. As regards the reporting of information on the RWEA for securitisations in the trading book (columns 0430 to 0444), it is correct that the portfoliofocused ‘mechanics’ of the market risk approaches makes it challenging to identify the RWEA associated with a single securitisation transaction. At the same time, leaving these columns empty for securitisations in the trading

Amendments to the proposals book could lead to information gaps and misinterpretations of the data by users. Against this background, the instructions as consulted already suggested reporting, as a ‘next best’- solution, the own funds requirements for specific risk in case of application of the SSA for the purposes of Article 92 CRR, and sum of the absolute value of all the weighted sensitivities of the securitisation to risk factors in case of application of the FRTB approaches for the purposes of Article 92 CRR. As regards the references to the multiplication of the own funds requirements for market risk by
12.5 for the purposes of
calculating the RWEA in the SSA templates, the erroneous references to Article 92(7) CRR have been replaced by references to Article 92(6) CRR. In template C 14.01 instructions (Annex 2), the columns 0460 and 0470 have been removed as in the template (Annex 1). In some columns of the templates C 18.00, C 21.00, C

Amendments to the proposals
22.00 and C 23.00, the reference
to Article 92 (7) of CRR3 will be replaced Article 92(6) of CRR3.
On template C 34.02, column
0250, the exclusive reference to paragraph (4) of Article 465 is correct as the template only refers to counterparty credit risk. On template C 34.07, the instructions for column 0040 will be corrected to refer to
Article 230 CRR3 instead of
Article 228(2 CRR).
Q2: Do the respondents identify any discrepancies between these templates and instructions and the calculation of the requirements set out in the underlying regulation? One respondent argues that after “go live” of phase 1 and before "go live" of phase 2, there will be discrepancies in the reporting as some reports will be done according to CRR2 and other reports will be done according to CRR3. One respondent asks for confirmation regarding their interpretation of the recalculation of SEC-SA for securitisation treated under SEC-IRBA and IAA. On Annex 2, one respondent notes that there is an error in paragraph 123 and says it should be rectified as follows: Secured by mortgages on commercial immovable property - non-IPRE (unsecured): Same as Phase 1 and phase 2 of the ITS on reporting are based on CRR3 (not on CRR2). The recalculation of SEC-SA for securitisation treated under SEC-IRBA and IAA stems from
Article 92(5) CRR3 (S-TREA).
On Annex 2, the instructions on exposures secured by mortgages on immovable property have been revised. Template C 35.02 has been amended to reflect amendments provided by CRR 3 to Article 47c of CRR. In template C 07.00 instructions, the decision tree

Amendments to the proposals above paragraph, only for the part of the exposure risk-weighted as an exposure to the counterparty that is not secured by residential [commercial immovable] property, in accordance with Article 126(1), point (b) of Regulation (EU) No 575/2013. On template C 02.00, four respondents argue that columns 0010 and 0020 are supposed to present the amounts of TREA and S-TREA, respectively. At the same time, the headline in row 0036 suggests that the following rows shall present pre-floor REA amounts. However, according to Art. 92(3), TREA is the maximum of the aggregate unfloored REA (U-TREA) and the aggregate standardised REA multiplied by the respective floor factor (x*S-TREA), meaning TREA is the REA amount after application of the output floor. On template C 03.00, one respondent asks to amend the template and the corresponding mapping-tool for the P3 reporting: Memorandum Items in row 0330 – 0350 and the corresponding instructions to limit the reporting of fully loaded capital ratios to a calculation without the Basel phase-in of the output floor factor according to Art. 465 (1) and (2) CRR only with remaining application of the EU-exemptions according to Art. 465 (3)- (7) CRR. Moreover, the same respondent argues that there is need for clarification of rows 0360 to 0380. On template C 05.01 and C 05.02, three respondents argue that the transitional provisions would not apply anymore, and this would be inconsistent with the regulation given long timeline before the end of the On template C 02.00, the prefloor TREA amounts shall be reported in row 0036. The adjustment to the pre-floor TREA amounts shall be reported in row 0035. This adjustment is the difference between the prefloor TREA and the TREA calculated in accordance with
Article 92(3) CRR3.
On template C 03.00, the memorandum items on capital ratios without application of transitional provisions for the output floor are requested for the purpose of supervisory analysis. On template C 05.01 and C 05.02, transitional provisions continue to apply in some cases. In template C 07.00, in the case of currency mismatch (Article 123a CRR3), the factor shall be included in the column 0220 of C
07.00 (RWEA after supporting
factor).
In template C 07.00 instructions, the decision tree will be revised to move exposures in the form of CIU after securitisations have been revised to move exposures in the form of CIU after securitisations positions and before the exposure class “equity”. Accordingly, row 0015 of template C 07.00 have been amended to include defaulted exposures in the exposure class ‘CIUs’.

Amendments to the proposals transitional mechanisms. Clarifications are requested on this. On template C 07.00, three respondents seek clarification for the reporting of retail exposures in combination with Article 123a CRR according to which retail exposure risk weights “assigned in accordance with Chapter 2 shall be multiplied by a factor of 1,5”. Given the fact that row 0280 “other risk weights” excludes retail exposures, they consider that further guidance is needed. Another respondent argues that when looking at the sequence of the exposure classes ‘equity exposures’ and ‘exposures in the form of units or shares in CIUs’, this might cause issues since there might be cases where a share in a CIU is structured such that it would also fulfil the exposure class ‘equity’. On template C 08.01, one respondent argues that institutions that use the F-IRBA should also report market values in column 0190. Due to the discount of 40% to be applied (Article 230 (2) CRR3), this approach should be considered sufficiently conservative. On template C 09.02, one respondent seeks clarification regarding the difference between row 0011 and 0012. On template C 09.04, one respondent asks if there is a need to update the structure of this template or the instructions that govern the feeding of market risk rows (rows 0030/0040/0090) or if it will be necessary to continue feeding C 09.04 based on pre-CRR3 metrics, with additional reporting costs to keep the positions and before the exposure class “equity”. Accordingly, row 0015 of template C 07.00 will be amended to include defaulted exposures in the exposure class ‘CIUs’. Regarding template C 08.01, the question on whether institutions that use the F-IRBA should also report market values in column 0190 and if due to the discount of 40% to be applied (Article 230 (2) CRR3), this approach should be considered sufficiently conservative, includes policy aspects that go beyond the scope of the ITS on reporting and should be clarified via the policy channels. On template C 09.02, the difference between row 0011 and 0012, instructions are clear (row 011 refers to Article 147(3a) of CRR3). On template C 09.04, and specifically the rows dedicated to market risk, guidance will be provided at a later stage subject

Amendments to the proposals previous pre-FRTB framework in place for C 09.04 purposes only. On templates C 10.01 and C 10.02, two respondents seek clarification as to where to report equity exposures grandfathered in accordance with Article 495 (1) of Regulation (EU) No 575/2013. In their opinion it would be appropriate to include those equity positions in template C 07.00 and introduce new rows for the equity risk weights as the IRB-approach is no longer applicable. On template C 34.02, three respondents argue that some cells in column 0250 should be greyed out. Furthermore, one respondent notes that in reporting instructions, in column 0230 and 0240, it is written “…in accordance with Article 92(54) of Regulation (EU) No 575/2013” and this article doesn’t exist in Regulation (EU) No 575/2013. On templates C 35.01, C 35.02, and C 35.03, two respondents argue that these templates should be amended in order to allow to reflect amendments provided by CRR 3 to Article 47c of CRR. On template C 08.02, one respondent states that the reference to the double default should be deleted in the title of the group of column s 150 to 210 as it is in the template C 08.01 for the same group of columns. to clarifications on the underlying policy framework. The reporting of equity exposures subject to the transitional provisions of Article 495 and Article 495a in templates C 10.01 and C 10.02 (CR EQ IRB) and in template C
07.00 (CR SA) has been clarified.
In template C 34.02, in column
0250, cells 0010, 0020, 0030,
0080, 0090, 0100, 0120 will be greyed out. Inconsistencies related to 92(54) of Regulation (EU) No 575/2013 will be corrected (Article 92(3) CRR3). Template C 35.02 will be amended to reflect amendments provided by CRR 3 to Article 47c of CRR. On template C 08.02, the reference to the double default will be deleted in the title of the group of column s 150 to 210 as it is in the template C 08.01 for the same group of columns. Q3: Do the respondents agree that the amended ITS fits the purpose of the underlying regulation? One respondent argues that in template 34.02, column 0250, some cells should be greyed as the alpha factor only applies in the calculation of exposure for In template C 34.02, in column 0250, cells 0010, 0020, 0030, In template C 34.02, in column 0250, cells 0010,

