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2015 updates

 

December 2015

On 21 December the PRA issued 'Pillar 2: Update to reporting data items and instructions – CP45/15'. The consultation makes proposals on Pillar 2 data items and Reporting instructions. The consultation closes on Monday 18 January 2016. The PRA plans to publish a policy statement with finalised rules and an updated version of Supervisory Statement 32/15 'Pillar 2 reporting, including instructions for completing data items FSA071 to FSA082' in January 2016.

The changes would apply from February 2016. From 1 January 2016 until this date, firms are required by Reporting Pillar 2 Part to report their data using the Pillar 2 data items at the same time as they submit their ICAAP assessment to the PRA. Firms may wish to start considering a process for using updated Pillar 2 data items in light of the changes being proposed by the PRA in this CP. 

Pillar 2: Update to reporting data items and instructions - CP45/15

Interim LCR reporting: updated notes for submissions and re-submissions December 2015 onwards

On 18 December the PRA published updated notes (initially published on 28 August and updated on 30 October) to help firms complete interim LCR returns. The updates address common errors found in the first submission of interim LCR returns. The updated notes are available below with new text is underlined and deleted text is struck through.

 Interim LCR reporting notes

On 15 December in accordance with Article 131 of the Capital Requirements Directive (2013/36/EU) (CRD), the PRA disclosed the 2015 list of UK headquartered Global Systemically Important Institutions (G-SIIs) and their respective sub-categories. The PRA also disclosed the applicable scores and G-SII buffers.

The 2015 UK G-SIIs and their sub-category allocations are as follows:

G-SII
 On the basis of the consolidated situation:
Sub-category
Score
Corresponding​
G-SII buffer rate
​HSBC Holdings Plc 4 439 2.5%
​Barclays Plc 3 349 2%
​Royal Bank of Scotland Group Plc ​1 213 1%
​Standard Chartered Plc 1 142 1%

These buffers will be applied and phased in from 1 January 2017 in line with Article 162(5) of the CRD. The list of G-SIIs and their sub-category allocations will be updated annually.

November 2015

Update on Scheduling of Financial Reporting (FINREP)

On 30 November the PRA confirmed that FINREP will be scheduled in the same way as other group reporting submitted via the GABRIEL system. This means that it will be scheduled to all firms in the group to which the reporting obligation applies. One firm will submit the templates, which will satisfy the reporting obligation on behalf of the rest. It is essential, therefore, that firms include the Firm Reference Numbers (FRNs) of all firms in the group when making their submission.

Regulatory data filing rules - update 11 November

On 6 November the FCA published information about upcoming changes to regulatory data filing rules on its website. CRD IV firms should note that they need to comply with these rules from 28 November when submitting data via GABRIEL.

Bank of England's response to the European Commission consultation on the possible impact of the CRR and CRD IV on bank financing of the economy

On 9 November the Bank of England published its response sent on 7 October to the European Commission consultation on the possible impact of the CRR and CRD IV on bank financing of the economy. As a follow up, the European Commission will organise a conference later this year, paving the way for the European Commission's final report in 2016. All responses submitted to the consultation are available on the European Commission website. 

Bank of England's response to European Commission consultation on the possible impact of the CRR and CRD IV on bank financing of the economy

Annex 1: Charts on lending

Annex 2: The case for a more proportionate regulatory regime

European Commission: Public consultation on Long term finance 

Pillar 2 Voluntary Requirements (VREQ) applications for G-SIIs

As stated in Supervisory Statement 31/15, firms to which CRR applies will be invited to apply for a voluntary requirement (VREQ) under section 55M of the Financial Services and Market Act 2000 preventing them from meeting their CRD IV combined buffer with any Common Equity Tier 1 capital maintained to meet their Individual Capital Guidance from 1 January 2016. The CRD IV combined buffer includes a buffer for global systemically important institutions (G-SIIs). In Supervisory Statement 6/14 the PRA explained that the G-SII buffer would be set by the PRA using its powers under section 55M. On 9 November 2015 the PRA confirmed it will therefore send VREQ application forms to affected firms which they are expected to sign and return. G-SIIs should read these application forms in conjunction with the requirements set out in ‘Capital Buffers and Pillar 2 Model Requirements for G-SIIs’ available below.

Capital Buffers and Pillar 2 Model Requirements for G-SIIs

Implementing CRD IV: capital buffers - SS6/14

The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) - SS31/15

October 2015

Interim LCR and interim intraday reporting: updated notes for submissions November 2015 onwards

Update: On 17 February 2017, the PRA issued updated notes on intraday liquidity monitoring reporting, see the Updates page.

