EBA欧洲银行-2017-EU-wide-Transparency-Exercise-Templates-Guidelines_9页_461kb

2017 EU-wide Transparency Exercise Guidelines for Banks

1. Introduction

The European Banking Authority (EBA) introduced a regular, annual EU-wide transparency exercise to enhance the visibility of banks' risk and capital data. This exercise is published alongside the Risk Assessment Report (RAR) and is based solely on FINREP/COREP data. The 2017 exercise uses the same disclosure templates as the 2016 one, with the addition of the leverage ratio, which is now available in supervisory reporting and published quarterly in the EBA Risk Dashboard. The templates cover the following areas:

• Capital
• Leverage ratio
• Risk exposure amounts
• Profit or loss
• Market risk
• Securitisation
• Credit risk (STA and IRB)
• Sovereign exposures
• Non-performing and forbore exposures

The purpose of the guidelines is to assist banks in understanding the mapping between the pre-filled EBA templates and the supervisory reporting framework.

2. Sample of Banks and Reference Dates

• The 2017 exercise includes 132 institutions from 24 EU countries and Norway.
• These banks are selected based on their highest level of consolidation and inclusion in the EBA reporting list.
• The sample for the RAR and transparency exercise is aligned.
• Reference periods are December 2016 and June 2017, maintaining the semi-annual frequency of previous exercises to support time series analysis.

3. Set of Templates

The following templates are used for the 2017 EU-wide Transparency Exercise:

• Cover
• Capital
• Leverage
• RWA
• P&L
• Market risk
• Credit risk STA
• Credit risk IRB
• Sovereign exposures
• Non Performing exposures
• Forborne exposures

3.1 Data Population

• Data is automatically extracted from COREP and FINREP templates by the EBA.
• A mapping file is provided to help banks understand and verify the data, showing how each cell in the transparency templates corresponds to the relevant regulatory reporting templates.
• The mapping includes:
  • Direct cell mapping: e.g., "C 07.00.a_010_220_002" refers to a specific cell in the COREP template.
  • Combined cell mapping: e.g., "B7+B11+B13+B14+B15" indicates that data is derived from multiple cells.

3.2 Credit Risk Templates

• Two types of templates are provided:

  • "a" templates: For banks reporting country by country data, the EBA publishes information for the whole banking group and most relevant counterparty countries.
    • Most relevant countries are selected based on the minimum of 95% coverage of total original exposure or the top 10 countries ranked by original exposure.
    • The top 10 countries are defined based on data reported as of 30/06/2017.
  • "b" templates: For banks not reporting country by country, credit risk information is published only for the whole banking group.

• A fourth element is required for codification in credit risk templates:

  • For group level data: Exposure class code (e.g., 001 for total, 002 for central governments, etc.).
  • For country level data: "999" + country of counterparty rank (based on original exposure).

3.3 Sovereign Templates

• Sovereign exposures are defined as those to General governments, including central, state, regional, and local governments, as well as administrative bodies and non-commercial undertakings, excluding public companies and private companies with commercial activity, social security funds, and international organizations.
• Two types of sovereign templates are used:
  • "a" templates: For banks reporting country by country data, sovereign exposures are published for the whole banking group and individual or grouped countries.
    • A fourth element is needed for codification: "999" + sovereign country abbreviation code.
    • "XX" is used to denote the sum of all countries.
  • "b" templates: For banks not reporting country by country, sovereign exposures are published only for the whole banking group.

4. Process and Timeline

• Banks are required to verify the figures in the transparency templates and resubmit corrected data via standard supervisory reporting channels (e.g., XBRL format).
• Data freeze is set for 31 October 2017, after which no further corrections will be considered for the RAR or transparency exercise.
• The EBA will re-distribute prefilled templates before the final deadline, based on data as of 6th and 20th October, but only for banks that resubmitted data.
• Once data is final, the EBA will repopulate templates and circulate them to banks with consent forms via the relevant competent authorities.
• The EBA aims to publish the RAR and bank-by-bank transparency templates by the end of November 2017.
• An FAQ document will be regularly updated to provide clarifications on the transparency templates and process.
• Banks will receive credentials to access the 2017 EU-wide Transparency Exercise extranet area at https://www.eba.europa.eu/group/2017-eu-wide-transparency.