Author: Julie Duncan

Liquidity Coverage (LC) Ratio Reporting for CRD IV

Posted on by Julie Duncan

On Tuesday 18th March, ALMIS® International hosted a webinar explaining liquidity reporting under CRD IV and particularly the new liquidity coverage (LC) reports and ratio. This was a popular event and was attended by over 40 ALMIS® banks and building societies. Here’s a summary of what we discussed, together with feedback from our participants.

The Regulatory Perspective

Basel III is a global voluntary regulatory standard on bank capital adequacy, stress testing and liquidity risk. The BIS, under BASEL III, has published for the very first time, a global standard for liquidity management.

Based on this CRD IV includes two liquidity ratios and consequently, the LC return will be the first return to be submitted under COREP – due by 30th April 2014 for March 31st data.

In December 2013 the EBA published new and complex guidance for retail outflows. The PRA has also published some guidance. Whilst the LC ratio will not form part of Pillar 1 until 2015, the new regulations have significant and wide ranging implications for all UK-licenced deposit takers.

How do financial firms and system providers such as ALMIS® International interpret, implement and deliver on these new regulations? Read full article

ALMIS® software gives risk management capability to Paragon and SCOBAN in their quest for a banking licence

Posted on by Julie Duncan

Paragon Bank (part of the FTSE 250 Paragon Group of Companies PLC), was recently granted a banking licence by the Prudential Regulation Authority. The PRA has also confirmed that it is ready to grant a banking licence to SCOBAN plc. A key part of the licence application is for firms to set out their plans for monitoring and managing their own specific financial risk profiles.

 

The UK regulators are known for their high standards and stringent tests for institutions seeking licence approval. Effective risk management is an essential requirement, and one of the main challenges on the road to obtaining a banking licence. By effective use of ALMIS® International’s Asset Liability Management system to assess, manage and monitor risk, the PRA were able to take comfort that both Paragon and SCOBAN have the right tools to successfully demonstrate prudential risk management.

 

Joe Di Rollo, MD and Founder of ALMIS® International, notes: “Our long and collaborative association with the regulatory authorities, including the PRA, has underpinned the development of an ALM risk management system that meets and exceeds the requirements of both the regulators and our clients. Paragon Bank and SCOBAN plc are the latest in a growing number of ALMIS® clients demonstrating that effective use of ALMIS® equips them to challenge established banks with confidence”.

We are 100% confident – are you?

Posted on by Julie Duncan

 

A number of clients have contacted us this week regarding a questionnaire from the PRA over your readiness for COREP.

 

The EBA published the latest Data Point Model and Taxonomy in early December 2013. We have been working on a significant number of material changes to both COREP and FINREP, including changes and additions to the LCR and NSFR returns. This also included entirely new and extensive validations.

 

ALMIS® release schedule

 

We have released an update to capital adequacy and balance sheet reporting in order to automatically calculate a substantial number of COREP and FINREP returns. This release is currently available on our website and is suitable for testing the report calculations and functionality.

 

Next week we are scheduled to release a version update which will include the very latest Taxonomy. We will be testing the XBRL files using a range of sample data with facilities that have been given to us directly by the PRA. This version will give clients all they need to meet the specific regulations, including submission forms for LCR and NSFR.

 

In March we will release V9.6 which includes updates to the liquidity module and an automatic calculation facility for the new LCR and NSFR. It will also have automatic calculation for the new Large Exposures.

 

Clients should note that Our January release will meet the deadlines 3 months in advance of the submission deadlines. This includes automation for the majority but not all returns. Our March release will provide further automation.

 

Our aims and priorities are:

1) To ensure that all of our clients meet the necessary deadlines

2) We provide the ability to streamline and automate these processes going forward

3) We deliver analysis tools to make best use of the management information used to aid decision making

Are you prepared for the implications of the new CRD IV regulations?

Posted on by Julie Duncan

ALMIS® International can provide you with a comprehensive solution to meet the demands of regulatory reporting for COREP and FINREP.

 

ALMIS® International provides a full CRD IV submission system, with the option to calculate reports directly from a firm’s balance sheet. Our system can provide a complete solution to all the requirements of CRD IV and has the flexibility to deliver on specific elements that your organisation requires.

 

The ALMIS® Regulatory Reporting Module provides a fast and flexible method of completing COREP and FINREP reporting, offering both full automatic calculation and spreadsheet integration.

 

Users of the regulatory reporting module have two options:

 

1. Input only option – transforms data held from spreadsheets into XBRL.

2. A full calculation option – produces the reports directly from your source systems.

 

The ALMIS® system has been comprehensively developed and extensively tested, making it a reliable, effective and time saving solution to reporting. ALMIS® is supported by a team of ALM experts and software engineers and is updated to ensure it meets all regulatory changes.

