Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)

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Commission Implementing Regulation (EU) No 680/2014 is up to date with all changes known to be in force on or before 04 July 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.

EUR 2014 No. 680 may be subject to amendment by EU Exit Instruments made by both the Prudential Regulation Authority and the Financial Conduct Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.

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Commission Implementing Regulation (EU) No 680/2014

of 16 April 2014

laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012(1), and in particular the fourth subparagraph of Article 99(5); the fourth subparagraph of Article 99(6); the third subparagraph of Article 101(4); the third subparagraph of Article 394(4); the fourth subparagraph of Article 415(3) and the third subparagraph of Article 430(2) thereof,

Whereas:

(1) Without prejudice to the competent authorities' powers under Article 104 (1) (j) of Directive 2013/36/EU of the European Parliament and of the Council(2), with a view to increasing efficiency and reducing the administrative burden, a coherent reporting framework should be established on the basis of a harmonised set of standards.

(2) The provisions in this Regulation are closely linked, since they deal with institutions' reporting requirements. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and compact access to them by persons subject to those obligations, it is desirable to include all related implementing technical standards required by Regulation (EU) No 575/2013 in a single Regulation.

(3) The nature and complexity of institutions' activities such as trading book or non-trading book and approaches used for credit risk determine the extent of the actual reporting obligations of institutions. In addition, and in accordance with Article 99 (5) of Regulation (EU) No 575/2013, the reporting burden to institutions should be proportionate and reduced frequencies of reporting of certain templates should be introduced. Further, in order to take into account the nature, scale and complexity of institutions, template-specific materiality thresholds, should be introduced before certain reporting requirements are triggered.

(4) Where reporting requirements are based on quantitative thresholds, in order to ensure a smooth transition to common supervisory reporting, template-specific entry and exit criteria should be introduced.

(5) Institutions applying an accounting year that is different from the calendar year should be allowed to adjust reporting reference dates and remittance dates for reporting financial information, in order to alleviate, for such institutions, the burden of preparing the accounts for two different periods.

(6) Financial information covers information on institutions' financial situation and potential systemic risks. The basic information on the financial situation is complemented with more detailed breakdowns to provide supervisors with information on risks of different activities. Institutions should therefore provide granular and uniform data especially on geographical and sectoral breakdowns and significant counterparties of exposures and funding in order to provide supervisory authorities with information on potential concentrations and build-ups of systemic risks.

(7) In order to ensure consistency and comparability of information, where competent authorities require institutions to report information on own funds by using International Financial Reporting Standards (IFRS), as applicable under Regulation (EC) No 1606/2002 of the European Parliament and of the Council(3), and extends this reporting requirement also to the reporting of financial information, institutions should report financial information in a manner similar to that of institutions preparing their consolidated accounts using IFRS, as applicable under Regulation (EC) No 1606/2002.

(8) Similarly, in order to ensure consistency and comparability of information, where competent authorities require institutions using national accounting standards to report financial information by virtue of Article 99 (6), these institutions should report financial information in a manner similar to that of institutions using IFRS, as applicable under Regulation (EC) No 1606/2002, for reporting adjusted based on national accounting standards.

(9) As there is a multitude of different reporting requirements at national and Union level for purposes other than those established by Regulation (EU) No 575/2013, such as statistical data, monetary data, Pillar II data any rules on the common supervisory reporting can only be part of an overall reporting framework. Using one IT solution which applies to the overall reporting framework is more cost efficient compared to specifying different IT solutions for individual parts of that overall reporting framework. In order to avoid having to require institutions to report necessary information using one specific IT solution while applying other IT solutions for other reporting requirements, and with the view to avoiding unjustified implementation and operating costs, a Data Point Model and defined minimum precision requirements should be developed, so as to ensure that the different IT solutions in place produce harmonised data as well as reliable data quality. Further, in order to reduce the reporting burden for institutions, provided that the necessary requirements are fully met, competent authorities should be allowed to continue to define alternative presentations and data exchange formats currently also used for other reporting purposes. In that respect, competent authorities should be allowed to not require data points that can be derived from other data points included in the data point model, or data points referring to information that is already collected by the competent authority.

(10) Given the novelty of reporting requirements in some jurisdictions in relation to financial information and in relation to liquidity reporting requirements, and with the view to providing institutions with adequate time to implement those requirements in a manner that will produce data of high quality, a deferred application date should apply in relation to those reporting requirements.

(11) Given the first time application of common supervisory reporting in the Union and the need for institutions to adapt their reporting and IT systems to the common supervisory reporting requirements, institutions should have longer remittance dates for monthly reports during the first year of application of the common supervisory reporting.

(12) This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority to the Commission.

(13) The European Banking Authority has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council(4),

HAS ADOPTED THIS REGULATION:

CHAPTER 1U.K. SUBJECT MATTER AND SCOPE

Article 1U.K.Subject matter and scope

This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following areas:

(a)

own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;

(b)

losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;

(c)

large exposures and other largest exposures according to Article 394(1) of Regulation (EU) No 575/2013;

(d)

leverage ratio according to Article 430 of Regulation (EU) No 575/2013;

(e)

Liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013.

CHAPTER 2U.K. REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS

Article 2U.K.Reporting reference dates

1.Institutions shall submit information to competent authorities as it stands on the following reporting reference dates:

(a)Monthly reporting: on the last day of each month;

(b)Quarterly reporting: 31 March, 30 June, 30 September and 31 December;

(c)Semi-annual reporting: 30 June and 31 December;

(d)Annual reporting: 31 December.

