[F1ANNEX IX U.K. INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

Textual Amendments

PART I: U.K. GENERAL INSTRUCTIONS

1. Structure and conventions U.K.

1. The reporting framework on large exposures (‘LE’) shall consist of six templates which include the following information: U.K.
(a)

large exposures limits;

(b)

identification of the counterparty (template LE1);

(c)

exposures in the non-trading and trading book (template LE2);

(d)

detail of the exposures to individual clients within groups of connected clients (template LE3);

(e)

maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE4);

(f)

maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5).

2. The instructions include legal references as well as detailed information regarding the data that shall be reported in each template. U.K.
3. The instructions and the validation rules follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates. U.K.
4. The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An asterisk sign shall be used to express that the validation is done for all the rows reported. U.K.
5. In the case of validations within a template, in which only data points of that template are used, notations do not refer to a template: {Row;Column}. U.K.
6. ABS(Value): the absolute value without sign. Any amount that increases the exposures shall be reported as a positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure shall be reported for that item. U.K.

PART II: U.K. TEMPLATE RELATED INSTRUCTIONS

In this Annex, instructions relating to the reporting of Large Exposures shall also apply to the reporting of significant exposures required by Articles 9 and 11, in accordance with the scope defined in those Articles.

1. Scope and level of the LE reporting U.K.

1. In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 ( ‘ CRR ’ ) on a solo basis, institutions shall use the templates LE1, LE2 and LE3. U.K.
2. In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of CRR on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. U.K.
3. Every large exposure defined in accordance with Article 392 of CRR shall be reported, including the large exposures that shall not be considered for the compliance with the large exposure limit laid down in Article 395 of CRR. U.K.
4. In order to report information on the 20 largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of CRR on a consolidated basis, the parent institutions in a Member State which are subject to Part Three, Title II, Chapter 3, of CRR shall use templates LE1, LE2 and LE3. The exposure value resulting from subtracting the amount in column 320 ( ‘ Amounts exempted ’ ) of template LE2 from the amount in column 210 ( ‘ Total ’ ) of that same template is the amount that shall be used for determining these 20 largest exposures. U.K.
5. In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial sector entities according to points (a) to (d) of Article 394(2) of CRR on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. For the reporting of the maturity structure of these exposures according to Article 394(2)(e) of CRR, the parent institutions in a Member State shall use templates LE4 and LE5. The exposure value calculated in column 210 ( ‘ Total ’ ) of template LE2 is the amount that shall be used for determining these 20 largest exposures. U.K.
6. The data on the large exposures and the relevant largest exposures to groups of connected clients and individual clients not belonging to a group of connected clients shall be reported in the template LE2 (in which a group of connected clients shall be reported as one single exposure. U.K.
7. Institutions shall report in the LE3 template data regarding the exposures to individual clients belonging to the groups of connected clients, which are reported in the LE2 template. The reporting of an exposure to an individual client in the LE2 template shall not be duplicated in the LE3 template. U.K.

2. Structure of the LE template U.K.

8. The columns of the template LE1 shall present the information related to the identification of individual clients or groups of connected clients to which an institution has an exposure. U.K.
9. The columns of the templates LE2 and LE3 shall present the following blocks of information: U.K.
(a)

the exposure value before application of exemptions and before taking into account the effect of the credit risk mitigation, including the direct, indirect exposure and additional exposures arising from transactions where there is an exposure to underlying assets;

(b)

the effect of the exemptions and of the credit risk mitigation techniques;

(c)

the exposure value after application of exemptions and after taking into account the effect of the credit risk mitigation calculated for the purpose of Article 395(1) of CRR.

10. The columns of the templates LE4 and LE5 shall present the information regarding the maturity buckets to which the expected maturing amounts of the ten largest exposures to institutions as well as the ten largest exposures to unregulated financial sector entities shall be allocated. U.K.

