Commission Implementing Regulation (EU) No 680/2014Dangos y teitl llawn

[F1 ANNEX II U.K. REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).

PART II: TEMPLATE RELATED INSTRUCTIONS U.K.

[F1 3. CREDIT RISK TEMPLATES U.K.

3.1. GENERAL REMARKS U.K.

38. There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded. U.K.

3.1.1. Reporting of CRM techniques with substitution effect U.K.

39. Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection. U.K.

40. Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority. U.K.

41. Articles 196, 197 and 200 of CRR regulate the funded credit protection. U.K.

42. Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class. U.K.

43. The exposure type does not change because of unfunded credit protection. U.K.

44. If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class. U.K.

45. The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template. U.K.

3.1.2. Reporting of Counterparty Credit Risk U.K.

46. Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items. U.K.

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

3.2.1. General remarks U.K.

47. The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on: U.K.

a)

the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;

b)

the amount and type of credit risk mitigation techniques used for mitigating the risks.

3.2.2. Scope of the CR SA template U.K.

48. According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements. U.K.

49. The information in CR SA is required for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension. U.K.

50. However the following positions are not within the scope of CR SA: U.K.

(a)

Exposures assigned to exposure class ‘ items representing securitisation positions ’ according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.

(b)

Exposures deducted from own funds.

51. The scope of the CR SA template covers the following own funds requirements: U.K.

(a)

Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;

(b)

Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;

(c)

Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.

52. The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94(1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class. U.K.

53. In addition CR SA includes memorandum items in rows 290 to 320 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default. U.K.

54. These memorandum items shall only be reported for the following exposure classes: U.K.

(a)

Central governments or central banks (Article 112 point (a) of CRR)

(b)

Regional governments or local authorities (Article 112 point (b) of CRR)

(c)

Public sector entities (Article 112 point (c) of CRR)

(d)

Institutions (Article 112 point (f) of CRR)

(e)

Corporates (Article 112 point (g) of CRR)

(f)

Retail (Article 112 point (h) of CRR).

55. The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA. U.K.

56. The memorandum rows provide additional information about the obligor structure of the exposure classes ‘ in default ’ or ‘ secured by immovable property ’ . Exposures shall be reported in these rows where the obligors would have been reported in the exposure classes ‘ Central governments or central banks ’ , ‘ Regional governments or local authorities ’ , ‘ Public sector entities ’ , ‘ Institutions ’ , ‘ Corporates ’ and ‘ Retail ’ of CR SA, if those exposures were not assigned to the exposure classes ‘ in default ’ or ‘ secured by immovable property ’ . However the figures reported are the same as used to calculate the risk weighted exposure amounts in the exposure classes ‘ in default ’ or ‘secured by immovable property. U.K.

57. E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, row 320 in the total and in the exposure class ‘ in default ’ . If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 320 of exposure class ‘ institutions ’ . U.K.

3.2.3. Assignment of exposures to exposure classes under the Standardised Approach U.K.

58. In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied: U.K.

(a)

In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

(b)

In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.

59. The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. U.K.

60. For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property). U.K.

61. Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non disjoint groupings. U.K.

62. For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below using a decision tree scheme are based on the assessment of the conditions explicitly laid down in CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora. U.K.

63. An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process. U.K.

64. With this background the assessment ranking in the decision tree mentioned below would follow the following order: U.K.

1.

Securitisation positions;

2.

Items associated with particular high risk;

3.

Equity exposures

4.

Exposures in default;

5.

Exposures in the form of units or shares in collective investment undertakings ( ‘ CIU ’ )/Exposures in the form of covered bonds (disjoint exposure classes);

6.

Exposures secured by mortgages on immovable property;

7.

Other items;

8.

Exposures to institutions and corporates with a short-term credit assessment;

9.

All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.

65. In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132(3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings ( ‘ CIU ’ ). U.K.

66. In the case of ‘ nth ’ to default credit derivatives specified in Article 134(6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘ Other items ’ exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for ‘ Other risk weights ’ (the risk weight used shall be that specified by the sum indicated under Article 134(6) of CRR. U.K.

67. In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider. U.K.

DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR U.K.

ANNEX II Table 12: rows 1 - 18

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3.2.4. Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR U.K.

3.2.4.1. Exposure Class ‘Institutions’ U.K.

68. Reporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows: U.K.

69. Exposures which fulfil the requirements of Article 113(7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures. U.K.

70. According Article 113(6) and (7) of CRR ‘ an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. ’ This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class. U.K.

