EBA Guidance on Impact of CRR Quick-Fix on Reporting and ...

The CRR "quick fix" introduces amendments to regulatory requirements that have an impact on supervisory reporting, mainly on the supervisory ... 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EBAisamendingthetechnicalstandardsonsupervisoryreportingtoaccommodateminortechnicalchangesonownfunds,non-performingexposure(NPE) backstop,andleverageratio. Theguidelines on supervisoryreportinganddisclosurerequirements clarifyhowtoreportfortheCRR"quickfix"amendmentsthathaveanimpactontemplatesrelatedtotheleverageratio,ownfunds,andcreditrisk. EBAisamendingguidelinesonuniformdisclosuresregardingthetransitionalperiodformitigatingtheimpactoftheintroductionofIFRS9onownfunds,toprovideclaritytoinstitutionsandusersofinformationonimplementationofapartofthedisclosurerequirementsincludedintheCRR"quickfix." TheCRR"quickfix"Regulation2020/873,whichamendsCRRandCRR2regardingcertainadjustmentsinresponsetotheCOVID-19pandemic,waspublishedinthe OfficialJournaloftheEuropeanUnion inJune2020.TheCRR"quickfix"ispartofaseriesofmeasurestakentomitigatetheimpactoftheCOVID-19pandemiconinstitutionsacrossEUmemberstates.Inadditiontotheflexibilityalreadyprovidedintheexistingrules,theCRR"quickfix"introducescertainadjustmentstoCRR,includingtemporarymeasures,intendedtoenhancecreditflowtocompaniesandhouseholds,thussupportingtheeconomyofEU. RevisedDraftTechnicalStandardsonSupervisoryReporting TheCRR"quickfix"introducesamendmentstoregulatoryrequirementsthathaveanimpactonthesupervisoryreportingframeworkversion3.0. ManyamendmentsoftheCRR"quickfix"arereflectedinthenewtechnicalstandardsforsupervisoryreportingunderCRR(EBA/ITS/2020/05),butthereisaneedtofurtheramendthetechnicalstandardstoaccommodateminortechnicalchangesonownfunds,NPEbackstop,andleverageratio.Theamendmentsincludethefollowing: Ownfunds(includingNPEbackstop)—TworowswereaddedtotemplateC05.01tocapturetheoveralleffectoftheapplicationofArticle468ofCRRaswellastoisolatethe(net)amountofunrealizedgainsandlossesremovedfromthecommonequitytier1(CET1)inaccordancewiththisarticle. ThreerowswereaddedtotemplateC05.01toisolatetheeffectofthetransitionalprovisionontherecognitionofexpectedcreditlossesintheCET1. InrelationtotheNPEbackstop,theinstructionsinAnnexIItothetechnicalstandardswererevisedtoincludethepartofNPEsbenefitingfrompublicguaranteesgrantedinthecontextoftheCOVID-19pandemicinaccordancewithArticle47c(4)oftheCRRasamendedbyRegulation2020/873inrows0050and0100oftemplateC35.02. Creditrisk—MinoramendmentstotheinstructionsoftemplateC07.00forcolumn0010clarifythatwhereinstitutionsmakeuseofthederogationofArticle473a(7a)ofCRR,theyshallreporttheamountABSA thatisrisk-weightedat100%intheexposureclass"otheritems"inthatcolumn. Marketrisk—MinoramendmentstotheinstructionsclarifythatthevaluestobereportedintemplateC24.00ofAnnexItothetechnicalstandardsshalltaketheeffectsofArticle500cofCRRintoconsideration.Theinstitutionsthatbenefitfromtheexclusionofcertainovershootingsfromthecalculationoftheaddendshoulddisregardthoseexcludedovershootingswhentheyreportthenumberofovershootings,theapplicablemultiplicationfactors,andconsequentlyalsothecomponentsoftheownfundsrequirements. Leverageratio—Theinstructionsforrow0280oftemplateC47.00havebeenupdatedtoindicatethattheamountstobeaddedbacktotheleverageratioexposuremeasureinaccordancewithArticle473a(7a)ofCRR"quickfix"shouldbereportedthere. InaccordancewithArticle473a(8)ofCRRquickfix,anewrow0480hasbeenincludedintemplateC47.00inordertorequireinstitutionsthathavedecidedtoapplythetransitionalarrangementssetoutinArticle473aofCRRtoreporttheleverageratiotheywouldhaveiftheywerenottoapplythesetransitionalarrangements. Inordertobeabletomapreportingtodisclosurerequirements,anewrow0490hasbeenaddedintemplateC47.00toreport