Lombard Risk - Enabling regulatory compliance.

Transcription

1

2 For more information Lombard Risk

3 This morning s agenda 8am Registration and breakfast 8.45 Welcome and Introduction 9.00 (45 min) 9.45 (½ hour) The final, final Implementing Technical Standards A culmination of the online business briefings that have taken place over the past 2 years, a summary of the final final ITS So, you thought it was all over? Part 1 Covering the regulatory issues that impact firms THIS YEAR FINREP Asset Encumbrance (AE) Rebecca Bond Group Marketing Director and John Wisbey, CEO James Phillips Director Regulatory Strategy Lombard Risk Andrew Winton Business Analyst and Robin Bridge Director Regulatory Compliance Lombard Risk ½ hour break for coffee and networking: meet our regulatory business matter experts, see demonstrations of REPORTER for COREP+ and mingle with your peers.

4 Asset Encumbrance Robin Bridge Director, Regulatory Compliance

5 Speaker: Robin Bridge Director, Regulatory Compliance Robin Bridge is currently responsible for delivering Lombard Risk s COREP and FINREP solutions. He has more than 30 years experience in product development, project and programme management, the majority of which has been gained in the financial services sector. Prior to joining Lombard Risk he was with Logica for more than 13 years, where he was the rframe line of business manager, responsible for the company s regulatory reporting solutions in the UK and Ireland

6 What Implications is Asset Encumbrance? of DFA for BBVA Glossary Implementing Technical Standards TLA ITS Draft ITS on Supervisory Reporting (Asset Encumbrance) ITS aim at implementing reporting requirements for asset encumbrance Reporting templates and instructions with the ultimate aim of ensuring harmonised reporting of asset encumbrance across institutions

7 What Implications is Asset Encumbrance? of DFA for BBVA Assets are encumbered when they are used to secure, collateralise or credit enhance Cannot be withdrawn without approval Definition based on economic, not legal, grounds, but should follow contract conditions With respect to encumbrance accounting, the presence of an encumbrance can give the illusion that there are more available funds inside an account than is actually free for use.

8 What Implications is Asset Encumbrance? of DFA for BBVA Assets affected COULD include: Secured finance transactions, repos and securities lending Collateralised guarantees Collateral placed at clearing houses and CCPs Central bank facilities Assets underlying securitisations Cover pools for covered bond issuance but does NOT include: Unused collateral

9 Who Implications reports Asset of DFA Encumbrance, for BBVA and when? Asset Encumbrance applies to financial institutions: 1. With assets > 30bn Euros 30 th June 2014 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2. To all other institutions Will be followed by rules for 31 st December 2014 market disclosure of encumbered assets

10 Asset Implications Encumbrance of DFA ratio for BBVA (Total encumbered Assets + Total Collateral Received and Reused) %AE = (Total Assets + Total Collateral Received) Values above are defined in terms of the cells on the AE-ASS and AE-COL templates

11 Asset Implications Encumbrance of DFA reporting for BBVA templates Annex XVI: Reporting on asset encumbrance

12 Part A Asset Encumbrance AE-ASS AE-COL AE-NPL AE-SOU Assets of the reporting institution Collateral received Own covered bonds and ABSs issued and not yet pledged Sources of encumbrance Based on fair value and carrying value Quarterly reporting frequency Circa 250 cells

13 Part B Asset Encumbrance AE-MAT Maturity data Only required if asset encumbrance level is above 15%, or assets of Euro 30bn or more Quarterly reporting frequency Circa 40 cells

14 Part C Asset Encumbrance AE-CONT Contingent encumbrance Shows encumbrance under the effects of two stress scenarios Value decreases by 30% Significant currencies depreciate by 10% Column for each Significant Currency Only required if asset encumbrance level is above 15%, or assets of Euro 30bn or more Annual reporting frequency 26 fixed cells + an additional 13 cells for each Significant Currency

15 Part D Asset Encumbrance AE-CB Covered bonds issuance Grouped by maturity Includes nominal, carrying value and market value Requires credit ratings from multiple credit rating agencies Only required if your firm issues these instruments Quarterly reporting frequency Circa 40 cells, repeated for each covered bond pool

16 Part E Asset Encumbrance AE-ADV1 AE-ADV2 Advanced data Encumbered assets Advanced data Collateral received Only required if asset encumbrance level is above 15%, or assets of Euro 30bn or more Semi-annual reporting frequency Circa 850 cells