August 4, 2016 – By Nicola Hortin, Head of EMEA Regulatory Analysis Team, AxiomSL
For the first time, fixed format standard templates will be introduced for many disclosures and the reporting frequency will change from annual to quarterly for some templates, greatly increasing the reporting burden for firms.
The EBA draft guidelines are based on the Revised Pillar 3 Disclosure Requirements published in January 2015 by the Basel Committee on Banking Supervision (BCBS) at the Bank for International Settlements (BIS).
Although there is no fundamental change to the regulatory data which must be disclosed, the formats of the templates proposed in the EBA guidelines and those defined in the BIS requirements diverge in order to deal with the differences between the Basel defined Pillar 1 capital calculations and those applied in the EU under the Capital Requirements Regulation.
At this stage, the proposed scope of application covers Globally and Other Systemically Important Institutions (G-SIIs) and to any other institution opted-in by their supervisor. However, other institutions may also opt to apply the disclosure requirements.
Under the proposals, the EBA Guidelines will apply for year-end 2017 disclosures. However, firms are recommended to implement the following templates for year-end 2016 i.e. in line with the Basel timeline, in order for European bank disclosures to be comparable with their international peers.
AxiomSL will provide support for these new templates and mapping of data from Capital Requirements Directive IV Common Reporting (COREP) reports from the end of October 2016. The remaining fixed format templates will be available in Q2 2017, along with flexible format templates based on the examples provided in the guidelines.
- Template EU OV 1-A: Overview of RWA
- Template EU OV 1-B: Overview by exposure class
- Template EU CR 5-B: Standardised approach – exposures by asset classes and risk weights
- Template EU CR 6: IRB – Credit risk exposures by portfolio and PD range
- Template EU CR 8: RWA flow statements of credit risk exposures under IRB
- Template EU CCR 3: Standardised approach of CCR exposures by regulatory portfolio and risk weights
- Template EU CCR 4: IRB – CCR exposures by portfolio and PD scale
- Template EU CCR 7: RWA flow statements of CCR exposures under the Internal Model Method (IMM)
- Template EU MR 1-B: Market risk under standardised approach
- Template EU MR 2-A: Market risk under internal models approach
- Template EU MR 2-B: RWA flow statements of market risk exposures under an IM