Circular to credit institutions including foreign branches on the revised ITS on Supervisory Reporting – ITS v2.9

Circular Triq l-Imdina, Zone 1 Central Business District, Birkirkara CBD 1010 +356 2144 1155 communications@mfsa.mt www.mfsa.mt Circular to credit institutions including foreign branches on the revised ITS on Supervisory Reporting ITS v2.9 Pursuant to Implementing Technical Standards (ITS) on Supervisory Reporting (Regulation EU No 680/2014), the Authority is hereby issuing a communication to all credit institutions and foreign branches with regards to developments in supervisory reporting requirements, more specifically ITS v2.9. Amongst others, amendments in this revised reporting framework include: • Changes to COREP to align with the new securitization framework • Changes to FINREP concerning non-performing and forborne exposures reporting, P&L and IFRS16 • Changes to LCR to align with the LCR amending Act • Increase in and updated validation rules, including a change to two-status-severity scenario The reporting templates together with related instructions for ITS v2.9 Supervisory Reporting webpage. Reporting agents are being informed that the templates and instructions for ITS v2.8 are still available for download The revised templates apply to institutions on an individual and consolidated basis, as applicable. For completeness purposes, the reporting frameworks should be read in conjunction with the respective CRR provisions, the ITS on Supervisory Reporting, other applicable regulations and the annexes with all relevant instructions. The implementing regulation amending the ITS on Supervisory Reporting pursuant to v2.9 is available from the EBA Validation Rules As from ITS v2.9, the EBA has changed the severity of validation rules to a two-level status scenario: Error denoting the specific validation rule is not allowed to fail Warning denoting that the validation rule may be allowed to fail in strict specific instances and with a valid explanation from the institution. 11 December 2019

Circular Triq l-Imdina, Zone 1 Central Business District, Birkirkara CBD 1010 +356 2144 1155 communications@mfsa.mt www.mfsa.mt publication of the list of validation rules severity status for validation rules of ITS v2.9. Institutions are being reminded that from time to time the EBA revises the list of applicable validation rules, and that it is the responsibility to update its data processes accordingly. Applicability of Supervisory Reporting Modules For this version (v2.9) of the ITS framework, different modules will apply from different reference dates due to different application dates of the underlying regulatory requirements. This concept is being referred to by the EBA as modular release. In this regard, attention is being drawn to the below table which outlines the first applicable reference date for each reporting module of ITS v2.9. ITS v2.9 Applicability of modules Module Module Code First applicable reference date Own Funds OF Large Exposures LE March 2020 Leverage LR Liquidity Coverage Ratio Delegated Act LCRDA April 2020 Additional Liquidity Monitoring Metrics AMM April 2020 / June 2020 According to whether institution submits this module on a monthly / quarterly basis respectively Net Stable Funding Ratio NSFR June 2020 FINREP (IFRS and GAAP) FINREP June 2020 Please note that until the first applicable reference date, institutions should use the ITS v2.8 templates of respective modules. As an example, for FINREP module, reporting agents are required to use v2.8 templates until March 2020 reference date and proceed with using v2.9 templates and instructions starting from June 2020 reference date. Attention is being drawn to cases when resubmissions are required for reference dates prior to the first applicable date for ITS v2.9, for which cases templates and instructions for the respectively applicable ITS framework version should be utilized.

Circular Triq l-Imdina, Zone 1 Central Business District, Birkirkara CBD 1010 +356 2144 1155 communications@mfsa.mt www.mfsa.mt Institutions are hereby informed that the Asset Encumbrance (AE) and Funding Plans (FP) modules will not change. As a result, the same templates and instructions for ITS v2.8 should be complied and submitted to the Authority for the duration of ITS v2.9. LH Portal Guidelines Institutions are being informed that the documents LH Portal for Credit Institutions and LH Portal for Branches with information relating to ITS v2.9. . MFSA Guidelines to Supervisory Reporting Requirements The Authority will make available the documents MFSA Guidelines to CRDIV Supervisory Reporting Requirements for Credit Institutions MFSA Guidelines to Supervisory Reporting Requirements for with updates relating to ITS v2.9 in due course. Once available on the MFSA webpage, institutions will be informed accordingly. Duplicated Contexts in XBRL Files Reference is being made to Section 2.7(b) of the Filing Rules published by the EBA together with the ITS framework, which stipulates that duplicate contexts are not allowed in the XBRL instance files, unless required in specific exceptional cases. Submission of Supervisory Reporting Modules Reporting agents are kindly being reminded to adhere to the reporting remittance dates as per Article 3 of the ITS on Supervisory Reporting. A Remittance Timetable is also available for download from the MFSA Supervisory Reporting webpage.