EBA欧洲银行-Final-draft-ITS-amending-Regulation-680-2014-28EBA-ITS-2019-0129_57页_704kb

Summary of EBA-ITS-2019-01: Final Report on Draft Implementing Standards

Core Content

This report outlines the updates to the Implementing Regulation (EU) No 680/2014 (ITS on supervisory reporting) to align with changes in the Capital Requirements Regulation (CRR) and the Securitisation Regulation. These updates are necessary to reflect the evolving prudential and supervisory requirements in the European Union, ensuring a consistent, transparent, and harmonised reporting framework across all institutions.

Main Changes

1. LCR Amending Act (2018/1620)

• Impact on LCR Calculation: The LCR amending Act introduces changes in the calculation of inflows and outflows for Secured Lending, Secured Funding, and Collateral Swaps. It modifies the approach to calculating inflows and outflows, removing the reliance on comparing the liquidity value of the cash leg and the collateral leg.
• Unwinding Waivers: The Act allows for the possibility of unwinding waivers for some transactions with central banks. This means that certain transactions can be excluded from the adjustment process for the purpose of calculating the liquidity buffer caps.
• Template Updates:
  • C 73.00 (Outflows): Now includes rows for secured funding transactions, with "of which" items to identify repos where the collateral meets operational requirements. It also includes memo items for repos with central banks that benefit from the unwind waiver.
  • C 74.00 (Inflows): Similarly, includes rows for secured lending transactions, with "of which" items to identify reverse repos where the collateral meets operational requirements. Memo items are added for reverse repos with central banks that may benefit from the unwind waiver.
  • C 75.01 (Collateral Swaps): Updated to include rows for all collateral swaps, with "of which" items to identify those where at least one leg meets operational requirements. Memo items are added to capture collateral swaps with central banks that benefit from the unwind waiver.
  • C 76.00 (LCR Calculation): Updated to remove the calculation of excess liquid assets for various HQLA categories, aligning with the new LCR framework.
  • C 77.00 (Consolidated LCR): A new template added to list entities within the perimeter of consolidation, including liquidity subgroups, where LCR waivers have been granted.

2. New Securitisation Framework (2017/2402 and 2017/2401)

• The new EU securitisation framework, effective from January 2018, includes:
  • Securitisation Regulation (EU) 2017/2402: Introduces common due diligence rules for institutional investors and risk retention rules for originators and securitisation vehicles.
  • Amended CRR (EU) 2017/2401: Implements the revised Basel securitisation framework, including the Simple, Transparent, and Standardised (STS) framework. It introduces a single hierarchy of approaches (replacing the previous SA and IRB), and preferential treatment for STS securitisations.
• Transitional Provisions: A transitional period was in place from 1 January 2019 to 31 December 2019. Institutions were required to apply the old framework for securitisations issued before this date and the new framework for those issued on or after.
• Reporting Changes:
  • Templates C 12.00, C 13.00, C 14.00, C 19.00, and C 20.00 were updated to reflect the new framework.
  • C 14.00 was enhanced with additional granularity to facilitate supervisory analysis and monitoring of the new framework's impact.
  • C 13.00 is replaced by C 13.01, which includes the new single hierarchy of approaches (SEC-IRBA, SEC-SA, SEC-ERBA) and updated credit quality steps (short and long term).
  • C 09.04 was also slightly amended to reflect the new single hierarchy of approaches.

3. Supplementary Reporting Requirements for Macroprudential Measures

• The EBA aims to improve the supervisory reporting related to macroprudential measures by adding specific lines in the templates to capture the impact of these measures on risk exposure amounts (REAs) and capital requirements.
• These measures include:
  • National measures based on Article 458 of the CRR.
  • Higher risk weights and stricter criteria under Articles 124 and 164 of the CRR.
• C 02.00 (Own Funds): Includes a new row (Row 710) for additional stricter prudential requirements, though it does not distinguish between home and host country applications if reciprocation is granted.
• No Public Consultation: Due to the limited scope and technical impact, no public consultation was conducted on these supplementary reporting requirements.

4. Other Technical Amendments

• Minor clarifications and corrections were made to templates and instructions in C 05.01, C 07.00, and C 67.00, based on Q&As and data usage.
• These changes were not subject to public consultation.

Key Information

• The draft implementing technical standards are intended to be submitted to the European Commission for endorsement before publication in the Official Journal of the European Union.
• The technical standards will apply from March 2020, with LCR-related changes applying from April 2020.
• The ITS on supervisory reporting are part of the Single Rulebook, ensuring harmonised regulatory requirements across EU institutions and reducing compliance costs.
• The reporting framework is updated to ensure consistency between reporting and disclosure requirements, enhancing supervisory efficiency and market transparency.

Conclusion

The report highlights the evolving prudential and supervisory requirements in the EU and the need for updating the ITS on supervisory reporting to reflect these changes. The updates are aimed at improving data quality, reducing operational burdens, and ensuring consistency and transparency in the regulatory framework. The new templates and instructions provide a more detailed and accurate picture of institutions' exposure to securitisations and macroprudential measures, supporting effective supervision and market discipline.