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

Commission Implementing Regulation (EU) No 680/2014 of 16 April 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)         

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U.K.

# Commission Implementing Regulation (EU) No 680/2014                     

# of 16 April 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)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements                           for credit institutions and investment firms and amending Regulation (EU) No 648/2012(1), and in particular the fourth subparagraph of Article 99(5); the fourth subparagraph of Article 99(6); the third subparagraph                           of Article 101(4); the third subparagraph of Article 394(4); the fourth subparagraph of Article 415(3) and the third subparagraph                           of Article 430(2) thereof,                        

Whereas:

(1)Without prejudice to the competent authorities' powers under Article 104 (1) (j) of Directive 2013/36/EU of the European Parliament                              and of the Council(2), with a view to increasing efficiency and reducing the administrative burden, a coherent reporting framework should be established                              on the basis of a harmonised set of standards.

(2)The provisions in this Regulation are closely linked, since they deal with institutions' reporting requirements. To ensure                              coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view                              and compact access to them by persons subject to those obligations, it is desirable to include all related implementing technical                              standards required by Regulation (EU) No 575/2013 in a single Regulation.

(3)The nature and complexity of institutions' activities such as trading book or non-trading book and approaches used for credit                              risk determine the extent of the actual reporting obligations of institutions. In addition, and in accordance with Article                              99 (5) of Regulation (EU) No 575/2013, the reporting burden to institutions should be proportionate and reduced frequencies                              of reporting of certain templates should be introduced. Further, in order to take into account the nature, scale and complexity                              of institutions, template-specific materiality thresholds, should be introduced before certain reporting requirements are                              triggered.

(4)Where reporting requirements are based on quantitative thresholds, in order to ensure a smooth transition to common supervisory                              reporting, template-specific entry and exit criteria should be introduced.

(5)Institutions applying an accounting year that is different from the calendar year should be allowed to adjust reporting reference                              dates and remittance dates for reporting financial information, in order to alleviate, for such institutions, the burden of                              preparing the accounts for two different periods.

(6)Financial information covers information on institutions' financial situation and potential systemic risks. The basic information                              on the financial situation is complemented with more detailed breakdowns to provide supervisors with information on risks                              of different activities. Institutions should therefore provide granular and uniform data especially on geographical and sectoral                              breakdowns and significant counterparties of exposures and funding in order to provide supervisory authorities with information                              on potential concentrations and build-ups of systemic risks.

(7)In order to ensure consistency and comparability of information, where competent authorities require institutions to report                              information on own funds by using International Financial Reporting Standards (IFRS), as applicable under Regulation (EC)                              No 1606/2002 of the European Parliament and of the Council(3), and extends this reporting requirement also to the reporting of financial information, institutions should report financial                              information in a manner similar to that of institutions preparing their consolidated accounts using IFRS, as applicable under                              Regulation (EC) No 1606/2002.

(8)Similarly, in order to ensure consistency and comparability of information, where competent authorities require institutions                              using national accounting standards to report financial information by virtue of Article 99 (6), these institutions should                              report financial information in a manner similar to that of institutions using IFRS, as applicable under Regulation (EC) No                              1606/2002, for reporting adjusted based on national accounting standards.

(9)As there is a multitude of different reporting requirements at national and Union level for purposes other than those established                              by Regulation (EU) No 575/2013, such as statistical data, monetary data, Pillar II data any rules on the common supervisory                              reporting can only be part of an overall reporting framework. Using one IT solution which applies to the overall reporting                              framework is more cost efficient compared to specifying different IT solutions for individual parts of that overall reporting                              framework. In order to avoid having to require institutions to report necessary information using one specific IT solution                              while applying other IT solutions for other reporting requirements, and with the view to avoiding unjustified implementation                              and operating costs, a Data Point Model and defined minimum precision requirements should be developed, so as to ensure that                              the different IT solutions in place produce harmonised data as well as reliable data quality. Further, in order to reduce                              the reporting burden for institutions, provided that the necessary requirements are fully met, competent authorities should                              be allowed to continue to define alternative presentations and data exchange formats currently also used for other reporting                              purposes. In that respect, competent authorities should be allowed to not require data points that can be derived from other                              data points included in the data point model, or data points referring to information that is already collected by the competent                              authority.

(10)Given the novelty of reporting requirements in some jurisdictions in relation to financial information and in relation to                              liquidity reporting requirements, and with the view to providing institutions with adequate time to implement those requirements                              in a manner that will produce data of high quality, a deferred application date should apply in relation to those reporting                              requirements.

(11)Given the first time application of common supervisory reporting in the Union and the need for institutions to adapt their                              reporting and IT systems to the common supervisory reporting requirements, institutions should have longer remittance dates                              for monthly reports during the first year of application of the common supervisory reporting.

(12)This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority to the                              Commission.

(13)The European Banking Authority has conducted open public consultations on the draft implementing technical standards on which                              this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder                              Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council(4),

HAS ADOPTED THIS REGULATION:

## CHAPTER 1U.K.**SUBJECT MATTER AND SCOPE**

### Article 1U.K.Subject matter and scope

This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following                     areas:                  

own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;

losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;

large exposures and other largest exposures according to Article 394(1) of Regulation (EU) No 575/2013;

leverage ratio according to Article 430 of Regulation (EU) No 575/2013;

Liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013.

## CHAPTER 2U.K.**REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS**

### Article 2U.K.Reporting reference dates

1.Institutions shall submit information to competent authorities as it stands on the following reporting reference dates:                  

(a)Monthly reporting: on the last day of each month;                  

(b)Quarterly reporting: 31 March, 30 June, 30 September and 31 December;                  

(c)Semi-annual reporting: 30 June and 31 December;                  

(d)Annual reporting: 31 December.                  

2.Information submitted pursuant to the templates set out in Annex III and Annex IV according to the instructions in Annex V                        referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date.                  

3.Where institutions are permitted by national laws to report their financial information based on their accounting year-end                        which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial                        information is done every three, six or twelve months from their accounting year-end, respectively.                  

### Article 3U.K.Reporting remittance dates

1.Institutions shall submit information to competent authorities by close of business of the following remittance dates:                  

(a)Monthly reporting: 15th calendar day after the reporting reference date;                  

(b)Quarterly reporting: 12 May, 11 August, 11 November and 11 February;                  

(c)Semi-annual reporting: 11 August and 11 February;                  

(d)Annual reporting: 11 February.                  

2.If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided,                        or a Saturday or a Sunday, data shall be submitted on the following working day.                  

3.Where institutions report their financial information using adjusted reporting reference dates based on their accounting year-end                        as set out in Article 2 paragraph 3, the remittance dates may also be adjusted accordingly so that the same remittance period                        from the adjusted reporting reference date is maintained.                  

4.Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited                        figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor's                        opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.                  

5.Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.                  

### Article 4U.K.Reporting thresholds — entry and exit criteria

1.Institutions shall start reporting information subject to thresholds from the next reporting reference date where they have                        exceeded the threshold on two consecutive reporting reference dates.                  

2.For the first two reporting reference dates on which institutions have to comply with the requirements of this Regulation,                        institutions shall report the information subject to thresholds if they exceed the relevant thresholds on the same reporting                        reference date.                  

3.Institutions may stop reporting information subject to thresholds from the next reporting reference date where they have fallen                        below the relevant thresholds on three consecutive reporting reference dates.                  

## CHAPTER 3U.K.**FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION**

### *SECTION 1*U.K.***Format and frequency of reporting on own funds and own funds requirements***

#### Article 5U.K.Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except                        for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013                     on an individual basis, institutions shall submit all the information listed in paragraphs (a) and (b).                  

Institutions shall submit the following information with a quarterly frequency:

the information relating to own funds and own funds requirements as specified in templates 1 to 5 of Annex I, according to                                       the instructions in Part II point 1 of Annex II;                                    

the information on credit risk and counterparty credit risk exposures treated under the Standardised Approach as specified                                       in template 7 of Annex I, according to the instructions in Part II point 3.2 of Annex II;                                    

the information on credit risk and counterparty credit risk exposures treated under the Internal Rating Based Approach as                                       specified in template 8 of Annex I, according to the instructions in Part II point 3.3 of Annex II;                                    

the information on the geographical distribution of exposures by country as specified in template 9 of Annex I, according                                       to the instructions in Part II point 3.4 of Annex II, where non-domestic original exposures in all ‘non-domestic’ countries                                       in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic                                       and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed                                       to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The                                       entry and exit criteria of Article 4 shall apply;                                    

the information on equity exposures treated under the Internal Ratings Based Approach as specified in template 10 of Annex                                       I, according to the instructions in Part II point 3.5 of Annex II;                                    

the information on settlement risk as specified in template 11 of Annex I, according to the instructions in Part II point                                       3.6 of Annex II;                                    

the information on securitisations exposures treated under the Standardised Approach as specified in template 12 of Annex                                       I, according to the instructions in Part II point 3.7 of Annex II;                                    

the information on securitisation exposures treated under the Internal Rating Based Approach as specified in template 13 of                                       Annex I, according to the instructions in Part II point 3.8 of Annex II;                                    

the information on own funds requirements and losses relating to operational risk as specified in template 16 of Annex I,                                       according to the instructions in Part II point 4.1 of Annex II;                                    

the information on own funds requirements relating to market risk as specified in templates 18 to 24 of Annex I, according                                       to the instructions in Part II point 5.1 to 5.7 of Annex II;                                    

the information on own funds requirements relating to credit valuation adjustment risk as specified in template 25 of Annex                                       I, according to the instructions in Part II point 5.8 of Annex II.                                    

Institutions shall submit the following information with a semi-annual frequency:

the information on all securitisation exposures as specified in template 14 of Annex I, according to the instructions in Part                                       II point 3.9 of Annex II;                                    

the information on material losses regarding operational risk in the following manner:

institutions which calculate own funds requirements relating to operational risk according to Chapters 3 or 4 of Title III                                                of Part 3 of Regulation (EU) No 575/2013 shall report this information as specified in template 17 of Annex I, according to                                                the instructions in Part II point 4.2 of Annex II;                                             

institutions which calculate own funds requirements relating to operational risk according to Chapter 3 of Title III of Part                                                3 of Regulation (EU) No 575/2013 and whose ratio of their individual balance sheet total on the sum of individual balance                                                sheet totals of all institutions within the same Member State is below 1 % may only report the information as specified in                                                template 17 of Annex I according to the instructions in paragraph 124 of Part II of Annex II. Balance sheet total figures                                                shall be based on year-end figures for the year before the year preceding the reporting reference date. The entry and exit                                                criteria of Article 4 shall apply;                                             

institutions which calculate the own funds requirements relating to operational risk according to Chapter 2 of Title III of                                                Part Three of Regulation (EU) No 575/2013 are entirely exempted from reporting information referred to in template 17 of Annex                                                I and point 4.2 of Part II of Annex II.                                             

#### Article 6U.K.Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which                        only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013                     on a consolidated basis, institutions in a member state shall submit:                  

the information specified in Article 5 in the frequency specified therein but on a consolidated basis;

the information specified in template 6 of Annex I according to the instructions provided in point 2 of Part II of Annex II                              regarding entities included in the scope of consolidation, with a semi-annual frequency.                           

#### Article 7U.K.Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and                        96 Regulation (EU) No 575/2013 on an individual basis

1.In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013                        on an individual basis, investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the information                        specified in templates 1 to 5 of Annex I, according to the instructions in point 1 of Part II of Annex II with a quarterly                        frequency.                  

2.In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013                        on an individual basis, investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the information                        specified in points (a) and (b) (1) of Article 5 of this Regulation with the frequency specified therein.                  

#### Article 8U.K.Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms                        subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis

1.In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013                        on a consolidated basis, investment firms of groups which consist only of investment firms subject to Article 95 of Regulation                        (EU) No 575/2013 shall submit the following information on a consolidated basis:                  

(a)the information on own funds and own funds requirements as specified in templates 1 to 5 of Annex I according to the instructions                        in point 1 of Part II of Annex II, with a quarterly frequency;                  

(b)the information on own funds and own funds requirements regarding entities included in the scope of consolidation as specified                        in template 6 of Annex I, according to the instructions in point 2 of Part II of Annex II, with a semi-annual frequency.                  

2.In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013                        on a consolidated basis, investment firms of groups which consist of investment firms subject to both Article 95 and Article                        96 as well as groups which consist only of investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit                        the following information on a consolidated basis:                  

(a)the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein;                  

(b)the information regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according                        to the instructions of point 2 of Part II of Annex II, with a semi-annual frequency.                  

### *SECTION 2*U.K.***Format and frequency of reporting on financial information on a consolidated basis***

#### Article 9U.K.Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002                        and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis

1.In order to report financial information on a consolidated basis according to Article 99 (2) of Regulation (EU) No 575/2013,                        institutions established in a Member State shall submit the information specified in Annex III on a consolidated basis, according                        to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions                        in Annex IX.                  

2.The information referred to in paragraph 1 shall be submitted according to the following specifications:                  

(a)the information specified in Part 1 of Annex III with a quarterly frequency;                  

(b)the information specified in Part 3 of Annex III with a semi-annual frequency;                  

(c)the information specified in Part 4 of Annex III with an annual frequency;                  

(d)the information specified in template 20 in Part 2 of Annex III with a quarterly frequency in the manner provided in point                        (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;                  

(e)the information specified in template 21 in Part 2 of Annex III where tangible assets subject to operating leases are equal                        or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex III with a quarterly frequency.                        The entry and exit criteria referred to in Article 4 shall apply;                  

(f)the information specified in template 22 in Part 2 of Annex III where net fee and commission income is equal or higher than                        10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex III                        with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;                  

(g)the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but                        less than 10 % of the institution's eligible capital with a quarterly frequency.                  