2.Information submitted pursuant to the templates set out in Annex III and Annex IV according to the instructions in Annex V referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date.

3.Where institutions are permitted by national laws to report their financial information based on their accounting year-end which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information is done every three, six or twelve months from their accounting year-end, respectively.

Article 3U.K.Reporting remittance dates

1.Institutions shall submit information to competent authorities by close of business of the following remittance dates:

(a)Monthly reporting: 15th calendar day after the reporting reference date;

(b)Quarterly reporting: 12 May, 11 August, 11 November and 11 February;

(c)Semi-annual reporting: 11 August and 11 February;

(d)Annual reporting: 11 February.

2.If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.

3.Where institutions report their financial information using adjusted reporting reference dates based on their accounting year-end as set out in Article 2 paragraph 3, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.

4.Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor's opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.

5.Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.

Article 4U.K.Reporting thresholds — entry and exit criteria

1.Institutions shall start reporting information subject to thresholds from the next reporting reference date where they have exceeded the threshold on two consecutive reporting reference dates.

2.For the first two reporting reference dates on which institutions have to comply with the requirements of this Regulation, institutions shall report the information subject to thresholds if they exceed the relevant thresholds on the same reporting reference date.

3.Institutions may stop reporting information subject to thresholds from the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.

CHAPTER 3U.K. FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION

SECTION 1 U.K. Format and frequency of reporting on own funds and own funds requirements

Article 5U.K.Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit all the information listed in paragraphs (a) and (b).

(a)

Institutions shall submit the following information with a quarterly frequency:

(1)

the information relating to own funds and own funds requirements as specified in templates 1 to 5 of Annex I, according to the instructions in Part II point 1 of Annex II;

(2)

the information on credit risk and counterparty credit risk exposures treated under the Standardised Approach as specified in template 7 of Annex I, according to the instructions in Part II point 3.2 of Annex II;

(3)

the information on credit risk and counterparty credit risk exposures treated under the Internal Rating Based Approach as specified in template 8 of Annex I, according to the instructions in Part II point 3.3 of Annex II;

(4)

the information on the geographical distribution of exposures by country as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II, where non-domestic original exposures in all ‘non-domestic’ countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;

(5)

the information on equity exposures treated under the Internal Ratings Based Approach as specified in template 10 of Annex I, according to the instructions in Part II point 3.5 of Annex II;

(6)

the information on settlement risk as specified in template 11 of Annex I, according to the instructions in Part II point 3.6 of Annex II;

(7)

the information on securitisations exposures treated under the Standardised Approach as specified in template 12 of Annex I, according to the instructions in Part II point 3.7 of Annex II;

(8)

the information on securitisation exposures treated under the Internal Rating Based Approach as specified in template 13 of Annex I, according to the instructions in Part II point 3.8 of Annex II;

(9)

the information on own funds requirements and losses relating to operational risk as specified in template 16 of Annex I, according to the instructions in Part II point 4.1 of Annex II;

(10)

the information on own funds requirements relating to market risk as specified in templates 18 to 24 of Annex I, according to the instructions in Part II point 5.1 to 5.7 of Annex II;

(11)

the information on own funds requirements relating to credit valuation adjustment risk as specified in template 25 of Annex I, according to the instructions in Part II point 5.8 of Annex II.

(b)

Institutions shall submit the following information with a semi-annual frequency:

(1)

the information on all securitisation exposures as specified in template 14 of Annex I, according to the instructions in Part II point 3.9 of Annex II;

(2)

the information on material losses regarding operational risk in the following manner:

(a)

institutions which calculate own funds requirements relating to operational risk according to Chapters 3 or 4 of Title III of Part 3 of Regulation (EU) No 575/2013 shall report this information as specified in template 17 of Annex I, according to the instructions in Part II point 4.2 of Annex II;

(b)

institutions which calculate own funds requirements relating to operational risk according to Chapter 3 of Title III of Part 3 of Regulation (EU) No 575/2013 and whose ratio of their individual balance sheet total on the sum of individual balance sheet totals of all institutions within the same Member State is below 1 % may only report the information as specified in template 17 of Annex I according to the instructions in paragraph 124 of Part II of Annex II. Balance sheet total figures shall be based on year-end figures for the year before the year preceding the reporting reference date. The entry and exit criteria of Article 4 shall apply;

(c)

institutions which calculate the own funds requirements relating to operational risk according to Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 are entirely exempted from reporting information referred to in template 17 of Annex I and point 4.2 of Part II of Annex II.

Article 6U.K.Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, institutions in a member state shall submit:

(a)

the information specified in Article 5 in the frequency specified therein but on a consolidated basis;

(b)

the information specified in template 6 of Annex I according to the instructions provided in point 2 of Part II of Annex II regarding entities included in the scope of consolidation, with a semi-annual frequency.

Article 7U.K.Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis

1.In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in templates 1 to 5 of Annex I, according to the instructions in point 1 of Part II of Annex II with a quarterly frequency.

2.In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the information specified in points (a) and (b) (1) of Article 5 of this Regulation with the frequency specified therein.

Article 8U.K.Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis

1.In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist only of investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a)the information on own funds and own funds requirements as specified in templates 1 to 5 of Annex I according to the instructions in point 1 of Part II of Annex II, with a quarterly frequency;

(b)the information on own funds and own funds requirements regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions in point 2 of Part II of Annex II, with a semi-annual frequency.

