Posted on: February 24, 2020

Taxonomy 2.9.1 – FINREP

The European Banking Authority (EBA) is introducing taxonomy 2.9.1 for FINREP. Firms that are subject to FINREP are required to use the 2.9 templates in WIRES® in order to make submissions. The changes are effective from report reference 30th June 2020. Firms with a financial year different to the calendar, will have a later effective date. All changes will be included in the next Wires release.

The taxonomy has been issued by the EBA and therefore (FINREP) reporting requirements specified by the PRA (as replacement of FSA001 and FSA002) are understood not to be affected. The exception to this is the severity of validation rules (see below).

The main changes being introduced by the EBA are as follows.

New Templates

Form Description Required from which Firms
F 13.02.1 Collateral obtained by taking possession during the period [held at the reference date] Already submit template 13.02
F 16.08 Other administrative expenses All
F 18.1 Inflows and outflows of non-performing exposures – loans and advances by counterparty sector Already submit template 18
F 18.2 Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property Already submit template 18
F 44.04 Staff expenses by structure and category of staff All

Other New Templates

Fourteen forms (F 23 to F26 and F 47) for non-performing and forborne exposures, are being introduced. These templates will be applicable to firms that are not ‘small and non-complex’, as defined in CRR2 (Official Journal 2019-150). At a high level, ‘small and non-complex’ means:

  • Assets averaged over the last four years are equal to or less than €5bn and
  • The firm is not one of the three largest (based on asset size) in the country and
  • Deemed to be ‘simplified obligation’ (were it to fail, there would not be a significant impact on the economy) type firm and
  • Internal models are not used and
  • Non-performing loans (NPLs) are considered immaterial i.e. Gross Carrying Amount of NPLs  as a percentage of Gross Carrying Amount of Loans and Advances, is less than 5%

Other conditions apply to the location of counterparties and size of derivatives. Further details are in CRR2 Official Journal 2019-150.

Validation Rules

The EBA has issued an update to its validation rules and to the severity. ‘Blocking’, ‘Non-blocking’ and ‘Warning’ are to be changed to just ‘Warning’ and ‘Error’. For FINREP submissions, the regulators require that rules with severity type ‘Error’, be satisfied.

Taxonomy 2.9.1 – Other

WIRES® release 5.6 contains the templates that firms must use for COREP, Liquidity Coverage and Additional Liquidity Monitoring Metrics.

The effective report reference dates from which the 2.9 versions of these forms are to be used are as follows.

COREP 31 March 2020
Liquidity Coverage 30 April 2020
Additional Liquidity Monitoring Metrics 30 April 2020

PRA110 Frequency in a Stress

Firms with assets of at least £5bn and less than EUR30bn will submit PRA110 on a daily basis during a stress period. The effective date of this change is 1 May 2020.

Branch Return

According to PRA policy statement 17-19, the branch return (provided by UK branches of non-UK headquartered firms) will continue to be submitted in Excel and not XBRL format.

UK Withdrawal from the EU (Transition Period)

It is understood that the regulatory requirements (reporting and disclosures) will be unchanged for up to 15 months from the date that the UK left the European Union i.e. 31 January 2020.

Basel III

Whistlebrook understands that the needs of Basel III will be applicable to all firms and effective from 1 January 2022.