prudential regulation and bank supervision...

Prudential Financial Reporting

Data Collection and Presentation

Martina Drvar

Prudential Regulation and Bank Supervision Area

Prudential Financial Reporting Overview

A Idea

B Basic Reporting Line

C Additional Reporting Lines

D Mapping Prudential Reports

E FINREP Framework Adoption

3

A1 We started with the balance sheet …

plasmani

kapital

depoziti i

krediti

dioničari

dužnici vjerovnici

(deponenti,

kreditori)

debtors

placementsdeposits

and loans

capital

deponents,

creditors

shareholders

4

A2 … using the IFRS measurement …

Property, plant (IAS 16)

Intangibles (IAS 38)

* except that this is not

necessary for the AFS

instruments

Trading and and available-

for-sale investments

(IAS 39)

Investment property

(IAS 40)

Inventories (IAS 2)

Impaired assets (IAS 36)

Biological assets (IAS 41)

Held-for-sale assets (IFRS 5)

VALUE MODELS

(Gains / losses to income)*

Market value

Impaired assets (MRS 36)

Deferred tax (IAS 12) but

undiscounted

Inventories (IAS 2)

Property, plant (IAS 16)

Intangibles (IAS 38)

Held-to-maturity investments (IAS 39)

Investment property (IAS 40)

ASSET VALUATIONS

COST MODELS

(Gains deferred or never recognised as income)

Entity-specific valueHistorical

(gains deferred)

Revalued

(gains never in

income)

Fer valueSelling price

(or NRV)Value in use

Source: Dr. Christopher Nobes, Masterclass on International Financial Reporting Standards

5

A3 … which resembles mirroring of each reporting item in the chosen IFRS portfolio!

– Amount – instrument value! (How much?)

– Portfolio – IFRS rule

that explains the way the item is valued (How?)

– Instrument – reporting item (What?)

A4 Therefore financial reporting is based on three main information!

What?

Bond!

How? At fair value!

How much?

100 euro!

6

7

A5 Instrument values are distributed in portfolios according to the obligatory chart of accounts…

Gotovina

Gotovina u blagajni 1001 2001 3001

Čekovi i drugi instrumenti plaćanja

Banaka 1002 2002 3002

Stranih financijskih institucija 1003 2003 3003

Ukupno gotovina 1004 2004 3004

Depoziti kod HNB-a

Izdvojena obvezna pričuva 1005 2005 3005

Žiroračun (račun za namirenje) kod HNB-a 1006 2006 3006

Ostali depoziti kod HNB-a 1007 2007 3007

Ukupno depoziti kod HNB-a 1008 2008 3008

DEPOZITI KOD BANAKA

Domaće banke 1009 2009 3009

HBOR 1010 2010 3010

Strane banke

Depoziti po viĎenju 1011 2011 3011

Oročeni depoziti i depoziti s otkaznim rokom 1012 2012 3012

Ukupno depoziti kod banaka 1013 2013 3013

DEPOZITI KOD OSTALIH BANKARSKIH INSTITUCIJA 1014 2014 3014

DEPOZITI KOD NEBANKARSKIH FINANCIJSKIH INSTITUCIJA 1015 2015 3015

DEPOZITI KOD BANAKA U STEČAJU 1016 2016 3016

Analytical recording

• counterparty

• instrument

General ledger

Chart of accounts

Supervision

Kapitalni

Osnova zahtjev

I Ponderirana bilančna aktiva (obrazac PBA) 1001 2001 3001 4001

II Ponderirana vrijednost konvertiranih izvanbil. rizičnih stavaka (obrazac PIRS) 1002 2002 3002 4002

III Ponderirana vrijednost ostalih izvanbilančnih rizičnih stavaka (obrazac KOIRS) 1003 2003 3003 4003

Ukupna kreditnim rizikom ponderirana aktiva 1004 2004 3004 4004

IV Otvorena devizna pozicija (obrazac VR-2) 1005 2005 3005 4005

V Specifični kamatni rizik (obrazac SK) 1006 2006 3006 4006

VI Opći kamatni rizik (obrasci OK1 ili OK2) 1007 2007 3007 4007

Ukupno kamatni rizik 1008 2008 3008 4008

VII Rizik ulaganja u vlasničke vrijednosne papire (obrazac VVP) 1009 2009 3009 4009