3.2.4.2. Exposure Class ‘Covered Bonds’ U.K.

71. The assignment of SA exposures to the exposure class ‘ covered bonds ’ shall be done as follows: U.K.

72. Bonds as defined in Article 52(4) of Directive 2009/65/EC shall fulfil the requirements of Article 129(1) to (2) of CRR to be classified in the exposure class ‘ Covered Bonds ’ . The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 , are also assigned to the exposure class ‘ Covered Bonds ’ because of Article 129(6) of CRR. U.K.

3.2.4.3. Exposure class ‘Collective Investment Undertakings’ U.K.

73. Where the possibility according to Article 132(5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111(1) sentence 1 of CRR. U.K.

3.2.5. Instructions concerning specific positions U.K.

Columns
010	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Exposure value according to Article 111 of CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of CRR: For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92(3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR. Exposure values for leases are subject to Article 134(7) of CRR. In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral. In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220(4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.
030	(-) Value adjustments and provision associated with the original exposure Article 24 and 111 of CRR Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.
040	Exposure net of value adjustments and provisions Sum of columns 010 and 030.
050 - 100	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM. If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value. Items to be reported here: collateral, incorporated according to Financial Collateral Simple Method; eligible unfunded credit protection. Please also see instructions of point 4.1.1.
050 - 060	Unfunded credit protection: adjusted values (Ga) Article 235 of CRR Article 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection.
050	Guarantees Article 203 of CRR Unfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives.
060	Credit derivatives Article 204 of CRR.
070 – 080	Funded credit protection These columns refer to funded credit protection according to Article 4(58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors). Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.
070	Financial collateral: simple method Article 222(1) to (2) of CRR.
080	Other funded credit protection Article 232 of CRR.
090 - 100	SUBSTITUTION OF THE EXPOSURE DUE TO CRM Articles 222(3), Article 235(1) to (2) and Article 236 of CRR. Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. This amount shall be considered as an Inflow into the protection provider’s exposure class. Inflows and outflows within the same exposure classes shall also be reported. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.
110	NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
120-140	CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR) Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral. The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.
120	Volatility adjustment to the exposure Article 223(2) to (3) of CRR. The amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = E*He
130	(-) Financial collateral adjusted value (Cvam) Article 239(2) of CRR. For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR. The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR.
140	(-) Of which: Volatility and maturity adjustments Article 223(1) of CRR and Article 239(2) of CRR. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]
150	Fully adjusted exposure value (E*) Article 220(4), Article 223(2) to (5) and Article 228(1) of CRR.
160 - 190	Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors Article 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR. The figures reported shall be the fully adjusted exposure values before application of the conversion factor.
200	Exposure value Article 111 of CRR and Part 3 title II chapter 4 section 4 of CRR. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR.
210	Of which: Arising from Counterparty Credit Risk For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.
215	Risk weighted exposure amount pre SME-supporting factor Article 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.
220	Risk weighted exposure amount after SME-supporting factor Article 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR.
230	Of which: with a credit assessment by a nominated ECAI Article 112 a) to d), f), g), l), n) o) and q) of CRR
240	Of which: with a credit assessment derived from central government Article 112 b) to d), f), g), l) and o) of CRR

ANNEX II Table 14: rows 1 - 38

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3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB) U.K.

3.3.1. Scope of the CR IRB template U.K.

74. The scope of the CR IRB template covers own funds requirements for: U.K.

i.

Credit risk in the banking book, among which:

• Counterparty credit risk in the banking book;

• Dilution risk for purchased receivables;

ii.

Counterparty credit risk in the trading book;

iii.

Free deliveries resulting from all business activities..

75. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach). U.K.

76. The CR IRB template does not cover the following data: U.K.

i.

Equity exposures, which are reported in the CR EQU IRB template;

ii.

Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates;

iii.

‘ Other non-obligation assets ’ , according to Article 147(2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;

iv.

Credit valuation adjustment risk, which is reported on the CVA Risk template;

The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.

77. In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class: U.K.

• ‘ NO ’ = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

• ‘ YES ’ = in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

In any case, for the reporting of the retail portfolios ‘ YES ’ has to be reported.

In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

3.3.2. Breakdown of the CR IRB template U.K.

78. The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes: U.K.

1.

Total

(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)

2.

Central banks and central governments

(Article 147(2)(a) CRR)

3.

Institutions

(Article 147(2) point (b) CRR)

4.1)

Corporate – SME

(Article 147(2) point (c) CRR

4.2)

Corporate – Specialised lending

(Article 147(8) CRR)

4.3)

Corporate – Other

(All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).

