The last submission of PV01 will be for reference date 31st December 2018. This date coincides with the reporting for prudent valuation within COREP (C32.01 to C32.04). The new reporting is relevant to firms that have positions valued at fair value. Whistlebrook understands that there are two approaches to the new COREP reporting:
- Simplified. This approach is applicable where the total of fair value positions (i.e. the sum of absolute values of on and off balance sheet) does not exceed €15billion. In this case, form 32.01 is required to be completed and the necessary adjustment to capital (entered into C01.00) is 0.1% of the aforementioned total. None of the other prudent valuation templates are required to be submitted.
- Core. This approach can be used by any firm but it is necessary if the €15billion limit is exceeded. Further details on this method are included in the Official Journal of the EU https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32016R0101&from=EN. There is also a consultation paper 2016-02 on this subject.
The prudent valuation returns will be submitted quarterly to Gabriel.
Next Wires Release
To ensure that Wires is aligned with taxonomy 2.8.1 (effective from report reference date 31st December 2018), a new release of the software is planned to be made available by the end of November.
Resolution Reporting (Z Templates)
It is understood that resolution reporting will be dependent on whether a firm is classed by the Bank of England as ‘Simplified Obligations’ or ‘Non-Simplified Obligations’. For institutions in the former category, no submission of Z templates will be required unless the Bank of England asks for it. Those in the latter group will be required to make submissions with effect from 2020 and not by 31st May 2019 (with report reference date 31st December 2018) as originally expected.
Frequency of submissions will be annual.
Whistlebrook understands that ‘Simplified Obligations’ means that were a firm to fail, the chances of that failure spreading with significant impacts on other institutions, would be very limited.