3. Definitions and general instructions for the purposes of the LE reporting U.K.

11. ‘ Group of connected clients ’ is defined in Article 4(1)(39) of CRR. U.K.
12. ‘ Unregulated financial sector entities ’ are defined in Article 142(1)(5) of CRR. U.K.
13. ‘ Institutions ’ is defined in Article 4(1)(3) of CRR U.K.
14. Exposures to ‘ civil-law associations ’ shall be reported. In addition, institutions shall add the credit amounts of the civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just like them. U.K.
15. Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance to Article 389 of CRR. Specifically, credit conversion factors shall not be applied to off balance sheet items. U.K.
16. ‘Exposures’ are defined in Article 389 of CRR. U.K.
(a)

any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 of CRR, but excluding items which fall under effect of points (a) to (d) of Article 390(6) of CRR.

(b)

‘indirect exposures’ are those exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower in accordance with Article 403 of CRR. The definitions here may not differ in any possible respect from the definitions provided in the basic act. ]

The exposures to groups of connected clients shall be calculated in accordance with Article 390(5).

17. The ‘ netting agreements ’ shall be allowed to be taken into account to the effects of large exposures exposure value as laid down in Article 390(1), (2) and (3) of CRR. The exposure value of a derivative instrument listed in Annex II of CRR shall be determined in accordance with Part Three, Title II, Chapter 6, of CRR with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6, of CRR. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Part Three, Title II, Chapter 4 or Chapter 6, of CRR. In accordance with Article 296 of CRR, the exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the reporting institution shall be reported as ‘ other commitments ’ in the LE templates. U.K.
18. The ‘ value of an exposure ’ shall be calculated according to Article 390 of CRR. U.K.
19. The effect of the full or partial application of exemptions and eligible credit risk mitigation (CRM) techniques for the purposes of calculating of exposures for the purpose of Article 395(1) CRR is described in Articles 399 to 403 of CRR. U.K.
20. Reverse repurchase agreements which fall under the reporting for large exposures shall be reported according to Article 402(3) of CRR. Provided that the criteria in Article 402(3) of CRR are met the institution shall report the large exposures to each third party for the amount of the claim that the counterparty to the transaction has on this third party and not for the amount of the exposure to the counterparty. U.K.

4. C 26.00 — LE Limits template U.K.

4.1. Instructions concerning specific rows U.K.
Rows Legal references and instructions
010
Non institutions

Articles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR.

The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25 % of the eligible capital, which is reported in row 226 of template 4 of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR.

020
Institutions

Articles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR.

The amount of the applicable limit for counterparties which are institutions shall be reported. According to Article 395(1) of CRR, this amount shall be the following:

  • if the 25 % of the eligible capital is greater than EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third paragraph of Article 395(1) of CRR, 25 % of the eligible capital shall be reported;

  • if EUR 150 million (or a lower limit set out by the competent authority in accordance with the third paragraph of Article 395(1) of CRR is greater than 25 % of the institution’s eligible capital, EUR 150 million (or the lower limit if set out by the competent authority) shall be reported. If the institution has determined a lower limit in terms of its eligible capital, required by the second subparagraph of Article 395(1) of CRR, that limit shall be reported.

These limits may be stricter in case of application of national measures in accordance with Article 395(6) or Article 458 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR.

030
Institutions in %

Articles 395(1) and 459(a) of CRR.

The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage of the eligible capital.

5. C 27.00 — Identification of the counterparty (LE1) U.K.

5.1. Instructions concerning specific columns U.K.
Column Legal references and instructions
010-070
Counterparty Identification:

Institutions shall report the identification of any counterparty for which information is being submitted in any of the templates C 28.00 to C 31.00. The identification of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients.

According to Article 394(1)(a) of CRR, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 of CRR.

According to Article 394(2)(a) of CRR, institutions shall report the identification of the counterparty to which they have the largest exposures (in the cases where the counterparty is an institution or an unregulated financial sector entity).