 

The benefits of using the ALMIS® system for regulatory reporting include:

 

  • Reduced pressure on finance department through seamless automation of regulatory returns which are consistent across regulation and ALCO reporting

  • PRA Reporting through XML to the PRA/FCA’s Gabriel System

  • COREP Reporting through XBRL to the PRA/FCA’s Gabriel System

  • Bank of England Reporting using XML to the Bank of England’s OSCA system

  • Easy to use with Audit trails

  • Full validation as is done on the Regulatory Systems, including cross validation between the reports

  • Automatic calculation on totals and listing of calculations on cells

  • Segregation of Editing, Reviewing and Submission roles

 

Our team of ALM experts, software engineers and system integrators understand the changing regulatory landscape and provide a flexible, forward-looking system that enables you to achieve regulatory compliance with minimum disruption to your business.

 

With over 50 banking clients and over 60% of the UK Building Society market, ALMIS® International are a UK market leader for regulatory reporting systems for UK banking firms.

 

For more information on how the ALMIS® solution can work for you, contact Cecilia Mueller on 0131 4528898 or email [email protected]

ALMIS® International – fast to respond to new CVA Risk Calculation for Derivatives

Posted on by Julie Duncan

The latest CRD IV regulations make small changes to risk-weighted credit exposure for banking institutions, except in the area of derivatives where the exposure can now be significantly higher.

With the regulations effective from January 1st 2014, many UK banks are simply not ready to calculate this risk. The calculation is highly complex and can result in significant additional capital requirements as explained in Article 384 of the CRR, 27/06/13.

For example, a 20 year collateralised interest rate swap with one of the large UK clearing banks could result in a capital requirement over 20 times greater than the current regime.

ALMIS® International believe it is the first company to provide its clients with a fully functional CVA risk report. Their client base trust the ALMIS® system to anticipate the regulatory landscape and to respond so quickly and effectively to ensure its users understand the implications and are able to easily comply with changes to the CRD IV regulations.

For more information about how the ALMIS® software can benefit you, contact Cecilia Mueller, Business Development Executive or call +44 (0)131 452 8898

Case Study

Posted on by Julie Duncan

Whilst COREP has been dominating the headlines in terms of changes in the regulatory reporting environment, new Hedge Accounting standards are being introduced for banking firms. Many of our clients can take advantage of having the data already installed and easily slot in the Hedge Accounting module to ensure compliance with the new standard.

 

A recent example of this is with The Cambridge Building Society, for more information click on the link below:

CASE STUDY: “Hedge Accounting In A Day”

 

For further information on the Hedge Accounting Module, click here or contact ALMIS® International.

Updates to the Capital Requirements Directive (CRD) IV

Posted on by Julie Duncan

Our review of the implications

The banking sector is bracing for significant change to regulatory reporting. The European Banking Authority (EBA) has released the ‘Final Draft’ technical standards for COREP and FINREP. This relates directly to the Capital Requirements Regulation released in June this year and contains the templates and validation for CRD IV reporting. This draft has a 3 month consultation period for proposed amendments.

Changes to submission dates

There have been alterations to the dates of the first submissions. Whilst many reports suggested the first submission date would be 30 business days from the 31st of March, the technical standards produced for the EBA state that the monthly reports should be completed 30 calendar days after the 31st. These changes only apply to the first submission. For all monthly reporting after the first submission, a 15 calendar day period will apply.

SME Support – a positive change to help both lenders and SMEs

A reduction in the capital held to cover exposures to small and medium sized enterprises (SMEs) is also implemented in this latest update from the EBA. This is not a change to risk weight but instead a new factor in the calculation of capital holding. This “SME supporting factor” is designed to boost lending to SMEs; therefore any capital gained should ideally be used to lend more to the sector. This change was led by Germany but will have impact across Europe.

The purpose of this change is to remove the impact of the capital conservation buffer for SMEs. The minimum capital requirement is calculated as 8% of the Risk Weighted Exposure (RWE) and the Capital Conservation Buffer is 2.5% of RWE. This means that combined a total of 10.5% is held. The factor is 0.7619 which is equal to 8/10.5. This means in practice, instead of holding 10.5% in total, there is effectively a total of 8% held for SME lending.

ALMIS® caters for this change in its latest release, enabling clients to take full advantage of this change and minimise their capital holding requirements.

Large Exposures

Large Exposures reporting is supplemented with an expected maturity breakdown for any exposures to the counterparty. This means that for large exposures including retail lending there can be a significant volume of calculation to produce the new LE4 and LE5 reports. ALMIS® International are prepared for this change, and ALMIS® already has a maturity analysis tool which clients are successfully using to assist with reporting.

The PRA Response

The Prudential Regulation Authority has released consultations on these new items. It is expected that the PRA will enforce 100% Risk Weighting on Commercial Mortgages and 35% for Buy to Let Mortgages if less than 80% Loan to Value.