#### Article 10U.K.Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on                        a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013

Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions                     in a Member State in accordance with Article 99(3) Regulation (EU) No 575/2013, institutions shall submit financial information                     according to Article 9.                  

#### Article 11U.K.Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed                        under Directive 86/635/EEC on a consolidated basis

1.Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions                        established in a Member State in accordance with Article 99(6) Regulation (EU) No 575/2013, institutions shall submit the                        information specified in Annex IV on a consolidated basis, according to the instructions in Annex V and the information specified                        in Annex VIII on a consolidated basis, according to the instructions in Annex IX.                  

2.The information referred to in paragraph 1 shall be submitted according to the following specifications:                  

(a)the information specified in Part 1 of Annex IV with a quarterly frequency;                  

(b)the information specified in Part 3 of Annex IV with a semi-annual frequency;                  

(c)the information specified in Part 4 of Annex IV with an annual frequency;                  

(d)the information specified in template 20 in Part 2 of Annex IV with a quarterly frequency in the manner provided in point                        (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;                  

(e)the information specified in template 21 in Part 2 of Annex IV where tangible assets subject to operating leases are equal                        or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex IV with a quarterly frequency.                        The entry and exit criteria referred to in Article 4 shall apply;                  

(f)the information specified in template 22 in Part 2 of Annex IV where net fee and commission income is equal or higher than                        10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex IV with                        a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;                  

(g)the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but                        less than 10 % of the institution's eligible capital with a quarterly frequency.                  

## CHAPTER 4U.K.**FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY                           ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013**

## Article 12U.K.

1.Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on a consolidated                        basis with a semi-annual frequency.                  

2.Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on an individual                        basis with a semi-annual frequency.                  

3.Branches in another Member State shall also submit to the competent authority of the host Member State information as specified                        in Annex VI according to the instructions in Annex VII related to that branch with a semi-annual frequency.                  

## CHAPTER 5U.K.**FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS**

## Article 13U.K.

1.In order to report information on large exposures to clients and groups of connected clients according to Article 394(1) of                        Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified                        in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.                  

2.In order to report information on the twenty largest exposures to clients or groups of connected clients according to the                        last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions which are subject to                        Chapter 3 of Title II of Part Three of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII according                        to the instructions in Annex IX, with a quarterly frequency.                  

3.In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated                        financial entities according to Article 394(2) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall                        submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.                  

## CHAPTER 6U.K.**FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS**

## Article 14U.K.

1.In order to report information on the leverage ratio according to Article 430 (1) of Regulation (EU) No 575/2013 on an individual                        and a consolidated basis, institutions shall submit the information specified in Annex X according to the instructions in                        Annex XI, with a quarterly frequency.                  

2.The reporting of this data shall reflect the methodology applicable for the calculation of the leverage ratio, either as the                        simple arithmetic mean of monthly data over the quarter, as per Article 429(2) of Regulation (EU) No 575/2013, or, where competent                        authorities have exercised the derogation in Article 499 (3) of the Regulation (EU) No 575/2013, as end of quarter leverage                        ratio.                  

3.Institutions are required to report the information referred to in paragraph 22 of Part II of Annex XI in the next reporting                        period, if one of the following conditions is met:                  

(a)the derivatives share referred to in paragraph 15 of Part II of Annex XI is more than 1,5 %;                  

(b)the derivatives share referred to in paragraph 15 of Part II of Annex XI exceeds 2,0 %.                  

The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from                     the next reporting reference date where they have exceeded the threshold on one reporting reference date                  

4.Institutions for which the total notional value of derivatives as defined in paragraph 17 of Part II of Annex XI exceeds 10                        billion € shall report the information referred to in paragraph 22 of Part II of Annex XI, even though their derivatives share                        does not fulfil the conditions described in paragraph 3.                  

The entry criteria of Article 4 shall not apply for paragraph 4. Institutions shall start reporting information from the next                     reporting reference date where they have exceeded the threshold on one reporting reference date.                  

5.Institutions are required to report the information referred to in paragraph 23 of Part II of Annex XI in the next reporting                        period where one of the following conditions is met:                  

(a)the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI is more than EUR 300 million;                  

(b)the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI exceeds EUR 500 million.                  

The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from                     the next reporting reference date where they have exceeded the threshold on one reporting reference date.                  

6.Where the threshold that is specified in paragraph 39 of Part II of Annex XI is in all cases not met, institutions shall be                        exempted from the requirement to report information as specified in paragraph 40 of Part II of Annex XI.                  

## CHAPTER 7U.K.**FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS**

### Article 15U.K.Format and frequency of reporting on liquidity coverage requirement

1.In order to report information on the liquidity coverage requirement according to Article 415 of Regulation (EU) No 575/2013                        on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the                        instructions in Annex XIII with a monthly frequency.                  

2.The information set out in Annex XII shall take into account the information submitted for the reference date and the information                        on the cash-flows of the institution over the following 30 calendar days.                  

### Article 16U.K.Format and frequency of reporting on stable funding

In order to report information on the stable funding according to Article 415 of Regulation (EU) No 575/2013 on an individual                     and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in                     Annex XIII with a quarterly frequency.                  

## CHAPTER 8U.K.**IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES**

## Article 17U.K.

1.Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations                        specified by competent authorities, respecting the data point definition included in the data point model specified in Annex                        XIV and the validation formulae specified in Annex XV as well as the following specifications:                  

(a)information that is not required or not applicable shall not be included in a data submission;                  

(b)numeric values shall be submitted as facts according to the following:                  

data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units;

data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals;

data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.

2.The data submitted by the institutions shall be associated with the following information:                  

(a)reporting reference date and reference period;                  

(b)reporting currency;                  

(c)accounting standard;                  

(d)identifier of the reporting institution;                  

(e)level of application as individual or consolidated.                  

## CHAPTER 9U.K.**TRANSITIONAL AND FINAL PROVISIONS**

### Article 18U.K.Transitional period

The remittance date for data with a quarterly reporting frequency relating to the reference date 31 March 2014 for information                     to be reported shall be 30 June 2014 at the latest.                  

For the period from 31 March 2014 to 30 April 2014 as a deviation from point (a) of Article 3(1) the reporting remittance                     date relating to monthly reporting shall be 30 June 2014.                  

For the period from 31 May 2014 to 31 December 2014 as a deviation from point (a) of Article 3(1) the reporting remittance                     date relating to monthly reporting shall be the thirtieth calendar day after the reporting reference date                  

### Article 19U.K.Entry into Force

This Regulation shall enter into force on the day following that of its publication in the *Official Journal of the European Union*.                  

This Regulation shall apply from 1 January 2014.

Articles 9, 10 and 11 shall apply from 1 July 2014.

Article 15 shall apply from 1 March 2014.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 16 April 2014.

*For the Commission*                            

*The President*                            

José Manuel Barroso                            

## ANNEX IU.K.REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

### **C 01.00 — OWN FUNDS (CA1)**

### **C 02.00 — OWN FUNDS REQUIREMENTS (CA2)**

### **C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)**

### **C 04.00 — MEMORANDUM ITEMS (CA4)**

### **C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)**

### **C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)**

### **C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)**

### **C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)**

**SA Exposure class**

### **C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)**

**IRB Exposure class:**

**Own estimates of LGD and/or conversion factors:**

### **C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR                           GRADES OR POOLS (CR IRB 2)**

**IRB Exposure class:**

**Own estimates of LGD and/or conversion factors:**

### **C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)**

**Country:**

### **C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)**

**Country:**

### **C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3)**

**Country:**

### **C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)**

### **C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH                           BY OBLIGOR GRADES (CR EQU IRB 2)**

### **C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)**

### **C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)**

### **C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)**

### **C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details)**

### **C 16.00 — OPERATIONAL RISK (OPR)**

### **C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)**

### **C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)**

**Currency:**

### **C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)**

### **C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)**

### **C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)**

**National market:**

### **C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)**

### **C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)**

### **C 24.00 — MARKET RISK INTERNAL MODELS (MKR IM)**

### **C 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA)**

## ANNEX IIU.K.REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

## **PART I: GENERAL INSTRUCTIONS**U.K.

### 1.STRUCTURE AND CONVENTIONSU.K.

#### 1.1.STRUCTUREU.K.

##### 1.Overall, the framework consists of five blocks of templates:U.K.

Capital adequacy, an overview of regulatory capital; total risk exposure amount;

Group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope                              of consolidation of the reporting entity                           

Credit risk (including counterparty, dilution and settlement risks);

Market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);

Operational risk.

##### 2.For each template legal references are provided. Further detailed information regarding more general aspects of the reporting                        of each block of templates, instructions concerning specific positions as well as examples and validation rules are included                        in these Guidelines for implementation of the Common Reporting framework.U.K.

##### 3.Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.U.K.

#### 1.2.NUMBERING CONVENTIONU.K.

##### 4.The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of                        the templates. These numerical codes are extensively used in the validation rules.U.K.

##### 5.The following general notation is followed in the instructions: {Template;Row;Column}.U.K.

##### 6.In the case of validations inside a template, in which only data points of that template is used, notations do not refer to                        a template: {Row;Column}.U.K.

##### 7.In the case of templates with only one column, only rows are referred to. {Template;Row}U.K.

##### 8.An asterisk sign is used to express that the validation is done for the rows or columns specified before.U.K.

#### 1.3.SIGN CONVENTIONU.K.

##### 9.Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary,                        any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there                        is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.U.K.

## **PART II: TEMPLATE RELATED INSTRUCTIONS**U.K.

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

#### 1.1.GENERAL REMARKSU.K.

##### 10.CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds                        requirements), and transitional provisions and is structures in five templates:U.K.

CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount.                              The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital                           

CA2 template summarizes the total risk exposures amounts (as defined in Article 92(3) of CRR)

CA3 template contains the ratios for which CRR state a minimum level, and some other related data

CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD                              capital buffers.                           

CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will seize to                              exist once the transitional provisions will expire.                           

##### 11.The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items                        in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator                        is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.U.K.

##### 12.The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital                        (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).U.K.

##### 13.Transitional provisions are treated as follows in CA templates:U.K.

The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according                              to the *final provisions* (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional                              provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments                              due to transitional provisions are included.                           

Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in                              articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly                              reflect the effect of transitional provisions.                           

Template CA5 is exclusively used for reporting the transitional provisions.

##### 14.The treatment of Pillar II requirements can be different within the EU (Article 104 (2) CRD IV has to be transposed into national                        regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the                        solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.U.K.

The templates CA1, CA2 or CA5 only contain data on Pillar I issues.

The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One                              block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of                              ratios do not have any further link to the templates CA1, CA2 or CA5.                           

The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link                              via validation rules to the capital ratios of the CA3 template and reflects Article 104 (2) CRD which explicitly mentions                              additional own funds requirements as one possibility for Pillar II decisions.                           

#### 1.2.C 01.00 — OWN FUNDS (CA1)U.K.

##### 1.2.1.Instructions concerning specific positionsU.K.

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

##### 1.3.1.Instructions concerning specific positionsU.K.

#### 1.4.C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)U.K.

##### 1.4.1.Instructions concerning specific positionsU.K.

#### 1.5.C 04.00 — MEMORANDUM ITEMS (CA4)U.K.

##### 1.5.1.Instructions concerning specific positionsU.K.

#### 1.6.TRANSITIONAL PROVISIONS and GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)U.K.

##### 1.6.1.General remarksU.K.

###### 15.CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles                        465 to 491 of CRR.U.K.

###### 16.CA5 is structured as follows:U.K.

Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in                              CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of                              this table are presented as ‘adjustments’ to the different capital components in CA1, in order to reflect in own funds components                              the effects of the transitional provisions.                           

Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state                              aid.                           

###### 17.Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital                        and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the                        applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.U.K.

###### 18.Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten                        of CRR apply.U.K.

###### 19.Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction                        or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from                        CET1.U.K.

##### 1.6.2.C 05.01 — Transitional provisions (CA5.1)U.K.

###### 20.Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to                        491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.U.K.

###### 21.Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments.                        The figures to be reported in columns 010 to 060 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.U.K.

###### 22.Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests                        and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR).U.K.

###### 23.In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains                        and losses, deductions as well as additional filters and deductions.U.K.

###### 24.There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an                        institution. This effect — if it results from transitional provisions — shall be shown in the CA1 template using the respective                        cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case                        of insufficient capital available.U.K.

###### 1.6.2.1.Instructions concerning specific positionsU.K.

##### 1.6.3.C 05.02 — Grandfathered instruments: instruments not constituing state aid (CA5.2)U.K.

###### 26.Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting                        state aid (Article 484 to 491 of CRR).U.K.

###### 1.6.3.1.Instructions concerning specific positionsU.K.

### 2.C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)U.K.

#### 2.1.GENERAL REMARKSU.K.

##### 27.This template consists of four parts in order to gather different information on all individual entities (including the reporting                        institution) included in the scope of consolidation of the reporting entity.U.K.

Entities within the scope of consolidation;

Detailed group solvency information;

Information on the contribution of individual entities to group solvency

Information on capital buffers

##### 28.Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.U.K.

#### 2.2.DETAILED GROUP SOLVENCY INFORMATION;U.K.

##### 29.The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information                        on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on                        individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for                        each risk category and the own funds for solvency purposes.U.K.

##### 30.In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall                        reflect the respective proportional amounts.U.K.

#### 2.3.INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCYU.K.

##### 31.The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation                        to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns                        250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on                        data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or                        sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not                        elements of a solvency ratio on a solo basis and as such must not be compared to each other.U.K.

