EBA欧洲银行-2018_EU-wide_Transparency_Exercise-Templates_Guidelines_9页_223kb

2018 EU-wide Transparency Exercise Guidelines for Banks

Introduction

The European Banking Authority (EBA) introduced a regular, annual EU-wide transparency exercise in 2016, which is published alongside the Risk Assessment Report (RAR). This exercise uses data from the FINREP/COREP reporting templates. For the 2018 exercise, the templates maintain a similar structure to previous years but have been updated to reflect changes from the IFRS 9 accounting framework. Specifically, the Sovereign and P&L templates have been enriched and aligned with the new supervisory reporting tables. The templates cover key areas such as capital, leverage ratio, risk exposure, profit or loss, and market risk.

Sample of Banks and Reference Dates

• The 2018 EU-wide transparency exercise includes 130 institutions from 25 EU/EEA countries.
• These banks are selected based on their highest level of consolidation and inclusion in the EBA's reporting list.
• The sample for the RAR and transparency exercise is aligned.
• The reference dates are December 2017 and June 2018, maintaining the semi-annual frequency of previous exercises to support time series analysis.

Set of Templates

The EBA provides a set of templates for transparency reporting, which are populated automatically from COREP and FINREP data. These include:

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

The data mapping between transparency templates and supervisory reporting templates is detailed in a mapping file. This file contains:

1. Direct mappings: Each cell is linked to a specific cell in the original reporting templates (e.g., "C07.00.a_010_220_002").
   • Format: Template Code_Row_Column_Fourth Dimension
   • The fourth dimension is used for credit risk and sovereign templates to denote country of counterparty or asset class.
2. Combined mappings: Some cells are derived from the combination of other cells (e.g., "B7+B11+B13+B14+B15").

To assist banks in identifying data inconsistencies, the EBA has also provided a list of specific data quality checks.

3.1.1 Credit Risk Templates

• Two types of templates are provided: "a" and "b".
• Template "a" is used for banks that report country by country data in COREP. It includes information for the whole banking group and the most relevant counterparty countries.
  • The selection of countries is based on:
    • Coverage of 95% of total original exposure, or
    • Top 10 countries by original exposure.
  • The top 10 countries are defined using data as of 30/06/2018.
• Template "b" is used for banks that do not report country by country due to the 10% non-domestic exposure threshold. Only group-level data is published.
• The codification for credit risk templates includes:
  • Exposure class code for group-level data.
  • For country-level data, it includes '999' + Country of counterparty rank.

3.1.2 Sovereign Templates

• The Q4 2017 sovereign templates follow the same structure and mapping as the previous year.
• They cover exposures to General governments, which include:
  • Central governments, state or regional governments, local governments
  • Administrative bodies, non-commercial undertakings
  • Excluding public companies and private companies with commercial activity, social security funds, and international organisations
• Exemptions apply when total non-domestic exposures are below 10% of total exposures.
• Two types of templates are provided:
  • "Sovereign a": For banks reporting country by country, with breakdown by sovereign country and regions.
    • Codification includes '999' + Sovereign country abbreviation and "XX" for the sum of all countries.
  • "Sovereign b": For banks not reporting country by country, with only group-level data.
• Q2 2018 templates have been revised to include more detailed information from DPM 2.7.
  • Direct positions are reported with a breakdown by sovereign country and maturities.
  • Country breakdown is only available for institutions with:
    • At least 1% of total "Debt securities and loans receivables" in sovereign exposures
    • And non-domestic sovereign exposures of 10% or more compared to total sovereign exposures
  • If these thresholds are not met, data is disclosed under the aggregate "Others" category.

3.1.3 FINREP Templates

• Some FINREP templates (P&L, NPE, Forborne exposures) were revised for the Q2 2018 reference date to reflect the IFRS 9 framework.
• For banks with a different financial year-end, the unrevised mapping (based on DPM 2.6) is maintained for both December 2017 and June 2018.
• These templates are labeled with "2.6" and are only populated for banks that will start reporting under IFRS 9 after June 2018.