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    PRA Sets Out Implementation of Bank Reporting Changes in CRR Modules

    December 15, 2021

    The Prudential Regulation Authority (PRA) published a feedback statement (FS1/21) that provides a summary of the responses to discussion paper (DP1/21), which explored options for developing a strong and simple prudential framework for banks and building societies that are neither systemically important nor internationally active. FS1/21 is intended to stimulate further debate about the design of the framework. Thus, the statement does not include policy proposals, nor does it signal how PRA is considering designing and implementing a strong and simple framework. PRA would welcome comments or enquiries about this feedback statement. Further consultation papers are expected to follow during 2022 and/or 2023. PRA also published a statement that explains the implementation of changes to the bank regulatory reporting requirements in the Capital Requirements Regulation (CRR) reporting modules.

    Following the policy statement PS22/21 on implementation of Basel standards, PRA has incorporated the entire body of the UK version of COREP and FINREP requirements into PRA rules to create a single source for reporting requirements of firms. These requirements are aligned with the European Banking Authority (EBA) Taxonomy 3.0. The key highlights of this rule alignment follow:

    • New data item COR016 Global Systemically Important Institutions (G-SII). PRA has designated this module as COR016 G-SII, which will be submitted via RegData in line with other COREP and FINREP data. PRA aligned this with the reporting changes contained in the European Banking Authority (EBA) Taxonomy 3.0 for G-SII. 
    • Change of data item code COR017 Net Stable Funding Ratio (NSFR). PRA has modified the data item code from COR003 NSFR to COR017 NSFR. Firms will see this change reflected in their RegData submission schedule. PRA also aligned with the reporting changes in the EBA Taxonomy 3.0 for NSFR to ensure that firms report to PRA under a consistent taxonomy and that the implementation efforts are proportionate to the new data needs of PRA. 
    • Removal of FSA045 from schedules. The COREP internal ratings-based credit risk template C08.03 on the breakdown by probability of default ranges has the potential to be duplicative, as it contains information very similar in nature to the PRA FSA045 template on internal ratings-based portfolio risk. Accordingly, PRA will retire FSA045 from January 01, 2022.

    Other changes that are being implemented in the CRR reporting modules include the following:

    • New data item LVR001 Leverage Ratio. In PS21/21 on the UK leverage ratio framework, PRA made changes to the leverage ratio reporting requirements that will take effect on January 01, 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. 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, the COREP leverage reporting requirements and, therefore, firms will also no longer expected to submit COR001b leverage returns (via RegData).
    • COR014 and COR015 Remuneration. Firms with a year-end date up to December 31, 2021 will submit REP004 and REP005 XML returns. Firms with a year-end date on/after January 01, 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 related 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 the 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).

     

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    Keywords: Europe, UK, Banking, Reporting, CRR, Basel, COREP, FINREP, NSFR, Leverage Ratio, Remuneration, G-SII, Taxonomy 3.0, Supervisory Benchmarking, Credit Risk, Regulatory Capital, Prudential Framework, PRA, BoE

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