CP16/22 – Implementation of the Basel 3.1 standards: Reporting

Overview

12.1 This chapter sets out the Prudential Regulation Authority’s (PRA) proposals for how firms would report on the proposed framework for the calculation of Pillar 1 risk-weighted assets (RWAs) to the PRA.

12.2 The proposals in this chapter would result in changes to:

• the Reporting (CRR) Part of the PRA Rulebook (Appendix 4);
• the Regulatory Reporting Part of the PRA Rulebook;
• the Reporting Pillar 2 Part of the PRA Rulebook; and
• Supervisory Statement (SS) 34/15 – ‘Guidelines for completing regulatory reports’ (Appendix 19).

12.3 The proposals in this chapter would update COREP, Capital+, and FSA005 reporting requirements to reflect the proposed methodologies for the calculation of Pillar 1 RWAs:

• Credit risk:
  • Chapter 3 – Credit risk – standardised approach;
  • Chapter 4 – Credit risk – internal ratings based approach; and
  • Chapter 5 – Credit risk mitigation.
• Market risk (Chapter 6 – Market risk)
• Credit valuation adjustment (CVA) risk (Chapter 7 – Credit valuation adjustment and counterparty credit risk)
• Operational risk (Chapter 8 – Operational risk)
• Output floor (Chapter 9 – Output floor).

12.4 The proposals set out in this chapter include:

• revisions to existing COREP templates and instructions on own funds, and own funds’ requirements to reflect the proposals set out in this CP;
• the deletion of certain COREP templates that would become obsolete under the proposals in this CP;
• the introduction of new COREP templates to reflect the proposed new Pillar 1 RWA calculations, and internal model use conditions proposed in this CP;
• deletion of the FSA005 Market risk template to reflect the proposed discontinuation of the ‘risks not in value-at-risk’ (RNIV) methodology for the calculation of market risk; and
• revisions to the Capital+ templates and instructions to reflect the proposals set out in this chapter.

12.5 The proposed reporting requirements amend existing and introduce new reporting requirements that reflect the revised approaches to RWA calculation under the Basel 3.1 standards. Where existing reporting requirements would become partly or entirely redundant due to the proposed revision of RWA requirements, the PRA proposes to replace the existing templates entirely with new templates. The PRA considers that the proposed reporting changes are necessary to remove reporting requirements associated with RWA calculation methodologies that would become obsolete under the proposals in this CP, and to reflect new proposed RWA calculation approaches, including internal model use conditions.

12.6 Updating regulatory reporting would enable the PRA to collect the necessary data to understand what firms’ capital requirements are and how those requirements are being calculated. This proposed reporting is important for the supervision of the broader proposals in this CP, and for monitoring across the industry.

12.7 The PRA proposes to make only the minimum changes to reporting that are necessary to implement the Basel 3.1 standards. In due course, the PRA plans to review the full range of bank reporting data it collects to seek improvements and efficiencies. In considering any future changes, the PRA intends to take into account available insights from the transforming data collection programme being implemented by the Bank of England and Financial Conduct Authority (FCA). This work would not be completed ahead of proposed implementation of the Basel 3.1 standards, and is unlikely to fundamentally change the information collected on the Basel 3.1 methodologies.

12.8 The proposed reporting templates and instructions are attached to this CP (see Appendix 20), alongside proposed amendments to SS34/15 and the reporting rule instruments. The table below sets out the reporting proposals for the implementation of the Basel 3.1 standards by risk area. The PRA proposes to modify 12 existing COREP templates and the three existing Capital+ templates, introduce 19 new COREP templates, and delete eight existing templates.