##### 32.The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated                        own funds.U.K.

##### 33.As this third part of the template refers to ‘contributions’, the figures to be reported herein shall defer, when applicable,                        from the figures reported in the columns referring to detailed group solvency information.U.K.

##### 34.The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds,                        in order to cover the amounts reported in the group's consolidated CA template by adding the amounts reported for each entity                        in ‘Group Solvency’ template. In cases where the 1 % threshold, is not exceeded a direct link to the CA template is not possible.U.K.

##### 35.The institutions shall define the most appropriate breakdown method between the entities to take into account the possible                        diversification effects for market risk and operational risk.U.K.

##### 36.Institutions which calculate their own funds requirements on a consolidated basis shall report the GS template. It is possible                        for one consolidated group to be included within another consolidated group in which case the consolidated entity will have                        their details included in a higher consolidated group's GS template.U.K.

##### 37.An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount                        exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of                        the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own                        funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.U.K.

#### 2.4.INSTRUCTIONS CONCERNING SPECIFIC POSITIONSU.K.

### 3.CREDIT RISK TEMPLATESU.K.

#### 3.1.GENERAL REMARKSU.K.

##### 38.There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate                        templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as                        set out in Article 5(a)(4) is exceeded.U.K.

##### 3.1.1.Reporting of CRM techniques with substitution effectU.K.

###### 39.Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.U.K.

###### 40.Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the                        case of full protection/partial protection — equal seniority.U.K.

###### 41.Articles 196, 197 and 200 of CRR regulate the funded credit protection.U.K.

###### 42.Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure                        class shall be done as an inflow as well as an outflow to the same exposure class.U.K.

###### 43.The exposure type does not change because of unfunded credit protection.U.K.

###### 44.If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure                        class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure                        does not change due to the change of the exposure class.U.K.

###### 45.The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable                        to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach                        and shall be reported in the CR SA template.U.K.

##### 3.1.2.Reporting of Counterparty Credit RiskU.K.

###### 46.Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from                        whether they are Banking Book items or Trading Book items.U.K.

#### 3.2.C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)U.K.

##### 3.2.1.General remarksU.K.

###### 47.The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according                        to the standardised approach. In particular, they provide detailed information on:U.K.

the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;

the amount and type of credit risk mitigation techniques used for mitigating the risks.

##### 3.2.2.Scope of the CR SA templateU.K.

###### 48.According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate                        the own funds requirements.U.K.

###### 49.The information in CR SA is requested for the total exposure classes and individually for each of the exposure classes as                        defined for the standardised approach. The total figures as well as the information of each exposure class are reported in                        a separate dimension.U.K.

###### 50.However the following positions are not within the scope of CR SA:U.K.

Exposures assigned to exposure class ‘items representing securitisation positions’ according to Article 112 (m) of CRR which                              shall be reported in the CR SEC templates.                           

Exposures deducted from own funds.

###### 51.The scope of the CR SA template covers the following own funds requirements:U.K.

Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among                              which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in                              the banking book;                           

Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading                              book;                           

Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.

###### 52.The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title                        II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94 (1) of                        CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to                        calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template                        provides not only detailed information on the type of the exposure (e.g. on balance sheet/ off balance sheet items), but also                        information on the allocation of risk weights within the respective exposure class.U.K.

###### 53.In addition CR SA includes memorandum items in rows 220 to 250 in order to collect further information about exposures secured                        by mortgages on immovable property and exposures in default.U.K.

###### 54.These memorandum items shall only be reported for the following exposure classes:U.K.

Central governments or central banks (Article 112 point (a) of CRR)

Regional governments or local authorities (Article 112 point (b) of CRR)

Public sector entities (Article 112 point (c) of CRR)

Institutions (Article 112 point (f) of CRR)

Corporates (Article 112 point (g) of CRR)

Retail (Article 112 point (h) of CRR).

###### 55.The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure                        classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112                        points i) and j) of CRR reported in CR SA,.U.K.

###### 56.The memorandum rows provide additional information about the obligor structure of the exposure classes ‘in default’ or ‘secured                        by immovable property’. Here exposures shall be reported where the obligors would have been reported in the exposure classes                        ‘Central governments or central banks’, ‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’,                        ‘Corporates’ and ‘Retail’ of CR SA, if those exposures were not assigned to the exposure classes ‘in default’ or ‘secured                        by immovable property’.U.K.

###### 57.E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments                        are less than 20 %, then this information is reported in CR SA, rows 220 in the total and in the exposure class ‘in default’.                        If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row                        220 of exposure class ‘institutions’.U.K.

##### 3.2.3.Assignment of exposures to exposure classes under the Standardised ApproachU.K.

###### 58.In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112                        of CRR the following sequential approach shall be applied:U.K.

In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class                              as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure                              shall receive within the assigned exposure class.                           

In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation                              (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple                              method) via inflows and outflows.                           

###### 59.The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure                        classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution                        effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure                        class.U.K.

###### 60.For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated                        to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection                        effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article                        112 point (i) of CRR (exposures secured by mortgages on immovable property).U.K.

###### 61.Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could                        potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification                        is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment                        (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/ exposures to corporates (Article                        112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in the CRR since it shall be assessed                        first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards                        do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class                        mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious                        examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised                        approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying                        reason for non disjoint groupings.U.K.

###### 62.For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment                        of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight)                        that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below                        using a decision tree scheme are based on the assessment of the conditions explicitly laid down in the CRR for an exposure                        to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the                        supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting                        purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures                        that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.U.K.

###### 63.An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first                        assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures                        would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class                        would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential                        process.U.K.

###### 64.With this background the assessment ranking in the decision tree mentioned below would follow the following order:U.K.

Securitisation positions;

Items associated with particular high risk;

Equity exposures

Exposures in default;

Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/ Exposures in the form of covered bonds                              (disjoint exposure classes);                           

Exposures secured by mortgages on immovable property;

Other items;

Exposures to institutions and corporates with a short-term credit assessment;

All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures                              to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks;                              Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.                           

###### 65.In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach                        (Article 132 (3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their                        corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the                        exposure class of exposures in the form of units or shares in collective investment undertakings (‘CIU’).U.K.

###### 66.In the case of ‘nth’ to default credit derivatives specified in Article 134 (6) of CRR, if they are rated, they shall be directly                        classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class.                        In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in                        the line for ‘Other risk weights’ (the risk weight used shall be that specified by the sum indicated under Article 134 (6)                        of CRR.U.K.

###### 67.In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated                        to the exposure class of the protection provider.U.K.

###### DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH                        ACCORDING TO CRRU.K.

##### 3.2.4.Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRRU.K.

###### 3.2.4.1.Exposure Class ‘Institutions’U.K.

###### 68.Reporting of intra-group exposures according to Article 113 (6) to (7) of CRR shall be done as follows:U.K.

###### 69.Exposures which fulfil the requirements of Article 113 (7) of CRR shall be reported in the respective exposure classes where                        they would be reported if they were no intra-group exposures.U.K.

###### 70.According Article 113 (6) and (7) of CRR ‘an institution may, subject to the prior approval of the competent authorities,                        decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty                        which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship                        within the meaning of Article 12(1) of Directive 83/349/EEC.’ This means that intra-group counterparties are not necessarily                        institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings                        within the meaning of Article 12 (1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding                        exposure class.U.K.

###### 3.2.4.2.Exposure Class ‘Covered Bonds’U.K.

###### 71.The assignment of SA exposures to the exposure class ‘covered bonds’ shall be done as follows:U.K.

###### 72.Bonds as defined in Article 52 (4) of Directive 2009/65/EC shall fulfil the requirements of Article 129 (1) to (2) of CRR                        to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case.                        Nevertheless, bonds according to Article 52 (4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned                        to the exposure class ‘Covered Bonds’ because of Article 129 (6) of CRR.U.K.

###### 3.2.4.3.Exposure class ‘Collective Investment Undertakings’U.K.

###### 73.Where the possibility according to Article 132 (5) of CRR is used, exposures in the form of units or shares in CIUs shall                        be reported as on balance sheet items according to Article 111 (1) sentence 1 of CRR.U.K.

##### 3.2.5.Instructions concerning specific positionsU.K.

#### 3.3.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)U.K.

##### 3.3.1.Scope of the CR IRB templateU.K.

###### 74.The scope of the CR IRB template covers own funds requirements for:U.K.

Credit risk in the banking book, among which:
                -  Counterparty credit risk in the banking book; 
                -  Dilution risk for purchased receivables; 

Counterparty credit risk in the trading book;

Free deliveries resulting from all business activities..

###### 75.The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to                        Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).U.K.

###### 76.The CR IRB template does not cover the following data:U.K.

Equity exposures, which are reported in the CR EQU IRB template;

Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates;

‘Other non-obligation assets’, according to Article 147 (2) point (g) CRR. The risk weight for this exposure class has to                              be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased                              assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in                              the CA-Template;                           

Credit valuation adjustment risk, which is reported on the CVA Risk template;

The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown                              is reported in the template CR GB.                           

###### 77.In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following                        information shall be provided for each reported exposure class:U.K.

=

in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

=

in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

In any case, for the reporting of the retail portfolios ‘YES’ has to be reported.

In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures                     as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR                     IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.                  

##### 3.3.2.Breakdown of the CR IRB templateU.K.

###### 78.The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate                        total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of                        total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for                        the following exposure and sub-exposure classes:U.K.

Total

(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)

Central banks and central governments

(Article 147 (2) (a) CRR)

Institutions

(Article 147 (2) point (b) CRR)

Corporate — SME

(Article 147 (2) point (c) CRR

Corporate — SME subject to SME-supporting factor

(Article 147 (2) point (c) CRR in conjunction with Article 501 (2))

Corporate — Specialised lending

(Article 147 (8) CRR)

Corporate — Other

(All corporates according to article 147 (2) point (c), not reported under 4.1 and 4.2).

Retail — Secured by immovable property SME

(Exposures reflecting Article 147 (2) point (d) in conjunction with Article 154 (3) CRR which are secured by immovable property).

Retail — Secured by immovable property SME subject to SME-supporting factor

(Exposures reflecting Article 147 (2) point (d) in conjunction with Article 154 (3) CRR which are secured by immovable property).

Retail — Secured by immovable property non-SME

(Exposures reflecting Article 147 (2) point (d) CRR which are secured by immovable property and not reported under 5.1).

Retail — Qualifying revolving

(Article 147 (2) point (d) in conjunction with Article 154 (4) CRR).

Retail — Other SME

(Article 147 (2) point (d) not reported under 5.1 and 5.3).

Retail — Other SME subject to SME supporting factor

(Article 147 (2) point (d) in conjunction with Article 501 (2) CRR not reported under 5.1 and 5.3).

Retail — Other non — SME

(Article 147 (2) point (d) CRR which were not reported under 5.2 and 5.3).

For the sub-exposure classes 4.1)*, 5.1)* and 5.4)* only row 010 (Total exposures) shall be reported. They represent ‘of which’                     positions of the relevant exposure classes with the effect that data relating to these sub-exposure classes shall also be                     included in the exposure classes 4.1, 5.1 and 5.4.                  

##### 3.3.3.C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)U.K.

###### 3.3.3.1Instructions concerning specific positionsU.K.

##### 3.3.4.C 08.02 — Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor                        grades or pools (CR IRB 2 template)U.K.

#### 3.4.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB)U.K.

##### 79.Institutions fulfilling the threshold set in Article 5 (a) (4) shall submit information regarding the domestic country as                        well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2.U.K.

##### 80.The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on                        an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques can change the allocation of an exposure to                        a country.U.K.

##### 81.Data regarding ‘original exposure pre conversion factors’ shall be reported referring to the country of residence of the immediate                        obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence                        of the ultimate obligor.U.K.

##### 3.4.1.C 09.01 — Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)U.K.

###### 3.4.1.1.Instructions concerning specific positionsU.K.

##### 3.4.2.C 09.02 — Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)U.K.

###### 3.4.2.1.Instructions concerning specific positionsU.K.

##### 3.4.3.C 09.03 — Breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3)U.K.

###### 3.4.3.1.General remarksU.K.

###### 82.According to Article 128 point (7) in connection with Articles 130 and 140 (1) CRD the countercyclical buffer rate is the                        ‘weighted average of the countercyclical buffer rates that apply in the jurisdiction where the relevant credit exposures of                        the institution are located’. The weighted average is calculated as follows:U.K.

Numerator: Total own funds requirements for credit risk determined in accordance with Part Three, Titles II and IV of CRR                              that relate to the relevant credit exposures in the territory in question                           

Denominator: Total own funds requirements for credit risk that relate to the relevant credit exposures

###### 83.This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical                        buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II                        of the CRR which includes credit risk and securitisation calculated on the basis of the relevant credit exposures broken down                        by country.U.K.

###### 84.The information shall be reported by each country. The threshold set in Article 5 (a) (4) is not relevant for the reporting                        of this breakdown.U.K.

###### 3.4.3.2.Instructions concerning specific positionsU.K.

#### 3.5.C 10.01 AND C 10.02 — EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)U.K.

##### 3.5.1.General remarksU.K.

###### 85.The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity                        exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total                        exposures assigned to obligor grades in the context of the PD/LGD approach. ‘CR EQU IRB’ refers to both ‘CR EQU IRB 1’ and                        ‘CR EQU IRB 2’ templates, as applicable, in the following instructions.U.K.

###### 86.The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article                        92 (3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred                        to in Article 147(2) point (e) of CRR.U.K.