Amendments to the proposals transactions calculated with IMM method, and that are not SWWR (Specific Wrong-Way risk). Two respondents argue that templates C 35.01, C
35.02 and C 35.03 should be amended in order to allow
to reflect amendments provided by CRR 3 to Article 47c of CRR.
Two respondents argue that it is not acceptable that the templates and instructions are no longer part of the Commission Implementing Regulation ITS. The templates and instructions specify the content and thus go far beyond pure IT solutions. Furthermore, they argue that to ensure that the inclusion of the reporting templates and instructions in the ITS on reporting does not result in institutions not having sufficient time for implementation, the first reporting deadline should be postponed by six months to 30th September 2025, as requested above. They are in favour of publishing the final reporting templates and instructions at the same time as the EBA submits the final ITS draft to the EU Commission. 0080, 0090, 0100, 0120 will be greyed out. Template C 35.02 will be amended to reflect amendments provided by CRR 3 to Article 47c of CRR. Following Article 430(7) of the CRR 3, the uniform formats for the supervisory reporting requirements under Article 430(7) of Regulation (EU) No 575/2013 (CRR) will continue to be part of the ITS, but they will be made available in the form of IT solutions on the European Banking Authority website. The EBA will continue to follow the usual governance process which implies a 3 months’ consultation period and the first application of the templates and related instructions after their translation into all the EU languages. 0020, 0030, 0080, 0090, 0100, 0120 have been greyed out. Template C 35.02 has been amended to reflect amendments provided by CRR 3 to Article 47c of CRR. Q4: Cost of compliance with the reporting requirements: Is or are there any element(s) of this proposal for new and amended reporting requirements that you expect to trigger a particularly high, or in your view disproportionate, effort or cost of compliance? Three respondents highlight the need for prioritization and elimination of less relevant data points. According to them, a review of the existing data points should be carried out every time new data points are introduced. Data points that are outdated as per CRR3 provisions have been removed. No amendments

Amendments to the proposals
They propose some amendments to the ITS and ask to remove certain new templates. Three respondents argue that a more granular reporting on obligor or loan level would massively increase the cost for the reporting. Therefore, they suggest that the move to a more granular reporting of supervisory data should be integrated into the IReF initiative in a second step after this approach proved to be feasible in practice. Q5: Separate template C10.00 – IRB exposures subject to the output floor: Do you identify any issues regarding the introduction of this template? Would it be more useful to report the information in C08.01 to directly compare between capital requirements determined by the IRB approach and the SA? Three respondents argue that template C 10.00 should not require the reporting of the impact of the application of transitional provisions related to exposures secured by residential mortgages and unrated corporates. With regards to reporting the information in C 08.01, two respondents argue that this would lead to the preparation of a very complex template, although they do recognise the possible usefulness of including one column with the RWA under the SA. Four respondents argue that it is preferred to adopt an ad hoc template C 10.00, instead of inserting new columns in template C 08.01. Three respondents express their doubts and request further clarifications regarding columns 0090 to 0110. In C 10.00 columns 0090-0110 collect information on the impact of transitional provisions applicable to internally modelled mortgages and unrated corporates for the computation of S-TREA, this information is requested for supervisory purposed and for the collection of data in view of the EBA mandates related to the assessment of these transitional provisions. Template C 10.00 will be kept instead of inserting new columns in template C 08.01. No amendments

Amendments to the proposals
Q6: Reporting of transitional provisions for the output floor (Article 465 of Regulation (EU) No 575/2013):
Is the design for the reporting of transitional provisions for the output floor clear enough? If you identify any issues, please specify the related templates and instructions. Two respondents ask to remove the obligation for banks to report the “fully loaded output floor” riskbased capital ratios and related risk exposures amounts excluding the EU transitional arrangements provided by Article 465 (3) to (7) of the CRR 3 text, from both ITS on supervisory reporting and Pillar 3 disclosures, considering that this information should be collected through ad-hoc data collection not through supervisory reporting and to limit the notion of “fully loaded output floor” capital ratios to the application of an output floor set at 72.5%. In relation to template C 02.00, one respondent argues that it would be helpful to clarify whether cells corresponding to standardized approach should be in grey, or whether it is expected the same figure that for standardized approach figure for these exposures. One respondent argues that in template C 02.00, row 0036 and all rows below it are unfloored amounts and seek confirmation. One respondent asks for clarification to know for which rows in template C 10.00 the transitional Information on the “fully loaded output floor” risk-based capital ratios and related risk exposures amounts excluding the EU transitional arrangements provided by Article 465 (3) to (7) of the CRR 3 text is needed for supervisory analysis purposes. On template C 02.00, the feeding rules for column 0020 to will be clarified in the instructions: In the rows where internal models approaches are used to calculate the RWEA, the standardised amounts for these exposures shall be reported. In the rows where only standardised approaches are used to calculate the RWEA, the same amounts that are reported in column 0010 for these exposures shall be reported. The row 0010 of column 0020 captures the total S-TREA which is required to calculate the output floor. In template C
02.00 the
instructions on the feeding rules for column 0020 have been clarified. In the securitisations templates, the reference to
Article 465 (5b)
CRR3 has been replaced by
Article 465(7)
CRR3.

Amendments to the proposals provisions according to Article 465 (3) CRR3 are applicable. Furthermore, one respondent argues that it should be clarified whether the 65 % risk weight is also applicable to exposures to corporates within the exposure class “exposures secured by mortgages on immovable property“ (Article 124 CRR3 et seq.). One respondent asks to update the reference that is made in columns 0940 – 0960 of template C 13.01 as well as in columns 0451 - 0453 of template C 14.01 to the transitional regulation on securitisation exposures according to Article 465 (5b). One respondent argues that it delivers more complexity and will create huge efforts for the implementation in the internal systems and statutory reports. Furthermore, they argue that it is unclear how to proceed in C 34.02, in case you are already applying standard approach, what to fill in in output floor columns. One respondent argues that the accuracy of the data will be very challenging from an operational perspective in 2025 given the very short deadline for banks. On templates C 13.01 and C 14.01, one respondent argues that the title of the group of columns “Memorandum item” refers to paragraph 5d of article In template C 02.00, in column 0010, row 0036 and all rows below it are unfloored amounts. As regards which rows in template C 10.00 the transitional provisions according to Article 465 (3) CRR3 (65% risk weight for unrated corporates) are applicable, this question includes policy aspects that go beyond the scope of the ITS on reporting and should be clarified via the policy channels. The reference that is made in columns 0940 – 0960 of template C 13.01 as well as in columns 0451 - 0453 of template C 14.01 to the transitional regulation on securitisation exposures according to Article 465 (5b) will be replaced by Article 465(7) CRR3. In C 34.02, in case only the standardised approach is applied, the output floor columns are not relevant.

