[F1 [F2 ANNEX II U.K. REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2015/227 of 9 January 2015 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).

F2 Substituted by Commission Implementing Regulation (EU) 2016/1702 of 18 August 2016 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance).

PART II: U.K. TEMPLATE RELATED INSTRUCTIONS

5. MARKET RISK TEMPLATES U.K.

5.5. C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) U.K.

5.5.2. Instructions concerning specific positions U.K.

Rows
010	TOTAL POSITIONS IN NON REPORTING CURRENCIES Positions in non-reporting currencies and their correspondent own funds requirements according to Article 92(3) point (c) (i) and Article 352(2) and (4) of CRR (for conversion into the reporting currency).
020	CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.
030	ALL OTHER CURRENCIES (including CIU's treated as different currencies) Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR. Reporting of CIU's treated as separate currencies according to Article 353 CRR: There are two different treatments of CIU's treated as separate currencies for calculating the capital requirements: 1. The modified gold method, if the direction of the CIU's investment is not available (those CIU's shall be added to an institution's overall net foreign-exchange position) 2. If the direction of the CIU's investment is available, those CIU's shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU) The reporting of those CIU's follows the calculation of the capital requirements accordingly.
040	GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.
050 - 090	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 352(5) and (6) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.
100-120	Breakdown of total positions (reporting currency included) by exposure types Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.
100	Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 110 or 120 shall be included here.
110	Off-balance sheet items Items included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.
120	Derivatives Positions valued according to Articles 352 CRR.
130-480	MEMORANDUM ITEMS: CURRENCY POSITIONS The memorandum items of the template shall be filled out separately for All currencies of the Member States of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.] ]