###### 87.According to Article 147 (6) of CRR, the following exposures shall be assigned to the equity exposure class:U.K.

non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or

debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar                              to the exposures specified in point (a).                           

###### 88.Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR                        shall also be reported in the CR EQU IRB template.U.K.

###### 89.In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three                        approaches referred to in Article 155 of CRR:U.K.

          -  the Simple Risk Weight approach, 
          -  the PD/LGD approach, or 
          -  the Internal Models approach. 

Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template riskweighted exposure amounts                     for those equity exposures which attract a fixed riskweight treatment (without however being explicitly treated according                     to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g.                     equity exposures attracting a riskweight of 250 % in accordance with Article 48(4) of CRR, respectively a riskweight of 370                     % in accordance with Article 471(2) of CRR))).                  

###### 90.The following equity claims shall not be reported in the CR EQU IRB template:U.K.

          -  Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements                           for trading book positions according to Article 94 of CRR).                         
          -  Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including: 
          -  Grandfathered equity exposures according to Article 495(1) of CRR, 
          -  Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including                           those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR),                         
          -  Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant                           subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity                           investments (Article 150(1) point (h) of CRR).                         
          -  Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the                           treatment of ‘other non credit-obligation assets’ (in accordance with Article 155(1) of CRR).                         
          -  Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR. 

##### 3.5.2.Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)U.K.

###### 91.In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach                        or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall                        also report in the CR EQU IRB 1 template riskweighted exposure amounts for those equity exposures which attract a fixed riskweight                        treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent)                        partial use of the credit risk Standardised approach).U.K.

#### 3.6.C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)U.K.

##### 3.6.1.General remarksU.K.

###### 92.This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery                        dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) Point c) ii) and 378                        of CRR.U.K.

###### 93.Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments,                        equities, foreign currencies and commodities held in their trading or non-trading book.U.K.

###### 94.According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities                        borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery                        risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless                        subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.U.K.

###### 95.In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they                        are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency                        or commodity in question and its current market value, where the difference could involve a loss for the institution.U.K.

###### 96.Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding                        own funds requirements.U.K.

###### 97.According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5                        to calculate the risk exposure amount.U.K.

###### 98.Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR                        SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).U.K.

##### 3.6.2.Instructions concerning specific positionsU.K.

#### 3.7.C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)U.K.

##### 3.7.1.General remarksU.K.

###### 99.The information in this template is requested for all securitisations in which the reporting institution is involved in a                        securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution                        as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.U.K.

###### 100.The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book,                        as defined in Article 242 (10) and (11) of CRR, respectively.U.K.

##### 3.7.2.Instructions concerning specific positionsU.K.

###### 101.The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or                        purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance                        sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.U.K.

###### 102.Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last                        block of rows). Originators, sponsors as well as investors shall report this information.U.K.

#### 3.8.C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)U.K.

##### 3.8.1.General remarksU.K.

###### 103.The information in this template is requested for all securitisations in which the reporting institution is involved in a                        securitisation treated under the Internal Ratings Based Approach.U.K.

###### 104.The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting                        items are applicable for originators, sponsors and investors.U.K.

###### 105.The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic                        securitisations held in the banking book.U.K.

##### 3.8.2.Instructions concerning specific positionsU.K.

###### 106.The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained                        or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance                        sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations.U.K.

###### 107.Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last                        block of rows). Originators, sponsors as well as investors shall report this information.U.K.

#### 3.9.C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)U.K.

##### 3.9.1.General remarksU.K.

###### 108.This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB,                        MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each                        securitisation, such as the nature of the underlying pool and the own funds requirements are requested.U.K.

###### 109.This template is to be reported for:U.K.

Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation.                              This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information                              on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained                              due to Article 405 of CRR.                           

Securitisations originated/sponsored by the reporting institution during the year of report(5), in case it holds no position.                           

Securitisations of financial liabilities (e.g. covered bonds) issued by the reporting institution.

Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original                              lenders).                           

###### 110.This template has to be rendered on a consolidated basis, i.e. only by consolidated groups and stand alone institutions(6) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than                        one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.U.K.

###### 111.On account of Article 406 (1) of CRR, which establishes that institutions investing in securitisation positions shall acquire                        a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template                        is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400;                        420-470.U.K.

###### 112.Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation)                        shall generally report the template to the same extent as investors.U.K.

##### 3.9.2.Instructions concerning specific positionsU.K.

### 4.OPERATIONAL RISK TEMPLATESU.K.

#### 4.1.C 16.00 — OPERATIONAL RISK (OPR)U.K.

##### 4.1.1.General RemarksU.K.

###### 113.This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for                        Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach                        (ASA) and the Advanced Measurement Approaches (AMA). An institution can not apply TSA and ASA for the business lines retail                        banking and commercial banking at the same time at solo levelU.K.

###### 114.Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial                        year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions                        shall report the audited figures which should remain unchanged. Deviations from this ‘unchanged’ principle are possible, for                        instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities,                        are met.U.K.

###### 115.If an institution can justify its competent authority that — due to exceptional circumstances such as a merger or a disposal                        of entities or activities — using a three year average to calculating the relevant indicator would lead to a biased estimation                        for the own funds requirement for operational risk,, the competent authority may permit the institution to modify the calculation                        in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution                        to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking                        business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are                        available.U.K.

###### 116.By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of                        the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in                        the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable,                        it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added                        to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement                        for operational risk.U.K.

###### 117.By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business                        lines for TSA and ASA.U.K.

###### 118.This template shall be submitted by all institutions subject to operational risk own funds requirement.U.K.

##### 4.1.2.Instructions concerning specific positionsU.K.

#### 4.2.C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)U.K.

##### 4.2.1.General RemarksU.K.

###### 119.This template summarises the information on the gross losses registered by an institution in the last year according to event                        types and business lines, based on the first accounting date of the loss.U.K.

###### 120.The information is presented by distributing the gross losses above internal thresholds amongst business lines (as defined                        in Article 317 of CRR, Table 2 of CRR including the additional business line ‘Corporate items’ as referred to in Article 322                        (3) point b) of CRR) and event types (as defined in Article 324 of CRR), being possible that the losses corresponding to one                        event are distributed amongst several business lines.U.K.

###### 121.Columns present the different event types and the totals for each business line, together with a memorandum item that shows                        the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and                        the highest threshold if there is more than one threshold.U.K.

###### 122.Rows present the business lines, and within each business line, information on the number of events, the amount of the total                        loss, the maximum single loss and the sum of the five largest losses (regardless the number of losses).U.K.

###### 123.This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.U.K.

###### 124.Institutions subject to Article 5 point (b) (2) ii may only report the following information for the sum of all event types                        (column 080) of the OPR Details template:U.K.

Number of events (row 910),

Total loss amount (row 920),

Maximum single loss (row 930) and

Sum of the five largest losses (row 940).

##### 4.2.2.Instructions concerning specific positionsU.K.

### 5.MARKET RISK TEMPLATESU.K.

#### 125.These instructions refer to the templates reporting of the calculation of own funds requirements according to the standardised                        approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM) interest rate risk (MKR SA TDI, MKR SA SEC,                        MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template reporting of the calculation of own                        funds requirements according to the internal models approach (MKR IM) are included in this part.U.K.

#### 126.The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components                        in order to calculate the capital required against it. The first shall be its specific-risk component — this is the risk of                        a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer                        of the underlying instrument. The second component shall cover its general risk — this is the risk of a price change in the                        instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or                        (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of                        individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to                        333 of CRR.U.K.

#### 5.1.C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)U.K.

##### 5.1.1.General RemarksU.K.

###### 127.This template captures the positions and the related own funds requirements for position risks on traded debt instruments                        under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR                        are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported                        in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell                        {325;060} (securitisations) and {330;060} (CTP) respectively.U.K.

###### 128.The template has to be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: EUR, ALL, BGN,                        CZK, DKK, EGP, GBP, HUF, ISK, JPY, LVL, LTL, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template                        for all other currencies.U.K.

##### 5.1.2.Instructions concerning specific positionsU.K.

#### 5.2.C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)U.K.

##### 5.2.1.General RemarksU.K.

###### 129.This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific                        risk component of position risk in securitisations/ re-securitisations held in the trading book (not eligible for correlation                        trading portfolio) under the standardised approach.U.K.

###### 130.The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according                        to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives,                        Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact                        whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight                        for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of                        the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.U.K.

###### 131.Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point                        (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.U.K.

##### 5.2.2.Instructions concerning specific positionsU.K.

#### 5.3.C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO                        (MKR SA CTP)U.K.

##### 5.3.1.General RemarksU.K.

###### 132.This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives                        and other CTP positions included according to Article 338 (3)) and the corresponding own funds requirements under the standardised                        approach.U.K.

###### 133.The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation                        Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book                        are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the                        trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based                        Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting                        of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.U.K.

###### 134.This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions.                        As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution                        in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The ‘other CTP-positions’                        are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338 (3) CRR), but they                        are explicitly ‘linked’ (because of the hedging intent) to one of these two positions. That is why they are assigned either                        under the sub-heading ‘securitisation’ or ‘n-th to default credit derivative’.U.K.

###### 135.Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point                        (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.U.K.

##### 5.3.2.Instructions concerning specific positionsU.K.

#### 5.4.C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)U.K.

##### 5.4.1.General RemarksU.K.

###### 136.This template requests information on the positions and the corresponding own funds requirements for position risk in equities                        held in the trading book and treated under the standardised approach.U.K.

###### 137.The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of following markets: Austria,                        Belgium, Bulgaria, Cyprus, Czech Republic, Denmark, Estonia, Egypt, Finland, France, Germany, Greece, Hungary, Iceland, Ireland,                        Italy, Latvia, Lithuania, Liechtenstein, Luxembourg, Malta, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia,                        Spain, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland,                        Turkey, Ukraine, USA plus one residual template for all other markets. For the purpose of this reporting requirement the term                        ‘market’ shall be read as ‘country’.U.K.

##### 5.4.2.Instructions concerning specific positionsU.K.

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

##### 5.5.1.General RemarksU.K.

###### 138.This template request information on the positions in each currency (reporting currency included) and the corresponding own                        funds requirements for foreign exchange and treated under the standardised approach. The position is calculated for each currency                        (including euro), gold, and positions to CIUs.U.K.

###### 139.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.U.K.

##### 5.5.2.Instructions concerning specific positionsU.K.

#### 5.6.C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)U.K.

##### 5.6.1.General RemarksU.K.

###### 140.This template request information on the positions in commodities and the corresponding own funds requirements treated under                        the standardised approach.U.K.

##### 5.6.2.Instructions concerning specific positionsU.K.

#### 5.7.C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)U.K.

##### 5.7.1.General RemarksU.K.

###### 141.This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity,                        FX, commodities) and other information relevant for the calculation of the own funds requirements.U.K.

###### 142.Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general                        and specific risk separately or together. The same holds true for the decomposition of the VAR /Stress-Var into the risk categories                        (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions                        mentioned above if it proves that a reporting of these figures would be unduly burdensome.U.K.

##### 5.7.2.Instructions concerning specific positionsU.K.

#### 5.8.C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)U.K.

##### 5.8.1.Instructions concerning specific positionsU.K.

## ANNEX IIIU.K.REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS

### 1.**Balance Sheet Statement [Statement of Financial Position]**U.K.

#### 1.1**Assets**U.K.

#### 1.2**Liabilities**U.K.

#### 1.3**Equity**U.K.

### 2.**Statement of profit or loss**U.K.

### 3.**Statement of comprehensive income**U.K.

### 4.**Breakdown of financial assets by instrument and by counterparty sector**U.K.

#### 4.1**Financial assets held for trading**U.K.

#### 4.2**Financial assets designated at fair value through profit or loss**U.K.

#### 4.3**Available-for-sale financial assets**U.K.

#### 4.4**Loans and receivables and held-to-maturity investments**U.K.

#### 4.5**Subordinated financial assets**U.K.

### 5.**Breakdown of Loan and advances by product**U.K.

### 6.**Breakdown of loans and advances to non-financial corporations by NACE codes**U.K.

### 7.**Financial assets subject to impairment that are past due or impaired**U.K.

### 8.**Breakdown of financial liabilities**U.K.

#### 8.1**Breakdown of financial liabilities by product and by counterparty sector**U.K.

#### 8.2.**Subordinated financial liabilities**U.K.

### 9.**Loan commitments, financial guarantees and other commitments**U.K.

#### 9.1**Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given**U.K.

#### 9.2**Loan commitments, financial guarantees and other commitments received**U.K.

### 10.**Derivatives - Trading**U.K.

### 11.**Derivatives - Hedge accounting**U.K.

#### 11.1**Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge**U.K.

### 12.**Movements in allowances for credit losses and impairment of equity instruments**U.K.

### 13.**Collateral and guarantees received**U.K.

#### 13.1**Breakdown of loans and advances by collateral and guarantees**U.K.

#### 13.2**Collateral obtained by taking possession during the period [held at the reporting date]**U.K.

#### 13.3**Collateral obtained by taking possession [tangible assets] accumulated**U.K.

### 14.**Fair value hierachy: financial instruments at fair value**U.K.

### 15.**Derecognition and financial liabilities associated with transferred financial assets**U.K.

### 16.**Breakdown of selected statement of profit or loss items**U.K.

#### 16.1**Interest income and expenses by instrument and counterparty sector**U.K.

#### 16.2**Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by                           instrument**U.K.

#### 16.3**Gains or losses on financial assets and liabilities held for trading by instrument**U.K.

#### 16.4.**Gains or losses on financial assets and liabilities held for trading by risk**U.K.

#### 16.5**Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument**U.K.

#### 16.6**Gains or losses from hedge accounting**U.K.

#### 16.7**Impairment on financial and non-financial assets**U.K.

### 17.**Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet**U.K.

#### 17.1**Assets**U.K.

#### 17.2**Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given**U.K.

#### 17.3**Liabilities and equity**U.K.

### 18.**Performing and non-performing exposures**U.K.

### 19.**Forborne exposures**U.K.

### 20.**Geographical breakdown**U.K.

#### 20.1**Geographical breakdown of assets by location of the activities**U.K.

#### 20.2**Geographical breakdown of liabilities by location of the activities**U.K.

#### 20.3**Geographical breakdown of statement of profit or loss items by location of the activities**U.K.

#### 20.4**Geographical breakdown of assets by residence of the counterparty**U.K.

#### 20.5**Geographical breakdown of off-balance sheet exposures by residence of the counterparty**U.K.

#### 20.6**Geographical breakdown of liabilities by residence of the counterparty**U.K.

#### 20.7**Breakdown of loans and advances to non-financial corporations by NACE codes and by residence of the counterparty**U.K.