5.1)

Retail – Secured by immovable property SME

(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).

5.2)

Retail – Secured by immovable property non-SME

(Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).

5.3)

Retail – Qualifying revolving

(Article 147(2) point (d) in conjunction with Article 154(4) CRR).

5.4)

Retail – Other SME

(Article 147(2) point (d) not reported under 5.1 and 5.3).

5.5)

Retail – Other non – SME

(Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).

3.3.3. C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1) U.K.

3.3.3.1. Instructions concerning specific positions U.K.

ANNEX II Table 15: rows 1 - 34

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Rows	Instructions
010	TOTAL EXPOSURES
015	of which: Exposures subject to SME-supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here.
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 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.

3.3.4. 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 template) U.K.

Column	Instructions
005	Obligor grade (row identifier) This is a row identifier and shall be unique for each row on a particular sheet of the table. It shall follow the numerical order 1, 2, 3, etc.
010-300	Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1.

Row

Instructions

010-001 – 010-NNN

Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template.

3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN U.K.

79. All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2. Exposures to supranational organisations shall be assigned to the geographical area ‘ other countries ’ . U.K.

80. The term ‘ residence of the obligor ’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area ‘ Other countries ’ irrespective of the exposure class where the exposure to supranational organisations is assigned. U.K.

81. Data regarding ‘ original exposure pre conversion factors ’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘ exposure value ’ and ‘ Risk weighted exposure amounts ’ shall be reported as of the country of residence of the ultimate obligor. U.K.

3.4.1. C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1) U.K.

3.4.1.1. Instructions concerning specific positions U.K.

Columns
010	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Same definition as for column 010 of CR SA template
020	Defaulted exposures Original exposure pre conversion factors for those exposures which have been classified as ‘ exposures in default ’ and for defaulted exposures assigned to the exposure classes ‘ exposures associated with particularly high risk ’ or ‘ equity exposures ’ . This ‘ memorandum item ’ provides additional information about the obligor structure of defaulted exposures. Exposures classified as ‘ exposures in default ’ in accordance with Article 112 point (j) CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘ exposures in default ’ . This information is a ‘ memorandum item ’ – hence does not affect the calculation of risk weighted exposure amounts of exposure classes ‘ exposures in default ’ , ‘ exposures associated with particularly high risk ’ or ‘ equity exposures ’ according to Article 112 points (j), (k) respectively (p) 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. This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in Article 62 (c) of CRR. The amount to be reported shall be gross of tax effects.
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.
170	Total exposures

3.4.2. C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) U.K.

3.4.2.1. Instructions concerning specific positions U.K.

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 columns 230 and 240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. 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).)
042	Of which: Specialized lending (excl. SL subject to slotting criteria) (Article 147(8) a CRR) Data shall not be reported for specialized lending exposures referred to in Article 153(5).
045	Of which: Specialized lending subject to slotting criteria Articles 147(8) lit. a and 153(5) CRR
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.
150	Total exposures

3.4.3. C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB) U.K.

3.4.3.1. General remarks U.K.

82. This table aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures). U.K.

83. Information in template C 09.04 shall be reported for the ‘ Total ’ of relevant credit exposures across all jurisdictions where these exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension. U.K.

84. The threshold set in Article 5 (a) (4) of this Regulation shall not apply for the reporting of this breakdown. U.K.

85. In order to determine the geographical location, the exposures are allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates. Therefore CRM techniques do not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template. U.K.

3.4.3.2. Instructions concerning specific positions U.K.

Columns
010	Amount The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.
020	Percentage
030	Qualitative Information This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the ‘ Total ’ of all countries. Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row.

