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).
Prudential Regulation and Bank Supervision Area
Prudential Financial Reporting Data Collection and Presentation
Martina Drvar
Prudential Financial Reporting Overview
A Idea B Basic Reporting Line
C Additional Reporting Lines D Mapping Prudential Reports E FINREP Framework Adoption
A1 We started with the balance sheet …
dužnici debtors plasmani placements
deposits depoziti i andkrediti loans
vjerovnici deponents, (deponenti, creditors kreditori)
shareholders dioničari
capital kapital
3
A2 … using the IFRS measurement … ASSET VALUATIONS
COST MODELS (Gains deferred or never recognised as income)
Historical (gains deferred)
Inventories (IAS 2) Property, plant (IAS 16) Intangibles (IAS 38) Held-to-maturity investments (IAS 39) Investment property (IAS 40)
VALUE MODELS (Gains / losses to income)*
Market value
Revalued (gains never in income)
Entity-specific value
Fer value
Selling price (or NRV)
Trading and and availablefor-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 in use
Property, plant (IAS 16) Intangibles (IAS 38)
Impaired assets (MRS 36) Deferred tax (IAS 12) but undiscounted
* except that this is not necessary for the AFS instruments
Source: Dr. Christopher Nobes, Masterclass on International Financial Reporting Standards 4
A3 … which resembles mirroring of each reporting item in the chosen IFRS portfolio!
5
A4 Therefore financial reporting is based on three main information!
How much?
– Amount – instrument value! (How much?)
100 euro! How? At fair value!
– Portfolio – IFRS rule that explains the way the item is valued (How?)
What?
Bond!
– Instrument – reporting 6 item (What?)
A5 Instrument values are distributed in portfolios according to the obligatory chart of accounts… Analytical recording
• counterparty Chart of accounts
• instrument
General ledger
Supervision
Statistics Kapitalni zahtjev
Osnova
Pokrivenost osnovnim kapitalom
Pokrivenost dopunskim kapitalom I
Pokrivenost dopunskim kapitalom II
I
Ponderirana bilančna aktiva (obrazac PBA)
1001
2001
3001
4001
II
Ponderirana vrijednost konvertiranih izvanbil. rizičnih stavaka (obrazac PIRS)
1002
2002
3002
4002
1003
2003
3003
4003
III Ponderirana vrijednost ostalih izvanbilančnih rizičnih stavaka (obrazac KOIRS)
1004
2004
3004
4004
IV Otvorena devizna pozicija (obrazac VR-2)
Ukupna kreditnim rizikom ponderirana aktiva
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
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
Ukupno kamatni rizik
XII Rizik prekoračenja dopuštenih izloženosti (obrazac PDI)
Gotovina Gotovina u blagajni Čekovi i drugi instrumenti plaćanja Banaka Stranih financijskih institucija
GL Analytics
1001
2001
3001
1002 1003
2002 2003
3002 3003
Ukupno gotovina
1004
2004
3004
Depoziti kod HNB-a Izdvojena obvezna pričuva Žiroračun (račun za namirenje) kod HNB-a Ostali depoziti kod HNB-a
1005 1006 1007
2005 2006 2007
3005 3006 3007
Ukupno depoziti kod HNB-a
1008
2008
3008
Domaće banke HBOR Strane banke Depoziti po viĎenju Oročeni depoziti i depoziti s otkaznim rokom
1009 1010
2009 2010
3009 3010
1011 1012
2011 2012
3011 3012
Ukupno depoziti kod banaka
1013
2013
3013
DEPOZITI KOD OSTALIH BANKARSKIH INSTITUCIJA
1014
2014
3014
DEPOZITI KOD BANAKA
1014
2014
3014
4014
Ukupno
1015
2015
3015
4015
DEPOZITI KOD NEBANKARSKIH FINANCIJSKIH INSTITUCIJA 1015
2015
3015
Neiskorišteni kapital
1016
2016
3016
4016
DEPOZITI KOD BANAKA U STEČAJU
2016
3016
1016
7
A6 … but chart of accounts has limitations for reporting requirements! Supervison
Statisics
1 total loans held to maturity
1 total loans to households 2 total loans to corporate
2 total loans available for sale
