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    EBA Proposes Changes to COREP, Asset Encumbrance, and G-SII Reporting

    June 24, 2021

    EBA is proposing to amend the implementing technical standards (EU Regulation 2021/451) on supervisory reporting, with respect to reporting for securitizations, for asset encumbrance, and for data on identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates. Besides that, the proposal also includes a number of minor amendments to the reporting on own funds requirements. The consultation runs until September 23, 2021.

    EC had adopted, on July 24, 2020, a Capital Markets Recovery Package that included targeted adjustments to the securitization framework, which came into force in April 2021. The changes to the securitizations framework introduced a number of new concepts, which are not captured in the current reporting framework. These changes should be reflected in COREP requirements to keep reporting aligned with the prudential requirements. This consultation paper sets out proposals for limited amendments to COREP and is aimed at collecting information on the portion of software assets that is deducted from the common equity tier 1 (CET1) items pursuant to the new prudential treatment and the amount of software accounted as intangible assets that is risk-weighted in accordance with the Capital Requirements Regulation (CRR). This consultation paper also sets out a number of minor amendments to the templates and instructions on reporting, to improve the clarity of the reporting requirements. In addition, typos, erroneous references, and formatting inconsistencies have been corrected.

    In line with the recommendations presented in the Study on the cost of compliance with supervisory reporting requirements, this consultation paper sets out a proposal for exempting small and non-complex institutions from the reporting of more detailed data on asset encumbrance (F 33, F 34, F 36) as well as changing the definition of the level of asset encumbrance to create a level playing field between entities applying different accounting standards. Regarding the reporting of information for determining G-SIIs and assigning G-SII buffer rates, EBA is proposing to slightly expand the scope of application of the reporting obligation, to include standalone entities, and not only banking groups, that meet the relevant criteria. Post consultation, in December 2021, EBA expects to finalize the draft technical standards and submit them to EC, along with the amendments to the additional liquidity monitoring metrics reporting. EBA will also develop the data-point model (DPM), XBRL taxonomy, and validation rules based on the final draft technical standards. The first reference date for the application of these technical standards is foreseen to be December 2022. The expected implementation period for the proposed changes is approximately one year.

     

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    Comment Due Date: September 23, 2021

    Keywords: Europe, EU, Banking, Reporting, Securitization Framework, COREP, Asset Encumbrance, G-SII, CRR, Basel, Capital Markets Recovery Package, Proportionality, EBA

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