Posted on: January 25, 2022
The Capital Requirements Regulation has been updated to CRR2 under EBA taxonomy 3.0. All the appropriate changes have been made in WIRES®, of which the latest release is 6.2.
Also included are:
- Bank of England taxonomy 1.2 (replacement of OSCA by BEEDS) for statistical reporting. Firms can if they wish, submit to BEEDS, their BoE statistical returns for March data in April. Alternatively, submissions can continue to be made to OSCA until June. Both options are available in WIRES®. Firms should note that submissions to BEEDS will (until the Bank provides an interface) require a manual upload of the appropriate file.
- Bank of England taxonomies 3.4 (revised Forecast Capital+ and Profit or Loss) and 3.5 (UK Leverage Ratio)
The new UK Leverage Ratio templates (prefixed LV and in PRA policy statement 21-21) are now available in the latest version of WIRES®. These templates must be used for report reference date 31st March 2022 and beyond. The submission for 31st December 2021 must be done using the EBA templates under taxonomy 2.9.
As the Bank of England has not provided an interface to BEEDS, from report reference 31st March 2022, firms will be required to manually upload their XBRL file. Submissions will no longer be made to RegData. An interface that would allow direct transmission to BEEDS is not expected until late summer of 2022.
The Bank of England is working on making BEEDS UAT accept UK leverage ratio data. Therefore as at the date of this newsletter, it is not possible to test UK leverage ratio submissions to BEEDS UAT. Additionally, BEEDS UAT has been closed from 21 January 2022. Once it becomes possible to make test submissions, they will be performed from WIRES®. Both Whistlebrook and WIRES® users should have sufficient time in which to perform these tests prior to the first report reference date of 31st March 2022.
Investment Firms Prudential Regime (IFPR)
IFPR is effective from 1st January 2022 and is applicable to investment firms that are regulated by the Financial Conduct Authority only (‘solo regulated’). Therefore such entities that were subject to the Capital Requirements Regulation (CRR), are now under the rules of IFPR.
Whistlebrook understands that:
- A solo regulated firm that is a subsidiary within a banking group will remain under CRR
- An investment firm group (IFG) that has a UK credit institution subsidiary, will still be subject to the CRR. If the UK credit institution is a ‘connected undertaking’ (e.g. associate), IFPR only will apply
- An IFG that has a third country credit institution as either a subsidiary (and no such UK equivalent) or associate (‘connected undertaking’) will need to satisfy IFPR
A submission test of IFPR data to the RegData UAT environment is not possible as at the date of this newsletter. Once the FCA is able to add test submission items to UAT, appropriate testing will be undertaken from WIRES®. Whistlebrook does not envisage this situation to be problematic, given that the first report reference date is 31st March 2022.
Bank of England Taxonomy 1.2
The Bank of England will issue a correction to its taxonomy 1.2. The correction is expected to be issued by the end of January. Whistlebrook will make the necessary changes resulting from the Bank’s corrections, into WIRES®.
Whistlebrook understands for operational resilience purposes, the PRA requires that by 31st March 2022, firms must have identified and mapped their important business services. Acceptable adverse impact tolerances for each service need to have been set. There should also be a series of scenario tests specified in support of resilience measurement. The PRA communicated these requirements by letter to international banks and UK deposit takers.
A consultation paper is expected in the summer of 2022. The effective date is still said to be 1st January 2023.
UK Residential Mortgages and IRB Approach to Credit Risk
With effect from 1st January 2022, the weighted average risk weight floor of 10% should prevail across UK mortgages, except those in default. PRA policy statement 16-21 has further details.
With effect from report reference date 30th June 2022, upload of an XML file to BEEDS will be the only submission method available. The required changes will be made to WIRES® nearer to the time.
This regulatory update is Whistlebrook’s understanding of the position as at 25th January 2022.