The PRA has made a number of changes to banking regulatory reporting requirements, and this statement explains how these changes are being implemented in the CRR reporting modules.
PRA Capital Requirements Regulations (CRR)
Following PS22/21 ‘Implementation of Basel Standards’, the PRA has incorporated the entire body of the UK version of COREP and FINREP requirements, which is aligned to the European Banking Authority (EBA) Taxonomy 3.0, into PRA rules to create a single source for reporting requirements for firms.
New data item: COR016 Global Systemically Important Institutions (G-SII)
The PRA aligned with the reporting changes contained in the European Banking Authority (EBA) Taxonomy 3.0 for global systemically important institutions (G-SII). The PRA has designated this module as COR016 G-SII, which will be submitted via RegData in line with other COREP and FINREP data.
Change of data item code: COR017 Net Stable Funding Ratio (NSFR)
The PRA also aligned with the reporting changes contained in the EBA’s Taxonomy 3.0 for the net stable funding ratio (NSFR) to ensure that firms report to the PRA under a consistent taxonomy, and so that implementation efforts are proportionate to the PRA’s new data needs. The PRA has modified the data item code from COR003 NSFR to COR017 NSFR. Firms will see this change reflected in their RegData submission schedule.
Removal of FSA045 from schedules
The PRA has amended PRA reporting to remove the existing duplicative reporting requirements identified. The COREP internal ratings-based (IRB) credit risk template C08.03 on the breakdown by probability of default (PD) ranges has the potential to be duplicative, as it contains information very similar in nature to the PRA’s FSA045 template on IRB portfolio risk. Accordingly, the PRA will retire FSA045 from Saturday 1 January 2022.
New data item: LVR001 Leverage Ratio
In PS21/21 ‘The UK leverage ratio framework’, the PRA made changes to the Leverage Ratio reporting requirements which will take effect on Saturday 1 January 2022. This has been introduced in version 3.5.0 of the Bank of England Banking XBRL taxonomy as a new module, LVR001 Leverage Ratio. Firms should submit these data via the BEEDS portal. Firms that need support on submitting via BEEDS should contact BEEDSQueries@bankofengland.co.uk.
As noted in PS21/21, firms will no longer be expected to submit FSA083 Leverage returns (via TDCM). Furthermore, the Financial Services Act 2021 (Prudential Regulation of Credit Institutions and Investment Firms) (Consequential Amendments and Miscellaneous Provisions) Regulations 2021 will revoke, among other things, COREP leverage reporting requirements, and therefore firms will also no longer be expected to submit COR001b leverage returns (via RegData).
COR014 and COR015 Remuneration
Firms are required to submit Remuneration Benchmarking and High Earners Reports to the PRA, as set out in Chapters 17 and 18 of the Remuneration Part of the PRA Rulebook, respectively. As part of the EBA Taxonomy 2.10, the Remuneration module became reportable for the first time in XBRL format effective from Thursday 31 December 2020. However, the PRA became aware of issues with the EBA XBRL Remuneration reporting templates, for which the EBA released a patch. At the time, the PRA decided not to implement the patch in order to minimise the burden placed on firms and instead reverted back to the XML-based REP004 and REP005 reporting templates for submission of 2020 data. Since then, the necessary changes have been implemented in the EBA Taxonomy 3.0 and firms are expected to submit in the required XBRL format depending on their year-end date.
- Firms with a year-end date up to Friday 31 December 2021 will submit REP004 and REP005 XML returns.
- Firms with a year-end date on/after Saturday 1 January 2022 are expected to submit XBRL reportable templates Remuneration Benchmarking and HighEarners, which are designated as COR014 and COR015 respectively.
Pause of Supervisory Benchmarking Portfolio
As set out in a PRA statement in May 2021 on the Supervisory Benchmarking exercise relating to capital internal models, the technical standards to report this information are outdated, and in relation to market risk are no longer applicable under UK law. As a result, firms will not be required or expected to submit any data for the 2022 and 2023 benchmarking exercise. This includes Credit Risk, IFRS 9 and Market Risk data (also known as COR009a, COR009b and COR010).
If firms have any questions regarding this statement, they should contact: PRA.Firmenquiries@bankofengland.co.uk.