July 12, 2018

PRA has provided additional information on the timing and basis of interim reporting for the introduction of PRA110, following its e-mail to the participating firms. Data submissions for the testing period will commence with end-October 2018 data being collected in November 2018.

During this time, PRA110 should be submitted with the existing FSA047 and FSA048 returns. Firms currently reporting FSA047 and FSA048 on a monthly basis should report the PRA110 as at the calendar month end. The submission is due within 15 business days of the reporting date. Firms currently reporting FSA047 and FSA048 on a weekly basis should report the PRA110 once per month, with reporting data as at the last Friday of the month (in line with the FSA047 and FSA048 returns). The submission is due within 15 business days of the calendar month end. Firms should submit the PRA110 on the following reporting basis:

  • Submit on an all-currency basis and for the three single largest material currencies, or fewer if appropriate
  • Submit PRA110 only for material UK subsidiaries (these will be selected in consultation with firms’ supervisors)

This will enable firms to assess their own internal processes for the production of the PRA110 returns; assess that in-scope submissions pass the Gabriel blocking validation rules; and demonstrate the accuracy of their PRA110 data ahead of FSA047 and FSA048 being switched off. To assist firms with their submission of PRA110, PRA published v3.0.0 of its XBRL taxonomy, data point model (DPM), and related technical artefacts on April 20, 2018. PRA intends to have firms submit the PRA110 returns in the XBRL format via Gabriel.

In Policy Statement 2/18 titled “Pillar 2 liquidity,” PRA introduced methodologies for the assessment of Pillar 2 liquidity risks and a cash flow mismatch risk (CFMR) framework. PRA110 is the new reporting template associated with the CFMR. On January 17, 2018, PRA set out that, due to the postponement of the introduction of the PRA110 from January 01, 2019 to July 01, 2019, the interim reporting period would similarly be postponed until September 2018 at the earliest. Specific firms have been contacted to let them know of the PRA intention to commence interim test reporting of the PRA110 and to request the participation of these firms.

 

Related Link: PRA Statement and Related Documents

Keywords: Europe, UK, Banking, Reporting, PRA110, Cash Flow Mismatch Risk, PRA

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