Welcome to: Lombard Risk business briefing webinar Basel III / EBA Common Reporting regulatory impact

Transcription

1 Welcome to: Lombard Risk business briefing webinar Basel III / EBA Common Reporting regulatory impact Thursday 19 th April 2012 approx. 50 min

2 Webinar agenda 50 min Welcome & Introduction Rebecca Bond, Group Marketing Director Key speaker: James Phillips, Director Regulatory Strategy Basel III / EBA Common Reporting regulatory impact Questions & Answers Online survey - downloads

3 Basel III Business Breakfast Briefings THE IMPACT ON REGULATORY REPORTING and creating a reporting framework to meet regulatory and management demands Basel III EXPLORING THE IMPACT ON YOUR FIRM Focussing on how the regulators' new capital and liquidity demands will impact your firm's business model and operating procedures NEW LIQUIDITY DEMANDS: is this the new LIQREP? IS RISK MONITORING AND REPORTING your firm s Standard Operating Procedure (SOP)? A month from now will be too late to start preparing. What's been achieved in 2011 and what's left to do? Looking at REGULATORY REFORM: the new EU system a year on, and the new UK system. COREP, FINREP and LIQREP: consultation on reporting templates and latest developments.

4 Future topics in the series of online business briefings Regulatory webinar series: online business briefings Today TBA TBA TBA Basel III / EBA Common Reporting regulatory impact EBA reporting: what's in the finalised rules? User case study: typical automation project Basel III: what to do if you've left it late!

5 Let s get started. with a short introduction

6 Lombard Risk today: a leading player in global risk and compliance solutions Ticker: LRM Founded in 1989 Trusted providers for more than 22 years 300+ banks, hedge funds, commodity trading and fund management clients in 25 countries Solutions for global financial services institutions No.1 provider of Regulatory Compliance solutions in both the United Kingdom and United States - with global coverage Leading Liquidity Analysis provider A market leader in Collateral Management solutions Experts in Dodd-Frank Act Title VII reporting

7 Global 270 strong in 10 global offices R&D centre Luxembourg Shanghai New York and New Jersey 489 Fifth Avenue New York, NY London Ludgate House 245 Blackfriars Road London SE1 9UF Tel: +44 (0) South Africa 34 th Floor Hai Tong Securities Tower 689 Guang Dong Road Shanghai P.R.China Tel: +86 (0) Mumbai Tel: One Gateway Center 26 th Floor New Jersey, NJ Tel: US operations Singapore 30 Raffles Place #20-04 Chevron House Singapore Tel: Hong Kong Unit 2106, 21 st Floor Harcourt House 39 Gloucester Road Wanchai, Hong Kong Tel: Tokyo Level 14, Hibiya Central Building Nishi-Shimbashi Minato-ku, Tokyo Tel: Headquarters Asia Pacific operations

8 Global client base: 300+

9 Integrated solution: regulatory compliance, liquidity analysis, management information, collateral management, Dodd-Frank reporting

10 Handing you over.

11 Speaker: James Phillips Director, Regulatory Strategy

12 Basel III / EBA Common Reporting Changes firms must respond to

13 International Managing Collateralised Trading, Enabling Regulatory Compliance 18/05/2012 Closely related themes Basel III CRD & CRR Sanctions Governance, Remuneration Europe CRD IV * CRR = Capital Requirements Regulation which is a part of Basel III implementation; the other half is the Capital Requirements Directive (IVth edition). Directives have to be taken into national law; regulations do not and are effective right away and are uniform. Lombard Risk REPORTER for regulatory compliance

14 Liquidity Capital Leverage Basel III changes (in family groups) Monitoring Reporting Phasing As of 1 Jan 2019 Leverage Ratio Supervisory monitoring Parallel run 1 Jan Jan 2017 Disclosure starts 1 Jan 2015 Migration to Pillar 1 Minimum Common Equity Capital ratio 3.5% 4.0% 4.5% 4.5% 4.5% 4.5% 4.5% Capital Conservation Buffer 0.625% 1.25% 1.875% 2.50% Minimum common equity plus capital conservation buffer 3.5% 4.0% 4.5% 5.125% 5.75% 6.375% 7.0% Phase-in of deductions from CET1 (including amounts exceeding the limit for DTAs, MSRs and financials) 20% 40% 60% 80% 100% 100% Minimum Tier 1 Capital 4.5% 5.5% 6.0% 6.0% 6.0% 6.0% 6.0% Minimum Total Capital 8.0% 8.0% 8.0% 8.0% 8.0% 8.0% 8.0% Minimum Total Capital plus conservation buffer 8.0% 8.0% 8.0% 8.625% 9.25% 9.875% 10.5% Capital instruments that no longer qualify as non-core Tier 1 capital or Tier 2 capital Phased out over 10 year horizon beginning 2013 Liquidity coverage ratio (LCR) Observation period begins Introduce minimum standard Net stable funding ratio (NSFR) Observation period begins Introduce minimum standard

15 The Articles of CRR and the CRD Capital Requirements Regulation three physical documents 547 pages Capital Req three phyical documents 547 pages Capital Requirements Directive One document 154 pages (total 701 pages)

16 We are here Early Q3: July Lombard Risk REPORTER for regulatory compliance March Basel III: now till January Now Observation period Time to set up best practice re: stress testing and MIS 1 st Jan 2013 Basel III start date January 2013 EBA Reporting Start Date Reporting templates expected to be finalised LCR Lombard Risk LISA automates LCR and NSFR ratios COREP Compliance with: Liquidity Coverage Ratio and Leverage Ratio Compliance with: Net Stable Funding Ratio Final phasing-in switched ON FINREP

