OSCA Replacement

First on-boarding of firms to make Bank of England statistical returns to BEEDS has been delayed from December 2021 to March 2022. This delay means that firms which choose to on-board in March will report data for that month, in April. The relevant information will require to be manually uploaded by firms, to BEEDS. An interface allowing direct transmission is not expected to be provided by the Bank of England until late summer of 2022.

The second phase of on-boarding is still scheduled for June 2022. Whistlebrook understands that there are no other changes to the OSCA timeline.

The Bank of England advised that the BEEDS User Acceptance Testing window will be opened from 15^th to and including 26^th November.

Bank of England Taxonomy 1.2

This taxonomy is to support statistical reporting to BEEDS. The Bank issued minor corrections to the taxonomy and these amendments will be included in WIRES.

Non-performing Exposure (NPE) Securitisations

Prudential Regulation Authority policy statement 24-21 finalised certain requirements associated with NPE securitisations.

Risk weighting of holdings that provide a more senior claim on the underlying assets must be risk weighted at 100%. The risk weight floor for all holdings of securitised NPEs is set to 100% where the exposure amount is derived using either the standard approach or a firm’s internal models.

The requirements of policy statement 24-21 are effective from 1^st January 2022.

Changes to PRA110 Cash Flow Mismatch Form

Whistlebrook understands that a consultation paper regarding changes to PRA110 regulatory form will be issued before the end of 2021. Where required, the changes will be included in WIRES.

Domestic Liquidity Sub Group

The Prudential Regulation Authority’s consultation paper 19-21 has proposed changes to rules on these sub groups. Of note, FCA solo regulated entities will not be permitted for inclusion in such a group. A subsidiary of a UK parent that is not a bank, building society or PRA designated investment firm, will be allowed to be a member.

Once finalised, the changes will be effective from 1^st January 2022.

Basel 3.1

A consultation paper about Basel 3.1 is expected before the end of 2021 and a policy statement in quarter three of 2022. The implementation date of Basel 3.1 remains as 1^st January 2023.

Other from 1 January 2022

UK Investment Firms Prudential Regime

This new regulation is applicable to FCA solo regulated forms authorised under MifiD, only.

Definition of Default

Materiality thresholds for firms not applying the standardised approach are to be used.

Whistlebrook understands that the definition of default is to be widened and must include exposures allocated to Stage 3 of IFRS 9’s expected credit loss classification. Other characteristics such as full repayment of all obligations being unlikely without collateral realisation and declaration of bankruptcy, should also imply default.

UK CRR2

EBA taxonomy 3.0 (applies UK CRR2) will be effective from 1 January 2022. All necessary reporting changes will be included in WIRES. Regulatory templates are being introduced for Prudential Backstop, Counterparty Credit Risk and Leverage Ratio. Large exposures are to be measured relative to Tier 1 capital rather than eligible.

Internal Ratings Based Approach and UK Mortgage Risk Weight Floors

Firms not using the standardised approach will be required to apply a weighted average risk weight floor of 10%. The floor will not apply to UK residential mortgages in default.

This regulatory update is Whistlebrook’s understanding of the position as at 28th October 2021.