010
Code

The code is a row identifier, and must be unique for each row in the table.

The code shall be used to identify the individual counterparty. However, the purpose of this column is to link counterparty details in C 27.00 with exposures reported in C 28.00 – C 31.00. The code of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients. The codes shall be used in a consistent way across time.

The composition of the code depends on the national reporting system, unless a uniform codification is available in the Union.

020
Name

The name shall correspond to the name of the group whenever a group of connected clients is reported. In any other case, the name shall correspond to the individual counterparty.

For a group of connected clients, the name that shall be reported shall be the name of the parent company or, when the group of connected clients does not have a parent, it shall be the group’s commercial name.

030
LEI Code

The legal entity identifier code of the counterparty.

040
Residence of the counterparty

The ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s ‘ Balance of Payments Vademecum ’ )

For groups of connected clients, no residence shall be reported.

050
Sector of the counterparty

One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes:

(i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) households.

For groups of connected clients, no sector shall be reported.

060
NACE code

For the economic sector, the NACE codes (Nomenclature statistique des activités économiques dans l’Union européenne = Statistical Classification of Economic Activities in the European Union) shall be used.

This column shall apply only for the counterparties ‘ Other financial corporations ’ and ‘ Non-financial corporations ’ . NACE codes shall be used for ‘ Non-financial corporations ’ with one level detail (e.g. ‘ F – Construction ’ ) and for ‘ Other financial corporations ’ with a two level detail, which provides separate information on insurance activities (e.g. ‘ K65 — Insurance, reinsurance and pension funding, except compulsory social security ’ ).

The ‘ Other financial corporations ’ and ‘ Non-financial corporations ’ economic sectors shall be classified on the basis of FINREP counterparty breakdown.

For groups of connected clients, no NACE code shall be reported.

070
Type of counterparty

Article 394(2) of CRR

The type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities shall be specified by using ‘ I ’ for institutions or ‘ U ’ for unregulated financial sector entities.

6. C 28.00 — Exposures in the non-trading and trading book (LE2) U.K.

6.1. Instructions concerning specific columns U.K.
ANNEX IX Table 3: rows 1 - 46
[F1Column Legal references and instructions
010
Code

For a group of connected clients, if a unique code is available at national level, this code shall be reported as the code of the group of connected clients. Where there is no unique code at the national level, the code that shall be reported shall be the code of the parent company in C 27.00.

In the cases where the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. In any other case, the code shall correspond to the individual counterparty.

The codes shall be used in a consistent way across time.

The composition of the code depends on the national reporting system, unless a uniform codification is available in the EU.

020
Group or individual

The institution shall report ‘ 1 ’ for the reporting of exposures to individual clients or ‘ 2 ’ for the reporting of exposures to groups of connected clients.

030
Transactions where there is an exposure to underlying assets

Article 390(7) of CRR

In accordance with further technical specifications by the national competent authorities, when the institution has exposures to the reported counterparty through a transaction where there is an exposure to underlying assets, the equivalent to ‘ Yes ’ shall be reported; otherwise the equivalent to ‘ No ’ shall be reported.

040-180
Original exposures

Articles 24, 389, 390 and 392 of CRR.

The institution shall report in this block of columns the original exposures of direct exposures, indirect exposures, and additional exposures arising from transactions where there is an exposure to underlying assets.

According to Article 389 of CRR, assets and off balance sheet items shall be used without risk weights or degrees of risk. Specifically, credit conversion factors shall not be applied to off balance sheet items.

These columns shall contain the original exposure, i.e. the exposure value without taking into account value adjustments and provisions, which shall be deducted in column 210.

The definition and calculation of the exposure value is set out in Articles 389 and 390 of CRR. The valuation of assets and off-balance-sheet items shall be effected in accordance with the accounting framework to which the institution is subject, according to Article 24 of CRR.

