New Reporting to Reflect the Changes under CRR 3/CRD 6
Regulation (EU) 575/2013 (CRR) and Directive 2013/36/EU (CRD) regulate the capital requirements for banks and credit market companies. They have recently been updated to fully implement BASEL 3, through CRR 3/CRD 6. To reflect the changes brought about by CRR 3/CRD 6, the associated reporting templates will also be amended. The changes are mainly in the reporting of own funds and own funds requirements, but also in the reporting of leverage ratios and the reporting of loans collateralised by real estate. The changes in the reporting templates are introduced by Commission Implementing Regulation (EU) 2024/3117 and will become applicable on 28 June 2025.
Main Changes
- One output floor introduced in the regulatory framework to reduce the variability between IRB and standardised approaches for the calculation of capital requirements. After the amendments become applicable, the result of the output floor should be reported separately from the total result in several templates, for example in template C 02.00.
- The change in the reporting of credit risk is extensive.
- For standardised methods the reporting templates have many disaggregated rows. These splits largely relate to new categories for exposures secured by liens, broken down by type of fixed asset.
- For internal method new exposure class breakdowns, new credit conversion factors, as well as new floors for IRB credit risk parameters have been added. Also for IRB reporting, many new rows have been added for the breakdown of exposures secured by liens by type of fixed assets.
- Template C 15.00 for reporting losses from loans collateralised by immovable property (IP Losses) has been amended to reflect the new definition of property value in Article 229(1) of the CRR.
- For the reporting of credit valuation adjustment risk (CVA), sheet C 25.00 is replaced by C 25.01 which allows reporting the new methods for CVA.
- The templates for market risk has been updated to include information related to the new multiplication factors, but more changes for the reporting sheets are expected to come as Fundamental review of the Trading Book (FRTB) starts to be used.
- A new template, C 90.05, to report the breakdown of the trading book has been added. The EBA plans to add another sheet where the breakdown of other activities will also be reported.
- Template C 16.00 for the reporting of operational risks is replaced by template C 16.01 to reflect the new methodology for calculating capital requirements for operational risk. In addition, templates C 17.01 and C 17.02 will continue to be reported as a rule for undertakings that reported them in December 2024.
- Template C 36.00 has been added to report the capital requirements for crypto-assets under the transitional provisions of Article 501d(2) of the CRR.
- There have also been many small changes to the reporting of leverage ratio, including that the transitional provisions of IFRS 9 no longer apply and therefore they should not be reported in template C 47.00 going forward.
Next Steps
The changes are extensive, with around 450 rows and columns changed in the reporting templates. Read more about our regulatory reporting services or contact us if you have any questions before reporting or need any assistance with the new templates.