### 21.**Tangible and intangible assets: assets subject to operating lease**U.K.

### 22.**Asset management, custody and other service functions**U.K.

#### 22.1**Fee and commission income and expenses by activity**U.K.

#### 22.2**Assets involved in the services provided**U.K.

### 30.**Off-balance sheet activities: Interests in unconsolidated structured entities**U.K.

#### 30.1**Interests in unconsolidated structured entities**U.K.

#### 30.2**Breakdown of interests in unconsolidated structured entities by nature of the activities**U.K.

### 31.**Related parties**U.K.

#### 31.1**Related parties: amounts payable to and amounts receivable from**U.K.

#### 31.2**Related parties: expenses and income generated by transactions with**U.K.

### 40.**Group structure**U.K.

#### 40.1**Group structure: ”entity-by-entity”**U.K.

#### 40.2**Group structure: ”instrument-by-instrument”**U.K.

### 41.**Fair value**U.K.

#### 41.1**Fair value hierarchy: financial instruments at amortised cost**U.K.

#### 41.2**Use of the Fair Value Option**U.K.

#### 41.3**Hybrid financial instruments not designated at fair value through profit or loss**U.K.

### 42.**Tangible and intangible assets: carrying amount by measurement method**U.K.

### 43.**Provisions**U.K.

### 44.**Defined benefit plans and employee benefits**U.K.

#### 44.1**Components of net defined benefit plan assets and liabilities**U.K.

#### 44.2**Movements in defined benefit obligations**U.K.

#### 44.3**Memo items [related to staff expenses]**U.K.

### 45.**Breakdown of selected items of statement of profit or loss**U.K.

#### 45.1**Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio**U.K.

#### 45.2**Gains or losses on derecognition of non-financial assets other than held for sale**U.K.

#### 45.3**Other operating income and expenses**U.K.

### 46.**Statement of changes in equity**U.K.

## ANNEX IVU.K.REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS

### 1.**Balance Sheet Statement [Statement of Financial Position]**U.K.

#### 1.1**Assets**U.K.

#### 1.2**Liabilities**U.K.

#### 1.3**Equity**U.K.

### 2.**Statement of profit or loss**U.K.

### 3.**Statement of comprehensive income**U.K.

### 4.**Breakdown of financial assets by instrument and by counterparty sector**U.K.

#### 4.1**Financial assets held for trading**U.K.

#### 4.2**Financial assets designated at fair value through profit or loss**U.K.

#### 4.3**Available-for-sale financial assets**U.K.

#### 4.4**Loans and receivables and held-to-maturity investments**U.K.

#### 4.5**Subordinated financial assets**U.K.

#### 4.6**Trading Financial assets**U.K.

#### 4.7**Non-trading non-derivative financial assets measured at fair value through profit or loss**U.K.

#### 4.8**Non-trading non-derivative financial assets measured at fair value to equity**U.K.

#### 4.9**Non-trading debt instruments measured at a cost-based method**U.K.

#### 4.10**Other non-trading non-derivative financial assets**U.K.

### 5.**Breakdown of Loan and advances by product**U.K.

### 6.**Breakdown of loans and advances to non-financial corporations**U.K.

### 7.**Financial assets subject to impairment that are past due or impaired**U.K.

### 8.**Breakdown of financial liabilities**U.K.

#### 8.1**Breakdown of financial liabilities by product and by counterparty sector**U.K.

#### 8.2**Subordinated financial liabilities**U.K.

### 9.**Loan commitments, financial guarantees and other commitments**U.K.

#### 9.1**Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given**U.K.

#### 9.2**Loan commitments, financial guarantees and other commitments received**U.K.

### 10.**Derivatives - Trading**U.K.

### 11.**Derivatives - Hedge accounting**U.K.

#### 11.1**Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge**U.K.

#### 11.2**Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk**U.K.

### 12.**Movements in allowances for credit losses and impairment of equity instruments**U.K.

### 13.**Collateral and guarantees received**U.K.

#### 13.1**Breakdown of loans and advances by collateral and guarantees**U.K.

#### 13.2**Collateral obtained by taking possession during the period [held at the reporting date]**U.K.

#### 13.3**Collateral obtained by taking possession [tangible assets] accumulated**U.K.

### 14.**Fair value hierachy: financial instruments at fair value**U.K.

### 15.**Derecognition and financial liabilities associated with transferred financial assets**U.K.

### 16.**Breakdown of selected statement of profit or loss items**U.K.

#### 16.1**Interest income and expenses by instrument and counterparty sector**U.K.

#### 16.2**Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by                           instrument**U.K.

#### 16.3**Gains or losses on financial assets and liabilities held for trading by instrument**U.K.

#### 16.4**Gains or losses on financial assets and liabilities held for trading by risk**U.K.

#### 16.5**Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument**U.K.

#### 16.6**Gains or losses from hedge accounting**U.K.

#### 16.7**Impairment on financial and non-financial assets**U.K.

### 17.**Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet**U.K.

#### 17.1**Assets**U.K.

#### 17.2**Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given**U.K.

#### 17.3**Liabilities and equity**U.K.

### 18.**Performing and non-performing exposures**U.K.

### 19.**Forborne exposures**U.K.

### 20.**Geographical breakdown**U.K.

#### 20.1**Geographical breakdown of assets by location of the activities**U.K.

#### 20.2**Geographical breakdown of liabilities by location of the activities**U.K.

#### 20.3**Geographical breakdown of statement of profit or loss items by location of the activities**U.K.

#### 20.4**Geographical breakdown of assets by residence of the counterparty**U.K.

##### z-axis

##### Country of residence of the counterparty

#### 20.5**Geographical breakdown of off-balance sheet exposures by residence of the counterparty**U.K.

##### z-axis

##### Country of residence of the counterparty

#### 20.6**Geographical breakdown of liabilities by residence of the counterparty**U.K.

##### z-axis

##### Country of residence of the counterparty

#### 20.7**Breakdown of loans and advances to non-financial corporations by NACE codes and by residence of the counterparty**U.K.

##### z-axis

##### Country of residence of the counterparty

### 21.**Tangible and intangible assets: assets subject to operating lease**U.K.

### 22.**Asset management, custody and other service functions**U.K.

#### 22.1**Fee and commission income and expenses by activity**U.K.

#### 22.2**Assets involved in the services provided**U.K.

### 30.**Off-balance sheet activities: Interests in unconsolidated structured entities**U.K.

#### 30.1**Interests in unconsolidated structured entities**U.K.

#### 30.2**Breakdown of interests in unconsolidated structured entities by nature of the activities**U.K.

### 31.**Related parties**U.K.

#### 31.1**Related parties: amounts payable to and amounts receivable from**U.K.

#### 31.2**Related parties: expenses and income generated by transactions with**U.K.

### 40.**Group structure**U.K.

#### 40.1**Group structure: ‘entity-by-entity’**U.K.

#### 40.2.**Group structure: ‘instrument-by-instrument’**U.K.

### 41.**Fair value**U.K.

#### 41.1**Fair value hierarchy: financial instruments at amortised cost**U.K.

#### 41.2**Use of the Fair Value Option**U.K.

#### 41.3**Hybrid financial instruments not designated at fair value through profit or loss**U.K.

### 42.**Tangible and intangible assets: carrying amount by measurement method**U.K.

### 43.**Provisions**U.K.

### 44**Defined benefit plans and employee benefits**U.K.

#### 44.1**Components of net defined benefit plan assets and liabilities**U.K.

#### 44.2**Movements in defined benefit obligations**U.K.

#### 44.3**Memo items [related to staff expenses]**U.K.

### 45**Breakdown of selected items of statement of profit or loss**U.K.

#### 45.1**Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio**U.K.

#### 45.2**Gains or losses on derecognition of non-financial assets other than held for sale**U.K.

#### 45.3**Other operating income and expenses**U.K.

### 46.**Statement of changes in equity**U.K.

## ANNEX VU.K.REPORTING ON FINANCIAL INFORMATION

## **PART 1**U.K.GENERAL INSTRUCTIONS

### 1.REFERENCESU.K.

#### 1.This Annex contains additional instructions for the financial information templates (hereinafter ‘FINREP’) included in Annex                        III and Annex IV of this Regulation. This Annex complements the instructions included in form of references in the templates                        in Annex III and Annex IV.U.K.

#### 2.The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation                        rules of the relevant accounting framework, as defined in Article 4(1)(77) of the CRR.U.K.

#### 3.Institutions shall only submit those parts of the templates related to:U.K.

Assets, liabilities, equity, income and expenses that are recognised by the institution.

Off-balance sheet exposures and activities in which the institution is involved.

Transactions performed by the institution.

Valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.

#### 4.For the purposes of Annex III and Annex IV as well as this Annex, the following notation shall apply:U.K.

‘IAS regulation’ refers to Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the                              application of international accounting standards.                           

‘IAS’ or ‘IFRS’ refers to the ‘International Accounting Standards’, as defined in Article 2 of the ‘IAS regulation’ that has                              been adopted by the Commission in accordance with the aforementioned ‘IAS regulation’.                           

‘ECB BSI Regulation’ or ‘ECB/2008/32’ refers to Regulation of the European Central Bank of 19 December 2008 concerning the                              balance sheet of monetary financial institutions sector (recast).                           

‘NACE Regulation’ refers to REGULATION (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006                              establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No                              3037/90 as well as certain EC Regulations on specific statistical domains.                           

‘BAD’ refers to COUNCIL DIRECTIVE of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial                              institutions (86/635/EEC).                           

‘4th Directive’ refers to FOURTH COUNCIL DIRECTIVE of 25 July 1978 based in Article 54(3)(g) of the Treaty on the annual accounts                              of certain types of companies (78/660/EEC).                           

‘National GAAP’ means national accounting frameworks developed under BAD.

‘SME’ refers to COMMISSION RECOMMENDATION of 6 May 2003 concerning definition of micro, small and medium-sized enterprises                              (2003/361/EC).                           

‘ISIN code’ means the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters,                              which uniquely identifies a securities issue.                           

‘LEI code’ means the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial                              transaction.                           

‘Annex V’ refers to the cited Part of Annex V of this Regulation.

### 2.CONVENTIONU.K.

#### 5.For the purposes of Annex III and Annex IV a data point shadowed in grey shall mean that this data point is not requested                        or that it is not possible to report it. In Annex IV a row or a column with references shadowed in black means that the related                        data points should not be submitted by those institutions that follow those references in that row or column.U.K.

#### 6.Templates in Annex III and Annex IV include implicit validation rules which are defined in the templates themselves through                        the use of conventions.U.K.

#### 7.The use of brackets in the label of an item in a template means that this item is to be subtracted to obtain a total, but                        it does not mean that it shall be reported as negative.U.K.

#### 8.Items that shall be reported in negative are identified in the compiling templates by including ‘(–)’ at the beginning of                        their label such as in ‘(–) Treasury shares’.U.K.

#### 9.In the ‘Data Point Model’ (hereinafter DPM) for financial information reporting templates described in Annex III and IV, every                        data point (cell) has a ‘base item’ to which the ‘credit/debit’ attribute is allocated. This allocation ensures that all entities                        who report data points follow the ‘sign convention’ and allows to know the ‘credit/debit’ attribute that corresponds to each                        data point.U.K.

#### 10.Schematically, this convention works as in Table 1.U.K.

### 3.CONSOLIDATIONU.K.

#### 11.Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in                        accordance with Part 1, Title II, Chapter 2, Section 2 of the CRR. Institutions shall account for their subsidiaries and joint                        ventures using the same methods than for prudential consolidation:U.K.

Institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries                              in accordance with article 18.5 of the CRR.                           

Institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with article                              18.2 of the CRR.                           

Institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with                              article 18.4 of the CRR.                           

### 4.ACCOUNTING PORTFOLIOSU.K.

#### 4.1.**Assets**U.K.

##### 12.‘Accounting portfolios’ shall mean financial instruments aggregated by valuation rules. These aggregations do not include                        investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as ‘Cash and cash balances                        at central banks’ as well as those financial instruments classified as ‘Held for sale’ presented in the items ‘Non-current                        assets and disposal groups classified as held for sale’ and ‘Liabilities included in disposal groups classified as held for                        sale’.U.K.

##### 13.The following accounting portfolios based on IFRS shall be used for financial assets:U.K.

‘Financial assets held for trading’,

‘Financial assets designated at fair value through profit or loss’,

‘Available-for-sale financial assets’,

‘Loans and Receivables’,

‘Held-to-maturity investments’.