Summary of proposed reporting changes

12.9 Where existing reporting templates are proposed to be modified, the existing version would be retained for Transitional Capital Regime (TCR) firms, with the new version of these templates that are proposed in this chapter intended for reporting by firms in scope of the proposals in this CP. The proposed new, as well as amended, reporting templates in this chapter are titled with a temporary prefix of ‘CAP’ for the purposes of the description within this CP and in the relevant appendices, in order to distinguish the proposals from the existing reporting templates that TCR firms would continue to report. The proposed Capital+ templates would be renamed to PRA101a, PRA102a, and PRA103a for the purposes of this CP.

12.10 The proposals set out in this chapter are applicable to firms within the proposed scope of application for the Basel 3.1 standards, set out in Chapter 2 – Scope and levels of application. Firms that would be subject to the TCR would not be required to implement the proposals in this chapter, and could continue to report the existing requirements set out in the Reporting (CRR) and Regulatory Reporting Parts of the PRA Rulebook ahead of the finalisation of that regime.

Credit risk

12.11 Chapters 3 to 5 set out the PRA’s proposed changes to credit risk RWA calculation methodologies. These proposed changes to calculating credit risk would fundamentally alter the existing approaches and it would not be possible for the PRA to monitor and supervise compliance by firms in scope of this CP with the Basel 3.1 credit risk framework using existing COREP templates. The proposed changes to reporting reflect the proposed revisions outlined in chapters 3 to 5 to the standardised approach (SA), the internal ratings based (IRB) approach, and credit risk mitigation (CRM), used to compute RWAs for credit risk.

12.12 The PRA proposes to modify two existing SA templates (C07.00 and C09.01), modify nine existing IRB templates (C08.01, C08.02, C08.03, C08.05, C08.05.1, C08.06, C08.07, C 09.02, and C34.07) and delete two existing IRB templates (C10.01 and C10.02) such that firms report relevant data that reflect the updated credit risk RWA calculation approaches. Proposed credit risk revisions to CAP02.00 are set out in paragraph 12.35.

Standardised approach (SA)

12.13 For firms that apply the SA, the PRA proposes to amend three existing COREP templates and instructions to align with the proposed changes to the SA set out in Chapter 3. The proposed amendments would:

• align the templates to reflect relevant exposure sub-classes and the increase in the conversion factor for off-balance sheet commitments;
• remove references to elements which the PRA proposes to remove from the framework, such as the small and medium-sized enterprise (SME) and infrastructure support factors;
• add memorandum items to include reporting on the transitional provisions for equity exposures; and
• amend the templates to reflect the increased granularity of risk weights applicable to exposures across the proposed credit risk SA requirements, and to include specific reporting on relevant collective investment undertakings.

Internal ratings based (IRB) approach

12.14 For firms that apply the IRB approach, the PRA proposes to amend 10 existing COREP templates and instructions to align with the proposals set out in Chapter 4. The proposed amendments would:

• remove references to elements which the PRA proposes to remove from the framework, such as the SME and infrastructure support factors and the double default treatment;
• introduce new elements such as data points on conversion factors, adjustments to risk weighted exposure amounts and expected loss, and the probability of default (PD) input floor; and
• augment reporting on CRM by adding data points regarding on-balance sheet netting and aligning with the proposed exposure sub-classes.

12.15 The PRA proposes to delete C10.01 and C10.02 to reflect the proposal that the IRB approach should no longer apply to exposures to equities. The PRA does not propose to revise C08.04 and proposes to keep existing scope and reporting frequency of all modified templates.

Market risk

12.16 Chapter 6 sets out the PRA’s proposed changes to the calculation of market risk capital requirements, and the proposed conditions for the use of the market risk approaches. The proposed changes to market risk RWA calculation requirements envisage three approaches, two of which are entirely new. This renders some existing COREP and FSA templates on market risk redundant, and therefore not suitable for the supervision of proposed SA and internal model approach (IMA) requirements.

12.17 The PRA proposes to introduce new templates on the SA and IMA approaches, as well as summary reporting on which market risk capital requirement calculation approaches are in use across a firm’s market risk portfolio. The proposed new approaches for market risk would require new data and calculation processes within firms both to internally monitor, and report on, Pillar 1 compliance. Only a subset of these templates would apply to all firms, depending on the market risk approaches used by a firm.