Amendments to the proposals
465 and should be modified, as it should refer to paragraph 7 that describes specific transitional provisions related to securitization. On templates and instructions C
13.01 and C 14.01, the
references paragraph 5d of
article 465 CRR3 will be replaced
by paragraph 7.
Q7: Group solvency template C06.02: Do you identify any issues with the new column 0075 introduced in the group solvency template C06.02 to report the floor adjustment of group entities subject to own funds requirements? Two respondents argue that for those EU entities subject to new capital and reporting requirements (CRR3), this information will be available. However, for other entities (third country entities), this column will not be completed. One respondent asks for further clarifications on the instructions for C 06.02, column 0075. They argue that a simplified numerical example would be helpful for a consistent understanding of the institutions. One respondent argues that information transfer about possible local floor adjustments would mean additional effort. In C 06.02, the floor adjustment in TREA calculated on an individual basis shall be reported for entities within the scope of consolidation. The instructions for the C6 templates provide clarifications on the reporting of group solvency templates. This information is needed for the purpose of supervisory analysis. No amendments Q8: Do you have any other comment on the changes to reporting related to the output floor? Two respondents ask for further clarifications in the case of a contract with a balance of 100 where the obligor is treated under IRB, which has an STD guarantor for 80 (20 would be risk weighted under IRB and 80 under STD). For the output floor, they ask if they should consider as original exposure only the 20 of the contract that has remained in IRB. One respondent states that the output floor has the original characteristic of being non-additive so as to consolidate. Furthermore, they argue that the EBA indicated during the virtual public hearing on January As regards in the case of a contract with a balance of 100 where the obligor is treated under IRB, which has an STD guarantor for 80 (20 would be risk weighted under IRB and 80 under STD), for the original exposure to be reported in column 0010 of template C
10.00 (original exposure preconversion factors), the
instructions refer to the
No amendments

Amendments to the proposals
23 that the reporting would only apply at consolidated level and that this will be considered to be made clearer in the instructions. Accordingly, they request that this clarification is added to the ITS instructions. instructions of template C 07.00, column 0010, which implies that the amount of 100 shall be reported. Then, for the calculation of own funds requirements, the STD guarantor for 80 shall be reflected as under the provisions set out for the standardised approach for credit risk. According to CRR3, the output floor applies at all levels of consolidation, except if jurisdictions apply the derogation in Article 92(3), second subparagraph, of CRR3. Q9: New subset of exposure classes for exposures “secured by mortgages on immovable property and ADC exposures”:
Do you identify any issues related to the introduction of this new subset? Is this proposal clear enough? If you identify any issues, please suggest how to clarify the reporting. One respondent argues that missing exposure information in z-axis (dimension) is not helping for consultation phase. Scope of application in all templates would be useful for implementing CRR III regarding sub-exposure classes. Any further delay in this respect is a risk for a timely implementation of Basel IV. Two respondents argue that it is unclear why the new subset of exposure classes exceeds the CRR requirements for exposure classes and ask for clarification. Furthermore, they argue that it leads to The level new subset of exposure classes for the exposure class “Exposures secured by mortgages on immovable property and ADC exposures” is based on the level of granularity of the Basel Pillar 3 disclosures with a more detailed breakdown for the category “Other”. This level of detail is also needed for the purpose of supervisory analysis. In template C 07.00, the IPRE exposures meeting the criteria for being treated as nonIPRE have been moved to their original category (IPRE) and identified as “of which” rows in the relevant sub-

Amendments to the proposals disproportionate effort and cost of compliance with no tangible benefits. Two respondents further argue that unlike the consultation paper described on page 32, the required split into the sub-exposure classes even for the C 02.00 does produce significant additional costs. Therefore, they argue that the splitting of further sub-results for the COREP reporting should be avoided. One respondent asks to provide additional guidance to avoid undesired allocation of corporate or retails exposures to the exposure class “Secured by mortgages on immovable property and ADC exposures.” One respondent considers that there should be the following changes to the templates: In C 07.00, only one exposure class for Secured by mortgage on immovable property and ADC (S0010 before). In C 08.01, suppression of lines 017 / 018 / 019 / 0910 / 0920 / 0930 / 0940 / 0950 and creation of a dedicated line for all the exposures link to Secured by mortgage on immovable property and ADC. In C 09.01:
Suppression of lines 091 / 092 / 093 / 094 / 0900 / 0901 / 0902 / 0903 / 0904. In C 02.00: Suppression of lines 0151 to 0159. One respondent asks for confirmation regarding their understanding of the proposal to achieve a consistent application among institutions. They argue that it is not very clear how reporting should be completed, as two possible interpretations are possible according to Regarding additional guidance to avoid undesired allocation of corporate or retails exposures to the exposure class “Secured by mortgages on immovable property and ADC exposures”, this question includes policy aspects that go beyond the scope of the ITS on reporting and should be clarified via the policy channels. The level of detail on exposures secured by mortgages on immovable property in templates C07.00, less granular in C08.01, C 09.01 and as added in C 10.00 (moved from C 08.01 after the public consultation) is needed for supervisory purposes. As regards the reporting for non-IPRE exposures and IPRE exposures, the detailed instructions including the legal references for the reporting of ‘Exposures secured by exposure classes. The category “Other” has been broken down further between residential and commercial exposures secured by mortgages on immovable property.

Amendments to the proposals them. The first example refers to non-IPRE exposures, the second to IPRE exposures. Three respondents would welcome more clarity regarding which exposures should be considered non IPRE for the purpose of capital requirements calculation in Article 127.3. Two respondents argue that for those exposures unsecured or any part of a non-ADC exposure that exceeds the nominal amount of the lien of the property if they are susceptible to apply CRMT, it should be reflected as entries in the categories of template C 07.00 by which they are guaranteed. The same respondent argues that the introduction of this new subset appears clear enough as regards the expectations from a reporting perspective. However, they believe that the rationale behind the introduction of this new breakdown does not appear clear. Furthermore, this new subset is introduced similarly to an exposure class instead of an additional breakdown mortgages on immovable property and ADC exposures’ provided in section 3.2.4.4 of
Annex II, part 2, are clear.
As regards which exposures should be considered non IPRE for the purpose of capital requirements calculation in
Article 127(3) CRR3, this
question includes policy aspects that go beyond the scope of the ITS on reporting and should be clarified via the policy channels. For those exposures unsecured or any part of a non-ADC exposure that exceeds the nominal amount of the lien of the property chapter 3.2.4.4 has been revised and not clarifies that those parts of the exposure are reported in the ‘other’ subexposure classes. The instructions for template C
07.00 provide the legal
references for each of the subset of the exposure class “Exposures secured by mortgages on immovable property”, which are also referred to in the instructions of

Amendments to the proposals
(in template C 07.00 particularly with the requirement of the reporting of a separate sheet for each subset). One respondent does not agree with the naming proposed for several rows relating to the new subexposure classes and suggests renaming rows. Furthermore, the same respondent requires clarifications on the scope of some specific exposure classes referred to in Article 112 of Regulation (EU) No 575/2013. In their view, corresponding instructions should be included for each row which represent the new sub-exposure classes within C 02.00, C 07.00 and C 09.00. templates where similar breakdowns are requested. Q10: Do you have any comment on the other changes included in the C 07.00 template? In C 07.00, two respondents report an issue at regulatory reporting level, due to the potential high cost of compliance for the generation of column 0241 and related ad hoc calculations to be run just for a view on CCF% without transitional provisions. Two respondents note that, as equity exposures form a single exposure class, in Annex I in template C 07.00, row 0015 it should read “exposure class” instead of “exposure classes”. New column 0241 has been introduced to allow for collecting data related to the EBA mandate set out in Article 495d CRR3. Regarding memorandum items, the sorting of the rows is driven by the technical numbering aspect. The level of detail of the new subset of exposure classes for the exposure class “Exposures New column 0241 has been introduced to allow for collecting data related to the EBA mandate set out in Article 495d CRR3, the label of this column has been clarified.