VIII Robni rizik (obrazac RR) 1010 2010 3010 4010

IX Rizik pozicije u opcijama (obrazac RPO) 1011 2011 3011 4011

X Rizik namire (obrazac RN) 1012 2012 3012 4012

XI Rizik druge ugovorne strane (obrazac RDS) 1013 2013 3013 4013

XII Rizik prekoračenja dopuštenih izloženosti (obrazac PDI) 1014 2014 3014 4014

Ukupno 1015 2015 3015 4015

Neiskorišteni kapital 1016 2016 3016 4016

Pokrivenost

osnovnim

kapitalom

Pokrivenost

dopunskim

kapitalom I

Pokrivenost

dopunskim

kapitalom II

Statistics

GL

Analytics

8

A6 … but chart of accounts has limitations for reporting requirements!

Bank

… household loans held to maturity

corporate loans held to maturity

household loans available for sale

corporate loans available for sale …

Statisics Supervison

1 total loans held to maturity

2 total loans available for sale

1 total loans to households

2 total loans to corporate

9

A7 Therefore we designed a reporting line!

Gotovina

Gotovina u blagajni 1001 2001 3001

Čekovi i drugi instrumenti plaćanja

Banaka 1002 2002 3002

Stranih financijskih institucija 1003 2003 3003

Ukupno gotovina 1004 2004 3004

Depoziti kod HNB-a

Izdvojena obvezna pričuva 1005 2005 3005

Žiroračun (račun za namirenje) kod HNB-a 1006 2006 3006

Ostali depoziti kod HNB-a 1007 2007 3007

Ukupno depoziti kod HNB-a 1008 2008 3008

DEPOZITI KOD BANAKA

Domaće banke 1009 2009 3009

HBOR 1010 2010 3010

Strane banke

Depoziti po viĎenju 1011 2011 3011

Oročeni depoziti i depoziti s otkaznim rokom 1012 2012 3012

Ukupno depoziti kod banaka 1013 2013 3013

DEPOZITI KOD OSTALIH BANKARSKIH INSTITUCIJA 1014 2014 3014

DEPOZITI KOD NEBANKARSKIH FINANCIJSKIH INSTITUCIJA 1015 2015 3015

DEPOZITI KOD BANAKA U STEČAJU 1016 2016 3016

Analytical recording

• counterparty

• instrument

General ledger Chart of accounts

Supervision

Kapitalni

Osnova zahtjev

I Ponderirana bilančna aktiva (obrazac PBA) 1001 2001 3001 4001

II Ponderirana vrijednost konvertiranih izvanbil. rizičnih stavaka (obrazac PIRS) 1002 2002 3002 4002

III Ponderirana vrijednost ostalih izvanbilančnih rizičnih stavaka (obrazac KOIRS) 1003 2003 3003 4003

Ukupna kreditnim rizikom ponderirana aktiva 1004 2004 3004 4004

IV Otvorena devizna pozicija (obrazac VR-2) 1005 2005 3005 4005

V Specifični kamatni rizik (obrazac SK) 1006 2006 3006 4006

VI Opći kamatni rizik (obrasci OK1 ili OK2) 1007 2007 3007 4007

Ukupno kamatni rizik 1008 2008 3008 4008

VII Rizik ulaganja u vlasničke vrijednosne papire (obrazac VVP) 1009 2009 3009 4009

