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

Textual Amendments

PART II: TEMPLATE RELATED INSTRUCTIONS 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. ]

17. The exposures to groups of connected clients shall be calculated in accordance with Article 390(5). U.K.
18. 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.
19. The ‘ value of an exposure ’ shall be calculated according to Article 390 of CRR. U.K.
20. 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.
21. 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.