Reporting release 1 March 2021 – 3_2021

Amended EBA Implementing Technical Standard (ITS) applying to credit institutions – DPM 3.0 into use as from 30 June 2021 data | EBA

The European Banking Authority (EBA) has published the first phase (Phase 1) of the Implementing Technical Standard (ITS), DPM 3.0 version to be used in regulatory reporting and the XBRL taxonomy. The anticipated publication of the second phase (Phase 2) is after mid-March. DPM 3.0 version will apply to reporting as of the reference date 30 June 2021. ITS will be binding legislation only after it has been adopted by the European Commission and it has been published in the Official Journal of the European Union.

The changes to the data collections are largely based on reforms concerning the EU Capital Requirements Regulation (CRR). In addition to reporting changes due to regulation, the aim was to align the Pillar 3 disclosure requirements and regulatory reporting as extensively as possible. EBA has published a reconciliation document showing the connection between the information to be disclosed and to be reported.

Most significant changes in Phase 1

The revised regulation has an extensive impact on data collections for Common European reporting (COREP). There will be changes for example in data collections concerning Own Funds (OF), Leverage Ratio (LR), Large Exposures (LE), Net Stable Funding Ratio (NSFR) and Asset Encumbrance (AE) . The changes in FINREP reporting are related to compatibility with IFRS 9.

In the same context, new validation rules have been introduced and adjustments have been made to previous ones. There are also adjustments and clarifications to several modules based on the EBA’s Q&A process.

The G-SII and FRTB data collections are new reportable data.

Further information on the XBRL taxonomy and DPM model applying to ITS reporting is available on the EBA website.

Own Funds (COREP OF)

Own funds reporting includes several changes based on amendments to CRR2. For example, Pillar 1 and 2 requirements have been adjusted in templates C 01.00 and C 04.00. Changes have also been made to templates C 03.00 and C 05.01.

New templates in credit risk reporting are C 08.03, C 08.04, C 08.05, C 08.05.01, C 08.06, C 08.07. New templates for reporting credit risk counterparties C 34.01–C 34.11 were created to correspond to CRR2 regulation. Reporting on minimum requirements for covering losses on non-performing exposures is made in three new templates C 35.01, C 35.02 and C 35.03.

Other credit risk templates have also been adjusted, and new reportable rows and columns have been introduced into the tables.

Leverage Ratio (LR)

The minimum leverage ratio requirement (3%) entering into force at the end of June has brought about changes to the LR templates. Changes have been made to templates C 40.00, C 43.00 and C 47.00. There are new templates C 48.01 and C 48.02 for reporting values related to the calculation of the leverage ratio. Templates C 41.00 and C 42.00 will be phased out.

Large exposures (LE)

Minor adjustments have been made to templates C 26.00, C 27.00, C 28.00 and C 29.00, for example reflecting the EBA’s Q&A process. Templates C 30.00 and C 31.00 will be phased out.

Net Stable Funding Ratio (NSFR)

At the end of June, the net stable funding ratio requirement (100%) will enter into force, and the regulatory changes has caused changes to all NSFR templates. The new templates are C 80.00, C 81.00, C 82.00 C 83.00 and C 84.00. Templates C 30.00 and C 31.00 will be phased out.

Fundamental Review of the Trading Book (FRTB)

The templates of the new FRTB (Fundamental Review of the Trading Book) data collection are C 90.00 and C 91.00. The data collection is anticipated to be reported for the first time on the reference date 30 September 2021.

Asset encumbrance (AE)

Minor structural adjustments or changes of identifiers have been made in the AE templates F 32.01, F 32.02, F 32.03, F 32.04, F 34.00, F 36.01 and F 36.02 to align the templates with Pillar 3 requirements.

Financial reporting (FINREP)

A column indicating assets that are credit-impaired on initial recognition (POCI = purchased or originated credit impaired financial assets) has been introduced into several tables.

The definitions of non-performing and forborne exposures have been updated in the guidance. In addition, the treatment of liquid assets in different tables have been clarified in the guidance.

These changes are reflected in templates F 04.03.1, F 04.04.1, F 07.01, F 09.01.1, F 12.00, F 12.01, F 13.01, F 18.00, F 20.03, F 20.04, F 40.01, F 40.02 and F 42.00.

Supplementary reporting for identifying and assigning G-SII buffer rates (G-SII)

The G-SII (Global Systemically Important Institutions) reporting is concerned with institutions whose total exposures under the leverage ratio requirement amount to at least EUR 125 billion. The reporting takes place quarterly and the submission deadlines are longer than normal. The G-SII data collection includes the template G 01.00.

Reporting reference dates

Submission dates

31.3. 1.7.
30.6.  1.10.
30.9. 2.1.
31.12.  1.4.

Most significant changes in Phase 2

According to the EBA’s estimate, Phase 2 will be published after mid-March.

Phase 2 will include, among things, the “Minimum Requirement for Own Funds and Eligible Liabilities” (MREL) and “Total Loss-Absorbing Capacity” (TLAC) reporting, which fall within the Financial Stability Authority's (FFSA) remit. The FFSA will publish its own release on the reporting.

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