Navigating COREP Taxonomy Changes

Posted on 29 March 2016 by Julie Duncan

The much-anticipated update to the current (version 2.3.1) taxonomy (the set of definitions published by the EBA which precisely interpret the meaning/value of numerical data entered into COREP and FINREP returns) has been published. This new version (2.4.1) currently does not have an implementation date but has already superseded version 2.4 which was never implemented.

The EBA has also issued a version 2.5 which will supersede all previous versions to become the definitive taxonomy from December 31st 2016. Amongst others, one of the first reports affected will be the monthly LCR for period ending Dec 2016.

To complicate the situation even further, the recent European LCR Delegated Act, implemented by the UK regulatory authorities, requires dual reporting of the monthly COREP LCR. As version 2.3.1 does not cover the Delegated Act’s requirements, in practical terms this will mean firms using both the existing COREP taxonomy version 2.3.1 and a manual Excel spreadsheet work around until such time as version 2.4.1 (or version 2.5) is implemented.

This complicated and uncertain environment is a challenge for both financial firms, many of whom are still finding their way through the rigours of COREP and FINREP, and for service providers like ALMIS® International who must ensure their software is always compliant, regardless of the frequency and uncertainty of regulatory directives from the EBA.

ALMIS® International will continue to develop its Regulatory Reporting module to comply with the now published ‘gold standard’ of version 2.5. However, we will continue to work closely with the EBA and the PRA at UK national level so that if version 2.4.1 is implemented between now and December 31st, our software, training and support will ensure your returns remain compliant and help you navigate a smooth course.

For more information contact Jenna Haston [email protected] or call +44 131 452 8898

COREP Taxonomy Updates

Posted on 11 March 2016 by Julie Duncan

There have been some recent press releases issued by the EBA regarding updates to the Data Point Model and the XBRL Taxonomies according to the Implementing Technical Standards (ITS) on Supervisory Reporting.

The first of these is a corrective update, taxonomy 2.4.1, which is to be used in place of the previously published taxonomy 2.4. This taxonomy will apply for submissions with reference dates 6 months from the point of their publication in the Official Journal- provided that this is prior to December 2016. At the time of writing, there has been no publication relating to taxonomy 2.4 or 2.4.1 in the Official Journal.

The second press release is related to the publication of taxonomy 2.5. It is explicitly stated that this will be used for reference dates from 31 December 2016 onwards.

In the interim, the active taxonomy continues to be 2.3.1.

We will continue looking out for further news on the situation, and liaise with contacts in the industry in order to keep our clients updated with the most recent regulatory developments.

European Commission settles approach to ALMM (additional liquidity monitoring metrics) reporting and confirms timing

Posted on 9 March 2016 by Julie Duncan

Long awaited Commission Regulations settling the approach to the new ALMM reporting regime have been published. As previously thought the regulations drop Maturity analysis (for the time being anyway).

The reporting regime will require certain institutions to submit the required reports monthly (with April 2016 as the first month for which information is to be reported); however for most UK firms the reporting requirement will be quarterly.

Reports to be submitted will cover: Concentration of funding by Counterparty, Concentration of funding by Product Type, Prices for various lengths of funding, Roll-over of funding and Concentration of Counterparty Capacity by Issuer/Counterparty.

A key challenge will be the need for firms to collect data on new funding and rollovers.

We continue to liaise with the EBA on details regarding reporting deadlines as well as the content of submissions when reported on a quarterly basis. We are continuing to monitor for any update from the PRA related to this statement on ALMM.