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[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.

7. C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV) U.K.

7.1. GENERAL REMARKS U.K.

155. The information for the purpose of template C 33.00 shall cover all exposures to ‘ General governments ’ as defined in paragraph 42 (b) of Annex V. U.K.

156. Exposures to ‘ General governments ’ are included in different exposure classes in accordance with Article 112 and Article 147 of CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02. U.K.

157. Table 2 (Standardised approach) and Table 3 (IRB approach), included in Part 3 of Annex 5, shall be observed for the mapping of exposure classes used to calculate capital requirements under CRR to counterparty sector ‘ General governments ’ . U.K.

158. Information shall be reported for the total aggregate exposures (meaning the sum of all countries in which the bank has sovereign exposures) and for each country on the basis of the residence of the counterparty on an immediate borrower basis. U.K.

159. The allocation of exposures to exposure classes or jurisdictions shall be made without considering credit mitigation techniques and in particular without considering substitution effects. However the calculation of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction includes the incidence of credit risk mitigation techniques, including substitution effects. U.K.

160. The reporting of information on exposures to ‘ General governments ’ by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds in Article 5 (b) point 3 of this Regulation. U.K.

7.2. SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’ U.K.

161. The scope of the GOV template covers on, off-balance sheet and derivatives direct exposures to ‘ General governments ’ in the banking and trading book. In addition a memorandum item on indirect exposures in the form of credit derivatives sold on general government exposures is also requested. U.K.

162. An exposure is a direct exposure when the immediate counterparty is an entity covered by the definition of ‘ General governments ’ . U.K.

163. The template is divided in two sections. The first one is based on a breakdown of exposures by risk, regulatory approach and exposure classes whereas a second one is based on a breakdown by residual maturity U.K.

7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS U.K.

ANNEX II Table 61: rows 1 - 39

[F1 Columns	Instructions
010-260	DIRECT EXPOSURES
010-140	ON-BALANCE SHEET EXPOSURES
010	Total gross carrying amount of non-derivative financial assets Aggregate of gross carrying amount, as determined in accordance with paragraph 34 in Annex V, Part 1, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on Directive 86/635/EEC (Bank Accounting Directive, ‘ BAD ’ ) defined in paragraphs 15 to 22 in Annex V, Part 1 and listed in columns 030 to 120. Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value.
020	Total carrying amount of non-derivative financial assets (net of short positions) Aggregate of the carrying amount, in accordance with paragraph 27 in Annex V, Part 1, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 in Annex V, Part 1 and listed in columns 030 to 120, net of short positions. When the institution has a short position for the same residual maturity, the same immediate counterparty that is denominated in the same currency, the carrying amount of the short position shall be netted against the carrying amount of the direct position. This net amount shall be considered as zero when it is a negative amount. The sum of the columns 030 to 120 minus column 130 must be reported. If this amount is lower than zero, the amount to be reported shall be zero.
030-120	NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS Aggregate carrying amount of non-derivative financial assets, as defined above, to General governments by accounting portfolio under the applicable accounting framework.
030	Financial assets held for trading IFRS 7.8(a)(ii); IFRS 9 Appendix A
040	Trading financial assets BAD Articles 32-33; Annex V. Part 1.16; Accounting Directive Article 8(1)(a) Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).
050	Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4
060	Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 and Accounting Directive Article 8(1)(a), (6)
070	Non-trading non-derivative financial assets measured at fair value through profit or loss BAD Article 36(2); Accounting Directive Article 8(1)(a) Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).
080	Financial assets at fair value through other comprehensive income IFRS 7.8(d); IFRS 9.4.1.2 A
090	Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive Article 8(1)(a), (8) Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).
100	Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2; Annex V. Part 1.15
110	Non-trading non-derivative financial assets measured at a cost-based method BAD Article 35; Accounting Directive Article 6(1)(i) and Article 8(2); Annex V. Part 1.16 Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).
120	Other non-trading non-derivative financial assets BAD Article 37; Accounting Directive Article 12(7); Annex V. Part 1.16 Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).
130	Short positions Carrying amount of short positions, as defined in IFRS 9 BA.7(b) when the direct counterparty is a General government as defined in paragraph 1. Short positions arise when the institution sells securities acquired in a reverse repurchase loan, or borrowed in a securities lending transaction, which direct counterparty is a General government. The carrying amount is the fair value of the short positions. Short positions must be reported by residual maturity bucket, as defined in row 170 to 230, and by immediate counterparty. Short positions will be then used for netting with positions for the same residual maturity and immediate counterparty for the computation of columns 030 to 120.
140	Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, which direct counterparty is a General government, that are included in the held for trading or trading financial assets accounting portfolios (columns 030 or 040). Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column.
150	Accumulated impairment Aggregate accumulated impairment related to non-derivative financial assets reported in columns 080 to 120. [Annex V, Part 2, paragraphs 70 and 71]
160	Accumulated impairment — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity Aggregate of accumulated impairment related to non-derivative financial assets reported in columns 080 and 090.
170	Accumulated negative changes in fair value due to credit risk Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060, 070, 080 and 090. [Annex V, Part 2, paragraph 69]
180	Accumulated negative changes in fair value due to credit risk — of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060 and 070.
190	Accumulated negative changes in fair value due to credit risk — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 080 and 090.
200-230	DERIVATIVES Direct derivative positions are to be reported in columns 200 to 230. For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges see instructions for the row breakdown.
200-210	Derivatives with positive fair value All derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether they are used in a qualifying hedging relationship, are held for trading or are included in the trading portfolio under IFRS and national GAAP based on BAD. Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (Annex V, Part 2, paragraphs 120, 124, 125 and 137 to 140).
200	Derivatives with positive fair value: Carrying amount Carrying amount of the derivatives accounted for as financial assets at the reporting reference date. Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.
210	Derivatives with positive fair value: Notional amount Under IFRS and national GAAP based on BAD, notional amount, as defined in Annex V, Part 2, paragraphs 133 to 135, of all derivative contracts concluded and not yet settled at the reporting reference date whose counterparty is a General government, as defined above in paragraph 1, when its fair value is positive for the institution at the reporting reference date.
220-230	Derivatives with negative fair value All derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether they are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on BAD. Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (Annex V, Part 2, paragraphs 120, 124, 125 and 137 to 140).
220	Derivatives with negative fair value: Carrying amount Carrying amount of the derivatives accounted for as financial liabilities at the reporting reference date. Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.
230	Derivatives with negative fair value: Notional amount Under IFRS and national GAAP based on BAD, notional amount, as defined in Annex V, Part 2, paragraphs 133 to 135, of all derivative contracts concluded and not yet settled at the reference date whose counterparty is a General government, as defined above in paragraph 1, when its fair value is negative for the institution.
240-260	OFF-BALANCE SHEET EXPOSURES
240	Nominal amount When the direct counterparty of the off-balance sheet item is a General government as defined above in paragraph 1, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on BAD (Annex V, Part 2, paragraphs 102-119). In accordance with Annex V, Part 1, paragraphs 43 and 44, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution.
250	Provisions BAD Article 4 Liabilities (6)(c), Off balance sheet items, Article 27(11), Article 28(8), Article 33; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Annex V Part 2.11. Provisions on all off-balance sheet exposures regardless how they are measured except those that are measured at fair value through profit or loss in accordance with IFRS 9. Under IFRS, the impairment of a loan commitment given shall be reported in column 150 when the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 250.
260	Accumulated negative changes in fair value due to credit risk For off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (Annex V, Part 2, paragraph110)
270-280	Memorandum item: credit derivatives sold on general government exposures Credit derivatives that do not meet the definition of financial guarantees that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government must be reported. These columns will not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 020 to 160). The exposures reported in the section are not to be considered in the computation of exposure Value and Risk weighted amount (columns 290 and 300) which is based solely on direct exposures.
270	Derivatives with positive fair value — Carrying amount Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments. For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date. For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a positive fair value at the reference reporting date, independently how they are accounted for.
280	Derivatives with negative fair value — Carrying amount Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments. For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial liabilities at the reporting date. For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a negative fair value at the reference reporting date, independently how they are accounted for.
290	Exposure value Exposure value for exposures subject to the credit risk framework. For exposures under the Standardised Approach (SA): see Article 111 of CRR. For exposures under the IRB approach: see Article 166 and Article 230(1) sentence 2 of CRR. For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges see instructions for the row breakdown.
300	Risk weighted exposure amount Risk weighted exposure amount for exposures subject to the credit risk framework. For exposures under the Standardised Approach (SA): see Article 113(1) to (5) of CRR. For exposures under the IRB approach: see Article 153(1) and (3) of CRR. For the reporting of direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk, see instructions for the row breakdown.