Exposures deducted from own funds, which are not exposures according to Article 390(6)(e), shall be included in these columns. These exposures shall be deducted in column 200.

Exposures referred to in points (a) to (d) of Article 390(6)of CRR shall not be included in these columns.

Original exposures shall include any asset and off-balance sheet items according to Article 400 of CRR. The exemptions shall be deducted for the purpose of Article 395(1) of CRR in column 320.

Exposures from both non-trading and trading book shall be included.

For the breakdown of the exposures in financial instruments, where different exposures arising from netting agreements constitute a single exposure, the latter shall be allocated to the financial instrument corresponding to the principal asset included in the netting agreement (in addition, see the introductory section).

040
Total original exposure

The institution shall report the sum of direct exposures and indirect exposures as well as the additional exposures that arise from the exposure to transactions where there is an exposure to underlying assets.

050
Of which: defaulted

Article 178 of CRR.

The institution shall report the part of the total original exposure corresponding to defaulted exposures.

060-110
Direct exposures

Direct exposures shall mean the exposures on ‘ immediate borrower ’ basis.

060
Debt instruments

Regulation (EC) No 25/2009 ( ‘ ECB/2008/32 ’ ) Annex II, Part 2, table, categories 2 and 3.

Debt instruments shall include debt securities, and loans and advances.

The instruments included in this column shall be those qualified as ‘ loans of up to and including one year/over one year and up to and including five years/of over five years ’ original maturity’, or as ‘ securities other than shares ’ , according to ECB/2008/32.

Repurchase transactions, securities or commodities lending or borrowing transactions (securities financing transactions) and margin lending transactions shall be included in this column.

070
Equity instruments

ECB/2008/32 Annex II, Part 2, table, categories 4 and 5.

The instruments included in this column shall be those qualified as ‘ Shares and other equities ’ or as ‘ MMF shares/units ’ according to ECB/2008/32.

080
Derivatives

Article 272(2) and Annex II of CRR.

The instruments that shall be reported in this column shall include derivatives listed in Annex II of CRR and long settlement transactions, as defined in Article 272(2) of CRR.

Credit derivatives that are subject to counterparty credit risk shall be included in this column.

090-110
Off balance sheet items

Annex I of CRR.

The value that shall be reported in these columns shall be the nominal value before any reduction of specific credit risk adjustments and without application of conversion factors.

090
Loan commitments

Annex I, points 1(c) and (h), 2(b)(ii), 3(b)(i) and 4(a) of CRR.

Loan commitments are firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument.

100
Financial guarantees

Annex I, points 1(a),(b) and (f), of CRR.

Financial guarantees are contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Credit derivatives that are not included in the column ‘ derivatives ’ shall be reported in this column.

110
Other commitments

Other commitments are the items in Annex I to CRR that are not included in the previous categories. The exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the institution shall be reported in this column.

120-180
Indirect exposures

Article 403 of CRR.

According to Article 403 of CRR, a credit institution may use the substitution approach where an exposure to a client is guaranteed by a third party, or secured by collateral issued by a third party.

The institution shall report in this block of columns the amounts of the direct exposures that are re-assigned to the guarantor or the issuer of collateral provided that the latter would be assigned an equal or lower risk weight than the risk weight which would be applied to the third party under Part Three, Title II, Chapter 2 of CRR. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of ‘ Eligible credit risk mitigation techniques ’ . The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect. This shall apply also to guarantees given within a group of connected clients.

The institution shall report the original amount of the indirect exposures in the column that corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the direct exposure guaranteed is a debt instrument, the amount of ‘ Indirect exposure ’ assigned to the guarantor shall be reported under the column ‘ Debt instruments ’ .

Exposures arising from credit-linked notes shall also be reported in this block of columns, according to Article 399 of CRR.

120
Debt instruments

See column 060.

130
Equity instruments

See column 070.

140
Derivatives

See column 080.