Rows
010-020	Relevant credit exposures – Credit risk Relevant credit exposures defined in accordance with Article 140(4)(a) CRD.
010	Exposure value under the Standardised Approach Exposure value determined in accordance with Article 111 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD. The exposure value of securitisation positions in the banking book under the Standardised Approach shall be excluded from this row and reported in row 050.
020	Exposure value under the IRB Approach Exposure value determined in accordance with Article 166 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD. The exposure value of securitisation positions in the banking book under the IRB Approach shall be excluded from this row and reported in row 060
030-040	Relevant credit exposures – Market risk Relevant credit exposures defined in accordance with Article 140(4)(b) CRD.
030	Sum of long and short positions of trading book exposures for standardised approaches Sum of net long and net short positions according to Article 327 CRR of relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 CRR: exposures to debt instruments other than securitisation, exposures to securitisation positions in the trading book, exposures to correlation trading portfolios, exposures to equity securities, and exposures to CIUs if capital requirements are calculated according to Article 348 CRR.
040	Value of trading book exposures under internal model approaches For relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 and Chapter 5 CRR, the sum of the following shall be reported: Fair value of non-derivative positions, that represent relevant credit exposures as defined in Article 140(4)(b) CRD, determined in accordance with Article 104 CRR. Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) CRD.
050-060	Relevant credit exposures – Securitisation positions in the banking book Relevant credit exposures defined in accordance with Article 140(4)(c) CRD.
050	Exposure value of securitisation positions in the banking book under the Standardised Approach Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.
060	Exposure value of securitisation positions in the banking book under the IRB Approach Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.
070-110	Own funds requirements and weights
070	Total own funds requirements for CCB The sum of rows 080, 090 and 100.
080	Own funds requirements for relevant credit exposures – Credit risk Own funds requirements determined in accordance with Part Three, Title II, Chapter 1 to 4 and Chapter 6 CRR for relevant credit exposures, defined in accordance with Article 140(4)(a) of CRD, in the country in question. Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100. The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 1 to 4 and Chapter 6 of CRR.
090	Own funds requirements for relevant credit exposures – Market risk Own funds requirements determined in accordance with Part Three, Title IV, Chapter 2 of CRR for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of CRR for incremental default and migration risk for relevant credit exposures, defined in accordance with Article 140(4)(b) of CRD, in the country in question. The own funds requirements for relevant credit exposures under the market risk framework include, among others, the own fund requirements for securitisation positions under Part Three, Title IV, Chapter 2 CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.
100	Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements determined in accordance with Part Three, Title II, Chapter 5 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 5 CRR.
110	Own funds requirements weights The weight applied to the countercyclical buffer rate in each country is calculated as a ratio of own fund requirements, determined as follows: 1. Numerator: The total own funds requirements that relates to the relevant credit exposures in the country in question [r070; c010 country sheet], 2. Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of CRD [r070; c010; ‘ Total ’ ]. Information on the Own fund requirements weights shall not be reported for the ‘ Total ’ of all countries.
120-140	Countercyclical buffer rates
120	Countercyclical capital buffer rate set by the Designated Authority Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Article 136, 137, 138 and 139 CRD. This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country. Countercyclical capital buffer rates that were set by the Designated Authority, but are not yet applicable in the country in question at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘ Total ’ of all countries.
130	Countercyclical capital buffer rate applicable for the country of the institution Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Article 137, 138, 139 and Article 140(1), (2) and (3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the ‘ Total ’ of all countries.
140	Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) CRD. The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of Article 139(2) or (3) CRD. The relevant countercyclical buffer rate is reported in [r120; c020; country sheet], or [r130; c020; country sheet] as applicable. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements, and is reported in [r110; c020; country sheet]. Information on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘ Total ’ of all countries and not for each country separately.
150 - 160	Use of the 2 % threshold
150	Use of 2 % threshold for general credit exposure In accordance with Article 2(5)(b) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, whose aggregate does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures is calculated by excluding the general credit exposures located in accordance with Article 2(5) point (a) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014. If the institution makes use of this derogation, it shall indicate ‘ y ’ in the table for the jurisdiction corresponding to its home Member State and for the ‘ Total ’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘ n ’ in the respective cell.
160	Use of 2 % threshold for trading book exposure In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State, if the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures. If the institution makes use of this derogation, it shall indicate ‘ y ’ in the table for the jurisdiction corresponding to its home Member State and for the ‘ Total ’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘ n ’ in the respective cell.

3.5. C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2) U.K.

3.5.1. General remarks U.K.

86. The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. ‘ CR EQU IRB ’ refers to both ‘ CR EQU IRB 1 ’ and ‘ CR EQU IRB 2 ’ templates, as applicable, in the following instructions. U.K.

87. The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR. U.K.

88. According to Article 147(6) of CRR, the following exposures shall be assigned to the equity exposure class: U.K.

(a)

non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or

(b)

debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).

89. Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template. U.K.

90. In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR: U.K.

• the Simple Risk Weight approach,

• the PD/LGD approach, or

• the Internal Models approach.

Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template 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 (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))).

91. The following equity claims shall not be reported in the CR EQU IRB template: U.K.

• Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).

• Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:

• Grandfathered equity exposures according to Article 495(1) of CRR,

• Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR),

• Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR).

• Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of ‘ other non credit-obligation assets ’ (in accordance with Article 155(1) of CRR).

• Equity claims deducted from own funds in accordance with Articles 46 and 48 of CRR.

3.5.2. Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2) U.K.

