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

[F1 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 point (4) of Article 5(a) of this Implementing Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold shall be considered only in relation to the CR GB 1 and CR GB 2 templates. 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 ’ shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as ‘ exposures in default ’ as referred to in point (j) of Article 112 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 ’ as referred to in points (j), (k) and (p) of Article 112 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 as referred to in Article 110 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 point (c) of Article 62 CRR. The amount to be reported shall be gross of tax effects.
055	Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 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 Point (a) of Article 112 CRR
020	Regional governments or local authorities Point (b) of Article 112 CRR.
030	Public sector entities Point (c) of Article 112 CRR
040	Multilateral developments banks Point (d) of Article 112 CRR
050	International organisations Point (e) of Article 112 CRR
060	Institutions Point (f) of Article 112 CRR
070	Corporates Point (g) of Article 112 CRR
075	of which: SME Same definition as for row 020 of CR SA template
080	Retail Point (h) of Article 112 CRR
085	of which: SME Same definition as for row 020 of CR SA template
090	Secured by mortgages on immovable property Point (i) of Article 112 CRR
095	of which: SME Same definition as for row 020 of CR SA template
100	Exposures in default Point (j) of Article 112 CRR
110	Items associated with particularly high risk Point (k) of Article 112 CRR
120	Covered bonds Point (l) of Article 112 CRR
130	Claims on institutions and corporates with a short-term credit assessment Point (n) of Article 112 CRR
140	Collective investments undertakings (CIU) Point (o) of Article 112 CRR
150	Equity exposures Point (p) of Article 112 CRR
160	Other exposures Point (q) of Article 112 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 in accordance with Article 178 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 as referred to in Article 110 CRR.
055	Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 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. Point (h) of Article 181(1) CRR shall apply. Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR.
100	Of which: defaulted Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 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 in accordance with Article 178(1) 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 Point (a) of Article 147(2) CRR
020	Institutions Point (b) of Article 147(2) CRR
030	Corporates All exposures to corporates as referred to in point (c) of Article 147(2) CRR
042	Of which: Specialised lending (excl. SL subject to slotting criteria) Point (a) of Article 147(8) CRR Data shall not be reported for specialized lending exposures as referred to in Article 153(5) CRR.
045	Of which: Specialised lending subject to slotting criteria Point (a) of Article 147(8) and Article 153(5) CRR
050	Of which: SME Point (c) of Article 147(2) CRR
060	Retail All retail exposures as referred to in point (d) of Article 147(2) CRR
070	Retail – Secured by real estate property Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate
080	SME Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate
090	non-SME Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate
100	Retail – Qualifying revolving Retail exposures as referred to in point (d) of Article 147(2) in conjunction with Article 154(4) CRR
110	Other Retail Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 070 – 100
120	SME Other retail exposures as referred to in point (d) of Article 147(2) CRR to SMEs
130	non-SME Other retail exposures as referred to in point (d) of Article 147(2) CRR to non-SMEs
140	Equity Equity exposures as referred to in point (e) of Article 147(2) 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 template 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 Title II and Title IV of Part Three CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution-specific countercyclical 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 those 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 point (4) of Article 5(a) of this Implementing Regulation shall not apply for the reporting of this breakdown. U.K.

85. In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 (1) . Therefore, CRM techniques shall 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 as referred to in point (a) of Article 140(4) CRD.
010	Exposure value under the Standardised Approach Exposure value calculated in accordance with Article 111 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.
020	Exposure value under the IRB Approach Exposure value calculated in accordance with Article 166 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.
030-040	Relevant credit exposures – Market risk Relevant credit exposures as referred to in point (b) of Article 140(4) CRD.
030	Sum of long and short positions of trading book exposures for Standardised Approach Sum of net long and net short positions in accordance with Article 327 CRR of relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapter 2 of Title IV of Part Three 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; exposures to CIUs where capital requirements are calculated in accordance with Article 348 CRR.
040	Value of trading book exposures under internal models For relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the following shall be reported: Fair value of non-derivative positions, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR. Notional value of derivatives, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD.
055	Relevant credit exposures – Securitisation positions in the banking book Exposure value calculated in accordance with Article 248 CRR for relevant credit exposures as referred to in point (c) of Article 140(4) 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 calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) 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 in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR.
090	Own funds requirements for relevant credit exposures – Market risk Own funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk for relevant credit exposures as referred to in point (b) of Article 140(4) CRD, in the country in question. The own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Chapter 2 of Title IV of Part Three, 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 calculated in accordance with Chapter 5 of Title II of Part Three CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Chapter 5 of Title II of Part Three, CRR.
110	Own funds requirements weights The weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows: 1. Numerator: The total own funds requirements that relate 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 as referred to in Article 140(4) 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 Articles 136, 137, 139, points (a) and (c) of Article 140(2) and point (b) of Article 140(3) 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 Articles 137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(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, calculated in accordance with Article 140(1) CRD. The institution-specific countercyclical capital buffer rate shall be 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 paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate shall reported in [r120; c020; country sheet], or [r130; c020; country sheet], as applicable. The weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be 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 point (b) of Article 2(5) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, the aggregate of which 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 shall be calculated by excluding the general credit exposures located in accordance with point (a) of Article 2(5) 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 template 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 where 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 template 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.]

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 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).

(1)

[F1 Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council 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 ( OJ L 309, 30.10.2014, p. 5 ).]

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 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).