2.In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist of investment firms subject to both Article 95 and Article 96 as well as groups which consist only of investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a)the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein;

(b)the information regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions of point 2 of Part II of Annex II, with a semi-annual frequency.

SECTION 2 U.K. Format and frequency of reporting on financial information on a consolidated basis

Article 9U.K.Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis

1.In order to report financial information on a consolidated basis according to Article 99 (2) of Regulation (EU) No 575/2013, institutions established in a Member State shall submit the information specified in Annex III on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.

2.The information referred to in paragraph 1 shall be submitted according to the following specifications:

(a)the information specified in Part 1 of Annex III with a quarterly frequency;

(b)the information specified in Part 3 of Annex III with a semi-annual frequency;

(c)the information specified in Part 4 of Annex III with an annual frequency;

(d)the information specified in template 20 in Part 2 of Annex III with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;

(e)the information specified in template 21 in Part 2 of Annex III where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

(f)the information specified in template 22 in Part 2 of Annex III where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

(g)the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.

Article 10U.K.Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013

Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions in a Member State in accordance with Article 99(3) Regulation (EU) No 575/2013, institutions shall submit financial information according to Article 9.

Article 11U.K.Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis

1.Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions established in a Member State in accordance with Article 99(6) Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex IV on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.

2.The information referred to in paragraph 1 shall be submitted according to the following specifications:

(a)the information specified in Part 1 of Annex IV with a quarterly frequency;

(b)the information specified in Part 3 of Annex IV with a semi-annual frequency;

(c)the information specified in Part 4 of Annex IV with an annual frequency;

(d)the information specified in template 20 in Part 2 of Annex IV with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;

(e)the information specified in template 21 in Part 2 of Annex IV where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

(f)the information specified in template 22 in Part 2 of Annex IV where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

CHAPTER 4U.K. FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013

Article 12U.K.

1.Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on a consolidated basis with a semi-annual frequency.

2.Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on an individual basis with a semi-annual frequency.

3.Branches in another Member State shall also submit to the competent authority of the host Member State information as specified in Annex VI according to the instructions in Annex VII related to that branch with a semi-annual frequency.

CHAPTER 5U.K. FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 13U.K.

1.In order to report information on large exposures to clients and groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

2.In order to report information on the twenty largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions which are subject to Chapter 3 of Title II of Part Three of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

3.In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial entities according to Article 394(2) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

CHAPTER 6U.K. FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 14U.K.

1.In order to report information on the leverage ratio according to Article 430 (1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex X according to the instructions in Annex XI, with a quarterly frequency.

2.The reporting of this data shall reflect the methodology applicable for the calculation of the leverage ratio, either as the simple arithmetic mean of monthly data over the quarter, as per Article 429(2) of Regulation (EU) No 575/2013, or, where competent authorities have exercised the derogation in Article 499 (3) of the Regulation (EU) No 575/2013, as end of quarter leverage ratio.

3.Institutions are required to report the information referred to in paragraph 22 of Part II of Annex XI in the next reporting period, if one of the following conditions is met:

(a)the derivatives share referred to in paragraph 15 of Part II of Annex XI is more than 1,5 %;

(b)the derivatives share referred to in paragraph 15 of Part II of Annex XI exceeds 2,0 %.

The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date

4.Institutions for which the total notional value of derivatives as defined in paragraph 17 of Part II of Annex XI exceeds 10 billion € shall report the information referred to in paragraph 22 of Part II of Annex XI, even though their derivatives share does not fulfil the conditions described in paragraph 3.

The entry criteria of Article 4 shall not apply for paragraph 4. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

5.Institutions are required to report the information referred to in paragraph 23 of Part II of Annex XI in the next reporting period where one of the following conditions is met:

(a)the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI is more than EUR 300 million;

(b)the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI exceeds EUR 500 million.

6.Where the threshold that is specified in paragraph 39 of Part II of Annex XI is in all cases not met, institutions shall be exempted from the requirement to report information as specified in paragraph 40 of Part II of Annex XI.

CHAPTER 7U.K. FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 15U.K.Format and frequency of reporting on liquidity coverage requirement

1.In order to report information on the liquidity coverage requirement according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.

2.The information set out in Annex XII shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.

Article 16U.K.Format and frequency of reporting on stable funding

In order to report information on the stable funding according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a quarterly frequency.

CHAPTER 8U.K. IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES

Article 17U.K.

1.Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities, respecting the data point definition included in the data point model specified in Annex XIV and the validation formulae specified in Annex XV as well as the following specifications:

(a)information that is not required or not applicable shall not be included in a data submission;

(b)numeric values shall be submitted as facts according to the following:

(a)

data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units;

(b)

data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals;

(c)

data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.

2.The data submitted by the institutions shall be associated with the following information:

(a)reporting reference date and reference period;

(b)reporting currency;

(c)accounting standard;

(d)identifier of the reporting institution;

(e)level of application as individual or consolidated.

CHAPTER 9U.K. TRANSITIONAL AND FINAL PROVISIONS

Article 18U.K.Transitional period

The remittance date for data with a quarterly reporting frequency relating to the reference date 31 March 2014 for information to be reported shall be 30 June 2014 at the latest.

For the period from 31 March 2014 to 30 April 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be 30 June 2014.

For the period from 31 May 2014 to 31 December 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be the thirtieth calendar day after the reporting reference date

Article 19U.K.Entry into Force

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.

This Regulation shall apply from 1 January 2014.

Articles 9, 10 and 11 shall apply from 1 July 2014.