150-170
Off balance sheet items

The value of these columns shall be the nominal value before any reduction of specific credit risk adjustments and conversion factors are applied.

150
Loan commitments

See column 090.

160
Financial guarantees

See column 100.

170
Other commitments

See column 110.

180
Additional exposures arising from transactions where there is an exposure to underlying assets

Article 390(7) of CRR.

Additional exposures that arise from transactions where there is an exposure to underlying assets.

190
(-) Value adjustments and provisions

Articles 34, 24, 110 and 111 of CRR.

Value adjustment and provisions included in the corresponding accounting framework (Directive 86/635/EEC or Regulation (EC) No 1606/2002) that affect the valuation of exposures according to Articles 24 and 110 of CRR.

Value adjustments and provisions against the gross exposure given in column 040 shall be reported in this column.

200
(-) Exposures deducted from own funds

Article 390(6)(e) of CRR.

Exposures deducted from own funds, which shall be included in the different columns of Total original exposure, shall be reported.

210-230
Exposure value before application of exemptions and CRM

Article 394(1)(b) of CRR.

Institutions shall report the exposure value before taking into account the effect of the credit risk mitigation, where applicable.

210
Total

The exposure value to be reported in this column shall be the amount used for determining whether an exposure is a large exposure according to the definition in Article 392 of CRR.

This shall include the original exposure after subtracting value adjustments and provisions and the amount of the exposures deducted from own funds.

220
Of which: Non-trading book

The amount of the non-trading book from the total exposure before exemptions and CRM.

230
% of eligible capital

Articles 4(1)(71)(b) and 395 of CRR.

The amount that shall be reported is the percentage of the exposure value before application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(1)(71)(b) of CRR.

240-310
(-) Eligible credit risk mitigation (CRM) techniques

Articles 399 and 401 to 403 of CRR.

CRM techniques as defined in Article 4(1)(57) of CRR.

For the purposes of this reporting, the CRM techniques recognised in Part Three, Title II, Chapter 3 and 4, of CRR shall be used in accordance with Articles 401 to 403 of CRR.

CRM techniques may have three different effects in the LE regime: substitution effect; funded credit protection other than substitution effect; and real estate treatment.

240-290
(-) Substitution effect of eligible credit risk mitigation techniques

Article 403 of CRR.

The amount of funded and unfunded credit protection that shall be reported in these columns shall correspond to the exposures guaranteed by a third party, or secured by collateral issued by a third party, where the institution decides to treat the exposure as incurred with the guarantor or the issuer of collateral.

240
(-) Debt instruments

See column 060.

250
(-) Equity instruments

See column 070.

260
(-) Derivatives

See column 080.

270-290
(-) Off balance sheet items

The value of these columns shall be without application of conversion factors.

270
(-) Loan commitments

See column 090.

280
(-) Financial guarantees

See column 100.

290
(-) Other commitments

See column 110.

300
(-) Funded credit protection other than substitution effect

Article 401 of CRR.

The institution shall report the amounts of funded credit protection, as defined in Article 4(1)(58) of CRR, that are deducted from the exposure value due to the application of Article 401 of CRR.

310
(-) Real estate

Article 402 of CRR.

The institution shall report the amounts deducted from the exposure value due to the application of Article 402 of CRR.

320
(-) Amounts exempted

Article 400 of CRR.

The institution shall report the amounts exempted from the LE regime.

330-350
Exposure value after application of exemptions and CRM

Article 394(1)(d) of CRR.

The institution shall report the exposure value after taking into account the effect of the exemptions and credit risk mitigation calculated for the purpose of Article 395(1) of CRR.

330
Total

This column shall include the amount to be taken into account in order to comply with the large exposures limit set out in Article 395 of CRR.

340
Of which: Non-trading book

The institution shall report the total exposure after application of exemptions and after taking into account the effect of CRM belonging to the non-trading book.

