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

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

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).

PART II: TEMPLATE RELATED INSTRUCTIONS U.K.

3. CREDIT RISK TEMPLATES U.K.

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

3.6.2. Instructions concerning specific positions U.K.

Rows
010	Total unsettled transactions in the Non-trading Book Institutions shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR). Institutions shall report in {r010;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r010;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r010;c030] 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 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 shall report in rows 020 to 060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR. 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 shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR). Institutions shall report in {r070;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r070;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r070;c030} 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 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 shall report in rows 080 to 120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.]