On 30 October the PRA published updated notes (initially published on 28 August) to help firms complete intraday and interim LCR returns. The updates address common errors found in the first submission of intraday reporting which may also be relevant for interim LCR returns. The updated notes are available below. Please note: the Interim LCR reporting notes were updated by the PRA on 18 December and are available below and under December 2015 above.

CRD IV XBRL filing update  

On 7 October the FCA issued communications to firms on some changes and important information regarding CRD IV submissions to GABRIEL. The communications cover filing rules, use of Legal Entity Identifier (LEI), validation rules, negative filing indicators and inappropriate zero values. Submissions that fail any of the criteria or checks in GABRIEL will be rejected. Firms are referred to the PRA’s communication of October 2014 that set out the EBA’s recommendation to obtain a Legal Entity Identifier.

CRD IV 2014 and 2013 updates

September 2015

Pillar 2 Voluntary Requirements (VREQ) applications

As stated in Supervisory Statement 31/15, firms to which CRR applies will be invited to apply for a voluntary requirement (VREQ) under section 55M of the Financial Services and Market Act 2000 preventing them from meeting their CRD IV combined buffer with any Common Equity Tier 1 capital maintained to meet their Individual Capital Guidance from 1 January 2016.  On 18 September 2015 the PRA confirmed it will therefore send VREQ application forms to firms which they are expected to sign and return. These application forms should be read in conjunction with the requirements set out in ‘Capital Buffers and Pillar 2 Model Requirements’, available below. This document is not relevant for the UK headquartered Global Systemically Important Institutions.

Capital Buffers and Pillar 2 Model Requirements

The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) - SS31/15

On 14 September, the PRA issued two clarifications:

1. Liquidity coverage ratio: Reporting clarifications

In July 2015, PRA Supervisory Statement 29/15 ‘CRD IV: interim LCR reporting’ detailed the reporting arrangements the PRA expects firms to follow in the period between 1 October 2015 and the introduction of the new EU reporting templates in accordance with the amending implementing technical standards on liquidity reporting to be adopted by the European Commission for the Liquidity Coverage Ratio (LCR).

On 14 September 2015 the PRA published reporting clarifications on areas of inconsistency identified from a survey of a selection of UK firms. The PRA will revisit this matter if and when the EBA issues relevant guidance or Q&A on the LCR or on LCR reporting. Firms should be aware that the EBA or the European Commission could adopt a position on the LCR or LCR reporting that is different from the one expressed here. Only the Court of Justice of the European Union can provide definitive interpretations of EU legislation.

Liquidity coverage ratio: Reporting clarifications

CRD IV: Interim LCR reporting - SS29/15

2. Common Reporting Errors found in COR002 Large Exposures Templates and reporting of Eligible Capital for purposes of Large Exposures within COR001

On 14 September the PRA published reporting clarifications on common reporting errors found in the COREP COR002 Large Exposures templates and in the COR001 CA4 template for reporting eligible capital for purposes of large exposures. Reporters are asked to ensure that these clarifications are applied for reporting from 2015 Q3.

Common Reporting Errors found in COR002 Large Exposures Templates and reporting of Eligible Capital for purposes of Large Exposures within COR001

August 2015

Interim LCR Reporting from 1 October 2015. NOTES UPDATED - see update on 30 October

Following the publication of Supervisory Statement 29/15 on 20 July 2015, on 28 August the PRA made available notes and applicable Excel and XSD templates to facilitate interim LCR reporting from 1 October 2015. The notes and Excel templates are available below; firms wishing to use the XSD templates should get in touch with their usual supervisory contact.

Interim LCR reporting notes (these notes have been updated - see update on 30 October)

Interim LCR template

Simplified LCR template

Interim intraday liquidity reporting – first submissions by 15 October 2015. NOTES UPDATED - see update on 30 October

On 28 August the PRA confirmed its arrangements for those UK banks, building societies and designated investment firms contacted by their supervisor to report intraday liquidity data metrics, on a voluntary basis, starting from reference period 1 July 2015 to 30 September 2015.

The PRA has prepared the notes and relevant Excel and XSD templates which firms are asked to complete, with first reporting to be submitted by 15 October 2015. This update is intended to help firms incorporate the arrangements into their planning for intraday liquidity reporting. The PRA intends to stop collecting the data when intraday liquidity reporting is fully harmonised in the EU. Firms should contact their line supervisor with any queries in the first instance. The notes and Excel templates are available below; firms wishing to use the XSD templates should get in touch with their usual supervisory contact.