Bank … household loans held to maturity corporate loans held to maturity
household loans available for sale corporate loans available for sale …
8
A7 Therefore we designed a reporting line! Analytical recording • counterparty • instrument Chart of accounts
General ledger
Supervision
Statistics Kapitalni zahtjev
Osnova
Pokrivenost osnovnim kapitalom
Pokrivenost dopunskim kapitalom I
Pokrivenost dopunskim kapitalom II
I
Ponderirana bilančna aktiva (obrazac PBA)
1001
2001
3001
4001
II
Ponderirana vrijednost konvertiranih izvanbil. rizičnih stavaka (obrazac PIRS)
1002
2002
3002
4002
1003
2003
3003
4003
III Ponderirana vrijednost ostalih izvanbilančnih rizičnih stavaka (obrazac KOIRS)
1004
2004
3004
IV Otvorena devizna pozicija (obrazac VR-2)
Ukupna kreditnim rizikom ponderirana aktiva
1005
2005
3005
V Specifični kamatni rizik (obrazac SK)
1006
2006
3006
VI Opći kamatni rizik (obrasci OK1 ili OK2)
1007
2007
3007
4007
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
1011
2011
3011
4011
1012
2012
3012
4012
1013
2013
3013
4013
Ukupno kamatni rizik
IX Rizik pozicije u opcijama (obrazac RPO) X Rizik namire (obrazac RN) XI Rizik druge ugovorne strane (obrazac RDS) XII Rizik prekoračenja dopuštenih izloženosti (obrazac PDI)
Bank and counterparty
Gotovina Gotovina u blagajni Čekovi i drugi instrumenti plaćanja Banaka Stranih financijskih institucija
4004
GL
Description 4005 4006
Analytics
1001
2001
3001
1002 1003
2002 2003
3002 3003
Ukupno gotovina
1004
2004
3004
Depoziti kod HNB-a Izdvojena obvezna pričuva Žiroračun (račun za namirenje) kod HNB-a Ostali depoziti kod HNB-a
1005 1006 1007
2005 2006 2007
3005 3006 3007
Ukupno depoziti kod HNB-a
1008
2008
3008
1009 1010
2009 2010
3009 3010
1011 1012
2011 2012
3011 3012
Ukupno depoziti kod banaka
1013
2013
3013
DEPOZITI KOD OSTALIH BANKARSKIH INSTITUCIJA
1014
2014
3014
Amount DEPOZITI KOD BANAKA
Instrument
Domaće banke HBOR Strane banke Depoziti po viĎenju Oročeni depoziti i depoziti s otkaznim rokom
Amount type
Amount
1014
2014
3014
4014
Ukupno
1015
2015
3015
4015
DEPOZITI KOD NEBANKARSKIH FINANCIJSKIH INSTITUCIJA 1015
2015
3015
Neiskorišteni kapital
1016
2016
3016
4016
DEPOZITI KOD BANAKA U STEČAJU
2016
3016
1016
9
Prudential Financial Reporting Overview
A Idea B Basic Reporting Line
C Additional Reporting Lines D Mapping Prudential Reports E FINREP Framework Adoption
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
Credit institution and Counterparty Z
Loan extended
Outstanding principle
Amount
100
11
B2 … so does the basic reporting line, used to report all the balance sheet items! B attributes
A attributes 1
1 2 3 4 5 6 7 8 9 10 11 12
2
3
4
5
6
7
8
9
Report Reporting period Consolidated or unconsolidated report Audited or unaudited report Statistical ID Tax ID Counterparty statistical ID Counterparty tax ID County Country or international institution Non-resident sector Relationship reporting institution vs. counterparty
10
11
12
13
14
13 14 15 16 17 18 19 20 21 22 23 24
15
16
17
18
19
20
21
22
23
24
Instrument ISIN Currency Original maturity Period of notice Indexation Portfolio Marketabitity of loans Capital characteristics Risk category Embedded derivative Underlying
12
25
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. 13
14
Counterparty tax ID
Amount type
Amount
Plus / Minus
Underlying
Embedded derivative
Risk category
Capital characteristic
Marketability of loans
Portolio
Indexation currency
Indexation
Period of notice
Original maturity
Currency
ISIN
Instrument
Stakeholdings
Relationship
Non-resident sector
Country
County
Regular, storno, amended
Non-resident
Counterparty statistical ID
Counterparty
Line number
Consolidated, audited
Date
Report
B4 And the reporting line looks like this!
