Taxonomy 2.6

An interim release of Wires was made on 3^rd May to address the requirement of the PRA, that where a firm is asked to submit daily liquidity returns (COREP C72 to C76; ALMM C70), it does so using taxonomy 2.6.  This taxonomy was originally meant to be effective from report reference date 30^th June 2017 and not on the first day of that month.

Firms affected by this additional reporting requirement will be contacted by the PRA directly.

A full release of Wires including taxonomy 2.6 and other  nhancements is planned for late May.

Forecast Capital + PRA101 to PRA103

The Bank of England has advised that the system to be used to collect the data from firms, will be decided upon by the end of June.  It is the intention of Whistlebrook to make these forms available in Wires, but that is dependent on the information to be provided by the Bank.

EMIR Central Clearing

Whistlebrook understands that the clearing obligation date for interest rate swaps is delayed until 21 June 2019. This date is applicable to financial institutions in ‘Category 3’ (where the monthly average gross notional value of non-exchange traded derivatives is no higher than €8bn) defined by EMIR.

Product Sales Data PSD007 (Performance)

For report reference date 30^th June 2017, second charge mortgage lending data (effected from 1^st April 2017) are required to be included in the return. In addition, where an account has been closed between 1^st January 2017 and 31^st March 2017 inclusive, the data for that loan should be reported in version 1.5. Otherwise, version 2.0 should be used. It is therefore possible that clients could be required to report PSD007 versions 1.5 and 2.0.

PSD001 should also include second charge mortgage lending made from 1^st April 2017.

FCA policy statement 15-09 has further details on the PSD reporting requirements on second charge mortgage lending.

Buy to Let Loans Data Collection

The Bank of England will be collecting data at an individual loan level for quarter three. The requirement to submit data is only applicable to firms with buy to let lending that exceeds £20million over a minimum of 60 loans. The first submission deadline is 27^th October 2017.

EBA Guidance on Credit Risk Management Practices and Expected Losses (IFRS 9)

Guidance was issued on 12^th May. Of the information provided by the EBA, Whisltebrook understands that of particular importance are the following:

• Assessment of whether an exposure (or group of) has a significant increase in credit risk, should where possible, not rely only on existing days past due. Forward looking information must also be considered before concluding the presence of a significant increase (relative to that at initial recognition) in credit risk and movement from twelve month to a lifetime allowance.
• Grouping of exposures should be reviewed frequently.
• Significant increase in credit risk is not represented by the change in the amount of expected losses, but by a movement in the risk of default relative to that at initial recognition.
• ‘Low credit risk’ – if as at the reporting date, an exposure has low credit risk, a firm can assume that there has not been a significant increase since initial recognition. Supporting evidence on the reasons for such classification would be needed.