12.18 The PRA proposes that all firms in scope of this CP would report a new market risk summary template (CAP25.11) to identify which market risk methodologies they are applying, and to collect information on the relevant eligibility requirements for the derogations for small trading book business and the exemptions from the SA. Proposed market risk revisions to CAP02.00 are set out in paragraph 12.35.

Standardised approach

12.19 For firms that intend to apply the new market risk SA to all or part of their portfolio, the PRA proposes to introduce 10 new templates.

CAP25.01–25.07 templates

• Seven new templates are proposed to separately report on the underlying risk classes that a firm may be exposed to, as set out in Chapter 6. Each template reports the sensitivities measures and the corresponding sensitivities-based method (SbM) capital requirement for positions corresponding to the risk buckets for each risk class. Firms would be required to report the delta, vega, and curvature sensitivities positions for each risk bucket, under three different correlation scenarios. Firms would only complete the templates for the risk classes for which they have an exposure.

CAP25.08 template

• This proposed template captures the default risk capital (DRC) requirements under the SA. Firms would report their positions on a gross jump-to-default basis (JTD).

CAP25.09 template

• This proposed template captures the residual risk add-on (RRAO) capital requirements under the advanced standardised approach (ASA). Firms would report their positions by residual risk type and value.

CAP25.10 template

• This proposed template captures the capital requirements for investment in funds calculated using either the mandate based approach or third-party calculated risk-weight look-through approach under the ASA. Firms would report a breakdown by five risk classes (general interest rate risk, credit spread risk for non-securitisations, equity, commodity, and foreign exchange).

Internal model approach (IMA)

CAP24.01, CAP24.02, CAP24.03

12.20 The PRA proposes that all firms using the IMA to calculate market risk would report the following new templates for all or part of their portfolio subject to the IMA:

CAP24.01 template

• This proposed template reports the main risk measures (expected shortfall (ES)) of the IMA capital requirements. Firms would report a breakdown of capital requirements by different components under the ES measures, and the different risk classes prescribed under the IMA framework.

CAP24.02 template

• This proposed template reports the capital requirements for the other risk measures, namely the capital requirements for non-modellable risk factors (NMRFs), default risk charge (DRC-IMA), and risks not in model (RNIM). The proposed reporting is further split by risk classes.

CAP24.03 template

• This proposed template would require information at a firm level, and at each trading desk level for which a firm has approval to use the IMA. This template would report information on back-testing and profit loss attribution testing (PLAT) at portfolio level and trading desk level. Firms would need to report for each daily observation date (ie T+0 until T+280). The PRA proposes collecting the information at a trading desk level, as the data would be required to assess whether firms’ trading desk(s) continue to meet the relevant requirements to be capitalised under the IMA.

12.21 The PRA proposes to delete templates C24.00 and FSA005 that report market risk capital requirements under the existing IMA, which would become obsolete under the proposals in Chapter 6. The PRA proposes that firms using the IMA also report templates CAP25.01 to CAP25.10 on the standardised approach for the relevant pair of their IMA portfolio.

Simplified standardised approach (SSA)

12.22 The PRA does not propose to make any changes to COREP templates C18.00–C23.00 which would continue to be reported by firms that will apply the SSA. Minor amendments are proposed to the instructions for C18.00–C23.00 to replace references to the CRR with the proposed PRA Rulebook references as set out in Appendix 4, including a clarification that the new multipliers in Article 325(2) of the Market Risk: General Provisions (CRR) Part should apply to the aggregated risk class-level own funds requirements reported in COREP templates C18.00–C23.00 (as proposed in paragraph 6.31 of Chapter 6).

12.23 The proposed frequency for all new market risk reporting (CAP24.01 to CAP25.11) would be quarterly, with a 30 business day remittance period, which is consistent with existing COREP reporting on market risk and capital requirements.

