April regulation update

Regulatory Reporting Changes – COREP and ALMM

The European Banking Authority has advised that with effect from report reference date 31st March 2018, reporting requirements will be amended in the following areas.

COREP

  • A sovereign exposure template C33.00 will be introduced
  • Operational risk form 17 will be replaced by two new templates C17.01 and C17.02
  • Exposures and losses from lending, collateralised by immovable property C15.00 will also be required at a Total level

Additional Liquidity Monitoring Metrics (ALMM)

  • The Maturity Ladder C66.00 will be re-instated

The various changes will be included in Wires. Whistlebrook understands that the amendments to the regulatory standards are final and will be published in an Official Journal of the European Union.

COREP Sovereign Exposures

Sovereign exposure data are to be reported on a semi-annual frequency. Exposures (on and off balance sheet) are to include those to central, local and regional governments, as well as to other entities such as the IMF, World Bank and EU bodies. Not all firms will need to make C33 submissions as a threshold is to be incorporated. The application of that threshold and a summary of the information to be submitted is below.

Further information can be found in – http://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-supervisory-reporting-for-eu-institutions

COREP Operational Risk

It appears that the regulator is seeking more detailed information on losses that are the result of operational risk. For example, the impacts in the current year, of operational losses that occurred in earlier years, need to be reported. Loss recovery data are to be split into Direct and Insurance.  Details will also be required on largest losses that have occurred in the reporting period or have not previously been reported.

Thresholds for the contents of the largest losses (template 17.02) are to be introduced. Whistlebrook understands these limits as:

  • If a gross loss amount of an incident is €100,000 or higher, it should be reported. A maximum of 17 largest losses will be reported.
  • If a gross loss amount is at least €10million, it must be reported. The maximum number of these incidents to be reported will be capped at ten.

Where certain criteria are met, some firms may not need to submit templates 17.01 and 17.02. That said, COREP template 16.00 will still be a required submission.

An institution that uses the Basic Indicator Approach to calculation of own funds for operational risk, will not be required to prepare forms 17.01 and 17.02 where none of the following conditions apply:

  • Asset size exceeds €30billion
  • Assets exceed €5billion and 20% of the GDP of the country where it was established
  • The firm is one of the three largest institutions established in a particular country measured by the total value of its assets
  • The parent entity has subsidiaries that are also banks / building societies and operate in other (i.e. different to that where the head office is located) EU countries AND

Consolidated assets exceed €5billion

More than 20% of the consolidated assets are related to an activity in a different EU country to that in which the head office is located

ALMM Maturity Ladder C66.00

Following a difference of opinion between the EBA and the Commission, template C66.00 was withdrawn. It is to be re-introduced with some amendments that mean less data will be required on assets.

General Comment

All the above changes are in addition to other regulatory challenges being presented in 2018. These include:

  • Forecast Capital + PRA101 to PRA103
  • Forecast Profit or Loss, Balance Sheet and Capital PRA104 to PRA108
  • Revised FINREP templates
  • Replacement of FSA015 (except if both reporting under FSA102 only and having assets no higher than £5billion) making the submission of some FINREP templates necessary