Article 15 shall apply from 1 March 2014.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 16 April 2014.

For the Commission

The President

José Manuel Barroso

Rows
010	1 CET1 Capital ratio Article 92(2) point (a) of CRR The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.
020	2 Surplus(+)/Deficit(-) of CET1 capital This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
030	3 T1 Capital ratio Article 92(2) point (b) of CRR The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.
040	4 Surplus(+)/Deficit(-) of T1 capital This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
050	5 Total capital ratio Article 92(2) point (c) of CRR The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.
060	6 Surplus(+)/Deficit(-) of total capital This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
070	CET1 capital ratio including Pillar II adjustments Article 92(2) point (a) of CRR and Article 104 (2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio.
080	Target CET1 capital ratio due to Pillar II adjustments Article 104 (2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio.
090	T1 capital ratio including Pillar II adjustments Article 92(2) point (b) of CRR and Article 104 (2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio.
100	Target T1 capital ratio due to Pillar II adjustments Article 104 (2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio.
110	Total capital ratio including Pillar II adjustments Article 92(2) point (c) of CRR and Article 104 (2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio.
120	Target Total capital ratio due to Pillar II adjustments Article 104 (2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio.

Columns
010	Adjustments to CET1
020	Adjustments to AT1
030	Adjustments to T2
040	Adjustments included in RWAs Column 050 includes the relevant residual amount, i.e. prior the application of provisions of Chapter 2 or 3 of Part Three of CRR. Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments included in RWA do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the RWA, those adjustments shall be included directly in the CR SA, CR IRB or CR EQU IRB. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items.
050	Applicable percentage
060	Eligible amount without transitional provisions Column 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments.

Columns
010	Amount of instruments plus related share premium Article 484 (3) to (5) of CRR Instruments which are eligible for each respective row, including their related share premiums.
020	Base for calculating the limit Articles 486 (2) to (4) of CRR
030	Applicable percentage Article 486 (5) of CRR
040	Limit Article 486 (2) to (5) of CRR
050	(-) Amount that exceeds the limits for grandfathering Article 486 (2) to (5) of CRR
060	Total grandfathered amount The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1.

Rows
010	1. Instruments that qualified for point a) of Article 57 of 2006/48/EC Article 484(3) of CRR The amount to be reported shall include the related share premium accounts.
020	2. Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 Article 484(4) of CRR
030	2.1 Total instruments without a call or an incentive to redeem Article 489 of CRR The amount to be reported shall include the related share premium accounts.
040	2.2 Grandfathered instruments with a call and incentive to redeem Article 489 of CRR
050	2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
060	2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
070	2.2.3 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts
080	2.3 Excess on the limit of CET1 grandfathered instruments Article 487(1) of CRR The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.
090	3. Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 Article 484(5) of CRR
100	3.1 Total items without an incentive to redeem Article 490 of CRR
110	3.2 Grandfathered items with an incentive to redeem Article 490 of CRR
120	3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
130	3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
140	3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts.
150	3.3 Excess on the limit of AT1 grandfathered instruments Article 487(2) of CRR The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.

Rows	Instructions
010	The template has a fixed row, which is the total of all the individual entities (not including subgroups). This row does not require information in the first part of the template.
999	Below the fixed row, there shall be a row for each entity.

Rows	Instructions
010	TOTAL EXPOSURES
020-060	BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020	On balance sheet items subject to credit risk Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Free deliveries according to Article 379 (1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4 (91) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if not reported in row 030.
030	Off balance sheet items subject to credit risk Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4 (91) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if they are considered as off-balance sheet items.
040-060	Exposures/Transactions subject to counterparty credit risk
040	Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4 (82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272 (3) of CRR. Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.
050	Derivatives and Long Settlement Transactions Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.
060	From Contractual Cross Product Netting See CR SA instructions
070	EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL For exposures to corporates, institutions and Central governments and Central Banks see Article 142 (1) point (6) and Article 170 (1) point c) of CRR. For retail exposures see Article 170 (3) point b) of CRR. For Exposures arising from purchased receivables see Article 166 (6) of CRR. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A master scale is not used. Instead, institutions shall determine the scale to be used themselves.
080	SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL Article 153 (5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.
090-150	BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
120	Of which: In category 1 Article 153 (5) table 1 of CRR.
160	ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Articles 193 (1) and (2), 194 (1) to (7) and 230 (3) of CRR.
170	EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS Exposures arising from free deliveries for which the alternative treatment referred to in Article 379 (2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to a Article 379 (2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153 (8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.
180	DILUTION RISK: TOTAL PURCHASED RECEIVABLES See Article 4 (53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157 (1) of CRR. According to Article 166 (6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

Columns
010	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Same definition as for column 010 of CR SA template
020	Exposures in default Original exposure pre conversion factors for those exposures which have been classified as ‘defaulted exposures’. This ’memorandum item’ provides additional information about the obligor structure of the exposure class ’in default’. Exposures shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘in default’. This information is a ‘memorandum item’ — hence does not affect the calculation of risk weighted exposure amounts of exposure class ‘in default’ according to Article 112 point (j) of CRR.
040	Observed new defaults for the period The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.
050	General credit risk adjustments Credit risk adjustments according to Article 110 of CRR.
055	Specific credit risk adjustments Credit risk adjustments according to Article 110 of CRR.
060	Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].
070	Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.
075	Exposure value Same definition as for column 200 of CR SA template
080	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 215 of CR SA template
090	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 220 of CR SA template