leverageratio. Rows0370and0450oftemplateC47.00havebeendeleted,astheyarenowredundant,andinstructionsfortheoldrow0490havebeenupdated. TheamendmentshaveanimpactontheAnnexesonownfunds(AnnexIandII)andleverageratio(AnnexesXandXI). EBAintendstoresubmittoECthecompletetechnicalstandardsonsupervisoryreportingframeworkversion3.0,includingallitsannexes,withthenecessaryamendmentsininstructionsandtemplates. GuidelinesonSupervisoryReportingandDisclosureRequirements TheCRR"quickfix"introducesamendmentstoregulatoryrequirementsthathaveanimpactonsupervisoryreporting,mainlyonthesupervisoryreportingframeworksversions2.9and2.10. TheobjectiveoftheseguidelinesistoprovideinstitutionswiththenecessaryclarificationsonhowtoapplytheRegulationNo680/2014initscurrentreportingframeworkVersions2.9and2.10toreportelementsofcreditrisk,ownfunds,andleverageratiosetoutintheCRR"quickfix,"aswellasonhowtoapplytheRegulation2016/2005todiscloseelementsoftheleverageratiosetoutintheCRR"quickfix." TheguidelinescompriseasetofinstructionscoveringtheimpactoftheCRR"quickfix"onthereportingofcreditrisk,marketrisk,andownfundsandonreportinganddisclosureofleverageratio. Thereportingrequirementsclarifiedbytheseguidelines willapplyuntilthereportingreferencedateofMay31,2021.Thedisclosurerequirementsclarifiedbytheseguidelineswillapply until,andincludingthelastdisclosurereferencedatepriortothethedisclosurereferencedateof,June28,2021. AmendmentstoGuidelinesonUniformDisclosuresUnderCRR TheCRR"quickfix"introducestransparencyrequirementsforinstitutionsthatdecidetoapplythetemporarymeasuresintroducedbytheRegulation.ThepurposeoftheseamendingguidelinesistocoverthedisclosuresrequiredinnewArticle468andamendedArticle473aoftheCRR"quickfix"withrespecttothetemporarytreatmentofunrealizedgainsandlossesmeasuredatfairvaluethroughothercomprehensiveincomeandIFRS9transitionalarrangements,respectively. TheamendingguidelinesincludethefollowingchangestotheEBAguidelineGL/2018/01: AdjustmentshavebeenmadetoreflectthereviseddisclosurerequirementsincludedinArticle473aofCRR.Thesechangesaremainlyrelatedtotheextensionofthetransitionalperiod,andthereforethedisclosureperiod,andtotherevisionoftheaccompanyingnarrativeofthedisclosuretemplate,toproperlyreflectalltheinformationthatinstitutionshavetodiscloseregardingtheirchoices.Thequantitativeinformationonthefullyloadedcapital,capitalratios,andleverageratio,asimplementedinthecurrentguidelines,isstillvalidanddoesnotneedtobeamended. Thescopeoftheguidelinesisextendedtocoverthenewdisclosurerequirementregardingthetemporarytreatmentofunrealizedgainsandlossesmeasuredatfairvaluethroughothercomprehensiveincome,inaccordancewithArticle468. TheseguidelinesapplyfromAugust11,2020untiltheendofthetransitionalperiodsreferredtoinparagraph1ofArticle468andinparagraphs6and6aofArticle473aofCRR.   RelatedLinks PressReleaseandRelatedLinks RevisedDraftTechnicalStandards(PDF) GuidelinesonReportingandDisclosureRequirements(PDF) AmendmentstoGuidelinesonUniformDisclosures(PDF) Keywords: Europe,EU,Banking,COVID-19,Reporting,Disclosures,CRR,Framework3.0,Framework2.10,Framework2.9,LeverageRatio,CreditRisk,MarketRisk,IFRS9,ECL,ImplementingTechnicalStandards,Basel,RegulatoryCapital,EBA MaríaCañamero Skilledmarketresearcher;growthstrategist;successfulgo-to-marketcampaigndeveloper NicolasDegruson Workswithfinancialinstitutions,regulatoryexperts,businessanalysts,productmanagers,andsoftwareengineerstodriveregulatorysolutionsacrosstheglobe. 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