The introduction of taxonomy 220.127.116.11 with effect from report reference 31st March 2018, has been included in the release of Wires (5.01), which was made available on 7th February.
This taxonomy comes with:
- A reinstated Additional Liquidity Monitoring Metrics ALMM form C 66.01 (Maturity Ladder)
- COREP C17.01 and 17.02 for Operational Risk (completion depends on criteria being met)
- COREP C33 for Sovereign Exposures (completion depends on criteria being met)
- FINREP as a replacement of FSA001, FSA002 and FSA015
- PRA 104 to PRA 108 (Forecast Profit or Loss, Balance Sheet and Memorandum Items)
ALMM C 66.01
Firms required to submit ALMM forms that include significant currency data, should be aware that C 66.01 must be submitted in the reporting currency only. For example, if a firm reports its accounts in GBP and has to provide data for GBP, EUR and USD, then all the values must be expressed in GBP. For the other ALMM templates, data are to be reported in the actual currency, as has been required since taxonomy 2.4.1 was introduced.
Whistlebrook discovered this reporting issue for C 66.01 whilst testing the latest Wires release. Users may wish to contact Gabriel Queries for extra guidance if necessary.
In addition to the above, according to the instructions, all contractual cash flows must be included in outflows and inflows. Whistlebrook understands that will include expected cash flows on loans.
Institutions will be required to submit a subset of FINREP forms at individual and UK Consolidated levels. Even firms that have been submitting FINREP at a Group level as part of CRD IV, will be required to deliver a subset of the templates at both individual and UK Consolidated levels. It is understood that the latter and Group level will be the same for most clients.
Firms should be able to see the required FINREP item(s) on their Gabriel schedule.
Please be aware that when preparing FINREP returns in Wires, users will be required to exclude (or make ‘inactive’) those forms they are not required to submit to the regulator. Firms that have not been submitting FINREP as part of CRD IV will need an appropriate FINREP licence to make returns.
PRA104 to PRA 107
All firms except for non-EEA ones will have to provide forecast Profit or Loss and Balance Sheet data. These new templates are replacing FSA014.
- Consolidation level – UK consolidated (or individual if the entity is standalone)
- Frequency – half yearly
- Deadline from reference date – 45 business days
PRA 108 (replacement of Memorandum items in FSA001
Similar to PRA104 to 107, all firms except for non-EEA ones, must submit PRA108.
- Consolidation level – both individual and UK consolidated
- Frequency – Quarterly (individual); Half yearly (UK consolidated)
- Deadline from reference date – 20 business days (individual); 45 business days (UK consolidated)
For additional details of the new FINREP and PRA104 to 108 reporting, PRA consultation paper 17-16 and policy statement 36-16 are appropriate references.
Rules Deactivations – Taxonomy 18.104.22.168
The EBA has issued a notice that c. 90 rules are to be deactivated since the taxonomy was included in our Wires release made in February. We are in the process of making the change and will issue a data update in due course.
Cash Flow Mismatch PRA110
The introduction of this return is being delayed by six months. It is now expected to be implemented on 1st July 2019. Therefore FSA047 and FSA048 will remain in place until that time.
IFRS 9 Expected Losses Disclosure
The EBA issued a template that firms will be required to populate as part of their disclosures. This template is relevant where a firm makes use of the transitional arrangements on the implementation of expected loss provision under IFRS 9. Further details are in EBA guidelines 2018/01. Non-application of the transitional arrangement just requires a statement to that effect.