##### 14.The following accounting portfolios based on National GAAP shall be used for financial assets:U.K.

‘Trading financial assets’,

‘Non-trading non-derivative financial assets measured at fair value through profit or loss’,

‘Non-trading non-derivative financial assets measured at fair value to equity’,

‘Non-trading debt instruments measured at a cost-based method’, and

‘Other non-trading non-derivative financial assets’.

##### 15.‘Trading financial assets’ has the same meaning as under the relevant National GAAP based on BAD. Under National GAAP based                        on BAD, derivatives that are not held for hedge accounting shall be reported in this item without regarding the method applied                        to measure these contracts. Institutions shall include derivatives contracts in the balance sheet only when these contracts                        are recognised in accordance with the relevant accounting framework.U.K.

##### 16.For financial assets, ‘cost-based methods’ include those valuation rules by which the financial asset is measured at cost                        plus interest accrued less impairment losses.U.K.

##### 17.Under National GAAP based on BAD, ‘Other non-trading non-derivative financial assets’ shall include financial assets that                        do not qualify for inclusion in other accounting portfolios. This accounting portfolio includes, among others, financial assets                        that are measured at the lower of their amount at initial recognition or their fair value (so-called ‘Lower Of Cost Or Market’                        or ‘LOCOM’).U.K.

##### 18.Under National GAAP based on BAD, institutions that are permitted or required to apply certain valuation rules for financial                        instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.U.K.

##### 19.‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under the relevant accounting framework.U.K.

#### 4.2.**Liabilities**U.K.

##### 20.The following accounting portfolios based on IFRS shall be used for financial liabilities:U.K.

‘Financial liabilities held for trading’,

‘Financial liabilities designated at fair value through profit or loss’,

‘Financial liabilities measured at amortised cost’.

##### 21.The following accounting portfolios based on National GAAP shall be used for financial liabilities:U.K.

‘Trading financial liabilities’, and

‘Non-trading non-derivative financial liabilities measured at a cost-based method’.

##### 22.Under National GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments                        in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.U.K.

##### 23.Both under IFRS and National GAAP, ‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under                        the relevant accounting framework.U.K.

### 5.FINANCIAL INSTRUMENTSU.K.

#### 5.1.**Financial assets**U.K.

##### 24.The carrying amount shall mean the amount to be reported in the asset side of the balance sheet. The carrying amount of financial                        assets shall include accrued interest.U.K.

##### 25.Financial assets shall be distributed among the following classes of instruments: ‘Cash on hand’, ‘Derivatives’, ‘Equity instruments’,                        ‘Debt securities’, and ‘Loan and advances’.U.K.

##### 26.‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans in accordance with                        the ECB BSI Regulation.U.K.

##### 27.‘Loans and advances’ are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in                        accordance with the ECB BSI Regulation as well as advances that cannot be classified as ‘loans’ according to the ECB BSI Regulation.                        ‘Advances that are not loans’ are further characterized in paragraph 41(g) of this Part. Consequently, ‘debt instruments’                        shall include ‘loans and advances’ and ‘debt securities’.U.K.

#### 5.2.**Financial liabilities**U.K.

##### 28.The carrying amount shall mean the amount to be reported in the liability side of the balance sheet. The carrying amount of                        financial liabilities shall include accrued interest.U.K.

##### 29.Financial liabilities shall be distributed among the following classes of instruments: ‘Derivatives’, ‘Short positions’, ‘Deposits’,                        ‘Debt securities issued’ and ‘Other financial liabilities’.U.K.

##### 30.‘Deposits’ are defined in the same way as in the ECB BSI Regulation.U.K.

##### 31.‘Debt securities issued’ are debt instruments issued as securities by the institution that are not deposits in accordance                        with the ECB BSI Regulation.U.K.

##### 32.‘Other financial liabilities’ include all financial liabilities other than derivatives, short positions, deposits and debt                        securities issued.U.K.

##### 33.Under IFRS or compatible National GAAP, ‘Other financial liabilities’ may include financial guarantees when they are measured                        either at fair value through profit or loss [IAS 39.47(a)] or at the amount initially recognised less cumulative amortization                        [IAS 39.47(c)(ii)]. Loan commitments shall be reported as ‘Other financial liabilities’ when they are designated as financial                        liabilities at fair value through profit or loss [IAS 39.4(a)] or they are commitments to provide a loan at a below-market                        interest rate [IAS 39.4(b), 47(d)]. Provisions arising from these contracts [IAS 39.47(c)(i), (d)(i)] are reported as provisions                        for ‘Commitments and guarantees given’.U.K.

##### 34.‘Other financial liabilities’ may also include dividends to be paid, amounts payable in respect of suspense and transit items,                        and amounts payable in respect of future settlements of transactions in securities or foreign exchange transactions (payables                        for transactions recognised before the payment date).U.K.

### 6.COUNTERPARTY BREAKDOWNU.K.

#### 35.Where a breakdown by counterparty is required the following counterparty sectors shall be used:U.K.

Central banks.

General governments: central governments, state or regional governments, and local governments, including administrative bodies                              and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have                              a commercial activity (which shall be reported under ‘non-financial corporations’); social security funds; and international                              organisations, such as the European Community, the International Monetary Fund and the Bank for International Settlements.                           

Credit institutions: banks and multilateral banks.

Other financial corporations: all financial corporations and quasi-corporations other than credit institutions such as investment                              firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well                              as remaining financial intermediaries and financial auxiliaries.                           

Non-financial corporations: corporations and quasi-corporations not engaged in financial intermediation but principally in                              the production of market goods and non-financial services according to the ECB BSI Regulation.                           

Households: individuals or groups of individuals as consumers, and producers of goods and non financial services exclusively                              for their own final consumption, and as producers of market goods and non financial and financial services provided that their                              activities are not those of quasi-corporations. Non-profit institutions which serve households and which are principally engaged                              in the production of non-market goods and services intended for particular groups of households are included.                           

#### 36.The counterparty sector allocation is based exclusively on the nature of the immediate counterparty. The classification of                        the exposures incurred jointly by more than one obligor shall be done on the basis of the characteristics of the obligor that                        was the more relevant, or determinant, for the institution to grant the exposure. Among other classifications, the distribution                        of jointly incurred exposures by counterparty sector, country of residence and NACE codes should be driven by the characteristics                        of the more relevant or determinant obligor.U.K.

## **PART 2**U.K.TEMPLATE RELATED INSTRUCTIONS

### 1.BALANCE SHEETU.K.

#### 1.1.**Assets (1.1)**U.K.

##### 1.‘Cash on hand’ includes holdings of national and foreign banknotes and coins in circulation that are commonly used to make                        payments.U.K.

##### 2.‘Cash balances at central banks’ include balances receivable on demand at central banks.U.K.

##### 3.‘Other demand deposits’ include balances receivable on demand with credit institutions.U.K.

##### 4.‘Investments in subsidiaries, joint ventures and associates’ include the investments in associates, joint ventures and subsidiaries                        which are not fully or proportionally consolidated. The carrying amount of investments accounted for using the equity method                        includes related goodwill.U.K.

##### 5.Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet items                        shall be reported in ‘Other assets’. Other assets may include gold, silver and other commodities; even when they are held                        with trading intent.U.K.

##### 6.‘Non-current assets and disposal groups classified as held for sale’ has the same meaning as under IFRS 5.U.K.

#### 1.2.**Liabilities (1.2)**U.K.

##### 7.Provisions for ‘Pensions and other post employment defined benefit obligations’ include the amount of net defined benefit                        liabilities.U.K.

##### 8.Under IFRS or compatible National GAAP, provisions for ‘Other long-term employee benefits’ include the amount of the deficits                        in the long-term employment benefit plans listed in IAS 19.153. The accrued expense from short term employee benefits [IAS                        19.11(a)], defined contribution plans [IAS 19.51(a)] and termination benefits [IAS 19.169(a)] shall be included in ‘Other                        liabilities’.U.K.

##### 9.‘Share capital repayable on demand’ includes the capital instruments issued by the institution that do not meet the criteria                        to be classified in equity. Institutions shall include in this item the cooperative shares that do not meet the criteria to                        be classified in equity.U.K.

##### 10.Liabilities that are not financial liabilities and that due to their nature could not be classified in specific balance sheet                        items shall be reported in ‘Other liabilities’.U.K.

##### 11.‘Liabilities included in disposal groups classified as held for sale’ has the same meaning as under IFRS 5.U.K.

##### 12.‘Funds for general banking risks’ are amounts that have been assigned in accordance with article 38 of the BAD. When recognised,                        they shall appear separately either as liabilities under ‘provisions’ or within equity under ‘other reserves’.U.K.

#### 1.3.**Equity (1.3)**U.K.

##### 13.Under IFRS or compatible National GAAP, equity instruments that are financial instruments include those contracts under the                        scope of IAS 32.U.K.

##### 14.‘Unpaid capital which has been called up’ includes the carrying amount of capital issued by the institution that has been                        called-up to the subscribers but not paid at the reference date.U.K.

##### 15.‘Equity component of compound financial instruments’ includes the equity component of compound financial instruments (that                        is, financial instruments that contain both a liability and a equity component ) issued by the institution, when segregated                        in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives                        whose values are interdependent);U.K.

##### 16.‘Other equity instruments issued’ includes equity instruments that are financial instruments other than ‘Capital’ and ‘Equity                        component of compound financial instruments’.U.K.

##### 17.‘Other equity’ shall comprise all equity instruments that are not financial instruments including, among others, equity-settled                        share-based payment transactions [IFRS 2.10].U.K.

##### 18.Under IFRS or compatible National GAAP, ‘Revaluation reserves’ includes the amount of reserves resulting from first-time adoption                        to IAS, or compatible National GAAP, that have not been released to other type of reserves.U.K.

##### 19.‘Other reserves’ are split between ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates’                        and ‘Other’. ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates’ include the accumulated                        amount of income and expenses generated by the aforementioned investments through profit or loss in past years. ‘Other’ includes                        reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve.U.K.

##### 20.‘Treasury shares’ cover all financial instruments that have the characteristics of own equity instruments which have been                        reacquired by the institution.U.K.

### 2.STATEMENT OF PROFIT OR LOSS (2)U.K.

#### 21.Interest income and interest expense from financial instruments held for trading, and from financial instruments designated                        at fair value through profit or loss, shall be reported either separately from other gains and losses under items ‘interest                        income’ and ‘interest expense’ (so-called ‘clean price’) or as part of gains or losses from these categories of instruments                        (‘dirty price’).U.K.

#### 22.Institutions shall report the following items broken-down by accounting portfolios:U.K.

‘Interest income’;

‘Interest expense’;

‘Dividend income’;

‘Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net’;

‘Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss’.

#### 23.‘Interest income. Derivatives — Hedge accounting, interest rate risk’ and ‘Interest expenses. Derivatives — Hedge accounting,                        interest rate risk’ include the amounts related to those derivatives classified in the category ‘hedge accounting’ which cover                        interest rate risk. They shall be reported as interest income and expenses on a gross basis, to present correct interest income                        and expenses from the hedged items to which they are linked.U.K.

#### 24.The amounts related to those derivatives classified in the category ‘held for trading’ which are hedging instruments from                        an economic but not accounting point of view may be reported as interest income and expenses, to present correct interest                        income and expenses from the financial instruments that are hedged. These amounts shall be included as a part of the items                        ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. Financial liabilities held for trading’.U.K.

#### 25.‘Interest income — other assets’ includes amounts of interest income not included in the other items. This item may include                        interest income related to cash and cash balances at central banks and non-current assets and disposal groups classified as                        held for sale as well as net interest income from net defined benefit asset.U.K.

#### 26.‘Interest expenses — other liabilities’ includes amounts of interest expenses not included in the other items. This item may                        include interest expenses related to liabilities included in disposal groups classified as held for sale, expenses derived                        from increases in the carrying amount of a provision reflecting the passage of time or net interest expenses from net defined                        benefit liabilities.U.K.

#### 27.‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’                        includes profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as                        discontinued operations.U.K.

#### 28.Dividend income from financial assets held for trading and from financial assets designated at fair value through profit or                        loss shall be reported either as ‘dividend income’ separately from other gains and losses from these categories or as part                        of gains or losses from these categories of instruments. Dividend income from subsidiaries, associates and joint ventures                        which are outside the scope of consolidation shall be reported within ‘Share of the profit or (–) loss of investments in subsidiaries,                        joint ventures and associates’.U.K.

#### 29.Under IFRS or compatible National GAAP, Impairment on ‘Financial assets at cost’ includes impairment losses arising from the                        application of the impairment rules in IAS 39.66.U.K.

#### 30.For ‘Gains or (–) losses from hedge accounting, net’ institutions shall report fair value changes on hedging instruments and                        hedged items, including the result of ineffectiveness from cash flow hedges and from hedges of net investment in foreign operations.U.K.

### 3.STATEMENT OF COMPREHENSIVE INCOME (3)U.K.

#### 31.Under IFRS or compatible National GAAP, ‘Income tax relating to items that will not be reclassified’ and ‘Income tax relating                        to items that may be reclassified to profit or (–) loss’ [IAS 1.91 (b), IG6] shall be reported as separate line items.U.K.

### 4.BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)U.K.

#### 32.Financial assets shall be broken down by instrument and — when required — by counterparty.U.K.

#### 33.Under IFRS or compatible National GAAP, equity instruments shall be reported with a specific breakdown (‘of which’) to identify                        instruments measured at cost and specific counterparty sectors only. Under National GAAP based on BAD, equity instruments                        shall be reported with a specific breakdown (‘of which’) to identify unquoted and specific counterparty sectors only.U.K.

