Posted on: April 23, 2024
Basel 3.1
As at 19th April 2024, the policy statement on credit risk, output floor, reporting and Pillar 3 disclosures has still to be published by the Prudential Regulation Authority. This statement, together with the final version of Banking taxonomy 3.7.0, is expected in Q2.
What is Whistlebrook doing about Basel 3.1?
The aforementioned taxonomy, including validation rules, templates and data point model, will be added to WIRES and tested. Whistlebrook plans to make tested software available to its clients in sufficient time to allow them to perform their own testing should they wish to undertake it.
Whistlebrook is working closely with some of its clients that use the ‘PLUS’ version of WIRES. This work is around automation of new data reporting requirements. Should any ‘PLUS’ clients that are to be subject to Basel 3.1, anticipate data gaps, they are encouraged to contact our WIRES Support team.
Liquidity Reporting
Clients are reminded that changes to liquidity reporting will be effective from report reference date 30th June 2024. The Simplified version of the Net Stable Funding reporting will no longer be available. Therefore, COREP templates C 82 and C 83 will not be accessible. Firms will be required to submit their data on forms C 80 and C 81.
Small Domestic Deposit Takers (SDDT)
A consultation paper on the capital requirements applicable under this regulation, is expected in Q2 of 2024. Implementation is anticipated to be in H1 of 2026.
Net Stable Funding Requirement
Firms that are to be subject to SDDT, will be required to submit Net Stable Funding data only if their Retail Deposit Ratio (RDR) is less than 50% (averaged over four consecutive rolling quarters). Therefore, where an institution’s average RDR is equal to or greater than 50%, no NSFR submission will be necessary. Further details are in paragraph 2.131 of policy statement 15-23 and in consultation paper 4-23. The implementation report reference date of this rule is 30th June 2024.
Additional Liquidity Monitoring Metrics (ALMM)
SDDT firms will need to complete only one of the ALMM templates i.e. C 68 (Concentration of Funding by Product Type). This change is effective from report reference date 30th June 2024.
Pillar 2 and Intraday Liquidity Reporting
In the Regulatory Digest for March 2024, the Prudential Regulation Authority advised that firms reporting intraday liquidity using templates IDY001-003 will be required to upload the data directly to BEEDS, in XML format. The same will be necessary for reporting Pillar 2 in forms FSA071 to FSA082. Instructions are provided in https://www.bankofengland.co.uk/prudential-regulation/regulatory-digest/2024/march
Firms should be aware that templates FSA072, 073, 074, 075 and 080 have been revised and need to be used to generate the appropriate XML file.
The change to XML format and upload to BEEDS is effective from 1st April 2024.
Leverage Ratio Reporting
Bank of England Banking taxonomy 3.6.0 introduces contingent leverage ratio reporting (templates LV 49 to LV 52). The reporting is effective from reference date 30th June 2024 and has a semi-annual frequency. Submission of data will be applicable only to firms that are subject to the UK Leverage Ratio Framework. Institutions liable to that framework will have either:
- Retail deposits of at least £50bn OR
- Non-UK assets (averaged over the most recent 3 accounting year ends) of at least £10bn.
Further details are available in PRA policy statement 5-23 and consultation paper 12-22.
WIRES Releases
As at 19th April 2024, no specific date has been set for the next release. The timing is largely dependent on publication of the final Basel 3.1 regulation, expected in Q2.
This regulatory update is Whistlebrook’s understanding of the position as at 19th April 2024.