Amendments to the proposals
Regarding the reporting of the memorandum Items (rows 0290 – 0340) two respondents suggest sorting the rows by topic and not mix up “Exposures secured by real estate” with “Exposures in default”. Two respondents argue that the breakdown within the exposure class “Exposures secured by immovable property” is very detailed. In their opinion, it would reduce reporting costs and burden to scale down this breakdown and only keep a division by IPRE, Commercial Real Estate, Residential Real Estate, Other and ADC. One respondent considers that the ITSs are not clear enough with the application phasing period restitution in template C 07.00. According to them, it should be more explicit that the column “others” refers to the transitional multiplicators for the 10% CCF (article 495d of regulation (EU) No 575/2013. Lastly, one respondent argues that the breakdown of total exposures by risk weights should be available for all RW including phasing period as 160, 190, 220, 280 and 340% set out on article 495 a (1) and 495 a (2) of Regulation (EU) No 575/2013. secured by mortgages on immovable property and ADC exposures” is based on the level of granularity of the Basel Pillar 3 disclosures with a more detailed breakdown for the category “Other”. This level of detail is also needed for the purpose of supervisory analysis. The column 0195 “Other” related to the transitional CCFs for UCCs will be renamed to clarify the content. The reporting of equity exposures subject to the transitional provisions of Article 495 and Article 495a in templates C 10.01 and C 10.02 (CR EQ IRB) and in template C
07.00 (CR SA) has been clarified.

Amendments to the proposals
Q11: CIUs under the SA approach – Please also refer to question 16 on the reporting of CIU positions and underlying exposures under the IRB: Do institutions have information readily at their disposal on underlying exposures of CIUs in order to be reported as it is proposed to be done in C 08.01? Would this add substantial reporting costs? One respondent asks for further explanation in order to report this information. Two respondents do not consider this reporting needful and argues that it would generate additional work for banks. One respondent does not understand the question and its reference to question 16. They refer instead to their answer in question 15. One respondent argues that it is not clear if rows 0190 to 0210 are memorandum items or not. Furthermore, they argue that example in the consultation paper is also not clear since example 3 is the same as example
7. Furthermore, they ask for clarification regarding an
FBA to central banks.
One respondent argues that a reporting representation in line with what DPM 4.0 proposes for CIUs to IRBs to be reported in C 08.01 would add significant reporting costs. Lastly, the same respondent finds the presence of potential inaccuracies in the descriptive part of an example, which would not seem to match the numerical representation in the Templates within the example. The reporting of CIUs in the credit risk IRB template will be aligned with the reporting on CIUs in the credit risk SA template. The reporting of CIUs in the credit risk IRB template has been aligned with the reporting on CIUs in the credit risk SA template. Q12: Large corporates: Which option would be preferable taking into account the readily available data and reporting costs? Which one would be more advantageous for data analysis? Five members express preference for Option 1. Considering the EBA mandate set out in Article 147 (11) CRR3, to develop RTSs further specifying the conditions and criteria for assigning exposures The decision tree for the IRB has been removed. In template C 02.00, the breakdown

Amendments to the proposals to the classes referred to in paragraph 2 of Article 147 CRR3, and where necessary further specifying those classes, the decision tree for the corporate IRB exposure class will be removed. Instead, the breakdown of exposure classes of Art. 147 (2) c) CRR3 will be the breakdown of IRB exposures in the C 02.00 template and the zaxis of the C 08.XX, and for large corporates and on SMEs, subtemplates of this breakdown will be inserted. Level of detail will remain the same as in the CP. of exposures for corporates has been aligned with the CRR3 exposure classes. The large corporates and SME have been moved to subtemplates (memorandum items)of this breakdown in the C 08.XX. Q13: IRB retail: Is the breakdown of exposure class ‘Retail’ clear and unambiguous? Two members would appreciate more clarity on the following areas: whether there is also a decision tree for Retail, how they should treat retail – purchased receivables and if they should define this asset class before the rest of asset classes, or whether a predefined order is established. One member argues that, given the new structure of C
08.01 and C 09.02, the breakdown of Retail is not clear
but rather confusing.
Considering the EBA mandate set out in Article 147 (11) CRR3, to develop RTSs further specifying the conditions and criteria for assigning exposures to the classes referred to in paragraph 2 of Article 147 CRR3, and where necessary further specifying those classes, no decision tree for retail is included in the COREP instructions. The breakdown for IRB retail has been aligned with the CRR3. The differentiation between SME and non-SME exposures has been moved to “memorandum items” subtemplates of the Retail – secured by immovable

Amendments to the proposals property
(summarizing the exposures from
Retail - secured by residential real estate and commercial real estate and from Retail - other) and of RetailOther.. Q14: Further question on the corporates breakdown in C 09.02 Would it be less costly to report the whole breakdown of exposure classes of Art. 147 (2) c) CRR3, i.e. including ‘Corporates-other’ instead of reporting ‘of which’ items for Specialised Lending exposures and purchased receivables? Three respondents argue that it would be less costly to have all the detail (all the subcategories within the category of Corporates) in template C 09.02, consistent with the option 1 of question 12. One respondent argues that they are in line with the proposal to include all exposures as ‘of which’ but the list should be reviewed to be exhaustive. The breakdown of exposure classes of Art. 147 (2) c) CRR3 will be inserted (same as EBA analysis of question 12). Q15.1: CIUs according to Art. 147 (2) e1) CRR3: Is it clear how positions of exposure class CIU (Art. 147 (2) e1) CRR3 are to be reflected in the CR-IRB templates (C
08.01 to C 08.07)?
One respondent argues that the instructions related to the reporting of CIUs are not clear enough and they expect that the reporting framework for CIUs under the IRB approach would follow the existing framework under the SA for Credit risk. One respondent argues that it would be desirable for the purpose of template C 08.01 to have a reporting in line with what is already required in C 07.00 of DPM 3.2. See Q11. See Q11.

Amendments to the proposals
One respondent assumes that the new exposure class CIU is used for reporting in IRB templates and no longer underlying exposure classes but that in C 08.01 they will be both requested: underlying and CIU exposure classes. Q15.2: CIUs according to Art. 147 (2) e1) CRR3:
Regarding CIU positions whose underlying are securitisations or equity exposures, would it be clearer and easier to report these underlying exposures under the securitisation and equity templates (C 13.01 and C 10.01, respectively)? Inversely, should they be reported under the credit risk templates? Two respondents state that they do not see the advantages of reporting these exposures under the Credit Risk templates. It is the respondents’ understanding from the information provided in the instructions that the equity and securitization underlying exposures are already expected in the corresponding templates. Clarifications regarding this interpretation are requested. Two respondents also agree that the current approach is preferred. They argue that no disclosure should be required in the credit risk templates at the present time. One respondent argues that, for template C 10.01 and C 13.01, in case of look-through approach, it is clearer and easier to report the underlyings represented by securitizations into template C 13.00, and underlyings represented by equity into template C 10.01, if treated under AIRB approach. Lastly, they state that AIRB underlying credits will be added, according to IRB logic, inside C 08.01, feeding only row 0190: look-through approach (which even if feedable, would be redundant and not exhaustive). Currently, when treated under the IRB approach, CIU exposures are reported across the existing underlying exposure classes based on a lookthrough/mandate-based approach. No amendments

Amendments to the proposals
Q15.3: CIUs according to Art. 147 (2) e1) CRR3: If you identify any issues, please suggest how to clarify their treatment in the templates and/or instructions. One respondent points out a significant impact due to change of reporting setting and high cost of compliance related to template C 08.01. Furthermore, regarding the mandate-based approach:
one respondent argues that it is necessary to clarify why, in the Question 15.3 'Option 1', it is requested for the mandate-based approach to identify the underlying asset classes in the borrower's portfolios. They point out high cost of compliance due to the unavailability of such information. One respondent argues that examples in consultation paper are not correctly displayed and described. See Q11 See Q11 Q15.4: CIUs according to Art. 147 (2) e1) CRR3: Do institutions have information readily at their disposal on underlying exposures of CIUs in order to be reported as it is proposed to be done in C 08.01? Would this add substantial reporting costs? If so, how are those underlying exposures currently reported? Two respondents understand that most banks would not have this information immediately available, and that additional time would be needed to obtain and present the necessary information. Two respondents further argue that this case does not support the analytical view on template C 08.01. See Q11 See Q11 Q15.5: CIUs according to Art. 147 (2) e1) CRR3: Would it add substantial reporting burden for institutions if these exposures would be reported under a separate template where both the CIU positions and the underlying exposures would be reported under the corresponding exposure class? Would this approach be clearer? One respondent is in favour of the presentation in the familiar C 08.01 structure. They argue that the additional expense of a separate reporting form format cannot currently be quantified. One respondent argues that an additional template for the purpose of reporting CIUs would not bring clarity to the reporting framework. In view of the comments received, a separate template will not be introduced in the COREP reporting at this stage. No amendments