Rows
010	Central governments or central banks Article 112 point (a) of CRR.
020	Regional governments or local authorities Article 112 point (b) of CRR.
030	Public sector entities Article 112 point (c) of CRR.
040	Multilateral developments banks Article 112 point (d) of CRR.
050	International organisations Article 112 point (e) of CRR.
060	Institutions Article 112 point (f) of CRR.
070	Corporates Article 112 point (g) of CRR.
075	of which: SME Same definition as for row 020of CR SA template
080	Retail Article 112 point (h) of CRR.
085	of which: SME Same definition as for row 020of CR SA template
090	Secured by mortgages on immovable property Article 112 point (i) of CRR.
095	of which: SME Same definition as for row 020of CR SA template
100	Exposures in default Article 112 point (j) of CRR.
110	Items associated with particularly high risk Article 112 point (k) of CRR.
120	Covered bonds Article 112 point (l) of CRR.
130	Claims on institutions and corporates with a short-term credit assessment Article 112 point (n) of CRR.
140	Collective investments undertakings (CIU) Article 112 point (o) of CRR.
150	Equity exposures Article 112 point (p) of CRR.
160	Other exposures Article 112 point (q) of CRR.

Columns
010	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Same definition as for column 020 of CR IRB template
030	Of which defaulted Original exposure value for those exposures which have been classified as ‘defaulted exposures’ according to CRR article 178.
040	Observed new defaults for the period The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.
050	General credit risk adjustments Credit risk adjustments according to Article 110of CRR..
055	Specific credit risk adjustments Credit risk adjustments according to Article 110 of CRR.
060	Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].
070	Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.
080	INTERNAL RATING SYSTEM/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Same definition as for column 010 of CR IRB template
090	EXPOSURE WEIGHTED AVERAGE LGD (%) Same definition as for column 230 of CR IRB template. Provisions laid down in Article 181 (1) point h) of CRR shall apply. Data shall not be reported for specialized lending exposures referred to in article 153 (5).
100	Of which: defaulted Exposure weighted LGD for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.
105	Exposure value Same definition as for column 110 of CR IRB template.
110	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 255 of CR IRB template
120	Of which defaulted Risk weighted exposure amount for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.
125	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 260 of CR IRB template
130	EXPECTED LOSS AMOUNT Same definition as for column 280 of CR IRB template

Rows
010	Central banks and central governments (Article 147 (2) (a) CRR)
020	Institutions (Article 147 (2) point (b) CRR)
030	Corporates (All corporates according to article 147 (2) point (c).)
040	Of which: Specialized lending (Article 147 (8) a CRR) Data shall not be reported for specialized lending exposures referred to in article 153 (5).
050	Of which: SME (Article 147 (2) point (c) CRR)
060	Retail All Retail exposures according to Article 147 (2) point (d)
070	Retail — Secured by real estate property Exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.
080	SME Retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR which are secured by real estate.
090	non-SME Retail exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.
100	Retail — Qualifying revolving (Article 147 (2) point (d) in conjunction with Article 154 (4) CRR).
110	Other Retail Other retail exposures according to Article 147 (2) point (d) not reported in rows 070 — 100.
120	SME Other retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR.
130	non-SME Other retail exposures reflecting Article 147 (2) point (d) CRR.
140	Equity Equity exposures reflecting Article 147 (2) point (e) CRR.

Rows
010	TOTAL EXPOSURES Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor.
040, 070 and 100	SECURITISATIONS Article 4 (38) of CRR.
020, 050, 80 and 110	RE-SECURITISATIONS Article 4 (39) and (40) of CRR.
030-050	ORIGINATOR Article 4 (41) of CRR
060-080	INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor
090-110	SPONSOR Article 4 (42) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets
120-210	BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES Article 337 (4), last sentence of CRR. The breakdown of the underlying assets follows the classification used in the SEC Details template (Column ’Type’): 1-residential mortgages; 2-commercial mortgages; 3-credit card receivables; 4-leasing; 5-loans to corporates or SMEs (treated as corporates); 6-consumer loans; 7-trade receivables; 8-other assets; 9-covered bonds; 10-other liabilities. For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type.

Rows
010	CVA risk total Sum of rows 020-040 as applicable
020	According to Advanced method Advanced CVA risk method as prescribed by Article 383 of CRR
030	According to Standardised method Standardised CVA risk method as prescribed by Article 384 of CRR
040	Based on OEM Amounts subject to the application of Art. 385 of CRR

Columns
010	INTERNAL RATING SYSTEM PD ASSIGNED TO THE OBLIGOR GRADE (%) Institutions applying the PD/LGD approach report in column 010 the probability of default (PD) calculated in accordance with the provisions referred to in Article 165(1) of CRR. The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements as laid down in Part Three, Title II, Chapter 3, Section 6 of CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. For figures corresponding to an aggregation of obligor grades or pools (e.g. ‘total exposures’) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes.
020	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Institutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments. Institutions also include in column 020 off balance sheet items referred to in Annex I of CRR assigned to the equity exposure class (e.g. ‘the unpaid portion of partly-paid shares’). Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) also consider the offsetting provisions referred to in Article 155(2) of CRR.
030-040	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.
050	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS Institutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.
060	EXPOSURE VALUE Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR). As a reminder, in the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of CRR).
070	EXPOSURE WEIGHTED AVERAGE LGD (%) Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR.
080	RISK WEIGHTED EXPOSURE AMOUNT Institutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR. In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of CRR). With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of CRR).
090	MEMORANDUM ITEM: EXPECTED LOSS AMOUNT Institutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR.

