MFSA updated information on the liquidity coverage ratio (LCR) DA and the additional liquidity monitoring metrics (ALMM) modules as part of the common reporting (COREP) framework. The LCR DA module will be applicable from reference date of April 2020. The ALMM module will be applicable from reference date of April 2020 for institutions submitting this module on a monthly basis and from reference date of June 2020 for institutions submitting this module on a quarterly basis.
Credit institutions are required to report, to MFSA, the prudential information under the COREP framework and the Financial Reporting (FINREP) framework established under the Capital Requirements Regulation (CRR) and the implementing technical standards on supervisory reporting (Regulation 680/2014). The information is required to be reported in accordance with the MFSA-issued Circulars on COREP and FINREP and subject to any terms and conditions that MFSA may impose. Credit institutions are required to submit COREP and FINREP data on both a solo and consolidated basis, where applicable.
Keywords: Europe, EU, Malta, Banking, COREP, FINREP, Reporting, LCR, ALMM, Liquidity Risk, CRR, Basel, MFSA
ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.
EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).
APRA is consulting on updates to ARS 210.0, the reporting standard that sets out requirements for provision of information on liquidity and funding of an authorized deposit-taking institution.
FED released hypothetical scenarios for a second round of stress tests for banks.
PRA published updates in relation to the 2021 Supervisory Benchmarking Portfolio exercise.
FED adopted a proposal to extend for three years, with revision, the capital assessments and stress testing reports (FR Y-14A/Q/M; OMB No. 7100-0341).
HKMA revised the Supervisory Policy Manual module CR-G-14 on margin and other risk mitigation standards for non-centrally cleared over-the-counter (OTC) derivatives transactions.
EBA issued a revised list of validation rules with respect to the implementing technical standards on supervisory reporting.
EBA published its response to the call for advice of EC on ways to strengthen the EU legal framework on anti-money laundering and countering the financing of terrorism (AML/CFT).
NGFS published a paper on the overview of environmental risk analysis by financial institutions and an occasional paper on the case studies on environmental risk analysis methodologies.