ITS on supervisory reporting

Report
Technical Standards on supervisory reporting
XBRL UK
17 June 2013| London
Meri Rimmanen| EBA
Wolfgang Strohbach| EBA
© 2013 | EBA | European Banking Authority
Outline
> Financial supervision in the EU – role of the EBA
> Single rulebook and the case for harmonised supervisory data
> Technical standards on supervisory reporting – main features
> Facilitating implementation of supervisory reporting requirements
2
European System of Financial Supervision
EU central banks
EU supervisors
Joint Committee
ESRB
ESFS
EIOPA EBA ESMA
Macro
prudential
Micro
prudential
3
EBA regulatory tasks
Common rulebook
Maximum harmonisation
...but proportionate to different financial institutions
EU Co-Legislators
Sectoral Directives
EBA
‘Implementing legislation’
EBA role:
provide advice
EBA issuing guidelines and
recommendations (as before)
Developing draft binding technical
standards
4
Outline
> Financial supervision in the EU – role of the EBA
> Single rulebook and the case for harmonised supervisory data
> Technical standards on supervisory reporting – main features
> Facilitating implementation of supervisory reporting requirements
5
Technical Standards on supervisory reporting
Objective: increase efficiency in reporting systems, enhance data analysis capabilities
Reporting before…
Group A
Group B
and after…
Supervisor 1
Supervisor 2
Group C
Supervisor 3
Different data definitions
Several formats
Different technologies
Supervisor 1
Group A, B, C
Common
framework
Supervisor 2
Supervisor 3
Common data definitions, instructions
Single format
IT standards
6
ITS on supervisory reporting - benefits
Directly applicable
> No implementation, or interpretation of the Regulation on national level ensures
common definitions and instructions
Technical translation of reporting requirements
> Data point model and XBRL taxonomy
> Common validation rules
Truly harmonised supervisory data
> Helps supervisors to assess asset quality, risk concentrations, liquidity positions,
conduct peer analysis, analyse risk parameters across institutions
> Harmonised definitions, especially on forbearance, non-performing loans and asset
encumbrance significantly enhance identification of potential systemic risks
7
The role of EBA – main objectives and tasks
Main objectives:
Main tasks:
Establishing EU single rule book
Develop binding technical standards,
guidelines, recommendations
Promoting and enhancing quality and
consistency of supervision
Promoting common supervisory
culture / supervisory practices
Reinforcing oversight of cross-border
groups
Peer group analyses and peer reviews
Monitoring effectiveness colleges
Early warning of upcoming
vulnerabilities
EU-wide risk assessments and stress
tests
Risk dashboards
Effective early intervention and bank
resolution
Reacting on risk warnings
Handling of emergency situations
8
EBA oversight tasks – data usage
Risk assessment
Enhancing regular and ad hoc
thematic risk assessments
Stress testing
Building common
methodologies and
conducting EU-wide
stress tests
(in cooperation with ESRB)
Risk dashboard
Building a system of key risk indicators
(in cooperation with ESRB)
Colleges
Enhancing and supporting
effective
Functioning of colleges
Crisis management
Building capacity to handle
emergency situations
9
Benefits of harmonised data
>Data from banks across the EU provides a more comprehensive
picture on exposures, risks, potential pockets of vulnerabilities
>Peer analysis, identification of institutions posing systemic risk
(outliers)
>Provide high quality benchmarks for stress testing (harmonised
definitions) and asset quality reviews
>Improve analysis on concentration risk (large exposures, geographical
breakdown of exposures)
>Facilitate data sharing among competent authorities
10
Outline
> Financial supervision in the EU – role of the EBA
> Single rulebook and the case for harmonised supervisory data
> Technical standards on supervisory reporting
–
–
–
–
–
–
–
Solvency
Financial reporting
Asset encumbrance
Large Exposures
Liquidity
Leverage ratio
Proportionality
> Facilitating implementation of supervisory reporting requirements
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ITS on supervisory reporting – what is covered
EBA to deliver ITS in the following areas of the Capital Requirement Regulation
(CRR):
> Art 99 Solvency reporting, financial reporting
> Art 100 Asset encumbrance
> Art 101 Mortgage exposures reporting
> Art 394 Large exposures reporting
> Art 415 Liquidity ratios reporting
> Art 430 Leverage ratio reporting
Integrated approach to ITS development
> Several ITS packaged as one EU Regulation which is directly applicable to all credit
institutions and investment firms
> Use of common structure/conventions/concepts/definitions
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ITS on supervisory reporting – COREP
Reporting population, level of application and scope of consolidation
> Credit institutions and investment firms
> Consolidated level and individual level
> CRD scope of consolidation
Frequency
> Quarterly
> Exception: semi-annually