Amendments to the proposals
One respondent argues that the alternative approach with a separate template would be clearer. Two respondents highlight that the introduction of a new ad hoc template for feeding CIUs, assigned to the exposure class under Art. 147(2) and (1) CRR3. 147(2) and (1) CRR3, would require high compliance costs. Q16: Question on the mortgages breakdown in C 08.01:
Do institutions – in particular the ones applying own LGD estimates – have information readily at their disposal for providing this further split into “secured” and “unsecured”. Would this add substantial reporting costs? One respondent argues that the information is likely to be available across banks, but processes and controls would need to be updated with associated costs. Two respondents argue that this will vary among institutions with some having the information available, and others having to change the current process and assess in detail if these need some additional field to ensure the accuracy of the split and the consistency with the new requirement. Four respondents are of the opinion that if this split stays in the final version, it will generate costs for the implementation. The mortgages breakdown in C 08.01 is needed for supervisory analysis. Given the comments received, it will be kept, but reduced to a less detailed breakdown, based on CRR-definitions of IPRE, nonIPRE for residential and commercial immovable property and ADC. As the detailed breakdown of IRB mortgages is needed for supervisory analysis, it has been kept, but added in template C10.00 which requires information on RWEA calculated under the standardised approach for IRB exposures. The mortgages breakdown in C 08.01 will be kept but added to template C10.00. C08.00 will include a less detailed breakdown based on CRRdefinitions of IPRE, non-IPRE for residential and commercial immovable property and ADC. Q17: Revised instructions for template C 15.00: Are the revised instructions clear enough? If you identify any issues, please suggest how to clarify the reporting Two respondents believe that revised instructions and templates are clear enough. One respondent agrees with the removal of two columns referring to the mortgage lending value, in line with the amendments to Regulation (EU) No The amendment of Art. 430a is bringing different limits up to the losses which have to be reported in the columns 0010 No amendments

Amendments to the proposals
575/2013 (CRR 3). Nevertheless, they ask for further clarifications regarding certain aspects of the revised instructions within Annex 4. One respondent asks for clarification with regards to template C 15.00 – IP Losses. As current exposures are reported regardless of the approach used, given the reference to a specific methodology of the new STD approach, the respondent asks if the template will need to be generated from the FULL STD elaboration. One respondent argues that the amendment of Art. 430a is bringing different limits up to the losses which have to be reported in the columns 0010 and 0030. Therefore, they believe that some examples would bring additional support in better understanding the requested reporting positions. Two respondents suggest amending Art. 13 of regulation (EU) 2021/451 so that the IP Losses report is submitted only at highest level of consolidation within a member state. Furthermore, they ask for clarification as to why under paragraph 13 a) of Annex VII the part regarding estimated losses is deleted, while under paragraph 12 it is maintained. One respondent argues that with regards to the geographical breakdown by national real estate markets, it should be noted that the breakdown should not only be performed for each EU Member State but also separately for each national real estate market outside the EU. and 0030, nevertheless the methodology for reporting the information in the template C
15.00 has not changed.
For template C 15.00 – IP Losses, the standardised TREA as defined in Article 92(5) CRR3 for the purpose of the output floor shall not be used. The level of application of the IP losses report is set out in the CRR3 (individual and consolidate level) and reflected in the ITS on reporting (Article 13). As to why under paragraph 13 a) of Annex VII the part regarding estimated losses is deleted, while under paragraph 12 it is maintained: in paragraph 13 a) the part regarding estimated losses has been deleted because the same information is already contained in paragraph 13 b). With regards to the geographical breakdown, as explained in paragraph 4 of

Amendments to the proposals
One respondent would like to know if validation rules for COREP 15 IP Losses will be created as a result of this consultation. Furthermore, one respondent asks for clarification regarding the definition of "property value" in article
229.1 CRR3.
Lastly, one respondent asks for confirmation that for the figures in columns 0010, 0030 and 0050 the part above the lower of the pledged amount and 55%/100% of the property value is excluded.
Annex VII and in line with Article
430a (1) and (2) of CRR3, the template covers all national markets an institution/group of institutions is exposed to, the data shall be reported for each property market within the Union separately. The methodology for reporting the information in the template C 15.00 has not changed, hence no additional validation rules are envisaged for the template.
Article 430a refers to "property
value" which is defined in new point 74a of Article 4(1). for template C 15.00, instructions and especially paragraph 11, clarify the content of each row and column. Q18: Revised template C 25.00: Are the reporting template C25.00 and related instructions clear enough? If you identify any issues, please suggest how to clarify the reporting. Two respondents state that the instructions appear clear. However, they propose to remove lines 0040 to 0110 from template C 25.00 and report only necessary items with an adapted frequency in separate existing reports, such as QIS. One respondent states that the instructions are almost clear enough. Two respondents require clarifications regarding whether direct exposures to Central Institutions shall report the results of the calculation of the own funds requirements for CVA risk for transactions exempted in accordance with Article 382 CRR. Instructions are clear that direct transactions with CCPs are not Some amendments (see column “EBA analysis”).

Amendments to the proposals
Counterparties should be reintegrated as well (direct clearing). They argue that, according to Art. 382 (3) CRR, those direct exposures are exempted but in
Annex II only client transactions are mentioned.
One respondent requests further guidance on columns 0020, 0030 and 0040 in template C 25.00. One respondent requests further guidance on columns 0080, 0090 and 0100 in template C 25.00. One respondent requests clarification with regards to column 0020, since they argue that it is unclear which positions and values have to be reported in this column. On C 25.00 reporting instruction, column 0290, it is written “Article 92(7), point (b), of Regulation (EU) No 575/2013. Two respondents argue that it should be right to read “Article 92(6)” instead “Article 92(7)”. On C 25.00 reporting instruction, column 0020, it is written “Own funds requirements for CCR (Article 92(4), point (a) …”. Two respondents argue that it should be right to read “Article 92(4), point (f)” instead “Article 92(4), point (a)”. One respondent states that it is sufficiently clear how to calculate and report the CVA RWA. Re-introducing the exempted trades requires the calculation of a marginal impact. The consequence of this approach is that the sum of the marginal impact of the reintroduced exemptions, would not equal the results of row 40 (all exempted transactions) as CVA RWA is a portfolio calculation. to be reintegrated (they are excluded from the scope of CVA as per Article 382(3) CRR). Overall heading of columns 0010-0040 will be removed as it seemed to create confusion. The values to be reported should reflect the respective calculations made on the specific set of transactions identified by the rows. Regarding columns 0090 and 0100, the instructions are clear that the discount factor of 0.65 shall not be applied. Regarding column 0080, it has been clarified that the notional amount of the CVA hedges to be reported is the gross amount. For column 0290, the instructions will be corrected to refer to Article 92(6), instead of
Article 92(7)(b) of CRR3.
For column 0020, the instructions will be corrected to refer to Article 92(4), point (a) and (g) of CRR3. Regarding row 0040 (all transactions exempted), this