VIII Robni rizik (obrazac RR) 1010 2010 3010 4010

IX Rizik pozicije u opcijama (obrazac RPO) 1011 2011 3011 4011

X Rizik namire (obrazac RN) 1012 2012 3012 4012

XI Rizik druge ugovorne strane (obrazac RDS) 1013 2013 3013 4013

XII Rizik prekoračenja dopuštenih izloženosti (obrazac PDI) 1014 2014 3014 4014

Ukupno 1015 2015 3015 4015

Neiskorišteni kapital 1016 2016 3016 4016

Pokrivenost

osnovnim

kapitalom

Pokrivenost

dopunskim

kapitalom I

Pokrivenost

dopunskim

kapitalom II

Statistics

GL

Analytics Description Amount

Bank and counterparty

Instrument Amount type

Amount


A Idea





B1 Reporting line consists of 3 description parts …

• A – identifies reporting institutions and its counterparties

(answers the question who has a claim to whom) B – identifies insturments’ identificationa and its attributs (answers the question what is the subject of claim) C – identifies the amount type (answers the question how much is the B worth). • A i B are based on the legal documentation (contracts), wheresas C is based on accounting documentation (calculations)

Attribute A Attribute B Attribute C Amount

Credit institution and

Counterparty Z

Loan

extended

Outstanding

principle 100 11

12

B2 … so does the basic reporting line, used to report all the balance sheet items!

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

1 Report 13 Instrument

2 Reporting period 14 ISIN

3 Consolidated or unconsolidated report 15 Currency

4 Audited or unaudited report 16 Original maturity

5 Statistical ID 17 Period of notice

6 Tax ID 18 Indexation

7 Counterparty statistical ID 19 Portfolio

8 Counterparty tax ID 20 Marketabitity of loans

9 County 21 Capital characteristics

10 Country or international institution 22 Risk category

11 Non-resident sector 23 Embedded derivative

12 Relationship reporting 24 Underlying

institution vs. counterparty

A attributes B attributes

13

B3 The amount types are different, but they all relate to the same instrument category!

•Modality "01" – outstanding claims (liabilities) •Modality "02" – overdue claims (liabilities) •Modality "03" – claims (liabilities) arising from accrued interest receivable or dividend payable •Modality "04" – claims (liabilities) arising from past due interest or dividend •Modality "05" – value adjustments of claims relating to balance sheet items or provisioning for contingent liabilities for off-balance sheet items •Modality "06" – value adjustments of claims arising from interests or dividends •Modality "07" – discount •Modality "08" – premium •Modality "09" – contracted value •Modality "10" – fair value which does not include data on respective outstanding or overdue interest or dividends and accompanying value adjustments •Modality "11" – embedded derivative – contracted value •Modality "12" – embedded derivative – fair value etc.

B4 And the reporting line looks like this!

14

Rep

ort

Co

nso

lid

ate

d,

au

dit

ed

Da

te

Lin

en

um

ber

Co

un

terp

art

y

Co

un

terp

art

y st

ati

stic

al

ID No

n-r

esid

ent

Reg

ula

r, s

torn

o,

am

end

ed

Co

un

ty

Co

un

try

No

n-r

esid

ent

sect

or

Rel

ati

on

ship

Sta

keh

old

ings

Inst

rum

ent

ISIN

Cu

rren

cy

Ori

gin

al

matu

rity

Per

iod

of

no

tice

Ind

exa

tio

n

Ind

exa

tio

n c

urr

ency

Po

rto

lio

Mark

etab

ilit

yo

f lo

an

s

Ca

pit

al

cha

ract

eris

tic

Ris

kca

teg

ory

Em

bed

ded

der

iva

tiv

e

Un

der

lyin

g

Plu

s/

Min

us

Am

ou

nt

Am

ou

nt

typ

e

Co

un

terp

art

yta

x I

D


A Idea





C1 Beside balance sheet we designed other reporting lines …

•Modality "AA" – Balance sheet, monthly •Modality "AB" – Amount changes, monthly •Modality "AS" – Cumulative provision and reservation changes, all, quarterly •Modality "AP" – Cumulative provision and reservation changes,, quarterly •Modality "AF" – Balance sheet, physical persons, monthly •Modality "AN" – Balance sheet, non-residents, monthly •Modality "AV" – Currency induced credit risk, physical persons and non-residents, quarterly •Modality "AW" – Currency induced credit risk, quarterly •Modality "AI" – Large exposures, quarterly •Modality "AE" – Claims past due, monthly •Modality "AK" – Interest rate change, quarterly •Modality "AD" – Remaining maturity, monthly •Modality "AU" – Equity securities, quarterly •Modality "AM" – Fixed assets, quarterly •Modality "IZ" – Protection providers and fiduciary shareholders, monthly •Modality "PO" – Specially related persons, monthly •Modality "OI" – Other items, monthly •Modality “RA" – Profit and loss, quarterly etc.