#### 34.For available-for-sale financial assets institutions shall report the fair value of impaired assets and unimpaired assets                        respectively, and the cumulative amount of impairment losses recognised in profit or loss as at the reporting date. The sum                        of fair value of unimpaired assets and fair value of impaired assets shall be the carrying amount of these assets.U.K.

#### 35.Under IFRS or compatible National GAAP, for financial assets classified as ‘Loans and receivables’ or as ‘Held-to-maturity’,                        the gross carrying amount of unimpaired assets and of impaired assets shall be reported. The allowances shall be broken down                        to ‘Specific allowances for individually assessed financial assets’, ‘Specific allowances for collectively assessed financial                        assets’ and ‘Collective allowances for incurred but not reported losses’. Under National GAAP based on BAD, for financial                        assets classified as ‘non-trading non-derivative financial asset measured at a cost-based method’, the gross carrying amount                        of unimpaired assets and of impaired assets shall be reported.U.K.

#### 36.‘Specific allowances for individually assessed financial assets’ shall include cumulative amount of impairment related to                        financial assets which have been assessed individually.U.K.

#### 37.‘Specific allowances for collectively assessed financial assets’ shall include the cumulative amount of collective impairment                        calculated on insignificant loans which are impaired on individual basis and for which the institution decides to use a statistical                        approach (portfolio basis). This approach does not preclude performing individual impairment evaluation of loans that are                        individually insignificant and thus to report them as specific allowances for individually assessed financial assets.U.K.

#### 38.‘Collective allowances for incurred but not reported losses’ shall include the cumulative amount of collective impairment                        determined on financial assets which are not impaired on individual basis. For ‘allowances for incurred but not reported losses’,                        IAS 39.59(f), AG87 and AG90 may be followed.U.K.

#### 39.The sum of unimpaired assets and impaired assets net of all the allowances shall be equal to the carrying amount.U.K.

#### 40.Template 4.5 includes the carrying amount of ‘Loans and advances’ and ‘Debt securities’ that meet the definition of ‘subordinated                        debt’ in paragraph 54 of this Part.U.K.

### 5.BREAKDOWN OF LOANS AND ADVANCES BY PRODUCT (5)U.K.

#### 41.The ‘carrying amount’ of loans and advances shall be reported by type of product net of allowances due to impairment. Balances                        receivable on demand classified as ‘Cash and cash balances at central banks’ shall also be reported in this template independently                        of the ‘accounting portfolio’ in which they are included shall be allocated to the following products:U.K.

‘On demand (call) and short notice (current account)’ include balances receivable on demand (call), at short notice, current                              accounts and similar balances which may include loans that are overnight deposits for the borrower, regardless of their legal                              form. It also includes ‘overdrafts’ that are debit balances on current account balances.                           

‘Credit card debt’ includes credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation].

‘Trade receivables’ include loans to other debtors granted on the basis of bills or other documents that give the right to                              receive the proceeds of transactions for the sale of goods or provision of services. This item includes all factoring transactions                              (both with and without recourse).                           

‘Finance leases’ include the carrying amount of finance lease receivables. Under IFRS or compatible National GAAP, ‘finance                              lease receivables’ are as defined in IAS 17.                           

‘Reverse repurchase loans’ include finance granted in exchange for securities bought under repurchase agreements or borrowed                              under securities lending agreements.                           

‘Other term loans’ include debit balances with contractually fixed maturities or terms that are not included in other items.

‘Advances that are not loans’ include advances that cannot be classified as ‘loans’ according to the ECB BSI Regulation. This                              item includes, among others, gross amounts receivable in respect of suspense items (such as funds that are awaiting investment,                              transfer, or settlement) and transit items (such as cheques and other forms of payment that have been sent for collection).                           

‘Mortgage loans [Loans collateralized by immovable property]’ include loans formally secured by immovable property collateral                              independently of their loan/collateral ratio (commonly referred as ‘loan-to-value’).                           

‘Other collateralized loans’ include loans formally backed by collateral, independently of their loan/collateral ratio (so-called                              ‘loan-to-value’), other than ‘Loans collateralised by immovable property’, ‘Finance leases’ and ‘Reverse repurchase loans’.                              This collateral includes pledges of securities, cash, and other collateral.                           

‘Credit for consumption’ includes loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation].

‘Lending for house purchase’ includes credit extended to households for the purpose of investing in houses for own use and                              rental, including building and refurbishments [ECB BSI Regulation].                           

‘Project finance loans’ include loans that are recovered solely from the income of the projects financed by them.

### 6.BREAKDOWN OF LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES AND BY RESIDENCE OF THE COUNTERPARTY (6)U.K.

#### 42.Gross carrying amount of loans and advances to non-financial corporations shall be classified by sector of economic activities                        using codes in NACE Regulation (‘NACE Codes’) on the basis of the principal activity of the counterparty.U.K.

#### 43.The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 36                        in Part 1.U.K.

#### 44.Reporting of NACE codes shall be done with the first level of disaggregation, (by ‘section’).U.K.

#### 45.For debt instruments at amortised cost or at fair value through other comprehensive income, ‘Gross carrying amount’ shall                        mean the carrying amount excluding ‘Accumulated impairment’. For debt instruments at fair value through profit and loss, ‘Gross                        carrying amount’ shall mean the carrying amount excluding ‘Accumulated changes in fair value due to credit risk’.U.K.

#### 46.‘Accumulated impairment’ shall be reported for financial assets at amortised cost or at fair value through other comprehensive                        income. ‘Accumulated changes in fair value due to credit risk’ figures shall be reported for financial assets at fair value                        through profit or loss. ‘Accumulated impairment’ shall include specific allowances for individually and collectively assessed                        financial assets as defined in paragraphs 36 and 37as well as ‘Collective allowances for incurred but not reported losses’                        as defined in paragraph 38 but do not include ‘Accumulated write-offs’ amounts as defined in paragraph 49 of this Part.U.K.

### 7.FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE OR IMPAIRED (7)U.K.

#### 47.Debt instruments that are past due but not impaired at the reporting reference date shall be reported in the accounting portfolios                        subject to impairment. According to IFRS or compatible National GAAP, these accounting portfolios comprise the categories                        ‘Available for sale’, ‘Loans and receivables’, and ‘Held-to-maturity’. According to National GAAP based on BAD, these accounting                        portfolios comprise also ‘Non-trading debt instruments measured at a cost-based method’ and ‘Other non-trading non-derivative                        financial assets’.U.K.

#### 48.Assets qualify as past due when counterparties have failed to make a payment when contractually due. The amounts of such assets                        shall be reported and broken down according to the number of days past due. The past due analysis shall not include any impaired                        assets. The carrying amount of impaired financial assets shall be reported separately from the past due assets.U.K.

#### 49.The column ‘Accumulated write-offs’ includes the cumulative amount of principal and past due interest of any debt instrument                        that the institution is no longer recognising because they are considered uncollectible, independently of the portfolio in                        which they were included. These amounts shall be reported until the total extinguishment of all the institution's rights (by                        expiry of the statute-of–limitations period, forgiveness or other causes) or until recovery.U.K.

#### 50.‘Write-offs’ could be caused both by reductions of the carrying amount of financial assets recognised directly in profit or                        loss as well as by reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount                        of financial assets.U.K.

### 8.BREAKDOWN OF FINANCIAL LIABILITIES (8)U.K.

#### 51.As ‘Deposits’ are defined in the same way as in the ECB BSI Regulation, regulated savings deposits shall be classified in                        accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight                        savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have                        features that are very close to overnight deposits, are classified as deposits redeemable at notice.U.K.

#### 52.‘Debt securities issued’ shall be disaggregated into the following type of products:U.K.

‘Certificates of deposits’ are securities that enable the holders to withdraw funds from an account,

‘Asset backed securities’ according to article 4(1)(61) of the CRR,

‘Covered Bonds’ according to article 129(1) of the CRR,

‘Hybrid contracts’ comprise contracts with embedded derivatives,

‘Other debt securities issued’ includes debt securities not recorded in the previous lines and distinguishes convertible and                              non convertible instruments.                           

#### 53.‘Subordinated financial liabilities’ issued are treated in the same way as other financial liabilities incurred. Subordinated                        liabilities issued in the form of securities are classified as ‘Debt securities issued’, whereas subordinated liabilities                        in the form of deposits are classified as ‘Deposits’.U.K.

#### 54.Template 8.2 includes the carrying amount of ‘Deposits’ and ‘Debt securities issued’ that meet the definition of subordinated                        debt classified by accounting portfolios. ‘Subordinated debt’ instruments provide a subsidiary claim on the issuing institution                        that can only be exercised after all claims with a higher status have been satisfied [ECB BSI Regulation].U.K.

### 9.LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)U.K.

#### 55.Off-balance sheet exposures include the off-balance sheet items listed in Annex I of the CRR. Off-balance sheet exposures                        shall be broken-down in loan commitments given, financial guarantees given, and other commitments given.U.K.

#### 56.Information on loan commitments, financial guarantees, and other commitments given and received include both revocable and                        irrevocable commitments.U.K.

#### 57.‘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. The following                        items of Annex I of the CRR shall be classified as ‘Loan commitments’:U.K.

‘Forward deposits’.

‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ under pre-specified terms                              and conditions.                           

#### 58.‘Financial guarantees’ are contracts that require the issuer to make specified payments to reimburse the holder of 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. Under IFRS or compatible National GAAP, these contracts meet the IAS 39.9 and IFRS 4.A definition of financial                        guarantee contracts. The following items of Annex I of the CRR shall be classified as ‘financial guarantees’:U.K.

‘Guarantees having the character of credit substitute’.

‘Credit derivatives’ that meet the definition of financial guarantee.

‘Irrevocable standby letters of credit having the character of credit substitutes’.

#### 59.‘Other commitments’ includes the following items of Annex I of the CRR:U.K.

‘Unpaid portion of partly-paid shares and securities’.

‘Documentary credits issued or confirmed’.

Trade finance Off-balance sheet items.

‘Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions’.

‘Warranties and indemnities’ (including tender and performance bonds) and ‘guarantees not having the character of credit substitutes’.

‘Shipping guarantees, customs and tax bonds’.

Note issuance facilities (NIFs) and revolving underwritings facilities (RUFs).

‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ when the terms and conditions                              are not pre-specified.                           

‘Undrawn credit facilities’ which comprise agreements to ‘purchase securities’ or ‘provide guarantees’.

‘Undrawn credit facilities for tender and performance guarantees’.

‘Other off-balance sheet items’ in Annex I of the CRR.

#### 60.Under IFRS or compatible National GAAP, the following item are recognised in the balance sheet and, consequently, should not                        be reported as off-balance sheet exposures:U.K.

‘Credit derivatives’ that do not meet the definition of financial guarantees are ‘derivatives’ under IAS 39.

‘Acceptances’ are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering                              the sale of goods. Consequently, they are classified as ‘trade receivables’ on the balance sheet                           

‘Endorsements on bills’ that do not meet the criteria for derecogniton under IAS 39.

‘Transactions with recourse’ that do not meet the criteria for derecogniton under IAS 39.

‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IAS 39.

‘Asset sale and repurchase agreements as defined in Article 12 (3) and (5) of Directive 86/635/EEC’. In these contracts, the                              transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified (or                              to be specified). Therefore, these contracts meet the definition of derivatives under IAS 39.9.                           

#### 61.‘of which: defaulted’ shall include the nominal amount of those loan commitments, financial guarantees and other commitments                        given whose counterparty has incurred in default according to Article 178 of the CRR.U.K.

#### 62.For off-balance sheet exposures, the ‘Nominal amount’ is the amount that best represents the institution's maximum exposure                        to credit risk without taking account of any collateral held or other credit enhancements. In particular, for financial guarantees                        given, the nominal amount is the maximum amount the entity could have to pay if the guarantee is called on. For loan commitments,                        the nominal amount is the undrawn amount that the institution has committed to lend. Nominal amounts are exposure values before                        applying conversion factors and credit risk mitigation techniques.U.K.

#### 63.In template 9.2, for loan commitments received, the nominal amount is the total undrawn amount that the counterparty has committed                        to lend to the institution. For other commitments received the nominal amount is the total amount committed by the other party                        in the transaction. For financial guarantees received, the ‘maximum amount of the guarantee that can be considered’ is the                        maximum amount the counterparty could have to pay if the guarantee is called on. When a financial guarantee received has been                        issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the guaranteed amount                        shall be allocated to guarantor that is more relevant for the mitigation of credit risk.U.K.

### 10.DERIVATIVES (10 AND 11)U.K.

#### 64.The carrying amount and the notional amount of the derivatives held for trading and the derivatives held for hedge accounting                        shall be reported broken down by type of underlying risk, type of market (over-the-counter versus organised markets) and type                        of product.U.K.

#### 65.Institutions shall report the derivatives held for hedge accounting broken down by type of hedge.U.K.

#### 66.Derivatives included in hybrid instruments which have been separated from the host contract shall be reported in templates                        10 and 11 according to the nature of the derivative. The amount of the host contract is not included in these templates. However,                        if the hybrid instrument is measured at fair value through profit or loss, the contract as a whole shall be included in the                        category of held for trading or financial instruments designated at fair value through profit or loss (and, thus, the embedded                        derivatives are not reported in 10 and 11).U.K.