17 European Banking Authority - consultation Closed consultations Capital requirements: COREP & FINREP (CP50) Large Exposures: (CP51) Open consultations Own Funds (EBA/CP/2012/02) assessment of the suitability of members of the management body (EBA/CP/2012/03) (Just released 18 th April 2012) Consultations yet to come.more Own Funds (later) Leverage Ratio (expected this month, April ) Liquidity - LCR and NSFR (now expected in June) IT Solutions - Data Point Model i.e. XBRL info ( Q ) 2 nd EBA FINREP (expected H2 2012)

18 Scope for EBA Reporting Banks, Building Societies AND Investment Firms i.e. any firm impacted by the Capital Requirements Directive FINREP reporting for consolidated Credit Institutions only (but this may change) COREP all firms, some proportionality available Firm Type\Report Consolidation COREP (UK) FSA003 FINREP etc required Level Credit Institution Consolidated Yes Removed * Yes Removed * (UK) FSA001/2 etc Credit Institution Solo entity Yes Removed * No ** Remains ** Investment Firm Consolidated Yes Removed * No ** Remains ** Investment Firm Solo entity Yes Removed * No ** Remains ** UK comment: apart from the mop-up requirements, which might mean some bits remain **.pending a further expected EBA consultation on this which may very well introduce a) Solo Financial Reporting [i.e. FINREP] for Credit Institutions and b) FINREP for Investment Firms generally

19 And meantime legal negotiations continue Capital Requirements Regulation 2 nd Presidency Compromise Text Was 547 pages, now 833 (includes some tops and tails and the mark-up) Article 95 re Own Funds: Was: "to the extent this is necessary to obtain a comprehensive view of the risk..." 2 nd Compromise text (2 nd April 2012) New: "to the extent that the competent authorities consider this is necessary to obtain a comprehensive view of the risk..."

20 Impact of EBA Common Reporting on YOU More and/or different: Data Calculations Reports Submission /Delivery methods

21 More and/or different: 1. Data for EBA Common Reporting Granularity: (c10 times as much data detail currently reported to UK FSA) Examples: New capital classification: means of identifying direct and indirect holdings of CET1; Must also include a means of identifying participations of >20% Means of designating eligible and ineligible for CET1 Data marker to identify Grandfathered CET1 eligibility Split deferred tax: Goodwill; Other Intangibles; Defined Benefit Schemes; Deductible deferred New category of capital: Reciprocal Cross Holdings And that s just capital: how about: Industrial code definitions based on EU NACE (Nomenclature Générale des Activités Économiques dans les Communautés Européennes) Circa 40 new data types

22 2. Calculations for reporting

23 More and/or different: 3. Reports for COREP, FINREP & LE Reports: Capital, financial, large exposures 34 new COREP templates; with at least 24 dimensions being introduced 69 new FINREP templates (IFRS); or 46 templates (GAAP) 3 new LE templates Liquidity and leverage templates to follow

24 More and/or different: 3. Reports for COREP, FINREP & LE Item FSA Data Items EBA Templates Capital: (COREP) Financial: (FINREP) Total items: LIQREP (Lombard Risk term) LEVREP (Lombard Risk term) LCR/NSFR LR

25 More and/or different: 4. Submission/Delivery NSA Bank XBRL (National Supervisory Authority) XBRL EBA Expected that NSAs have the choice on how the information is collected. Most will choose XBRL and implement the EBA s standards to the letter NSAs have no choice but to submit XBRL to the EBA

26 More and/or different: 4. Submission/Delivery When? First reporting as at 31 st March 2013 Possibly earlier for LCR for monthly firms Monitoring From 1st January 2013 Frequency Quarterly, typically LCR may be monthly How? We ll ask you first!

27 Q H Q EBA implementation actions F M A M J J A S O N D J F M Regulator Solution CP50; 20/3/12 CP51: 26/3/12 Remaining CPs? Gap analysis NOW DPM XBRL EU Journal: After end June (ITS, incl XBRL) EBA Consultation is under way. Final Regulations end June 2012, in respect of Reporting Implementing Technical Standards Allow time to review this extensive paperwork and to determine the business impact Analysis of the impact of EBA reporting specifically, should be started now. There is a Very Large amount to go through. Gaps in business process, data sources, new calculations, and operating & reporting processes need to be identified by firms as soon as possible. From springtime you should be starting to find missing data and planning actions to gap new data Post Final - Gapping Data configuration EBA CP Version Delivery of software solution based on Consultations Following end June final rules, determine any new gaps. If you leave it all till the final rules, there will be no time EBA Final Version Delivery of software solution based on Final Rules Join the Lombard Risk Basel III programme and benefit from up to the minute review of key implementation risks, and dependencies, before they crystallise into issues needing corrective action Join Lombard Risk Basel III programme Review the EBA consultations; Determine business impact For EBA reporting, analyse gaps; Data; Processes; Computations Develop solutions to the data or process gaps Develop or buy software based on the Consultations get ahead Review the final rules once adopted by EU; fix any new gaps Getting Involved Lombard Risk Basel III programme 7 Top up with fixed software for final EBA reporting solution Lombard Risk REPORTER for regulatory compliance

28 Lombard Risk REPORTER Fully scalable, consolidated regulatory solution Lombard Risk REPORTER for regulatory compliance

29 Questions Implications & Answers of DFA for BBVA Questions submitted in advance: Question one: Will the published deadlines be upheld? Question two: What is the latest on FINREP as a requirement? Questions raised during the webinar? Open for additional questions now.

30 Thank you