Prudential Financial Reporting Overview
A Idea B Basic Reporting Line
C Additional Reporting Lines D Mapping Prudential Reports E FINREP Framework Adoption
C1 Beside balance sheet we designed other reporting lines … •Modality •Modality •Modality •Modality •Modality •Modality •Modality quarterly •Modality •Modality •Modality •Modality •Modality •Modality •Modality •Modality •Modality •Modality •Modality
"AA" – Balance sheet, monthly "AB" – Amount changes, monthly "AS" – Cumulative provision and reservation changes, all, quarterly "AP" – Cumulative provision and reservation changes,, quarterly "AF" – Balance sheet, physical persons, monthly "AN" – Balance sheet, non-residents, monthly "AV" – Currency induced credit risk, physical persons and non-residents, "AW" – Currency induced credit risk, quarterly "AI" – Large exposures, quarterly "AE" – Claims past due, monthly "AK" – Interest rate change, quarterly "AD" – Remaining maturity, monthly "AU" – Equity securities, quarterly "AM" – Fixed assets, quarterly "IZ" – Protection providers and fiduciary shareholders, monthly "PO" – Specially related persons, monthly "OI" – Other items, monthly “RA" – Profit and loss, quarterly etc. 16
Attribute Title Report Reporting period Consolidated or unconsolidated report Audited or unaudited report Statistical ID Tax ID Counterparty statistical ID Counterparty tax ID County Country or international institution Non-resident sector Relationship reporting institution vs. counterparty Instrument ISIN Currency Original maturity Period of notice Indexation Portfolio Marketability of loans Capital characteristics Risk category Embedded derivative Underlying Type of amount Counterparty identification Identification basis Time category Days of aquisition or days of exceeding of exposure limit Collateral provider or fiduciary shareholder Counterparty details Securities aquisition Interest rate type Assets purpose Amount of loan category Period of initial interest rate fixing Collateral / Guaranties
Rbr 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 26 27 28 29 30 31 32 33 34 35 36 37
AA AA a a a a a a a a a a a a a a a a a a a a a a a a
AB AB a N a a a a a
AS AS a N a a a a a
AP AP a N
a a a a
a a
a a
a
a
a a a a a a a a a a a
a
a
a
a
a
a a a a a
a a
PO PO a a a a a a a a a a
a a
AF AF a a a a a
a a a a a a a a a a a a a a a
AN AN a a a a a
a a a a a a a a a a a a a a a
Modality of the attribute "Report" AV AW AI AE AK AV AW AI AE AK a a a a a N N a N N a a a a a a a a a a a a a a a a a a a a a a a a a a a a a
AD AD a N a a a a a
AU AU a a a a a a a
AM AM a a a a a a a
a a
a
a
a
a
a
a
a
a
a
a
a a
a a
a a
a a
a
a a
a a
a a
a
a
a
a
a a
a
IZ IZ a a a a a a a
OI OI a a a a a a
a a
KS KS a N P a a a a a a
a a a
a
a
a
a
a
a a
a
a
a
a
a
a a a a a
a
a a
a
a
a
a
a
a
a
a a
a a
a
a
a a
a
a
a a
RA RA a a a a a a a a a a a a a a a a a a a a a a
C2 … which consist of different attributes!
a a a a a a
17
Amount type according to the portfolio!