Amendments to the proposals
One respondent expects that columns 0060 to 0290 are not mandatory for row 0120 and asks for confirmation. One respondent states that according to the template for C 25.00 institutions should report own funds requirements for SFTs that are fair valued for accounting purposes in row number 0120 / column number 0060 and 0070. SFT’s are not one of the exemptions that institutions are required to report according to article 382 4b, and they are not covered by article 382.4. Hence, it should be stated in the instructions to the template for schema 25, that the reporting of row 0120 column 0070 is not mandatory. If the field is mandatory institutions are required to calculate own funds requirements for SFT’s using
article 384(3). The calculation in article 384(3) is
referring to the EAD calculation as specified in article 384(2) which is again referring to the methods set out in Title II, Chapter 6, Sections 3 to 6. Hence, institutions calculating EAD for SFT’s using the methods set out in Title II, Chapter 4 will be forced also to calculate EAD using the methods set out in Title II, Chapter 6, Sections 3 to 6. The cost of compliance of such a reporting requirement will be very high and disproportionate, cf. question 4 in the consultation paper. Lastly, one respondent states that regarding the reporting of the incurred CVA in column 0040 it is not practicable and would add substantial reporting costs to report all the memorandum items in rows 0040 to row 0040 is not the sum of rows below (each of the rows and sub-rows 0050-0110 cannot be added between them), This will be reflected in the validation rules. Row 0120 (SFTs) in the CP (130 in the final report) is needed to assessthe materiality of the CVA risk of SFTs, which is a relevant supervisory information and should also raise awareness to institutions. It shall be reported depending on the approach that the institution would use to calculate those requirements in accordance with the CRR, irrespective of the materiality of the CVA risk arising from SFTs. The label of the row in the template and instructions will be aligned with the QIS. Regarding EAD and the absence reference in CRR3 to chapter 4, this question includes policy aspects that go beyond the scope of the ITS on reporting. It is however expected that
chapter 4 could be applied to
determine the EAD of SFTs in the calculation of own funds

Amendments to the proposals
0120. We suggest reporting only one figure of the
incurred CVA in row 0010 as it is done currently. requirements for CVA risk, since the approaches in sections 3 to 5 of Chapter 6 are meant to be employed for derivative transactions in accordance with
Article 273 of the CRR.
Regarding the reporting of incurred CVA in column 0040, at this stage all rows will be greyed out except row 0010. Q19: Simplified standardized approach, market risk overview in C 02.00 and offsetting group concept in the group solvency templates:
a) Did you identify any issues regarding the representation of the (policy) framework regarding the simplified standardized approach, the overall RWEA for market risk and the offsetting group concept in the templates C 02.00, C 06.02, and C 18.00 to C 23.00? Are further amendments necessary to align the reporting with the CRR3? b) Are the amended templates and instructions clear? Three respondents seek clarification on the impact of a postponement of the FRTB in the reporting. The respondents note that the postponement would impact templates C 02.00, C 18.00 to C 23.00 and C
24.00. They seek confirmation that the cells of C 02.00
as well as the templates C 18.00 to C 23.00, dedicated to the simplified standardised approach, should be filled in under the assumption that a scaling factor of 1 applied to the own funds requirements calculated under the (old) standardised approach. Two respondents argue that the scope of template C
19.00 should be limited to securitisations in the
banking book, once the FRTB is introduced.
Two respondents note that Article 325(4) CRR3 permits the combined use of the three approaches (SSA, ASA, AIMA) at consolidated level and therefore As explained during the public hearing, the rows of C 02.00 dedicated to the simplified standardised approach in the revised ITS, as well as the templates C 18.01 to C 23.00 should be used, and can accommodate, the information on the standardised approach as currently applicable (under the CRR2), should the application of the ASA and AIMA be postponed beyond 2024 (assuming a scaling factor of 1). In absence of clarity about the date of the application of the

Amendments to the proposals requests not to impose any validation rule restricting the reporting of the related cells in template C 02.00. Respondents also indicate smaller editorial errors (e.g. missing update of the template labels) FRTB in the EU, template C 24.00 has been kept in the final package. In order to decouple the reporting by credit institutions and investment firms, in the light of transitional provisions on the application of the market risk framework by investment firms included in the investment firms regulation (Article 57(2) of Regulation (EU) 2019/2033), templates C 18 to C 23 have been renumbered to C 18.01 to C 23.01. The scope of template C 19.00 has been and remains limited to positions allocated to the trading book; the template will only have to be filled in by institutions applying the (simplified) standardised approach. The possibility to combine different approaches at consolidated level will indeed be considered for the development of validation rules.

Amendments to the proposals
The editorial issues have been corrected.
Q20 a): Did you identify any issues regarding the representation of the (policy) framework for the boundary in templates C 90.05 and C 90.06? Q20 b):Are the scope of application of the requirement to report the different templates, the scope of positions/instruments etc. included in the scope of every template, the template itself and the instructions clear? If not, please explain the issues needing clarification, and make a suggestion on how to address them Purpose/objective of the reporting and complexity Two respondents contest the introduction of reporting on the composition of the trading and banking books, arguing that supervisors can access the institutions’ internal guidelines and policies on the application of the boundary framework to verify institutions’ compliance with categorisation rules and have already insights through the new product process or audits. In the respondents’ view, there will be exceptionally high costs for implementing the two reporting templates. Another respondent deems the purpose and benefits of the two templates unclear. One respondent considers the general intention of the reporting requirement clear, but expects to discover issues regarding the design of the templates only once he/she proceeds to their implementation and testing, given the high level of complexity of required data. Application date Three respondents suggest putting the reporting on the composition of the books in place only, once the FRTB framework is applied for calculating the own funds requirements for market risk, pointing to the ‘no action letter’ published by EBA in 2023. Three other respondents propose postponing the reporting of this information by six months compared to the application date targeted for the CRR3-Step 1-package (i.e. to September 2025), in order to be able to stagger their Purpose of the reporting and complexity The boundary framework, including the presumption of the classification of instruments meeting certain criteria in the trading or non-trading book is one of the core new components of the Fundamental review of the trading book. While a reporting requirement cannot reveal every type of issue related to the compliance with these rules, it provides supervisors with a starting point for the assessment of the compliance and structured information for peer reviews. The EBA acknowledges that the reporting on the composition of the books, and in particular the banking book template, is among the more complex reporting requirements included in the ITS. For that reason (but notwithstanding future revisions), only the Template C 90.06 (banking book composition) dropped

Amendments to the proposals implementation efforts, prioritising the reporting on credit risk, and to await developments regarding the possible delegated act that the Commission may issue to postpone the application date of or modify the substance of the implementation of the FRTB framework in the EU. Long/short- and main risk driver breakdowns in the trading book template Two respondents contest the added value of requesting a breakdown by long and short positions as well as the breakdown by risk driver for the supervision of the institution. They also argue that neither the CRR2 nor the CRR3 require this breakdown. Four respondents point out that it is unclear how to identify long and short positions and the main risk driver. Three of them point to the yet pending development and publication of the ‘RTS on long and short positions’, while the fourth one presents several alternatives for identify the main risk driver. Scope of the trading book template (C 90.05) Three respondents request a clarification of the scope of positions to be included in the trading book template. More specifically, they seek confirmation that the positions not to be reported in the template are the positions described in Art.325a(2), point (a) (credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures and the credit derivative transactions that perfectly offset the market risk of the internal hedges as trading book template is kept at this point. Application date The boundary framework is a fundamental building block of the overall framework for calculating own funds requirements, as it decides whether an instrument or position is treated under credit risk or market risk rules. At the same time, the reporting on the composition of the banking and trading books from the viewpoint of the presumption on the classification is among the more complex reporting requirements. Weighing these two aspects, the application date for the trading book template (C 90.05) has been postponed by six months compared to the ‘main’ part of the CRR3-step 1-package (i.e. has been set to 30 September 2025 as first reference date). Long/short- and main risk driver breakdowns in the trading book template

