COREP amendments published
Final EBA Implementing Technical Standard
The final report on draft implementing technical standards amending the COREP reporting requirements confronts banks with new requirements, in particular with regard to the securitisations and the liquidity coverage ratio (LCR).
On May 28 2019, the European Banking Authority (EBA) published amendments to the Implementing Technical Standard (ITS) on supervisory reporting.
The amendments correspond the EBA reporting framework 2.9 and include modifications to COREP concerning the LCR, the securitisation framework as well as modifications to the Additional Monitoring Metrics for liquidity (AMM). Thereby, the EBA adjusts the reporting requirements to the changed regulatory requirements, in this case CRR II and the Delegated Regulation of the LCR and the securitisation regulation together with the accompanying CRR amendments.
In the following, we compared and summarised the key aspects of the respective consultation with the final proposed adjustments:
Revision of the COREP-Templates for LCR-Reporting
Following the adoption and publication of a draft delegated act amending the Commission’s Delegated Regulation on the LCR by the European Commission on 13 July 2018, caused changes in the calculation of the LCR. Specifically, Annex XXIV and Annex XXV of the implementing regulation (EU) No. 680/2014 are to be replaced by Annex V and Annex VI of the new Delegated Regulation.
Essentially, the EBA proposed an additional reporting form with template C 77.00. Furthermore, Templates C 72.00 to C 76.00 are affected by the revision of the reporting requirements. In the new template C 77.00, all companies consolidated according to regulatory requirements are subject to the liquidity reporting. Among other things, the information refer to the name, LEI code or country code of the company. This also applies to subgroups where LCR waivers have been granted according to Articles 8 and 10 of the CRR. Since this does not require any new calculations for institutions, no major burdens are expected to occur.
Furthermore, one of the central adjustments can be found in three templates simultaneously (C 73.00, C 74.00 and C 75.00) and relates to the information on secured funding transactions. These must now be reported irrespective of whether or not the corresponding collateral fulfils the operational conditions of Article 8 of the Delegated Regulation (EU) No 2015/61. In this context, positions which meet the above-mentioned requirements, should be reported in form of an "of which" item.
Finally, the other revised elements of the LCR calculation encompass the calculation of inflows and outflows in securities financing transactions (SFT) and collateral swaps. Moreover, the unwind waivers are taken into account for some securities financing transactions and collateral swaps with central banks and some memorandum items were deleted.
Additional Monitoring Metrics for liquidity (AMM)
The EBA also foresees minor editorial adjustments regarding additional parameters for the AMM reprting by replacing Annex XVIII and Annex XIX of Implementing Regulation (EU) No. 680/2014 with Annex III and Annex IV of the new Delegated Regulation.
Revision of the COREP templates for securitisations
As part of the introduction of the new European securitisation framework (see White Paper 81) in January 2019 (Regulations (EU) 2017/2402 and 2017/2401), the reporting requirements have be adjusted as well by replacing Annex I and Annex II of the Implementing Regulation (EU) No. 680/2014 with Annex I and Annex II of the new Delegated Regulation. These changes result from the elimination of the reporting forms C 12.00 and C 13.00 and the introduction of the reporting forms C 13.01 and C 14.01, in which, inter alia, the following information must be given:
Due to the revised hierarchy of the calculation approaches for securitisation positions (SEC-IRBA, SEC-SA and SEC-ERBA), changes appear on the reporting site for COREP templates C 12.00 and C 13.00 of Annex I of the Implementing Regulation (EU) No. 680/2014, which will be replaced by the new template C 13.01 (Credit Risk: Securitisations (CR SEC)). The securitisations qualifying for a differentiated capital treatment due to the STS criteria, embedded in the CRR (Art. 243 CRR n.F.), and the senior positions in SME securitisations (Art. 270 CRR n.F.) are recorded in template C 13.01 as a separate disclosure. The reporting form also includes information on securitisation positions which are assigned 1.250% risk weight or deducted from Common Equity Tier 1 as well as reductions in the risk-weighted exposure amount due to the risk weight cap and the overall cap.
Additional granularity is added to template C 14.00 (SEC Details) to facilitate supervisory analysis and to monitor the impact of the new framework and, in particular, the new single hierarchy of approaches. New information on for example the type of securitisation (public, private, intra-group) will be included in the template as well as significant risk transfer, defaulted exposures, number of tranches resulting in part from the reconciliation of supervisory reporting with disclosure requirements. The previously detailed information, depending on which approach is used, are no longer included in reporting form C 14.00, but in the new reporting form C 14.01 (SEC Details Approach).
The reporting templates for the market risk for securitisations C 19.00 (MKR SA SEC) and for the correlation portfolio C 20.00 (MKR SA CTP) were also aligned with new securitisation framework. Also, template C 09.04 was subject to a minor amendment to reflect the single hierarchy of approaches.