On 18 December we 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), we 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:
On the basis of the consolidated situation
G-SII buffer rate
| HSBC Holdings Plc
| Barclays Plc
|Royal Bank of Scotland Group Plc
|Standard Chartered Plc
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.
On 30 November we 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.
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.
On 9 November we published our 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
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 we explained that the G-SII buffer would be set by the PRA using its powers under section 55M. On 9 November 2015 we confirmed we 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
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 our communication of October 2014 that set out the EBA’s recommendation to obtain a Legal Entity Identifier, available in the National Archives.
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 we confirmed we 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
On 14 September we 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
Following the publication of Supervisory Statement 29/15 on 20 July 2015, on 28 August we 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
Interim LCR template
Simplified LCR template
On 28 August we confirmed our 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.
We have 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. We intend 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
Interim intraday liquidity – direct participants template
Interim intraday liquidity – indirect participants template
Simplified interim intraday template
On 25 August we 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.
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. We 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. We 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.
On 29 July we issued two updates for firms affected by CRD IV.
1. 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
2. Update on interim LCR and interim intraday reporting. We are 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 29 June we 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. We have 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. We expect 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 EBA's website.
On 7 April we 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
On 27 February in accordance with Article 131 of the Capital Requirements Directive (Directive 2013/36/EU), we disclosed the 2014 list of UK headquartered Global Systemically Important Institutions (G-SIIs) and their respective subcategories. We also disclosed the applicable scores and G-SII buffers. These are:
G-SII buffer rate
|Royal Bank of Scotland
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 we 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. We will continue to take into account the quality and timeliness of firms’ CRD IV regulatory returns when assessing their risk management and controls. We 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 Regulatory Reporting.