Rows
CR EQU IRB 1 — row 020	PD/LGD APRROACH: TOTAL Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in row 020 of the CR EQU IRB 1 template.
CR EQU IRB 1 — rows 050-090	SIMPLE RISK WEIGHT APPROACH: TOTAL BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) report the requested information according to the characteristics of the underlying exposures in rows 050 to 090.
CR EQU IRB 1 — row 100	INTERNAL MODELS APPROACH Institutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100.
CR EQU IRB 1 — row 110	EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS Institutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example, the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of the CRR, as well as equity positions risk-weighted with 370 % in accordance with Article 471 (2) CRR shall be reported in row 110.
CR EQU IRB 2	BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in the CR EQU IRB 2 template. In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

Columns
010	UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices. All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.
020	PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution. Only unsettled transactions at a loss after the due settlement date shall be reported in column 020
030	OWN FUNDS REQUIREMENTS Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.
040	TOTAL SETTLEMENT RISK EXPOSURE AMOUNT In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.

Rows
010	Total unsettled transactions in the Non-trading Book Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) Point c) ii) and 378 of CRR). Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).
020 to 060	Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.
070	Total unsettled transactions in the Trading Book Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) Point c) ii) and 378 of CRR). Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).
080 to 120	Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

Rows
010	TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.
020	OF WHICH: RE-SECURITISATIONS Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.
030	ORIGINATOR: TOTAL EXPOSURES This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.
040-060	ON-BALANCE SHEET ITEMS Article 246 (1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments. On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060).
070-090	OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion figure unless otherwise specified. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template. Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR.
100	EARLY AMORTISATION This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242 (13) and (14) of CRR.
110	INVESTOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor. The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.
120-140	ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.
150-170	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.
180	SPONSOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4 (14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows the information regarding its own securitised assets.
190-210	ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.
220-240	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.
250-290	BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the SA in Article 251 (Table 1) of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 190 to 270 and columns 330 to 340.

Columns
010-030	RELEVANT INDICATOR Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case for all other AMA banks. Hereafter, the term ‘relevant indicator’ refers to ‘the sum of the elements’ at the end of the financial year as defined in Article 316 point 1, Table1 of CRR. If the institution has less than 3 years of data on ‘relevant indicator’ available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2). Furthermore if there are no historical data on ‘relevant indicator’ available the institution may use forward-looking business estimates.
040-060	LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION) These columns shall be used to report the amounts of the loans and advances for business lines ‘Commercial banking’ and ‘Retail banking’, as referred to in Article 319 (1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319 (1) point a) of CRR). For the ‘commercial banking’ business line, securities held in the non-trading book shall also be included.
070	OWN FUND REQUIREMENT The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070.
071	TOTAL OPERATIONAL RISK EXPOSURE AMOUNT Article 92 (4) of CRR. Own funds requirements in column 070 multiplied by 12.5.
080	OF WHICH: DUE TO AN ALLOCATION MECHANISM Article 18 (1) of CRR (related to the inclusion, in the application referred to in Article 312 (2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company.
090-120	AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
090	OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below).
100	(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES In column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322 (2) point a) of CRR) is reported.
110	(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION The diversification effect in column 110 is the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a ‘perfect dependence’ situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than ‘perfect dependence’ between the risk classes). The ‘perfect dependence’ situation occurs in the ‘default case’, that is when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the ‘default case’ and that obtained after applying the correlations structure between the risk classes. The value reflects the ‘diversification capacity’ of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.
120	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported.

Rows
010	BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR).
020	BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ ALTERNATIVE STANDARDISED (ASA) APPROACHES The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported.
030-100	SUBJECT TO TSA In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR.
110-120	SUBJECT TO ASA Institutions using the ASA (Article 319 of CRR) shall report for the respective years relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines ‘Commercial banking’ and ‘Retail banking’. Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line ‘Commercial banking’ and those corresponding to the business line ‘Retail banking’ (Article 319 of CRR). There can be amounts for the rows corresponding to ‘Commercial banking’ and ‘Retail banking’ under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).
130	BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported. In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks.

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.
030-040	NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.
060	OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.
070	TOTAL RISK EXPOSURE AMOUNT Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

Rows
010-350	TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92 (3) point b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used.
011	GENERAL RISK.
012	Derivatives Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable.
013	Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.
020-200	MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach according to Article 339 (1) to (8) of CRR and the correspondent own funds requirements set up in Article 339 (9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.
210-240	GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach according to Article 340 (1) to (6) of CRR and the correspondent own funds requirements set up in Article 340 (7) of CRR. The position shall be split by zones 1, 2 and 3.
250	SPECIFIC RISK Sum of amounts reported in rows 251, 325 and 330. Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92 (3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327 (1) of CRR.
251-321	Own funds requirement for non-securitisation debt instruments Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332 (1) point e) para 1 and 2 CRR — ‘look-through’). N-th-to-default credit derivatives which are rated externally (Article 332 (1) point e) para 3 CRR) shall be reported separately in line 321. Reporting of positions subject to Article 336 (3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book according to Article 129 (3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity. If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.
325	Own funds requirement for securitisation instruments Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI.
330	Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI.
340	PARTICULAR APPROACH FOR POSITION RISK IN CIUs Articles 348 to 350 of CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 of CRR. It includes, if it is the case, the effects of applicable caps in the own funds requirements. If the particular approach according to Article 348 sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348 sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.
350-390	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329 (3) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

Rows
010	TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.
020-040	ORIGINATOR Article 4 (41) of CRR
050-070	INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor
080-100	SPONSOR Article 4 (42) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets
030, 060 and 090	SECURITISATIONS The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338 (2) and (3) of CRR. Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ’Other CTP positions’.
110	N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives..
040, 070, 100 and 120	OTHER CTP POSITIONS The positions in: Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions; CTP positions hedged by credit derivatives according to Article 346 CRR; Other positions that satisfy Article 338 (3) of CRR; are included.