350
% of eligible capital

The institution shall report the percentage of the exposure value after application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(1)(71)(b) of CRR.

7. C 29.00 — Details of the exposures to individual clients within groups of connected clients (LE3) U.K.

7.1. Instructions concerning specific columns U.K.
Column Legal references and instructions
010-360 The institution shall report in template LE3 the data of the individual clients belonging to the groups of connected clients included in the rows of template LE2.
010
Code

Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the table.

The code of the individual counterparty belonging to the groups of connected clients shall be reported.

020
Group code

Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the table.

If a unique code for a group of connected clients is available at national level, this code shall be reported. Where there is no unique code at the national level, the code that shall be reported shall be the code used for reporting exposures to the Group of Connected clients in C 28.00 (LE2).

Where a client belongs to several groups of connected clients, it shall be reported as a member of all the groups of connected clients.

030
Transactions where there is an exposure to underlying assets

See column 030 of template LE2.

040
Type of connection

The type of connection between the individual entity and the group of connected clients shall be specified by using either:

‘ a ’ within the meaning of Article 4(1)(39)(a) of CRR (control); or

‘ b ’ within the meaning of Article 4(1)(39)(b) of CRR (interconnectedness).

050-360

When financial instruments in template LE2 are provided to the whole group of connected clients they shall be allocated to the individual counterparties in template LE3 in accordance with the business criteria of the institution.

The remaining instructions are the same as for template LE2.

8. C 30.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE 4) U.K.

8.1. Instructions concerning specific columns U.K.
Column Legal references and instructions
010
Code

The code is a row identifier and must be unique for each row in the table.

See column 010 of template LE1.

020-250
Maturity buckets of the exposure

Article 394(2)(e) of CRR

The institution shall report this information for the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities.

The maturity buckets are defined with a monthly interval up to one year, with a quarterly interval from one year up to three years and with larger intervals from three years onwards.

Each exposure value before application of exemptions and CRM (column 210 of LE2 template) shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. In case of several separate relationships constituting an exposure to a client, each of these parts of the exposure shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. Instruments which do not have a fixed maturity, like equity, shall be included in the column ‘ undefined maturity ’ .

The expected maturity of the exposure shall be reported for both direct and indirect exposures.

For direct exposures, when allocating expected amounts of equity instruments, debt instruments and derivatives into the different maturity buckets of this template, the instructions of the maturity ladder template of the additional metrics on liquidity shall be used (see consultation paper CP18 published on 23.05.2013 ).

In the case of off-balance sheet items, the maturity of the underlying risk shall be used in the allocation of expected amounts to maturity buckets. More specifically, for forward deposits that means the maturity structure of the deposit; for financial guarantees, the maturity structure of the underlying financial asset; for undrawn facilities of loan commitments, the maturity structure of the loan; and for other commitments, the maturing structure of the commitment.

In the case of indirect exposures, the allocation into maturity buckets shall be based on the maturity of the guaranteed operations which generate the direct exposure.

In case an exposure or a part of an exposure is to be regarded as defaulted and is reported as such in template C 28.00 (LE 2, column 050) and C 29.00 (LE 3, column 060), the expected run-off of the defaulted exposure must be allocated to the respective maturity buckets as follows:

  • When the reporting entity, in spite of the default, has a clear calendar of expected repayments of the exposure, it shall allocate them into the respective buckets accordingly.

  • When the reporting entity does not have a reasoned view of when defaulted amounts will be repaid (if ever), it shall allocate them into the category ‘ undefined maturity ’ .

9. C 31.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5) U.K.

9.1. Instructions concerning specific columns U.K.
Column Legal references and instructions
010-260 The institution shall report in template LE5 the data of the individual counterparties belonging to the groups of connected clients included in the rows of template LE4.
010
Code

Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table.

See column 010 of template LE3.

020
Group code

Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table.

See column 020 of template LE3.

030-260
Maturity buckets of the exposures

See columns 020-250 of template LE4.]