Credit valuation adjustment (CVA)

12.24 Chapter 7 sets out the PRA’s proposals to introduce a new CVA framework comprising of three new standardised methodologies to calculate CVA capital requirements. COREP template C25.00 on CVA risk currently reports CVA capital requirements according to the existing methodology which would become obsolete under the proposals in Chapter 7. The existing structure of C25.00 cannot be easily modified to capture the RWA and capital requirements under the proposed new methodologies.

12.25 The PRA proposes to delete C25.00 for firms in scope of the proposals in Chapter 7. C25.00 would be replaced by three proposed new CVA templates that report on the CVA results at a summary level, as well as on a detailed basis under each CVA capital requirement calculation approach used. Proposed CVA risk revisions to C02.00 are set out in paragraph 12.35.

12.26 The PRA proposes three new reporting templates that would consist of:

CAP26.01 template

• The PRA proposes that all firms in scope of the proposals in Chapter 7 would report a new CVA summary template (CAP26.01), which would provide the PRA with information on which CVA approach is being applied for the purpose of supervising the calculation approach. The proposed template would also summarise the CVA capital requirements. Firms applying the alternative approach (AA-CVA) would only report this template.

CAP26.02 template

• The PRA proposes that firms applying the basic approach (BA-CVA) methodology complete a separate template (CAP26.02). Firms may choose whether to apply the full version of BA-CVA, where hedges are recognised, or the reduced version of BA-CVA, where hedges are not recognised.
• Firms using both the full and the reduced version of BA-CVA would report a breakdown of their capital requirements by systematic and idiosyncratic components. Firms using the full version of BA-CVA would apply this breakdown for K-reduced, and K-hedged, which are inputs to its calculation, as well as including the hedge misalignment component for K-hedged.
• The information reported in this template would support the supervision of the correct application of the BA-CVA approaches and provide key information on the drivers of firms’ capital requirements for CVA risk.

CAP26.03 template

• The PRA proposes that all firms applying the standardised approach (SA-CVA) methodology report a dedicated template on this approach (CAP26.03). The template would collect data on the granular decomposition of CVA capital requirements across six asset classes as set out in Chapter 7.
• The proposed CAP26.03 template would provide the PRA with the key information to supervise whether firms are complying with the new SA-CVA methodology, monitor firms’ capital requirements between periods, and assess the key drivers of any material changes to the values of the underlying risk factors.

12.27 The PRA proposes that firms would submit CAP26.01 to CAP26.03 to the PRA on a quarterly basis, following a 30 business day remittance period. The proposed quarterly frequency is aligned with that of other existing reporting on own funds and own fund requirements.

Counterparty credit risk

12.28 In line with the proposals in Chapter 7, the PRA proposes to apply targeted recalibrations to the SA to the counterparty credit risk (SA-CCR) framework for calculating exposures to non-financial counterparties (NFCs) and pension scheme arrangements. As the necessary reporting amendments to reflect the CCR proposals in Chapter 7 would be small, the PRA does not propose to amend the existing CCR COREP templates at this time. The PRA considers that it would not be proportionate to revise reporting now, while firms may still be embedding the most recent changes to the CCR reporting requirements. The PRA may consider amending reporting to reflect the CCR changes in Chapter 7 in the future in connection with the review ambitions set out in paragraph 12.7. Instead of amending reporting templates, the PRA proposes to update reporting instructions for template C34.02 that would enable firms to complete the existing template under the new requirements.

Operational risk

12.29 The PRA’s proposals to implement the Basel 3.1 standards for operational risk are set out in Chapter 8. The existing reporting of Pillar 1 operational risk which currently reports on the existing methodologies across three templates would become redundant under the operational risk proposals set out in this CP. As the proposed Basel 3.1 SA methodology is structurally different to the three existing methods, the PRA considers the existing templates cannot easily be modified.

