SRB launched a consultation on the minimum data needed for valuation of a bank in resolution. The consultation cover two documents: the valuation data set instructions document and an explanatory note guiding banks on the MIS capabilities required to produce up-to-date, high quality, and complete information to carry out a fair, prudent, and realistic valuation. The valuation data set is the starting point for launching a dialog between SRB and banks regarding readiness for valuation and MIS capabilities. The comment period for this consultation ends on June 30, 2020.
The SRB valuation data set instructions document develops the valuation data set and establishes clear expectations in relation to data needs. The data instructions provide additional guidance on detailed definitions of key topics and describe data definitions in detail. Such expectations will enable banks to gradually adapt their MIS to provide accurate data within shorter timeframe. The SRB valuation data set will be a benchmark for institutions and internal resolution team by setting both data and information expectations. It will include a predefined set of information that a valuer would ideally have available to conduct a valuation. The SRB valuation data set, as far as possible, will rely on existing common definitions used in reporting under the EU regulatory, supervisory, and reporting framework and will take proportionality into account in its implementation. In principle, all entities within the scope of the Bank Recovery and Resolution Directive (BRRD) and Single Resolution Mechanism Regulation (SRMR) may be required to maintain detailed records of data and information as defined by the SRB valuation data set, EBA data dictionary, or by existing EU standards.
The explanatory note on SRB valuation data set highlights that SRB approach to valuation relies on the ability of the MIS of banks to provide accurate and timely information in the context of resolution readiness. In this respect, SRB believes in the importance of defining a standardized data set covering the minimum data needed for the valuation of a bank in resolution. SRB has been working on defining the (minimum) set of data that the banks will, in principle, need to provide to SRB and the independent valuer to perform a valuation. As part of its annual resolvability assessment, SRB will evaluate the capacity of banks to collect and provide this information on a timely basis to resolution authorities and/or valuers. SRB valuation data set will ensure consistent implementation of EBA data dictionary for the Banking Union. SRB and EBA have been collaborating closely in their respective work on a standardized data set for valuation in resolution.
The new standardized data set is the second key building block of the SRB approach to valuation. This consultation is a follow up to the first building block—that is the 2019 framework for valuation, which aims to provide independent valuers with the SRB expectations about principles and methodologies for valuation reports, as required under EU law. The framework for valuation constituted two reports known as Valuation 2 (either provisional or definitive) and Valuation 3.
Comment Due Date: June 30, 2020
Keywords: Europe, EU, Banking, Standardized Data Set, Proportionality, BRRD, SRMR, Resolution Planning, Resolution Framework, Reporting, Valuation in Resolution, SRB
Previous ArticleFINMA Adjusts Deadlines for COVID-19 Relief Measures for Banks
ECB published a decision allowing the euro area banks under its direct supervision to exclude certain central bank exposures from the leverage ratio.
ESAs launched a survey seeking feedback on the presentational aspects of product templates under the Sustainable Finance Disclosure Regulation (SFDR or Regulation 2019/2088).
ECB published input of the European System of Central Banks (ESCB) into the EBA feasibility report on reducing the reporting burden for banks in EU.
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.
FED is proposing to temporarily revise the capital assessments and stress testing reports (FR Y-14A/Q/M) to implement the changes necessary to conduct stressed analysis in connection with the re-submission of capital plans, using data as of June 30, 2020.
FED adopted a proposal to extend for three years, with revision, the information collection under the market risk capital rule (FR 4201; OMB No. 7100-0314).
EBA published a voluntary online survey seeking input from credit institutions on their practices and future plans for Pillar 3 disclosures on the environmental, social, and governance (ESG) risks.