16

17

C2 … which consist of different

attributes!

Title Rbr AA AB AS AP PO AF AN AV AW AI AE AK AD AU AM IZ OI KS RA

Report 1 AA AB AS AP PO AF AN AV AW AI AE AK AD AU AM IZ OI KS RA

Reporting period 2 a a a a a a a a a a a a a a a a a a a

Consolidated or unconsolidated report 3 a N N N a a a N N a N N N a a a a N a

Audited or unaudited report 4 a a a a a a a a a a a a a a a a a P a

Statistical ID 5 a a a a a a a a a a a a a a a a a a a

Tax ID 6 a a a a a a a a a a a a a a a a a a a

Counterparty statistical ID 7 a a a a a a a a a a a a a a a a

Counterparty tax ID 8 a a a a a a a a a a a a a a a

County 9 a a a a

Country or international institution 10 a a a a a a a a a a a

Non-resident sector 11 a a a a a a a a a a a a

Relationship reporting institution vs. counterparty 12 a a a a a

Instrument 13 a a a a a a a a a a a a a a a a a a

ISIN 14 a a a a a

Currency 15 a a a a a a a a a a a a a a a a a a

Original maturity 16 a a a a a a a a a

Period of notice 17 a a a a a

Indexation 18 a a a a a a a a a a a

Portfolio 19 a a a a a a a a a a a a a a a a a a

Marketability of loans 20 a a a a

Capital characteristics 21 a a a a a a a

Risk category 22 a a a a a a a a

Embedded derivative 23 a a a a a

Underlying 24 a a a a a

Type of amount 25 a a a a a a a a a a a a a a a a a a

Counterparty identification 26 a a a a a a a a a

Identification basis 27 a

Time category 28 a a a

Days of aquisition or days of exceeding of exposure limit 29 a a a

Collateral provider or fiduciary shareholder 30 a

Counterparty details 31 a

Securities aquisition 32 a

Interest rate type 33 a

Assets purpose 34 a

Amount of loan category 35 a

Period of initial interest rate fixing 36 a

Collateral / Guaranties 37 a

Attribute Modality of the attribute "Report"

18

C 3 There are a lot of formal and logical controls …

Instrument!

Kako? (Ogle

Instrument!

Vrsta iznosa po portfelju!

Amount type

according to

the portfolio!

Instrument!

C 4 … such as this!

1 2 3 4 5 6 7 8 9 10 11

Debt securities

A0301 Bonds a a a a a a a a a

A0302 Commercial papers a a a a a a a a

A0303 Treasury bills a a a a a a a a

A0304 Certificates of deposit **OCERT00000 a a a a a a a a

A0305 Factoring a a a a a a a

A0306 Forfeiting a a a a a a a

A0307 Bills of exchange **OMJEN00000 a a a a a a a

A0308 Compulsory CNB bills a a a AA

UnderlyingIndexation Portfolio Marketability Capital

characteristic

s

Risk category Embedded

derivative

Code Instrument ISIN Currency Original

maturity

Period of

notice

19


A Idea





D1 Reporting lines are used to map 18 supervisory financial reports …

UTmo unconsolidated unaudited monthly UTqu unconsolidated unaudited quarterly UA unconsolidated audited