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Changes over time for: Commission Implementing Regulation (EU) No 680/2014

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Changes to Legislation

Commission Implementing Regulation (EU) No 680/2014

of 16 April 2014

laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council

(Text with EEA relevance)

CHAPTER 1U.K. SUBJECT MATTER AND SCOPE

Article 1U.K.Subject matter and scope

CHAPTER 2U.K. REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS

Article 2U.K.Reporting reference dates

Article 3U.K.Reporting remittance dates

Article 4U.K.Reporting thresholds — entry and exit criteria

CHAPTER 3U.K. FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION

SECTION 1 U.K. Format and frequency of reporting on own funds and own funds requirements

Article 5U.K.Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013

Article 6U.K.Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013

Article 7U.K.Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis

Article 8U.K.Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis

SECTION 2 U.K. Format and frequency of reporting on financial information on a consolidated basis

Article 9U.K.Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis

Article 10U.K.Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013

Article 11U.K.Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis

CHAPTER 4U.K. FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013

Article 12U.K.

CHAPTER 5U.K. FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 13U.K.

CHAPTER 6U.K. FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 14U.K.

CHAPTER 7U.K. FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 15U.K.Format and frequency of reporting on liquidity coverage requirement

Article 16U.K.Format and frequency of reporting on stable funding

CHAPTER 8U.K. IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES

Article 17U.K.

CHAPTER 9U.K. TRANSITIONAL AND FINAL PROVISIONS

Article 18U.K.Transitional period

Article 19U.K.Entry into Force

ANNEX IU.K.REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

ANNEX I Table 1: rows 1 - 40

C 01.00 — OWN FUNDS (CA1)

ANNEX I Table 2: rows 1 - 100

C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

ANNEX I Table 3: rows 1 - 75

C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

ANNEX I Table 4: rows 1 - 14

C 04.00 — MEMORANDUM ITEMS (CA4)

ANNEX I Table 5: rows 1 - 124

C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)

ANNEX I Table 6: rows 1 - 60

C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

ANNEX I Table 7: rows 1 - 17

C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

ANNEX I Table 8: rows 1 - 11

C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)

ANNEX I Table 9: rows 1 - 39

C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)

ANNEX I Table 10: rows 1 - 26

C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)

ANNEX I Table 11: rows 1 - 10

C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)

ANNEX I Table 12: rows 1 - 22

C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)

ANNEX I Table 13: rows 1 - 17

C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3)

C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)

ANNEX I Table 15: rows 1 - 13

C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)

Rows
010-130	EQUITIES IN TRADING BOOK Own funds requirements for position risk according to article 92 (3) point b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR.
020-040	GENERAL RISK Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR. Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk. Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements.
021	Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.
022	Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions.
030	Exchange traded stock-index futures broadly diversified and subject to a particular approach Exchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344 (1) amd (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050).
040	Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.
050	SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.
080	PARTICULAR APPROACH FOR POSITION RISK IN CIUs The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. For reporting purposes, those positions shall be reported in the MKR SA EQU template. Positions in CIUs if capital requirements are calculated according to Article 348 (1) CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 (reference to the ‘Use of internal models to calculate own funds requirements’) of CRR. If the particular approach according to Article 348 (1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348 (1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure. If the specific methods of Article 350 CRR are applicable, the reporting of those positions shall follow the underlying investments. As a consequence, those positions would be reported in the relevant rows of either the MKR SA TDI or the MKR SA EQU template.
090-130	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329 (3) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

Columns
010	CURRENCY The three-letter currency unit code according to ISO 4217 shall be reported under the block Memorandum of items (currency 6 onwards).
020-030	ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352 (1) of CRR.
040-050	NET POSITIONS (LONG AND SHORT) Articles 352 (3) and 353 of CRR. The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.
060-080	POSITIONS SUBJECT TO CAPITAL CHARGE Articles 352 (2) and (4), 353 and 354 of CRR.
060-070	POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT) The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency are added to obtain the long net position in that currency. Short net positions for each operation in a currency are added to obtain the short net position in that currency. Unmatched positions are added to positions subject to capital charges for other currencies (row 030) in column (040) or (050) depending on their short or long arrangement.
080	POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies
	RISK CAPITAL CHARGE (%) As defined in Articles 351 and 354, the risk capital charges in percentage.
090	OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.
100	TOTAL RISK EXPOSURE AMOUNT Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

Rows
010	TOTAL POSITIONS IN NON REPORTING CURRENCIES Positions in non-reporting currencies and their correspondent own funds requirements according to article 92 (3) point c) (i) and Article 352 (2) and (4) of CRR (for conversion into the reporting currency).
020	CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.
030	ALL OTHER CURRENCIES (including CIU's treated as different currencies) Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR. Reporting of CIU's treated as separate currencies according to Article 353 CRR: There are two different treatments of CIU's treated as separate currencies for calculating the capital requirements: 1. The modified gold method, if the direction of the CIU's investment is not available (those CIU's shall be added to an institution's overall net foreign-exchange position) 2. If the direction of the CIU's investment is available, those CIU's shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU) The reporting of those CIU's follows the calculation of the capital requirements accordingly.
040	GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.
050-090	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 352 (5) and (6) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.
100-120	Breakdown of total positions (reporting currency included) by exposure types Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.
100	Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 110 or 120 shall be included here.
110	Off-balance sheet items Items included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.
120	Derivatives Positions valued according to Articles 352 CRR.
130-410	MEMORANDUM ITEMS: CURRENCY POSITIONS The memorandum items of the template shall be filled out separately for All currencies of the member states of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