Interim intraday reporting notes (these notes have been updated - see update on 30 October)

Interim intraday liquidity – direct participants template

Interim intraday liquidity – indirect participants template

Simplified interim intraday template

GABRIEL notifications for the reporting of additional monitoring metrics for liquidity

On 25 August the PRA confirmed that firms which would have been expected to submit data for the first time on 1 September should ignore the notifications for the submission of additional monitoring metrics for liquidity on the GABRIEL schedule until the European Commission announces the implementation date via the Official EU Journal.

Reporting of additional monitoring metrics for liquidity

The European Commission has announced that it intends to adopt the draft Implementing Technical Standards (ITS) with regard to additional monitoring metrics for liquidity reporting with an amended application date of 1 January 2016. This replaces 1 July 2015.

The Commission intends to delete the ‘maturity ladder’ template from the ITS at this stage. The EBA will now need to send its opinion or a revised ITS. The PRA will update firms when the EBA response is known.

Firms will not be required to report any of the data in the additional monitoring metrics for liquidity until the first reporting and submission dates following the amended application date. The PRA will consider what action to take in respect of GABRIEL notifications for firms which would have been expected to submit data for the first time on 1 September.

July 2015

On 29 July the PRA issued three updates for firms affected by CRD IV.

1. Assessing capital adequacy under Pillar 2. The PRA published its package of policy on the Pillar 2 framework. The new framework will come into force from 1 January 2016. Where Supervisory Review and Evaluation Process reviews are planned between August and December 2015, the PRA will discuss with the firm the application of the revised Pillar 2A methodologies. New individual capital guidance (ICG) will be applicable from 1 January 2016.

The PRA will write to all firms before 1 January 2016 to convert their existing Capital Planning Buffer into a PRA buffer that offsets against the CRD IV combined buffer. Where firms have an existing Pillar 2A add-on for risk management and governance, the PRA will relocate this to their PRA buffer and update ICGs accordingly. 

Assessing capital adequacy under Pillar 2 - PS17/15


2. EBA update on the status of its final draft technical standards on additional liquidity monitoring metrics (ALMM). The European Banking Authority (EBA), following requests from stakeholders, published on 17 July 2015 an update on the application date of its final draft Implementing Technical Standards (ITS) on additional liquidity monitoring metrics.

The EBA had originally submitted its final draft ITS on additional liquidity monitoring metrics to the European Commission in December 2013, with a proposed application date of 1 July 2015. Considering that the European Commission has not yet adopted the final draft ITS, it is highly likely that the application date, which will be specified once the ITS are published in the EU Official Journal, will be postponed by at least three months. The final application date will depend on the timeline of adoption of the ITS by the European Commission.

EBA update on the status of its final draft technical standards on ALMM

3. Update on interim LCR and interim intraday reporting. The PRA is finalising the notes and accompanying Excel and XSD templates for firms to be able to make their first submission for interim LCR and/or interim intraday reporting. These will be published by the end of August.

On 20 July the PRA published Supervisory Statement 29/15 ‘CRD IV: Interim LCR Reporting’. For the PRA to monitor firms’ compliance with the LCR and their liquidity resilience from the date the LCR comes into force (1 October 2015), and before the introduction of the new LCR return following adoption by the European Commission,  firms are expected to report their LCR positions in accordance with SS29/15. For firms planning to submit xml data via xsd files, the PRA is planning to publish an LCR file in xsd format using the templates in the EBA’s final draft ITS on LCR reporting.

CRD IV: Interim LCR Reporting - SS29/15

Also on 20 July the PRA issued an update, including tips, for firms regarding the GABRIEL reporting peak in early August 2015 as a large number of firms are again expected to report on the FCA’s GABRIEL reporting system.

The number of firms reporting data through GABRIEL has increased significantly during the past year and during peak times (between 9am to 11am and 3pm to 5pm each day) firms may encounter access issues where you may need to try multiple times to logon to GABRIEL. The PRA strongly recommends that firms:

  • Prepare their reports in advance, using the FCA Handbook guidance to help them as required.
  • Complete their reporting as early as possible in the reporting period (ie if the firm has a three month reporting window do not leave submission until the last week).
  • Avoid using GABRIEL during the daily peak hours ie mid-morning and mid-afternoon.
  • Click on the ‘Log Out’ button when they have finished their session and before closing the browser. This will ensure the session is closed correctly and allow others to access the system more easily.