Rows	Instructions
BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH
010	Total exposures Aggregate of exposures to General governments, as defined in paragraph 1
020-155	Exposures under the credit risk framework Aggregate of exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II CRR. Exposures under the credit risk framework include exposures from both the non-trading book and the trading book subject to a capital charge for counterparty credit risk. Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row.
030	Standardised Approach Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 2 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.
040	Central governments Exposures to General governments that are central governments. These exposures are allocated to the ‘ Central governments or central banks ’ exposure class in accordance with Articles 112 and 114 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
050	Regional governments or local authorities Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the ‘ Regional governments or local authorities ’ exposure class in accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
060	Public sector entities Exposures to General governments that are public sector entities. These exposures are allocated to the ‘ Public sector entities ’ exposure class in accordance with Articles 112 and 116 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
070	International Organisations Exposures to General governments that are international organisations. These exposures are allocated to the ‘ International Organisations ’ exposure classes in accordance with Articles 112 and 118 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
075	Other general government exposures subject to Standardised Approach Exposures to General governments other than those included in rows 040 to 070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements.
080	IRB Approach Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 3 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.
090	Central governments Exposures to General governments that are central governments and that are allocated to the ‘ Central governments and central banks ’ exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..
100	Regional governments or local authorities [Central governments and central banks] Exposures to General governments that are regional governments or local authorities and that are allocated to the ‘ Central governments and central banks ’ exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
110	Regional governments or local authorities [Institutions] Exposures to General governments that are regional governments or local authorities and that are allocated to the ‘ Institutions ’ exposure class in accordance with Article 147(4)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
120	Public sector entities [Central governments and central banks] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the ‘ Central governments and central banks ’ exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
130	Public sector entities [Institutions] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the ‘ Institutions ’ exposure class in accordance with Article 147(4)(b) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
140	International Organisations [Central governments and central banks] Exposures to General governments that are International Organisations and that are allocated to the ‘ Central governments and central banks ’ exposure class in accordance with Article 147(3)(c) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
155	Other general government exposures subject to IRB approach Exposures to General governments other than those included in rows 090 to 140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements.
160	Exposures subject to market risk Market risk exposures cover positions for which own funds requirements are calculated according to Title IV of Part Three CRR. Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row.
170-230	BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions. Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows: [0 - 3M [ : Less than 90 days [3M - 1Y [ : Equal or greater than 90 days and less than 365 days [1Y – 2Y [ : Equal or greater than 365 days and less than 730 days [2Y – 3Y [ : Equal or greater than 730 days and less than 1,095 days [3Y – 5Y [ : Equal or greater than 1,095 days and less than 1,825 days [5Y – 10Y [ : Equal or greater than 1,825 days and less than 3,650 days [10Y – more : Equal or greater than 3,650 days]