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

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2017/2114 of 9 November 2017 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance).

PART II: TEMPLATE RELATED INSTRUCTIONS U.K.

1. CAPITAL ADEQUACY OVERVIEW (CA) U.K.

1.3. C 02.00 — OWN FUNDS REQUIREMENTS (CA2) U.K.

1.3.1. Instructions concerning specific positions U.K.

ANNEX II Table 2: rows 1 - 78

[F1 Row	Legal references and instructions
010	1. TOTAL RISK EXPOSURE AMOUNT Articles 92(3), 95, 96 and 98 of CRR
020	1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR For investment firms under Article 95(2) and Article 98 of CRR
030	1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR For investment firms under Article 96(2) and Article 97 of CRR
040	1.1. RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES Article 92(3) points (a) and (f) of CRR
050	1.1.1. Standardised approach (SA) CR SA and SEC SA templates at the level of total exposures
060	1.1.1.1. SA exposure classes excluding securitisations positions CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions.
070	1.1.1.1.01. Central governments or central banks See CR SA template
080	1.1.1.1.02. Regional governments or local authorities See CR SA template
090	1.1.1.1.03. Public sector entities See CR SA template
100	1.1.1.1.04. Multilateral Development Banks See CR SA template
110	1.1.1.1.05. International Organisations See CR SA template
120	1.1.1.1.06. Institutions See CR SA template
130	1.1.1.1.07. Corporates See CR SA template
140	1.1.1.1.08. Retail See CR SA template
150	1.1.1.1.09. Secured by mortgages on immovable property See CR SA template
160	1.1.1.1.10. Exposures in default See CR SA template
170	1.1.1.1.11. Items associated with particular high risk See CR SA template
180	1.1.1.1.12. Covered bonds See CR SA template
190	1.1.1.1.13. Claims on institutions and corporate with a short-term credit assessment See CR SA template
200	1.1.1.1.14. Collective investments undertakings (CIU) See CR SA template
210	1.1.1.1.15. Equity See CR SA template
211	1.1.1.1.16. Other items See CR SA template
220	1.1.1.2. Securitisations positions SA CR SEC SA template at the level of total securitisation types
230	1.1.1.2.* Of which: resecuritisation CR SEC SA template at the level of total securitisation types
240	1.1.2. Internal ratings based Approach (IRB)
250	1.1.2.1. IRB approaches when neither own estimates of LGD nor Conversion Factors are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used)
260	1.1.2.1.01. Central governments and central banks See CR IRB template
270	1.1.2.1.02. Institutions See CR IRB template
280	1.1.2.1.03. Corporates — SME See CR IRB template
290	1.1.2.1.04. Corporates – Specialised Lending See CR IRB template
300	1.1.2.1.05. Corporates – Other See CR IRB template
310	1.1.2.2. IRB approaches when own estimates of LGD and/or Conversion Factor are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)
320	1.1.2.2.01. Central governments and central banks See CR IRB template
330	1.1.2.2.02. Institutions See CR IRB template
340	1.1.2.2.03. Corporates — SME See CR IRB template
350	1.1.2.2.04. Corporates – Specialised Lending See CR IRB template
360	1.1.2.2.05. Corporates – Other See CR IRB template
370	1.1.2.2.06. Retail – secure by real estate SME See CR IRB template
380	1.1.2.2.07. Retail – secure by real estate non-SME See CR IRB template
390	1.1.2.2.08. Retail – Qualifying revolving See CR IRB template
400	1.1.2.2.09. Retail – Other SME See CR IRB template
410	1.1.2.2.10. Retail – Other non-SME See CR IRB template
420	1.1.2.3. Equity IRB See CR EQU IRB template
430	1.1.2.4. Securitisations positions IRB CR SEC IRB template at the level of total securitisation types
440	1.1.2.4* Of which: resecuritisation CR SEC IRB template at the level of total securitisation types
450	1.1.2.5. Other non credit-obligation assets The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.
460	1.1.3. Risk exposure amount for contributions to the default fund of a CCP Articles 307 to 309 of CRR
490	1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR
500	1.2.1. Settlement/delivery risk in the non-Trading book See CR SETT template
510	1.2.2. Settlement/delivery risk in the Trading book See CR SETT template
520	1.3. TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR
530	1.3.1. Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)
540	1.3.1.1. Traded debt instruments MKR SA TDI template at the level of total currencies.
550	1.3.1.2. Equity MKR SA EQU template at the level of total national markets.
555	1.3.1.3. Particular approach for position risk in CIUs Articles 348(1), 350 (3) c) and 364 (2) a) CRR Total risk exposure amount for positions in CIUs if capital requirements are calculated according to Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3) c) CRR. The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. If the particular approach according to Article 348(1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question, multiplied by 12,5. If the particular approach according to Article 348(1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively.
556	1.3.1.3.* Memo item: CIUs exclusively invested in traded debt instruments Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk.
557	1.3.1.3.** CIUs invested exclusively in equity instruments or in mixed instruments Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown.
560	1.3.1.4. Foreign Exchange See MKR SA FX template
570	1.3.1.5. Commodities See MKR SA COM template
580	1.3.2. Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM) See MKR IM template
590	1.4. TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) Article 92(3) point (e) and 92(4) point (b) of CRR For investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero.
600	1.4.1. OpR Basic Indicator approach (BIA) See OPR template
610	1.4.2. OpR Standardised (TSA)/Alternative Standardised (ASA) approaches See OPR template
620	1.4.3. OpR Advanced measurement approaches (AMA) See OPR template
630	1.5. ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR Only for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12,5. Investment firms under Article 95 of CRR shall report: If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero. If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former.
640	1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT Article 92(3) point (d) of CRR See CVA template.
650	1.6.1. Advanced method Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.
660	1.6.2. Standardised method Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.
670	1.6.3. Based on OEM Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.
680	1.7. TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK Articles 92(3) point (b) (ii) and 395 to 401 of CRR
690	1.8. OTHER RISK EXPOSURE AMOUNTS Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7. Institutions shall report the amounts needed to comply with the following: Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR Additional risk exposure amounts due to Article 3 CRR This item does not have a link to a details template.
710	1.8.2. Of which: Additional stricter prudential requirements based on Art 458 Article 458 of CRR
720	1.8.2* Of which: requirements for large exposures Article 458 of CRR
730	1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property Article 458 of CRR
740	1.8.2*** Of which: due to intra financial sector exposures Article 458 of CRR
750	1.8.3. Of which: Additional stricter prudential requirements based on Art 459 Article 459 of CRR
760	1.8.4. Of which: Additional risk exposure amount due to Article 3 CRR Article 3 CRR The additional risk exposure amount has to be reported. It shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on article 3 CRR, the amount to be reported is 30).]