Rows
010	TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk according to article 92 (3) point c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR.
020-060	POSITIONS BY CATEGORY OF COMMODITY For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.
070	MATURITY LADDER APPROACH Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.
080	EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR
090	SIMPLIFIED APPROACH Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.
100-140	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358 (4) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation

columns
030-040	VaR It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.
030	Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Articles 364 (1) point a) (ii) and 365 (1) of CRR.
040	Previous day VaR (VaRt-1) Articles 364 (1) point a) (i) and 365 (1) of CRR.
050-060	Stressed VaR It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution's portfolio.
050	Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Articles 364 (1) point b) (ii) and 365 (1) of CRR.
060	Latest available (SVaRt-1) Articles 364 (1) point b) (i) and 365 (1) of CRR.
070-080	INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364 (2) point b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
070	12 weeks average measure Article 364 (2) point b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
080	Last Measure Article 364 (2) point b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
090-110	ALL PRICE RISKS CAPITAL CHARGE FOR CTP
090	FLOOR Article 364 (3) point (c) of CRR. = 8 % of the capital charge that would be calculated in accordance with Article 338 (1) of CRR for all positions in the ’all price risks’ capital charge.
100-110	12 WEEKS AVERAGE MEASURE AND LAST MEASURE Article 364 (3) point (b).
110	LAST MEASURE Article 364 (3) point (a)
120	OWN FUNDS REQUIREMENTS Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according Article 364 (2) of CRR.
130	TOTAL RISK EXPOSURE AMOUNT Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.
140	Number of overshootings (during previous 250 working days) Referred to in Article 366 of CRR.
150-160	VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 of CRR.
170-180	ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/ SHORT POSITIONS AFTER CAP The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364 (3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.

Rows
010	TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363 (1) of CRR linked to the risk factors specified in Article 367 (2) of CRR. Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items.
020	TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367 (2) of CRR.
030	TDI — GENERAL RISK General risk defined in Article 362 of CRR.
040	TDI — SPECIFIC RISK Specific risk defined in Article 362 of CRR.
050	EQUITIES Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367 (2) of CRR.
060	EQUITIES — GENERAL RISK General risk defined in Article 362 of CRR.
070	EQUITIES — SPECIFIC RISK Specific risk defined in Article 362 of CRR.
080	FOREIGN EXCHANGE RISK Articles 363 (1) and 367 (2) of CRR.
090	COMMODITY RISK Articles 363 (1) and 367 (2) of CRR.
100	TOTAL AMOUNT FOR GENERAL RISK Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable).
110	TOTAL AMOUNT FOR SPECIFIC RISK Specific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable).

Columns
010	Exposure value Article 271 of CRR in accordance with article 382 of CRR Total EAD from all transactions subject to CVA charge
020	Of which: OTC derivatives Article 271 of CRR in accordance with article 382 (1) of CRR The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set
030	Of which: SFT Article 271 of CRR in accordance with article 382 (2) of CRR The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set
040	MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 of CRR in accordance with article 363 (1)(d) of CRR VaR calculation based on internal models for market risk
050	PREVIOUS DAY (VaRt-1) See instructions referring to column 040
060	MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions referring to column 040
070	LATEST AVAILABLE (SVaRt-1) See instructions referring to column 040
080	OWN FUNDS REQUIREMENTS Article 92 (3) d) of CRR Own funds requirements for CVA Risk calculated via the chosen method
090	TOTAL RISK EXPOSURE AMOUNT Article 92 (4) b) of CRR Own funds requirements multiplied by 12,5.
	Memorandum items
100	Number of counterparties Article 382 of CRR Number of counterparties included in calculation of own funds for CVA risk Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party.
110	Of which: proxy was used to determine credit spread number of counterparties where the credit spread was determined using a proxy instead of directly observed market data
120	INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties
130	SINGLE NAME CDS Article 386 (1) lit. a of CRR Total notional amounts of single name CDS used as hedge for CVA risk
140	INDEX CDS Article 386 (1) lit. b) of CRR Total notional amounts of index CDS used as hedge for CVA risk

		*References*	Carrying amount
		*References*	010
010	Loans and advances	Annex V.Part 1.24, 27
020	Debt securities	Annex V.Part 1.24, 26
030	SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS	Annex V.Part 2.40, 54

			Carriyng amount
		*References*	Designated at fair value through profit or loss	At amortized cost
			IFRS 7.8(e)(i); IAS 39.9	IFRS 7.8(f); IAS 39.47
			010	020
010	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
020	Debt securities issued	Annex V.Part 1.31
030	SUBORDINATED FINANCIAL LIABILITIES	Annex V.Part 2.53-54

		*References*	Carrying amount
		*References*	010
010	Non-current assets held-for-sale	IFRS 7.38(a)
020	Property, plant and equipment	IFRS 7.38(a)
030	Investment property	IFRS 7.38(a)
040	Equity and debt instruments	IFRS 7.38(a)
050	Other	IFRS 7.38(a)
060	Total