Columns
005	OBLIGOR GRADE (ROW IDENTIFIER) The obligor grade is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.
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.

92. In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template 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). U.K.

Rows
CR EQU IRB 1 — row 020,	PD/LGD APRROACH: TOTAL Institutions applying the PD/LGD approach (Article 155(3) of CRR) shall report the required 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) shall report the required 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) shall report the required 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 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) shall report the required 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.

3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT) U.K.

3.6.1. General remarks U.K.

93. This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) point (c) ii) and 378 of CRR. U.K.

94. Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book. U.K.

95. According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR. U.K.

96. In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution. U.K.

97. Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements. U.K.

98. According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount. U.K.

99. Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB). U.K.

3.6.2. Instructions concerning specific positions U.K.

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.

3.7. C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) U.K.

3.7.1. General remarks U.K.

100. The information in this template shall be submitted with regard to all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Standardised Approach. On reporting reference dates that are after 1 January 2019 , securitisations the risk weighted exposure amount of which is determined based on the revised securitisation framework shall not be reported in this template, but only in template C 02.00. Equally, on reporting reference dates that are after 1 January 2019 , securitisation positions, which are subject to a 1 250  % risk weight in accordance with the revised securitisation framework and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of CRR, shall not be reported in this template, but only in template C 01.00. U.K.

100a. For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR shall be read as references to CRR in the version applicable on 31 December 2018 . U.K.

100b. The information to be reported is contingent on the role of the institution in the context of a securitisation. As such, specific reporting items are applicable for originators, sponsors and investors. U.K.

101. The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242(10) and (11) of CRR, respectively. U.K.

3.7.2. Instructions concerning specific positions U.K.

ANNEX II Table 29: rows 1 - 36

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102. The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations. U.K.

103. Positions treated according to the ratings based method and unrated positions (exposures at reporting date) shall also be broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information. U.K.

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. 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 treated according to the ratings based method and unrated 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, 210 to 270 and columns 330 to 340.

3.8. C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB) U.K.

3.8.1. General remarks U.K.

104. The information in this template is required for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach. On reporting reference dates that are after 1 January 2019 , securitisations the risk weighted exposure amounts of which is determined based on the revised securitisation framework shall not be reported in this template, but only template C 02.00. Equally, on reporting reference dates that are after 1 January 2019 , securitisation positions, which are subject to a 1 250  % risk weight in accordance with the revised securitisation framework and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of CRR, shall not be reported in this template, but only in template C 01.00. U.K.

104a. For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR shall be read as references to CRR in the version applicable on 31 December 2018 . U.K.

105. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors. U.K.

106. The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book. U.K.

3.8.2. Instructions concerning specific positions U.K.

ANNEX II Table 31: rows 1 - 34

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107. The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations. U.K.

108. Positions treated according to the ratings based method and unrated positions (exposures at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information. U.K.

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.
040-090	ON-BALANCE SHEET ITEMS Article 246(1) lit b) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the IRB Approach, the exposure value of an on-balance sheet securitisation position shall be the accounting value without taking into account any credit risk adjustments made. On-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 050-070, and re-securitisations (D-E), in rows 080-090, as stated in Article 261(1) Table 4 of CRR.
100-150	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 factor unless otherwise specified. Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. 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 are broken down according to risk weight groupings of securitisations (A-B-C), in rows 110-130, and re-securitisations (D-E), in rows 140-150, as stated in Article 261(1) Table 4 of CRR.
160	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.
170	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. 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.
180-230	ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here.
240-290	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.
300	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(1)(14) 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.
310-360	ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here.
370-420	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.
430-540	BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION These rows gather information on outstanding positions treated according to the ratings based method and unrated positions (at reporting date) according to credit quality steps (envisaged for the IRB in Article 261 Table 4 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 170, 190 to 320 and columns 400 to 410.

3.9. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) U.K.

3.9.1. General remarks U.K.

109. This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported. U.K.

110. This template is to be reported for: U.K.

a.

Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.

b.

Securitisations originated/sponsored by the reporting institution during the year of report (1) , in case it holds no position.

c.

Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.

d.

Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).

111. This template shall be reported by consolidated groups and stand-alone institutions (2) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided. U.K.

112. On account of Article 406(1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470. U.K.

113. Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors. U.K.

3.9.2. Instructions concerning specific positions] U.K.

ANNEX II Table 33: rows 1 - 54

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Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).

(1)

[F1 The data requested from institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1 ^st of January of the current year).]

(2)

[F1 ‘ Stand alone institutions ’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.]

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).