C 3 There are a lot of formal and logical controls …
Instrument!
18
C 4 … such as this! Code
Instrument
ISIN
Currency
O riginal maturity
Period of notice
Indexation
Portfolio
Marketability
1
2
3
4
5
6
7
Capital Risk category Embedded characteristic derivative s
Underlying
8
9
10
11
a
a
a
a
Debt securities A0301
Bonds
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
A0305
Factoring
a
a
a
a
a
a
a
A0306
Forfeiting
a
a
a
a
a
a
a
A0307
Bills of exchange
a
a
a
a
a
a
a
A0308
Compulsory CNB bills
a
a
a
AA
**OMJEN00000
a
19
Prudential Financial Reporting Overview
A Idea
B Basic Reporting Line C Additional Reporting Lines D Mapping Prudential Reports E FINREP Framework Adoption
D1 Reporting lines are used to map 18 supervisory financial reports … Nr. 1. 2. 3. 4. 5. 6. 7.
Abbr. BN IBS RS2 VIKR2 PIV2 VIKI POKI
8. 9. 10. 11. 12. 13.
ID 2 POVI ID Z D 5M2 MIKI PIKI
14. 15. 16. 17.
UKT2 D NP ROC PD 32
18.
RN
UTmo UTqu UA
Template Balance Report on off-balance sheet items Report on credit risk exposure by risk categories Report on exposure to currency induced credit risk Report on changes in value adjustments and provisions Report on large exposures Report on exposures to persons in special relationship with the credit institution Report on exposures to debtors Report on exceeding the exposure limits Report on exposure to protection providers Report on borrowers whose debt exceeds H RK 5m Report on tangible assets Report on tangible assets acquired by the credit institution in exchange for its claims Report on investment in companies' capital Report on past due receivables Report on remaining maturity of assets and liabilities Report on credit institution shareholders with 3% or more of shares and persons connected with them Profit and loss statement
unconsolidated unaudited monthly unconsolidated unaudited quarterly unconsolidated audited
CT CA GA
Unconsolidated UTmo, UA UTmo, UA UTmo UA UTqu, UA UTqu, UA UTqu, UA UTqu, UA UTqu, UTqu, UTqu, UTmo UTqu, UTqu,
Consolidated CT, CA, GA CT, KR CT, KR
CT, CA CT, CA
UA UA UA UA UA
CT, CA
UTqu, UA UTmo , UA UTqu, UA UTmo
CT, CA
UTqu, UA
CT, CA, GA
consolidated unaudited consolidated audited group audited
21
D2 … and this is how the templates lines mapping is explained! • template ... Total
Foreign currency
Kuna indexed
Table 1: BN report - Balance Loans and advances (including financial leasing)
1015
2015
3015
D eposits with the CN B
1016
2016
3016
O ther deposits received
1017
2017
3017
D ebt instruments
1018
2018
3018
Loans and advances
1019
2019
3019
• mapping ... Table 1: BN report - Balance D ebt instruments
Report
Instrument
BN
1018
AA
BN
2018
AA
from A0301 to A0307 from A0301 to A0307
AA
from A0301 to A0307
BN
3018
Portfolio
Currency
Indexation
Capital characteristics
KIP
*
*
*
KIP
NOT (HRK)
*
*
01, 02, 03, 04, 08, 12 01, 02, 03, 04, 08, 12
*
01, 02, 03, 04, 08, 12
KIP
HRK
J, V
Amount type +
Amount type -
05, 06, 07 05, 06, 07 05, 06, 07
22
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
22 January Version M20 25 January Version M23
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
Prudential Financial Reporting Overview
A Idea B Basic Reporting Line
C Additional Reporting Lines D Mapping Prudential Reports E FINREP Framework Adoption
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/Allconsultations/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