June 2015

On 29 June the PRA confirmed that firms are required to comply with EBA Guidelines on materiality, proprietary and confidentiality on disclosure frequency from 15 October 2015. The EBA’s Guidelines on materiality, proprietary and confidentiality and on disclosure frequency were finalised and published in all EU official languages on 15 April 2015.  They are addressed to all firms that are subject to the Capital Requirements Regulation EU No 575/2013.  The Guidelines promote market transparency by setting out a consistent framework for firms’ assessments of the frequency of disclosures and how firms should apply the concepts of materiality, proprietary and confidentiality when assessing the use of any waiver of disclosure requirements.

The EBA asks national competent authorities to implement the Guidelines by incorporating them in their supervisory procedures within six months after their publication in all EU official languages (ie 15 October 2015) and to ensure that firms fully comply with the Guidelines for all transactions entered into thereafter.  The PRA has notified the EBA of its intention to comply and intends to incorporate the Guidelines into its supervisory procedures by, but not before, 15 October 2015.  The PRA expects firms to adjust their disclosure policies accordingly to comply fully with the Guidelines for all transactions entered into from 15 October 2015. The Guidelines can be found on the EBAs website.

EBA Guidelines on materiality, propriety and confidentiality and on disclosure frequency

On 8 June the PRA published Policy Statement 11/15 ‘CRD IV: Liquidity’ and Supervisory Statement 24/15 ‘The PRA’s approach to supervising liquidity and funding risks’. The policy statement (PS) sets out the PRA’s final rules and supervisory statement and provides feedback on responses to the proposals in CP27/14 to accommodate the European Commission’s delegated act with regard to the liquidity coverage requirement (LCR) for credit institutions (‘Delegated Act’).

CRD IV: Liquidity – PS11/15

The PRA’s approach to supervising liquidity and funding risks – SS24/15

April 2015

On 7 April the PRA published a note setting out the basis under which it will accept regulatory returns during the transitional period for first-time adopters of FRS 102 that are currently applying old UK GAAP (meaning pre-FRS 102 UK GAAP). As the UK accounting standards offer a choice of accounting frameworks that include IFRS, equivalent principles should apply to first-time adopters of IFRS that are currently applying old UK GAAP.

Basis of preparation of regulatory returns for first-time adopters of FRS 102 or IFRS during the transition period for FRS 102

March 2015

On 10 March the PRA announced that it would not take forward at this time proposals to amend SS11/13 ‘Credit risk - Internal ratings based (IRB) approaches’ on which it consulted in CP12/14 ‘CRD IV: updates for credit risk mitigation, credit risk, governance and market risk’. The PRA has considered feedback received on its consultation and the BCBS’s announcement of its intention to develop specific policy proposals, and will consider this issue further, particularly in light of international developments, and may revert in due course. The announcement and a link to the BCBS announcement is available on the CP12/14 landing page.

CRD IV: updates for credit risk mitigation, credit risk, governance and market risk - CP12/14   

February 2015

On 27 February in accordance with Article 131 of the Capital Requirements Directive (Directive 2013/36/EU), the PRA disclosed the 2014 list of UK headquartered Global Systemically Important Institutions (G-SIIs) and their respective subcategories. The PRA also disclosed the applicable scores and G-SII buffers. These are:

G-SII Sub-category Score G-SII buffer
​HSBC 4 477 2.5%
​Barclays 3 384 2%
​Royal Bank of Scotland 2 238 1.5%
​Standard Chartered 1 133 1%

 

These buffers will be phased in from 1 January 2016, coming into full force by 1 January 2019 in line with the CRD. The list of G-SIIs will be updated annually.

On 13 February the PRA confirmed that an administrative fee of £250 will be levied to firms that are late reporting a regulatory return. SUP 16.3.14R will continue to be postponed for late CRD IV returns (COREP and FINREP), pending a public consultation by the PRA on the rule (currently expected in April 2015). Retained FSA Handbook items and remuneration returns are unaffected by this change; a fee will be levied if these returns are late. The PRA will continue to take into account the quality and timeliness of firms’ CRD IV regulatory returns when assessing their risk management and controls. The PRA may require firms to take mitigating actions, or increase capital and liquidity add-ons for firms submitting poor quality data. More information on regulatory returns is available on the Bank’s the Regulatory Data webpage.

Regulatory data: CRD firms

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