Amendments to the proposals referred to in Article 106(3). They seek guidance whether the exclusion of these positions applies only to SSA institutions or all institutions. One respondent notes that there is no dedicated column requesting information on interest rate hedges, in the light of the attention given to those hedges by the CRR. Scope of the banking book template (C 90.06) Three respondents ask for a clarification of the scope of positions to be included in the banking book template. In the light of the requesting including positions ‘regardless of their inclusions or exclusion from the calculation of the threshold referred to in
Article 325a of Regulation (EU) No 575/2013’, they
seek clarification whether the positions excluded from the threshold calculation in accordance with Article 325a(2), point (a), CRR should be reported in this template. The respondents also see confirmation that the headline ‘value to the effect of Article 325a CRR’ (columns 0030 and 0040 of template C 90.06) refers to the metric to be used to report instruments and positions subject to commodities risk. Mapping to the credit risk templates One respondent seeks further explanations on the mapping to the credit risk templates, Pointing to differences in methodologies. Aggregate amounts to be reported in the trading book template C 90.05 Institutions are required to identify long and short positions for the purposes of assessing their position with regard to the thresholds of Articles 94 and 325a CRR (under the CRR3). The classification of an instrument /position as long or short is dependent on the main risk driver. The EBA expects that institutions can retrieve the information necessary to fill in the template with limited additional efforts as a sort of ‘interim result’ of the threshold calculation. The ’RTS on long and short positions’ (and main risk drivers) was published for consultation on 24 April 2024 (please see here). Scope of the trading book template (C 90.05) The respondents’ understanding of the scope of the template is correct. With a view to being able to reconcile the data in the template with data already reported in template C 90.00, all trading book positions, with the

Amendments to the proposals
One respondent seeks clarifications on the aggregate amounts to be reported in the template. More specifically, the respondent asks if (i) all market values are summed up as absolute values or (ii) market values should be netted within the columns, pointing to the possibility of long positions in bond and swap can have market values with opposite sign. The same respondent asks if summing columns 0050 [0030 in the final version] to 0140 [0120 in the final version] (breakdown of instruments mandatorily in the trading book by presumption) result in column 0040 [0020 in the final version] (total of instruments mandatorily allocated to the trading book)? Smaller technical comments a) Net positions in template C 90.05 One respondent seeks clarification whether every single instrument before netting of positions needs to be reported in the template, or if it is possible to fill in the template at position level. b) Reporting of options in template C 90.05 One respondent seeks clarification whether [standalone] options are to be reported in column 0120 [0100 in the final template] or only options embedded in liabilities. c) Instruments included in the Trading book with approval from the competent authority (C 90.05) One respondent seeks guidance whether the column dedicated to ‘Instruments included in the Trading Book exception of trading book positions that are credit derivatives and recognised as internal hedges against nontrading book credit risk exposures, as well as the credit derivative transactions allocated to the trading book that perfectly offset the market risk of the internal hedges as referred to in Article 106(3), shall be reported in the template. Article 325a applies to all institutions, irrespective of whether they determine the own funds requirements for their trading book business based on the credit risk framework, the simplified standardised approach or the FRTB approaches. Instruments and positions in the trading book that aim to hedge the interest rate risk of banking book positions (the ‘internal risk transfer portfolio/desk’ referred to in the FRTB reporting) are included in the scope of the template. Given that they are not subject to a dedicated treatment in the context of the

Amendments to the proposals with approval from competent authority’ in C 90.05 should be used to report information on instruments other than hedge funds, where the institution decides to derogate from the presumptions for the allocation to the books, or whether instruments and positions where the institution derogates would have to reported under ‘Other instruments’ (0160)? d) Link between main risk drivers and presumptions for allocation to the books One respondent considers that it is not possible to generate an automatic transition from the main risk driver of an instrument to Article 104 and asks for further elaboration on this. e) Memorandum items on instruments classified as having a trading purpose according to the accounting framework (row 0070 of C 90.05) Two respondents deem the information requested in row 0070 of unclear and seek guidance on the relationship between that row and other rows of C 90.05. f) Grey cells in template C 90.06 One respondent indicates a number of cells in the banking book template that cannot carry any meaningful value and should be greyed out in his/her view. g) Row 0010 of C 90.06 threshold calculation, they have not been singled out for the time being; the EBA may add dedicated items to the reporting as part of future revisions fo the reporting framework. Scope of the banking book template (C 90.06); Mapping to the credit risk templates The banking book template will not be implemented for the time being. The EBA takes note of the need to provide clarifications and make revisions, if a reporting requirement was introduced. Aggregate amounts to be reported in the trading book template C 90.05 The version of the template consulted foresaw that sum of the absolute value of long positions and the absolute value of short positions should have been reported in every column of the template. However, this would have not achieved the objective of making the information reported reconcilable with the

Amendments to the proposals
One respondent deems the information requested in row 0010 of C 90.06 unclear, as it seems to be limited to exposures subject to counterparty credit risk. Questions on the policy framework One respondent seeks guidance on what the order of priority is between Article 104 CRR and Article 4(1), points (85) and (86) CRR, asking if (i) instruments should be classified based on Article 4(1) first, and only what is left should be classified based on Article 104 CRR or (ii) all instruments should be classified based on
Article 104 CRR.
The same respondent seeks further guidance on how to determine the market value of a derivatives instrument for the purposes of reporting in template C 90.05. information already reported in template C 90.00 (thresholds), and would lead in some scenarios to the information being reported being counterintuitive (i.e. breakdowns bigger than the total, as the sum of absolute values across columns is not necessarily equal to the absolute values of the sum/total) and not reconcilable inside the template. With a view to enhancing the useability and credibility of the information reported, and considering that a long/short breakdown had been included in certain columns of the template already for consultation, the breakdown by long and short position was extended to every cell in the template. In its final design, the total for instruments and positions in the trading book (c0020) corresponds to the sum across the breakdown by presumption (also, because the instructions foresaw and foresee that every instrument is allocated to only one of the

Amendments to the proposals presumptions, even if several presumptions are met). Technical comments a) Net positions in template C 90.05 The rules as defined for the purposes of the calculation of the threshold of Article 325a CRR apply, in conjunction with the provisions of the ‘RTS on long and short positions’ In accordance with those, ‘netting' of positions in the trading book is only possible between positions (in the same or different instruments) of the same direction (long or short) that have market values with opposite signs. It is not allowed to determine the 'net' position in a specific instrument (by offsetting long and short positions in that instrument). b) Reporting of options in template C 90.05 Only options (and other derivatives) embedded in own liabilities of the institution should be reported in column

Amendments to the proposals
0100, and only if it was possible to split the option from the own liability. c) Instruments included in the Trading book with approval from the competent authority (C 90.05) Column 0130 of template C
90.05 is reserved for cases
where an instrument or position presumed to be allocated to the BANKING book is actually assigned to the TRADING book by the institution. The sole type of instrument where this is possible according to the CRR3 are instrument in hedge funds (Article 104(5) CRR. If (and from the moment where) the competent authority grants the permission, the instrument in the hedge funds would be reported in c0150; before a permission is granted, or if it is denied, the instrument would have to be reported in the BANKING book template. The same logic applies for cases where the institution decides to derogate from the assumption

Amendments to the proposals that an instrument is allocated to the TRADING book, by allocating it to the BANKING book (Article 104(4) CRR). d) Link between main risk drivers and presumptions for allocation to the books It is not expected that the main risk drivers can be clearly mapped to the presumptions, or vice versa, in a comprehensive or consistent manner. e) Memorandum items on instruments classified as having a trading purpose according to the accounting framework (row 0070 of C 90.05) The presumptions of the CRR regarding the allocation to books may (in theory and reality) lead to a situation where instruments/transactions classified as having a trading purpose according to the applicable accounting standard may be allocated to the banking book, or instruments/transactions classified as not having a trading purpose are allocated to the

Amendments to the proposals trading book. This is what the memorandum item in C 90.05 and the ‘of which’-item in C
90.06 aim to capture. The
memorandum item in C 90.05 is effectively an ‘of which’ to rows 0010 and 0020 (all instruments in the trading book) of the template. f) Grey cells in C 90.06 and g) Row 0010 of C 90.06 The banking book template will not be implemented for the time being. The EBA takes note of the need to provide clarifications and make revisions, if a reporting requirement was introduced. Questions on the policy framework These are matters of interpretation of the CRR and/or the RTS on long and short positions, that go beyond the scope of this consultation. Cases where the institution fails to substantiate the allocation of a certain instrument to one book, and therefore has to

Amendments to the proposals allocate it to the other book (Article 104(6)/(7) CRR) shall be treated as follows: After the instrument has been reallocated to the to ‘correct’ book upon request of the competent authority, it shall be reported based on the applicable presumption. Q21: Leverage ratio: Do you agree with the changes to the Leverage ratio reporting as implementing the new CRR3 provisions? Do you see any further amendments needed?

