Commission Implementing Regulation (EU) No 680/2014Show full title

[F1 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

[F1 Column	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 (EU) No 1071/2013 ( ‘ ECB/2013/33 ’ ) 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 ‘ debt securities ’ , according to ECB/2013/33. 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/2013/33 Annex II, Part 2, table, categories 4 and 5. The instruments included in this column shall be those qualified as ‘ Equity ’ or as ‘ Investment fund shares/units ’ according to ECB/2013/33.
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.]

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).