12.30 The PRA, therefore, proposes to delete the existing COREP templates C16.00, C17.01, and C17.02 for firms in scope of the proposals in Chapter 8. CAP16.00 is proposed to replace these templates. The PRA’s proposed operational risk revisions to CAP 2.00 are set out in paragraph 12.35. The PRA proposes that CAP16.00 would report on the following elements:

• Approvals: All firms in scope of the proposals in Chapter 8 would be required to complete this section on the excluded activities from SA capital requirement calculations, and a firm’s position relative to the threshold for reporting historical loss data under the PRA’s proposed implementation of the Basel 3.1 standards. The information captured would support the PRA in monitoring that firms are correctly applying the methodologies according to the correct approvals and thresholds.
• Business indicator (BI) and subcomponents: All firms in scope of the proposals in Chapter 8 would be required to report the BI, its subcomponents, and the granular breakdown of the subcomponents, which inform the operational risk capital requirements calculation. The granular items required would be reported in accordance with the measurement and recognition principles applied under the IFRS or the applicable GAAP regime. Firms reporting FINREP may use the same data definitions for the corresponding items reported in FINREP. The PRA proposes that the BI and subcomponents would be reported for the three years preceding the reporting reference date.
• Business indicator component (BIC): All firms in scope of Chapter 8 would report the BIC.
• Minimum required capital: All firms in scope of Chapter 8 would report the minimum operational risk capital requirement and the operational risk capital requirements based on a value of 1 for the internal loss multiplier (ILM).
• Historical losses:
  • Consistent with the proposed requirement for firms to follow specific criteria for the identification, collection, and treatment of internal loss data and develop policies and procedures in support of this, the PRA proposes that firms with a BI greater than £0.88 billion would report aggregate operational losses incurred over the past 10 years.^{footnote [1]}
  • This proposed reporting coverage is based on the accounting date of the incurred losses (ie when a loss reserve position is recognised in a firm’s profit and loss). Firms currently report historical loss data as part of Pillar 2A assessment.
  • The PRA proposes to set the threshold for including a loss event in the loss data set reported at £20,000, and firms would be required to report separately losses greater than £20,000 and greater than £90,000 when reporting loss data.
  • The PRA considers that building an operational risk loss data set in this way would facilitate improved and closer management of operational risk events, which supports firms’ overall management of systems, processes, and governance. It would also provide the PRA with consistent loss data to better support cross-firm comparison.

12.31 The PRA proposes that firms would submit CAP16.00 to the PRA on a quarterly basis, with a 30 business day remittance period, which is consistent with existing COREP reporting requirements on operational risk capital requirements.

Output floor

12.32 The PRA’s proposals to implement the Basel 3.1 standards for the output floor are set out in Chapter 9. As the output floor would be a new requirement, the PRA proposes to introduce new reporting, and update existing reporting, on total RWAs to help ensure the transparent and accurate application of the framework. The proposed additions would introduce the reporting on the output floor, as well as an asset class level breakdown of RWAs calculated using only SAs. The PRA considers this would allow it to understand the relative levels of floored and unfloored RWAs, as well as the critical factors influencing the binding measure of RWAs.

12.33 In order for the PRA to supervise whether firms are accurately complying with the output floor requirements, the PRA proposes to modify two existing templates (C02.00 and C08.01) and introduce one new template.

12.34 The proposed output floor reporting requirements would apply to firms in scope of Chapter 9 in the following way:

• on a consolidated basis only, at the UK consolidation level (ie the ultimate UK group level) of UK headquartered groups;
• on an individual basis for UK stand-alone firms (eg at the solo entity level); and
• on a sub-consolidated basis for ring-fenced body (RFB) sub-groups, or individual basis where the RFB is not part of a ring-fenced sub-group.

