EBA欧洲银行-Final-draft-ITS-on-Supervisory-Reporting-28EBA-ITS-2017-0129_116页_1mb

Final Report Summary: EBA/ITS/2017/01

Core Content

This document presents the Draft Implementing Standards amending Implementing Regulation (EU) No 680/2014, which governs supervisory reporting under the Capital Requirements Regulation (CRR). The standards aim to improve the quality, consistency, and relevance of reporting data for supervisory purposes, particularly regarding sovereign exposures, operational risk (OpRisk), and additional liquidity monitoring metrics (AMM). The amendments are designed to align with the evolving regulatory landscape and ensure that supervisory authorities can effectively monitor and assess financial institutions.

Main Views and Key Information

1. Sovereign Exposures Reporting

• Importance: Data on sovereign exposures has been crucial for supervisory assessments and transparency exercises.
• Current Shortcomings: The existing data lacks analytical depth, and there are inconsistencies in exposure classifications across reports.
• New Template (C 33.00):
  • Provides detailed information on exposures by obligor residence, accounting portfolio, regulatory treatment, and residual maturity.
  • Aims to improve supervisory risk assessments, stress testing, and transparency exercises.
  • Includes a semi-annual reporting frequency to reduce burden, though quarterly reporting is considered for better risk monitoring.
• Proportionality:
  • Institutions with sovereign exposures ≥1% of total 'debts securities and loans receivables' must report.
  • Those with non-domestic sovereign exposures ≥10% must provide a full country breakdown.
  • Others report aggregated data at total or domestic levels.

2. Operational Risk Reporting

• Rationale: Operational risk costs have increased significantly, affecting many firms’ profitability.
• Key Changes:
  • Redefine Scope: All institutions, including those exempt from full OpRisk reporting, must report basic loss data.
  • Separate Loss Impacts: Distinguish between current and past events, and between direct recoveries and insurance recoveries.
  • New Rows and Templates:
    • Rows X1X and X2X now capture first-time events.
    • Rows X30 and X40 collect loss adjustments from previous periods.
    • Rows 945–946 provide breakdown by adjustment type.
    • Rows X70 and X80 capture direct and insurance recoveries, respectively.
  • New Template (C 17.02):
    • Collects detailed information on the largest OpRisk loss incidents from the previous year.
    • Applies a threshold of EUR 100,000 for gross loss amounts, with a maximum of 17 events to be reported.
• Proportionality:
  • Only significant institutions are required to report OpRisk loss data.
  • Smaller institutions may report minimal data or none depending on their prudential approach (AMA, TSA/ASA, BIA).

3. Additional Liquidity Monitoring Metrics (AMM)

• Background: The EBA initially introduced AMM in 2013, but the European Commission later proposed removing the maturity ladder.
• Amended Approach:
  • The maturity ladder is reintroduced, aligned with the LCR Delegated Regulation (EU) 2015/61.
  • It captures outflows from committed facilities and downgrade triggers, consistent with LCR contingencies.
  • The time buckets have been adjusted, and the number of rows has been reduced to streamline reporting.
• Non-Maturity Ladder Templates:
  • Reflect guidance from reporting Q&As published in December 2015.
  • Ensure consistency across the ITS package.
• Reporting Frequency:
  • The maturity ladder is reported semi-annually, as the minimum frequency for transparency exercises.
  • The new template (C 17.02) for OpRisk loss incidents is also included in Annex 1.

Key Changes and Revisions

• Template Updates:
  • The existing annexes (I, II, VII, XI, XIV, XV, XVIII to XXIII) are replaced with the new templates and instructions.
  • The maturity ladder is reintroduced in the revised ITS.
• Consultation:
  • The proposals were consulted in December 2016.
  • Based on feedback, minor and major changes were made to the templates and instructions.
• Application:
  • The standards will apply from March 2018, with the reporting reference date set at 31 March 2018.

Next Steps

• The draft implementing standards will be submitted to the European Commission for endorsement.
• Once endorsed, the standards will be published in the Official Journal of the European Union.

Summary of Objectives

• Enhance data quality and comparability across Member States.
• Reduce reporting burden for institutions while ensuring relevant and detailed data is collected.
• Support cross-border supervision and risk analysis by supervisors and the EBA.
• Ensure alignment with the single rulebook and regulatory updates.

Annexes Affected

• Annexes I, II, VII, XI, XIV, XV, XVIII to XXIII of Regulation (EU) No 680/2014 are replaced in full with the new templates and instructions.

Conclusion

This report outlines the updated technical standards for supervisory reporting, focusing on improving the accuracy and usefulness of data on sovereign exposures, operational risk, and liquidity monitoring. These changes are essential for maintaining a robust and consistent regulatory framework across the EU, supporting both supervisory functions and market transparency.