New prudential valuation templates for COREP returns

New prudential valuation templates on COREP returns

For submissions of data from December 2018, all institutions will be required to complete the new templates which look into fair valued assets and liabilities.

Under previous interpretations, article 105 of the CRR, only trading book positions were subject to the standards for prudential valuation.

The updated ITS implies that fair-valued assets and liabilities, as stated in the financial statements under your applicable accounting framework, will need to be included for both trading and non-trading books. Our interpretation of the ITS suggests that fair-valued assets, such as cash, would be included in the prudential valuation templates.

Depending on the size and permissions of the institution, this could mean completing up to four new templates C32.01, C32.02, C32.03 and C32.04. 

For the majority of institutions they would only need to complete C32.01, providing the sum of the absolute value of fair-valued assets and liabilities is less than EUR 15 billion. This template would be prepared using the standardised method as prescribed in Article 5 of the Delegated Regulation (EU) 2016/101 on prudent valuation.

How we can help

While we prepare returns on behalf of our clients, many of our clients are now requesting independent reviews and support over their regulatory reporting to gain assurance over the interpretations, policies and processes they have in place. 

However, if you become subject to the requirement for a S166 review to be conducted, Moore Stephens also has an unrivalled reputation for conducting such reviews and we will be able to guide you through the process. We have an established methodology and a solid professional relationship with the Regulator.

For more information, or if you are interested in us conducting an independent review of your prudential reporting, please contact Mark Hirst
 

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