In terms of Capital the PRA has voiced the intention for a firm specific capital buffer in addition to the combined CRD IV Buffer constituted of CET1 capital. The impact depends on the proportionality that the PRA impose.

Working to a Solution

These changes to capital calculations and levels of reporting increase the burden of compliance and reporting for banks and building societies. Firms need to understand the impact of these regulations before the implementation date of 1st January 2014.

ALMIS® International provides a full CRD IV submission system, with the option to calculate the reports directly from a firm’s balance sheet. We have a dedicated team of staff working to stay up to date with the changing regulations and to help firms meet their regulatory compliance requirements.

For more information on how the ALMIS® solution can work for you email us or call on 0131 452 8898.

CRD IV – Final Draft Templates Released

Posted on by Julie Duncan

On the 26th July the European Banking Authority released the ‘final draft’ set of templates and validations for CRD IV. This relates directly to the newest and final definition of the CRR which was released in June.

COREP has a number of significantly changed templates from the previous release. The Credit Risk reports now show more detail on the reporting of Small and Medium sized Enterprises (SME) while the Large Exposures reporting now shows an expected maturity profile breakdown as well as reporting the Counterparty information in a new template.

At ALMIS® International we are in the process of updating the internal version of the Data Point Model within the Regulatory Reporting Module. Once this is complete we will release an updated version of the module to all clients. This will include the automatic calculation of reports from the Capital Adequacy Module, and allow population of the new templates.

Please note that while this is the final draft there is a period of 3 months in which changes could be made. Additionally the updated taxonomies which allow correct XBRL generation have not been released yet, these are expected at the end of August. The first submission of COREP will be in April 2014. Firms should be prepared to submit the full XBRL submission at this time.

A Q&A tool is also now available on the EBA website and this should help us all interpret the new requirements.

If you have any questions on ALMIS® and the CRD IV Reporting regime please contact Virginia Hay or Georgina Macleod.

COREP Deadline Confirmed

Posted on by Julie Duncan

Formally confirmed on the 27th June 2013; CRD IV legislation has been formally published in the Official Journal of the EU. This affirms that the new legislation will come into effect from 1st January 2014.

As you may be aware, the CRD IV package adoption date has been subject to numerous delays. The original implementation date of 1st January 2013 was repeatedly pushed back due to the lengthy approval process involved in the finalisation of legislative text. The final content and template layouts are awaiting confirmation, additionally it has still not been confirmed if this submission will include the LCR, NSFR and Leverage Ratio.

Now that the date for COREP has been finalised, many financial institutions are now looking for a solution which will enable them to create, validate and submit the reports. The EBA require all firms to be in a position to submit returns in the standardised XBRL format for the first set of submissions starting on 1st January 2014.

ALMIS® International have developed a solution to help with the burden placed on financial institutions. The Regulatory Reporting functionality within the ALMIS® system is developed in line with these changes to ensure clients are best placed to meet the extensive regulatory demands placed upon them.

Many firms have placed their trust in ALMIS® to ensure their compliance for the new regulations. ALMIS® caters for a wide range of institutions’ requirements, from providing a basic submissions vehicle with manual inputs, to spreadsheet integration, all the way to full automatic population.

The ALMIS® Regulatory Reporting Module has been extensively developed to include an effective and time saving solution to FSA, CRD IV and BoE reporting. ALMIS® offers effective workflow management, validation routines and full audit trails to allow for efficient management and full compliance.

ALMIS® have moved! Free Training Sessions

Posted on by Julie Duncan

We are pleased to announce that we have now moved office; our new head office has been fitted to our specification in order to accommodate our growth plans and the expansion of the ALMIS® workforce, in particular the significant growth to the development and support functions within the company.

As well as providing more space the new office will provide ALMIS® with the ability to provide clients with further training options thanks to the dedicated training facilities on site. We are holding a number of free ALMIS® training sessions for clients, these will be based on a variety of topics, including:

  • Using ALMIS® for COREP (HELD Thursday 6th June 2013)

  • Interest rate risk function – EVA and Earning sensitivity (HELD Thursday 20th June 2013)

  • Forward Planning using ALMIS® (HELD Thursday 4th July 2013)

  • Liquidity and Capital Management using ALMIS® (HELD Wednesday 17th July 2013)

  • Liquidity and Capital Management using ALMIS® (HELD Thursday 18th July 2013)

  • Using the report writer (HELD Thursday 1st August 2013)

  • Hedge Accounting in ALMIS® (Thursday 15th August 2013) FULLY BOOKED WAITING LIST

Spaces are limited, to book a space or to be placed on a waiting list, click on the link next to the relevant session above.

Please Note: If you have previously registered for more than one session, we do our best to allocate your first choice. Should there be space on any sessions you ranked lower in preference we will inform you if you have been allocated a space 2 weeks before the training session is due to take place.

For further information on any of these sessions please contact Georgina Macleod.