12.35 The reporting template proposals relevant to the output floor are as follows:

C02.00 template

• The PRA proposes to amend the existing template C02.00 to reflect the revised credit Pillar 1 RWA calculation requirements and market, operational, and CVA risk Pillar 1 capital requirements calculation set out in this chapter as follows:
  • replace rows that collect data under the existing methodologies that would be removed under the Basel 3.1 standards across the different risk areas with the proposed new approaches; and
  • add in rows for firms to indicate the percentage of total RWA (using SAs only) taken to set the output floor – the output floor multiplier applicable to the reporting period, and whether or not the floor is binding.
• In order for this reporting template to adequately reflect the proposed output floor, the PRA proposes to add two columns to this template that would require firms within scope to report:
  • capital requirement for the equivalent SAs, for each row where firms use internal models to calculate capital requirements; and
  • capital requirement under the application of the output floor (ie an aggregate of all capital requirements using SAs), incorporating the output floor multiplier applicable for the reporting period which would allow the PRA to compare, in parallel, the total RWAs using modelled approaches and the output floor.

C08.01 template

• The PRA proposes to modify the existing template C08.01 to reflect the reporting requirements it considers essential for supervising the application of the SA to credit risk for the purposes of the output floor. The proposals include:
  • adding new columns to report SA equivalent exposure at default (EAD) and RWAs at the total exposure level; and
  • adding new rows to report unrated corporates for the purposes of assessing the application of the more risk-sensitive approach to this exposure class.

CAP02.01 template

• All firms in scope of the proposals in Chapter 9 would report this new template.
• Firms would report RWAs for standardised and modelled approaches presently applied, alongside the total RWA for their portfolio, and RWAs using SAs only. The values would be reported by risk type.

12.36 The PRA proposes that these templates would be collected quarterly, with a 30 business day remittance period, which is consistent with existing COREP reporting on RWAs.

Capital+

12.37 The Capital+ templates PRA101, PRA102, and PRA103 are based on the COREP summary templates C01.00–C04.00, and report on current and forecast capital requirements. The PRA’s proposed changes to the credit, market, operational, and CVA risk RWAs, and the proposed introduction of the output floor would necessitate changes to PRA101 to 103 to align with the proposed changes to CAP02.00.

12.38 The PRA has considered whether it is necessary for firms to report the same level of granularity in the Capital+ templates as that of CAP02.00 and proposes to take a proportionate approach, by only requiring firms to provide high level forecast information, rather than report all the rows specified in CAP02.00. The PRA proposes that all firms in the proposed scope of application for the Basel 3.1 standards (see Chapter 2) would report revised versions of Capital+ (PRA101a, PRA102a, and PRA103a in this CP).

12.39 The PRA proposes to revise Capital+ as follows:

• add new rows specific to output floor, reported by risk category, to report the standardised equivalent capital forecast when the output floor is expected to bind; and
• delete and replace rows related to operational risk, market risk, and CVA RWA proposals set out in this CP with the proposed new calculation approaches.

PRA objectives analysis

12.40 The PRA considers that the proposal to introduce new reporting templates for the PRA’s proposed implementation of the Basel 3.1 standards would enable the PRA to monitor levels of risk and capital and supervise firms’ compliance with these standards. This would reduce the risk of firms being inadequately capitalised in respect of credit, market, CVA, and operational risks that may arise in future, thereby advancing the PRA’s primary objective of safety and soundness.

12.41 The PRA considers it has approached the design of its proposed reporting requirements in a proportionate manner, and limited the proposed new and revised data to that essential to understand and supervise capital requirements calculated in accordance with the proposals set out in this CP. The PRA considers that reporting would enable the PRA to assess that all firms comply with the Basel 3.1 standards equally rather than seeking competitive advantage by not complying. The PRA considers that its reporting proposals would therefore not adversely impact competition.

