BoE updated the reporting template for Form ER as well as the Form ER definitions, which contain guidance on the methodology to be used in calculating annualized interest rates. Form ER is used to collect data on sterling business (outstanding and new) for deposits by, and loans and advances to, UK residents. BoE has updated Form ER definitions for the small and medium sized enterprise (SME) floating rate loan series referencing LIBOR- and SONIA-linked transactions. These series on Form ER (lines 50A1-50A3 and 101A2-101A4) will reference SONIA, rather than LIBOR/SONIA with effect from July 2020 reporting. Loans linked to similar reference rates should continue to be reported in these lines. Sterling LIBOR will be discontinued after the end of 2021. The update to Form ER definitions is being made ahead of this deadline to facilitate a smooth transition from LIBOR to SONIA.
For each of the sectors and instruments specified on Form ER, the effective interest rate is the average over all types of loans or deposits; over all types of customers and risks; and over business in that month. Intra-group balances should be excluded from Form ER as far as is possible (that is, where counterparty identification is readily available from source systems) as these can distort the rates reported. Reporters should notify BoE about their practice in respect to intra-group transactions. ER form reporting should be consistent with the Balance Sheet (Form BE/BT) definitions, the Income and Expenditure (Form PL) definitions, and the General Notes and Definitions—Accruals accounting and Section 16 (mortgage cash backs) unless specified. Apart from BoE, other known users of this information are the Office for National Statistics (ONS), Her Majesty’s Treasury (HMT), and ECB. Reporting institutions should note that euro-area central banks are required to provide average interest rate statistics to ECB. Form ER also takes into account the ECB requirements to reduce the burden on reporting institutions. Where BoE and ECB requirements are known to differ, the variation is identified in these notes. In some specified cases reporting institutions are permitted to provide ECB-consistent data if they prefer to do so.
Keywords: Europe, UK, Banking, Securities, Form ER, LIBOR, SONIA, Interest Rate Benchmarks, Reference Rates, Statistical Reporting, Benchmark Reforms, BoE
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