Posted on: April 28, 2022

Reporting (Reference 31st March 2022)

There are a number of changes to reporting for reference date 31st March 2022. Of note, the following apply.

COREP Leverage The new UK templates (pre-fixed LV) must be used instead of the EBA’s version.
   
COREP Counterparty Credit Risk New COREP templates C 34.01 to C 34.11 are introduced.
   
COREP Prudential Backstop New COREP templates C 35.01 to C 35.03 are applicable to non-performing exposures that originated on or after 26 April 2019.
   
COREP Large Exposures A large exposure is relative to Tier 1 capital and not to ‘Eligible’.

Mandatory reporting for exposures of £260million or more, before both risk mitigation and credit conversion factors (the latter being for off balance sheet items). Please see paragraph 15.6 of PRA consultation paper 5-21, referred to by policy statement 17-21.

   
COREP Credit Risk Templates now include the Infrastructure Supporting Factor.
   
COREP Net Stable Funding Requirement COREP templates C 80 to C 84 have replaced C 60 and C 61.
  WIRES includes calculations in each template, to reduce the manual effort in deriving the Available and Required funding. These calculations can be disabled if preferred.

 

  Simplified NSFR (templates C 82 and C 83) are available to firms that are ‘small and non-complex’ (defined in Article 4(1) point 145 of 2019-876 in EU Official Journal 2019-150).

 

  Available Stable Funding and Capital Instruments

Publication of EBA Q&A 2021_6017 stated that for Additional Tier 1 and Tier 2 instruments (both with a residual maturity of at least six months, but less than one year), the factor should be set to 50%. The template C 81 does not currently allow for that.

A change to the EBA version of the template is planned. It is unclear if the PRA will make the same amendment.

 

   
COREP and Software Assets Full deduction of software assets is required from CET1 (see paragraph 6.28 in policy statement 17-21).
   
Investment Firms’ Prudential Regime MIF templates to be used for reporting have been introduced.
   
FINREP Purchased or Originated Credit Impaired (POCI) are required to be reported separately in various templates.

 

Bank of England Reporting

Whistlebrook understands that the Bank is still on schedule to withdraw OSCA by the end of September 2022. For statistical reporting of June data in July (and thereafter), all firms will be required to submit to BEEDS. As the Bank has not provided an interface to BEEDS, institutions will need to manually upload their XBRL files. It may be that the Bank makes an interface available in quarter three of this year.

Leverage ratio submissions are similarly affected, but the first report reference date is earlier (31st March 2022) than for statistical reporting.

Basel 3.1 Delay

The expectation was that the effective date of Basel 3.1 would be 1st January 2023, but that has been delayed by two years. The consultation paper expected in the summer of 2022 is scheduled for Q4 of 2022.

Bank of England Taxonomy 3.5.1

The Bank issued an update to its taxonomy 3.5.0 (leverage ratio reporting). The update consists of corrections to validation rules and these have been included in Wires.

Outsourcing and Third Party Risk Management

The requirements on outsourcing with which firms need to comply, are in the PRA’s supervisory statement 2-21. Whistlebrook understands that all outsourcing agreements entered on or after 31st March 2021 must adhere to the needs of SS 2-21 by 31st March 2022. Thereafter, earlier agreements should be a firm’s next priority for compliance.

Cryptoassets

Whistlebrook understands that the UK Government is expected to announce new regulation covering cryptoassets. Recent publications have highlighted that:

  • Direct holdings of cryptoassets would be reported as intangibles. Therefore in regulatory reporting (existing application), cryptoassets would be deducted from common equity tier 1 capital.
  • Where crypto is unsupported, it may be that the own funds requirement is set to the asset’s current value.

Any new rules may impact firms’ attitudes to the crypto market.

This regulatory update is Whistlebrook’s understanding of the position as at 20th April 2022.