‘Have regards’ analysis

12.42 In developing these proposals, the PRA has had regard to the FSMA regulatory principles, the aspects of the Government’s economic policy set out in the HMT recommendation letter from 2021 and the supplementary recommendation letter sent April 2022. Where the proposed new rules are CRR rules (as defined in section 144A of FSMA), the PRA has also taken into consideration the matters to which it is required to have regard when proposing changes to CRR rules. The following factors, to which the PRA is required to have regard, were significant in the PRA’s analysis of the proposals:

1. Proportionality (FSMA regulatory principles and Legislative and Regulatory Reform Act 2006):

• The templates have been designed to capture only the minimum essential data that would allow the PRA to credibly assess compliance and supervise a firm’s implementation of the Basel 3.1 standards.
• For the CAP 16.00 operational risk reporting proposals, the underlying financial items to the subcomponents of the BI are defined with respect to FINREP data items and existing accounting practices, which seeks to minimise the new reporting burden on firms. Additionally, the PRA proposes that only larger firms with a BI exceeding £0.88 billion would need to report the historical losses elements of the template.
• The CVA and market risk reporting proposals would allow firms to apply three different approaches, corresponding to different levels of complexity and risk-sensitivity, proportionate to the CVA and market risk faced by firms.

2. Efficient use of PRA resources (FSMA regulatory principles):

• The PRA proposes to introduce the new reporting into the existing COREP framework in order to minimise the PRA resources required to integrate a change to its data collection systems.
• The PRA has considered directly sourcing the collection of the operational risk BI elements from firms’ FINREP returns in order to reduce the reporting burden to firms. However, this would mean firms would be submitting incomplete information for the purposes of the capital calculation, resulting in additional requirements for supervisors to source and match relevant data from FINREP to COREP in order to analyse operational risk requirements, for each firm. The PRA, therefore, considers that aligning the reporting definitions with FINREP give firms sufficient synergies in template preparation, resulting in a modest burden on firms in support of the timely and efficient analysis of operational risk requirements by the PRA.

3. Different business models (FSMA regulatory principles):

• The proposed CVA, market, and credit risk frameworks include a range of different approaches intended for different types of firms with different business models and capabilities. The reporting proposals reflect the inherent variability in potential capital calculation approaches associated with these business models.

4. Relevant international standards (FSMA CRR rules):

• The reporting proposals set out in this chapter would allow the PRA to supervise compliance with the proposals set out in this CP, and materially align with the Basel 3.1 standards.

Taxonomy implementation

12.43 The PRA currently collects banking data using two different taxonomies. COREP is reported to the PRA using the European Banking Authority (EBA) authored taxonomy (version 3.0). The Bank of England Banking Taxonomy (version 3.5.1) is used to report other banking reporting including certain PRA, FSA, and ring fenced body (RFB) titled data items.

12.44 The reporting proposals in this chapter would need to be implemented within a taxonomy authored by the Bank of England. For COREP, this approach would mean that firms in the proposed scope of application for the Basel 3.1 standards (see Chapter 2) would no longer report own funds and own fund requirements (eg COR001a) to the PRA using an EBA authored taxonomy from the PRA’s proposed implementation date (see Chapter 1 – Overview). Firms applying the simpler regime would continue to report the own funds and own fund requirements in COREP using EBA Taxonomy 3.0.

12.45 The PRA is considering how best to implement the reforms given the existing dual reporting taxonomies. The PRA intends to publish the public working draft taxonomy following this CP for comments on the data modelling and overall technical implementation.

12.46 The PRA is also considering how to maintain the clarity of reporting requirements around which templates are applicable to firms in the proposed scope of application for the Basel 3.1 standards (see Chapter 2) and TCR firms via template naming conventions, to help to ensure that the reporting requirements for firms in scope of this CP and TCR firms are sufficiently distinguishable. The PRA has set out temporary prefixes and suffixes for the proposed reporting set out in this CP of ‘CAP’ for COREP and ‘a’ for Capital+. However, these prefixes or suffixes may be subject to future change as the PRA transitions away from the EBA authored taxonomy.