CT consolidated unaudited CA consolidated audited GA group audited

Nr. Abbr. Template Unconsolidated Consolidated

1. BN Balance UTmo, UA CT, CA, GA

2. IBS Report on off-balance sheet items UTmo, UA CT, KR

3. RS2 Report on credit risk exposure by risk categories UTmo UA CT, KR

4. VIKR2 Report on exposure to currency induced credit risk UTqu, UA

5. PIV2 Report on changes in value adjustments and provisions UTqu, UA

6. VIKI Report on large exposures UTqu, UA CT, CA

7. POKI Report on exposures to persons in special relationship with

the credit institution

UTqu, UA CT, CA

8. ID2 Report on exposures to debtors UTqu, UA

9. POVI Report on exceeding the exposure limits UTqu, UA

10. IDZ Report on exposure to protection providers UTqu, UA

11. D5M2 Report on borrowers whose debt exceeds HRK 5m UTmo

12. MIKI Report on tangible assets UTqu, UA CT, CA

13. PIKI Report on tangible assets acquired by the credit institution

in exchange for its claims

UTqu, UA

14. UKT2 Report on investment in companies' capital UTqu, UA CT, CA

15. DNP Report on past due receivables UTmo , UA

16. ROC Report on remaining maturity of assets and liabilities UTqu, UA

17. PD32 Report on credit institution shareholders with 3% or more

of shares and persons connected with them

UTmo

18. RN Profit and loss statement UTqu, UA CT, CA, GA

21

22

D2 … and this is how the templates lines mapping is explained!

Report Instrument Portfolio Currency IndexationCapital

characteristics

Amount type

+

Amount type

-

Debt

instruments BN 1018 AA

from A0301 to

A0307 KIP * * *

01, 02, 03, 04,

08, 12 05, 06, 07

BN 2018 AA

from A0301 to

A0307 KIP NOT (HRK) * *

01, 02, 03, 04,

08, 12 05, 06, 07

BN 3018 AA

from A0301 to

A0307 KIP HRK J, V *

01, 02, 03, 04,

08, 12 05, 06, 07

Table 1: BN report - Balance

1015 2015 3015

1016 2016 3016

1017 2017 3017

1018 2018 3018

1019 2019 3019

Foreign currency Kuna indexedTable 1: BN report - Balance

Loans and advances

(including financial leasing)

Deposits with the CNB

Other deposits received

Debt instruments

Loans and advances

Total

• mapping ...

• template ...

D3 Version of reports differ depending of the point in time when the data is delivered.

M20 – temporary version – mapped every day during the reporting period

M23 – final version – mapped at the reporting deadline date

M24 – amended version – in the case the data is reported after the deadline

Reporting date: 31 December 2011

Reporting deadline: 25 January 2012

1 January … … 25 January 26 January …

12 January Version M20

17January Version M20



26 January Version M24 23

D4 Banks can object to the mapped reports!

• objection is prepared in the written manner by the person authorized by the management board

• it is delivered after the bank received final version of the reports (M23)

• deadline for the bank: object within 5 working days after the reports have been prepared

• deadline for the the CNB: prepare answer to the objection within 15 days after receiving the objection

• objection experience: only during the first year of mapping reports

• delivery beyond the reporting deadline: only if authorized by the supervisory / statistician responsible for dana collecting

24


A Idea





E1. We started to work on this reporting framework when we heard about FINREP...

• FINREP framework should replace all supervisory financial reporting for the European banking supervisory authorities

• it is based on the DATA POINT MODEL (DPM) – means that different amounts are collected for the same instrument extended to the same counterparty including the accounting portfolio

• started in 2005 as a CEBS guideline • finalized as an implementing technical standard (ITS) draft based on

the CRD IV / CRR regulation, and developed by the EBA • XBRL as reporting technical solution • see more http://www.eba.europa.eu/Publications/Consultation-Papers/All-

consultations/Archive/CP41-CP50/CP50.aspx

26

E2. .. and this is how we shall adopt it in Croatia!

• 80 % of the templates proposed by the EBA in the draft implementing

technical standard from December 2011 we already can map • should the accounting portfolio change (IFRS 9 instead of the IAS 39)

we don’t have to change the reporting requirement – just one attribute!

• the financial inovation is adequately reflected by introduction of the new financial instruments

• regardless of the FINREP templates which will become maximum reporting requirement for the all banking supervisors in the EU, we shall benefit the provison of information as reporting lines, because we can create our own templates ;))

27

Thank you for your attention!

Croatian National Bank Bank Prudential Regulation and

Supervision Area Jurišićeva 17

10 000 Zagreb Croatia

www.hnb.hr Tel. +385 1 45 64 599, 45 64 899 Fax +385 1 45 64 911, 45 65 053

Prudential Financial Reporting

28

http://www.hnb.hr/

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