One respondent argued that rows 0280, 0300,
0320 and 0340 of template C 47.00 could be cancelled since there are no transitional requirements left.
One respondent suggested minor correction to
the instructions of row 0251a of template C 47.00
One respondent requested further clarifications
on the reporting requirements of C 47.00 row
Three respondents suggested deleting template C
40.00 as is not clear what is the legal basis to
request it and why the data is needed.
Three respondents suggested deleting template C
43.00 as is seen as double reporting, and there is
no legal basis to request this information and not clear why the data is needed. One respondent argues it is not clear how and is burdensome to produce C 43.00 given the changes in CRR3.
Rows are to be kept as there
are still transitional requirements to comply with.
Reference to the approval
of CA was deleted for row
0251a. Please consider the row was renumbered to 0900 and row 0264a was renumbered to 0910 for the final report.
Please consider that
template C 40.00 covers information that is needed by supervisory authorities. In addition, the data is needed to ensure mapping with the disclosure information. Some amendments were made to instructions and template.

Amendments to the proposals

Regarding row 0500 (it was
moved in the final template to row 0269), institutions shall report any additional leverage exposures if the bank has applied stricter measures than those specified by the CRR. This exposure shall be accounted in when calculating the LR. authorities and does not affect the value of the Leverage ratio, calculated according to the regulation.
Please consider that
template C 43.00 covers information that is needed by supervisory authorities. To ensure alignment with CRR3 a small change is introduced: row 0190 is being renamed to Secured by mortgages on immovable property and ADC exposures”, in line with the changes in Corep tables for RWA, for example C
09.01 which introduces ADC
(Acquisition, development and construction) category.

Responses to questions in Consultation Paper EBA/CP/2024/07 draft ITS concerning Operational risk (partial review, see Section 2.1) Comments Summary of responses received EBA analysis Amendments to the proposals Track changes in final draft ITSs To ease the comparison between the consultation versions and the final amended versions, three respondents ask the EBA to continue to provide the track changes versions of templates/disclosures between the current ITSs in application and the amended ITSs to be applied. Furthermore, they also ask to provide the track changes versions of templates and instructions between draft ITSs submit to consultation and final draft ITSs. The EBA will continue publishing the track changes version of the amended templates and instructions in comparison with the current applicable ITS. No amendment Timeline policy versus reporting operational risk One respondent expressed its concern on the timing of the supervisory reporting for operational risk and the development of other level 2 products which might impact the information to be collected. The EBA has analysed these aspects and for this reason has decided to include for the moment a simplified supervisory reporting for operational risk own funds requirements and to postpone the developments of the fully fledged templates in order to align with the other level 2 products. All this has been explained in the Final report. Templates and Instructions have been amended. New numbering of CRR3 articles Two respondents pointed to the fact that he final CRR3 text which has been adopted by the Plenary of the European Parliament on April 24, 2024, has introduced changes to the numbering of certain articles. As a result, certain articles mentioned in the Consultation, have now a new numbering. There is a difference in the numeration of paragraphs in
Article 314. Templates, instructions and the Final report will
make reference to the final CRR3 text and will therefore differ to what was published under consultation. Templates and instructions have been updated. Calculation of own funds requirements – annual calculations One respondent asked to clarify how BIC is calculated taking into consideration past periods. The EBA has provided further clarification in the Final report and instructions on the calculation of the BIC. Instructions were slightly amended to provide further clarity.

Comments Summary of responses received EBA analysis Amendments to the proposals Calculation of own funds requirements – audited figures Respondents raised difficulties for the reporting of the full set of information on the Business Indicator as of 31/12/N at the Q4 remittance date due to the fact that the draft RTS and ITS require the calculation and reporting information based on audited financial figures. However, it is considered not feasible to use the 31/12/N audited data as these audited financial figures are not available when producing and publishing the Q4 Corep. The EBA recognizes the limitation of having audited figures for the year 31/12/N in order to be able to be used for the calculation of the Business indicator. Thus the ITS on Reporting will specify that where audited figures are not available, institutions may use business estimates. ITS on Reporting will be amended accordingly to reflect the possibility to use business estimates when audited figures are not available. Calculation of own funds requirements – FX rate Some respondents are concern with the FX rate to be used at each reporting date in the case of subsidiaries with a currency other than the Euro due to the fact that the calculations of operational risk requirements are based on the average of the values of the last three financial years. In addition to the above, some respondents are concern with the variation of the Business Indicator (BI) thresholds due to variations in the FX rate. In addition to this, it is considered that is not clear enough if the thresholds should be taken into consideration in local currency or in Euros as well as which FX rate have to be used for the calculation of the BI over the three last years. The EBA considers that, according with FAQ2 of 25.18 BCBS operational risk framework, the FX rate to use for computing the detailed figures and finally the BI is the one of each financial year according with the applicable accounting framework. When time passes (for the subsequent financial years) institutions would not change the exchange rate that they initially used to convert the data into Euro. With regards to the calculation of the BIC and the application of the relevant thresholds, the average FX rate for the period for which the BIC is computed should be used. ITS on Reporting will be amended to better reflect this specification. Calculation of own funds requirements – ASA clause Two respondents pointed to a discrepancy between the templates and the calculation of own funds requirements with regards to the treatment of the Article 314 paragraph 4 EBA has analysed the comments received and amended the instructions and the templates accordingly. Own funds requirements for the business lines retail and commercial in case of application of Article 314 paragraph 4 are computed separately from the BIC framework. Instructions and templates have been amended. Operational losses – Grouped losses Three respondents requested further clarifications
with respect to grouped losses when reporting information in C
17.01 and C 17.02.
EBA has analysed the comments received and provided further clarity in instructions: e.g. Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or Instructions were slightly amended to clarify the reporting.

Comments Summary of responses received EBA analysis Amendments to the proposals losses should be grouped for the purpose of calculating the threshold. In case the threshold is passed, then the losses should be reported each year following the accounting impact. Operational losses – loss amount for several accounting periods One respondent asked what should be recognized in future as the posting date for a loss if loss amounts extend over several posting periods (in C 17.02). No changes were brought to the CRR3 on the accounting criterion to be used. Institutions should follow the same approach as for the previous reporting periods. This topic will be further investigated, and further guidance will be provided in case needed. No change CRR3 interpretation –
Article 314(3)
One respondent asked further clarification on the application of Article 314(3): if the permission granted is until December 31,2027, and whether they can apply to renew the derogation every two years until the date of December 31, 2031 Question is beyond the scope of the CP. No change Cost of compliance – expected changes in the future Two respondents highlighted that It is also worth noting that any change to the reporting framework implies changes in internal management and should be clearly communicated in advance so that they can be adequately implemented. We are expecting changes in the operational risk taxonomy in the near future. These should be clearly communicated in advanced so that banks have time to adapt. We have communicated in the CP the expected changes with respect to operational losses. For the final report please see in the Background and rational section the planned implementation of operational risk requirements for supervisory reporting. Further details provided in the Final report

Final Report on amendments to the ITS on Supervisory reporting-CRR3 CRD6

Lineage: In force

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