– Material operational risk losses (OPR Details)
– Securitisation transactions (SEC Details)
> Reporting delay 6 weeks
Compliance monitoring
> Monitoring compliance of capital requirements regulation
> Granular information on risk parameters, risk concentrations, securitised exposures
> Based on the CEBS reporting guidelines
13
ITS on supervisory reporting - FINREP
Reporting population, level of application and scope of consolidation
> IFRS institutions on a consolidated basis
> National supervisory authorities may extend the implementation also to other institutions
> CRD scope of consolidation
Frequency
> Quarterly, semi-annually and annually
> Reporting delay 6 weeks
Monitoring, IFRS-based reporting
> Harmonised financial reporting following as much as possible IFRS
> Some presentational options have been restricted in order to develop harmonised templates
> In some cases the data requirements go beyond IFRS to provide data for risk assessment and
analysis of systemic risks
> Forbearance and non-performing loans reporting
> Based on the CEBS reporting guidelines
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ITS on supervisory reporting - Modules
Asset
encumbrance
Quarterly
Reporting delay 6 weeks
Leverage
Ratio
Frequency
Monthly/quarterly
2/6 weeks
reporting delay
CRD scope of consolidation
Large
Exposures
Consolidated level and individual level
Liquidity
Credit institutions and investment firms
Application
Objective
Monitoring and calibration
EBA to report to the Commission
Compliance monitoring
Concentration risk monitoring
Based on CEBS reporting Guidelines
Monitoring and calibration
EBA to report to the Commission
Monitoring level of encumbered assets
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Outline
> Financial supervision in the EU – role of the EBA
> Single rulebook and the case for harmonised supervisory data
> Technical standards on supervisory reporting – main features
> Facilitating implementation of supervisory reporting requirements
16
ITS on supervisory reporting - Data Point Model
What is the DPM?
> A data point is a data element required in the reporting framework, i.e. each template cell will
correspond to a data point, and different cells with the same meaning should correspond to the
same data point.
> The DPM is a data model that captures the information requirements of the reporting framework.
> The DPM is a dimensional model, meaning that each data point is categorised by a set of elements
of different dimensions.
Why the DPM?
> Complex or dubious business concepts are broken down into more elementary concepts, in order
to clarify the meaning of a data point.
> The DPM expresses the reporting requirements at a logical level, without regard for any particular
IT implementation.
> The DPM bridges the gap between business and IT languages, providing a common ground of
understanding.
> The DPM will be the source for the generation of XBRL taxonomies.
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ITS on supervisory reporting - Proportionality
Reporting requirements shall be proportionate to the nature, scale
and complexity of the activities of the institutions
Proportionality included in different ways:
>Size of an institution
– Small institutions are exempted for some templates (asset encumbrance)
>Non-significant activities/exposures/risk
– Threshold for level of exposure/activity (Geographical breakdown, derivatives in
leverage ratio)
>Inherent proportionality
– Templates reported only if a special approach/method is used or if institution has
exposures (SEC, SEC details, IRB)
>Reduced frequency
– Templates where reduced frequency provides adequate data (Group structure,
detailed and contingent asset encumbrance)
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Facilitating implementation – Q&A mechanism
Uniform interpretation of data requirements across EU
> Detailed instructions included in the ITS Annexes
> Q&A tool on EBA website (as of July 2013)
> Public can post their questions via a web tool
>EBA will
–Review, categorise and prioritise questions
–Publish all answers
–Translate answers where necessary
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Facilitating implementation – General timeline
Dec
2011
• Public consultation on ITS (solvency, financial information and mortgage exposures)
Feb
2012
• Public consultation on ITS (large exposures)
June
2012
• Public consultation on ITS (liquidity and leverage)
Sept
2012
• 1st interim release of ITS package
Mar
2013
• 2nd interim release of ITS package
July
2013
• Final ITS package (assuming CRR publication in OJ)
Jan
2014
• ITS requirements apply (CRR application date: 1.1.2014)
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Facilitating implementation – amendments of the ITS
Currently under consultation
>Asset encumbrance
>Forbearance and Non-performing loans (FINREP)
>Liquidity monitoring tools
The ITS will be amended with these parts after the consultations
Application dates will be later than 1 January 2014
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