#### 10.1.**Classification of derivatives by type of risk**U.K.

##### 67.All derivatives shall be classified into the following risk categories:U.K.

Interest rate: Interest rate derivatives are contracts related to an interest-bearing financial instrument whose cash flows                              are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to                              purchase a Treasury bill. This category is restricted to those deals where all the legs are exposed to only one currency's                              interest rate. Thus it excludes contracts involving the exchange of one or more foreign currencies such as cross-currency                              swaps and currency options, and other contracts whose predominant risk characteristic is foreign exchange risk, which are                              to be reported as foreign exchange contracts. Interest rate contracts include forward rate agreements, single-currency interest                              rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaptions                              and interest rate warrants.                           

Equity: Equity derivatives are contracts that have a return, or a portion of their return, linked to the price of a particular                              equity or to an index of equity prices.                           

Foreign exchange and gold: These derivatives include contracts involving the exchange of currencies in the forward market                              and the exposure to gold. They therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency                              interest rate swaps), currency futures, currency options, currency swaptions and currency warrant. Foreign exchange derivatives                              include all deals involving exposure to more than one currency, whether in interest rates or exchange rates. Gold contracts                              include all deals involving exposure to that commodity.                           

Credit: Credit derivatives are contracts that do not meet the definition of financial guarantees and in which the payout is                              linked primarily to some measure of the creditworthiness of a particular reference credit. The contracts specify an exchange                              of payments in which at least one of the two legs is determined by the performance of the reference credit. Payouts can be                              triggered by a number of events, including a default, a rating downgrade or a stipulated change in the credit spread of the                              reference asset.                           

Commodity: These derivatives are contracts that have a return, or a portion of their return, linked to the price of, or to                              a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products.                           

Other: These derivatives are any other derivative contracts, which do not involve an exposure to foreign exchange, interest                              rate, equity, commodity or credit risk such as climatic derivatives or insurance derivatives.                           

##### 68.When a derivative is influenced by more than one type of underlying risk, the instrument shall be allocated to the most sensitive                        type of risk. For multi-exposure derivatives, in cases of uncertainty, the deals shall be allocated according to the following                        order of precedence:U.K.

Commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a                              joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall                              be reported in this category.                           

Equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities,                              all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity                              category. Equity deals with exposure to foreign exchange or interest rates should be included in this category.                           

Foreign exchange and gold: This category includes all derivatives transactions (with the exception of those already reported                              in the commodity or equity categories) with exposure to more than one currency, be it pertaining either to interest-bearing                              financial instruments or exchange rates.                           

#### 10.2.**Amounts to be reported for derivatives**U.K.

##### 69.The ‘carrying amount’ for all derivatives (hedging or trading) is the fair value. Derivatives with a positive fair value (above                        zero) are ‘financial assets’ and derivatives with a negative fair value (below zero) are ‘financial liabilities’. The ‘carrying                        amount’ shall be reported separately for derivatives with a positive fair value (‘financial assets’) and for those with a                        negative fair value (‘financial liabilities’). At the date of initial recognition, a derivative is classified as ‘financial                        asset’ or ‘financial liability’ according to its initial fair value. After initial recognition, as the fair value of a derivative                        increases or decreases, the terms of the exchange may become either favourable to the institution (and the derivative is classified                        as ‘financial asset’) or unfavourable (and the derivative is classified as ‘financial liability’).U.K.

##### 70.The ‘Notional amount’ is the gross nominal of all deals concluded and not yet settled at the reference date. In particular,                        the following shall be taken account to determine the notional amount:U.K.

For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal                              amounts at the reference date.                           

The notional amount value to be reported for a derivative contract with a multiplier component is the contract effective notional                              amount or par value.                           

Swaps: The notional amount of a swap is the underlying principal amount upon which the exchange of interest, foreign exchange                              or other income or expense is based.                           

Equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract is the quantity                              of the commodity or equity product contracted for purchase or sale multiplied by the contract price of a unit. The notional                              amount to be reported for commodity contracts with multiple exchanges of principal is the contractual amount multiplied by                              the number of remaining exchanges of principal in the contract.                           

Credit derivatives: The contract amount to be reported for credit derivatives is the nominal value of the relevant reference                              credit.                           

Digital options have a predefined payoff which can be either a monetary amount or a number of contracts of an underlying.                              The notional amount for digital options is defined as either the predefined monetary amount or the fair value of the underlying                              at the reference date.                           

##### 71.The column ‘Notional amount’ of derivatives includes, for each line item, the sum of the notional amounts of all contracts                        in which the institution is counterparty, independently of whether the derivatives are considered assets or liabilities on                        the face of the balance sheet. All notional amounts shall be reported regardless whether the fair value of derivatives is                        positive, negative or equal to zero. Netting among the notional amounts is not allowed.U.K.

##### 72.The ‘Notional amount’ shall be reported by ‘total’ and by ‘of which: sold’ for the line items: ‘OTC options’, ‘Organised market                        options’, ‘Commodity’ and ‘Other’. The item ‘of which sold’ includes the notional amounts (strike price) of the contracts                        in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option and                        for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection                        seller) has sold (gives) protection to their counterparties (protection buyers).U.K.

#### 10.3.**Derivatives classified as ‘economic hedges’**U.K.

##### 73.Derivatives that are not effective hedging instruments in accordance with IAS 39 should be included in the ‘held for trading’                        portfolio. This applies also to derivatives held for hedging purposes not meeting the requirements in IAS 39 to be effective                        hedging instruments as well as to derivatives linked to unquoted equity instruments whose fair value cannot be measured reliably.U.K.

##### 74.Derivatives ‘held for trading’ that meet the definition of ‘economic hedges’ shall be reported separately for each type of                        risk. The item ‘economic hedges’ includes those derivatives that are classified as ‘held for trading’ but they are not part                        of the trading book as defined in Article 4(1)(86) of the CRR. This item does not include derivatives for proprietary trading.U.K.

#### 10.4.**Breakdown of derivatives by counterparty sector**U.K.

##### 75.The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge                        accounting, which are traded in the OTC market, shall be reported by counterparty using the following categories:U.K.

‘credit institutions’,

‘other financial corporations’, and

‘rest’ comprising all other counterparties.

##### 76.All OTC derivatives, without regarding the type of risk to which they are related, shall be broken down by these counterparties.                        Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the institution in the contract                        (buyer or seller of protection) is allocated.U.K.

### 11.MOVEMENTS IN ALLOWANCES FOR CREDIT LOSSES AND IMPAIRMENT OF EQUITY INSTRUMENTS (12)U.K.

#### 77.‘Increases due to amounts set aside for estimated loan losses during the period’ shall be reported when, for the main category                        of assets or the counterparty, the estimation of the impairment for the period result in the recognition of net expenses;                        that is, for the given category or counterparty, the increases in the impairment for the period exceed the decreases. ‘Decreases                        due to amounts reversed for estimated loan losses during the period’ shall be reported when, for the main category of assets                        or counterparty, the estimation of the impairment for the period result in the recognition of net income; that is, for the                        given category or counterparty, the decreases in the impairment for the period exceed the increases.U.K.

#### 78.As explained in paragraph 50 of this Part, ‘write-offs’ may be done either by recognising directly in the statement of profit                        or loss the reduction in the amount of the financial asset (without using an allowance account) or by reducing the amount                        of the allowance accounts related to a financial asset. ‘Decreases due to amounts taken against allowances’ means decreases                        in the accumulated amount of allowances due to ‘write-offs’ made during the period because the related debt instruments are                        considered uncollectible. ‘Value adjustments recorded directly to the statement of profit or loss’ are ‘write-offs’ made during                        the period directly against the amount of the related financial asset.U.K.

### 12.COLLATERAL AND GUARANTEES RECEIVED (13)U.K.

#### 12.1.**Breakdown of loans and advances by collateral and guarantees (13.1)**U.K.

##### 79.The pledges and guarantees backing the loans and advances shall be reported by type of pledges: mortgage loans and other collateralised                        loans, and by financial guarantees. The loans and advances shall be broken down by counterparties.U.K.

##### 80.In Template 13.1, the ‘maximum amount of the collateral or guarantee that can be considered’ shall be reported. The sum of                        the amounts of a financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the                        carrying amount of the related loan.U.K.

##### 81.For reporting loans and advances according to the type of pledge the following definitions shall be used:U.K.

within ‘Mortgage loans [Loans collateralised by immovable property]’, ‘Residential’ includes loans secured by residential                              immovable property and ‘Commercial’ loans secured by pledges of commercial immovable property; in both cases as defined in                              the CRR.                           

within ‘Other collateralised loans’, ‘Cash [Debt instruments issued]’ includes pledges of deposits in or debt securities issued                              by the institution, and ‘Rest’ includes pledges of other securities or assets.                           

‘Financial guarantees received’ include contracts that require the issuer to make specified payments to reimburse the institution                              of 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.                           

##### 82.For loans and advances that have simultaneously more than one type of collateral or guarantee, the amount of the ‘Maximum                        collateral/guarantee that can be considered’ shall be allocated according to its quality starting from the one with the best                        quality.U.K.

#### 12.2.**Collateral obtained by taking possession during the period [held at the reporting date] (13.2)**U.K.

##### 83.This template includes the carrying amount of the collateral that has been obtained between the beginning and the end of the                        reference period and that remain recognised in the balance sheet at the reference date.U.K.

#### 12.3.**Collateral obtained by taking possession [tangible assets] accumulated (13.3)**U.K.

##### 84.‘Foreclosure [tangible assets]’ is the cumulative carrying amount of tangible assets obtained by taking possession of collateral                        that remains recognised in the balance sheet at the reference date excluding those classified as ‘Property, plant and equipment’.U.K.

### 13.FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)U.K.

#### 85.Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by                        in IFRS 13.72.U.K.

#### 86.‘Change in fair value for the period’ shall include gains or losses from remeasurements of the instruments in the period.                        These gains and losses are reported as for inclusion in the statement of profit or loss; thus, the amounts reported are before                        taxes.U.K.

#### 87.‘Accumulated change in fair value before taxes’ shall include the amount of gains or losses from remeasurements of the instruments                        accumulated from the initial recognition to the reference date.U.K.

### 14.DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)U.K.

#### 88.Template 15 includes information on transferred financial assets of which part or all do not qualify for derecognition, and                        financial assets entirely derecognised for which the institution retains servicing rights.U.K.

#### 89.The associated liabilities shall be reported according to the portfolio in which the related transferred financial assets                        were included in the assets side and not according to the portfolio in which they were included in the liability side.U.K.

#### 90.The column ‘Amounts derecognised for capital purposes’ includes the carrying amount of the financial assets recognised for                        accounting purposes but derecognised for prudential purposes because the institution is treating them as securitisation positions                        for capital purposes in accordance with Article 109 of the CRR.U.K.

#### 91.‘Repurchase agreements’ (‘repos’) are transactions in which the institution receives cash in exchange for financial assets                        sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future                        date. Amounts received by the institution in exchange for financial assets transferred to a third party (‘temporary acquirer’)                        shall be classified under ‘repurchase agreements’ where there is a commitment to reverse the operation and not merely an option                        to do so. Repurchase agreements also include repo-type operations which may include:U.K.

Amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against                              cash collateral.                           

Amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.

#### 92.‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) involve cash received or loaned out by                        the institution.U.K.

#### 93.In a securitisation transaction, when the transferred financial assets are derecognized, institutions shall declare the gains                        (losses) generated by the item within the income statement corresponding to the ‘accounting portfolios’ in which the financial                        assets were included prior to their derecognition.U.K.

### 15.BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)U.K.

#### 94.For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.U.K.

#### 15.1.**Interest income and expenses by instrument and counterparty sector (16.1)**U.K.

##### 95.The interests shall be broken down both by interest income on financial and other assets and interest expenses on financial                        and other liabilities. Interest income on financial assets includes interest income on derivatives held for trading, debt                        securities, and loans and advances. Interest expenses on financial liabilities includes interest expenses on derivatives held                        for trading, deposits, debt securities issued and other financial liabilities. All instruments in the various portfolios are                        taken into account except those included in the items ‘Derivatives — Hedge accounting’ not used to hedge interest rate risk.U.K.

##### 96.Interest on derivatives held for trading includes the amounts related to those derivatives held for trading which qualify                        as ‘economic hedges’ that are included as interest income or expenses to correct the income and expense of the hedged financial                        instruments from an economic but not accounting point of view.U.K.

#### 15.2.**Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by                           instrument (16.2)**U.K.

##### 97.Gains and losses on derecognition of financial assets and financial liabilities not measured at fair value through profit                        or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised                        gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between                        realised gains and realised losses.U.K.

#### 15.3.**Gains or losses on financial assets and liabilities held for trading by instrument (16.3)**U.K.

##### 98.Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item                        of the breakdown is the net realised and unrealised amount (gains minus losses) of the financial instrument.U.K.

#### 15.4.**Gains or losses on financial assets and liabilities held for trading by risk (16.4)**U.K.

##### 99.Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk;                        each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the underlying risk (interest                        rate, equity, foreign exchange, credit, commodity and other) associated to the exposure, including related derivatives. Gains                        and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the                        converted instrument are included. Gains and losses on assets and liabilities other than derivatives shall be included as                        follows:U.K.

Interest rate instruments: including trading of loans and advances, deposits and debt securities (held or issued);

Equity instruments: including trading of shares, quotas of UCITS and other equity instruments;

Foreign exchange trading: including exclusively trading on foreign exchanges;

Credit risk instruments: including trading of credit link notes;

Commodities: this item includes only derivatives because commodities held with trading intent shall be reported under ‘Other                              assets’ not under ‘Financial assets held for trading’.                           

Other: including trading of financial instruments which cannot be classified in other breakdowns.

#### 15.5.**Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5)**U.K.

##### 100.Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be broken down                        by type of instrument. Institutions shall report the net realised and unrealised and the amount of change in fair value in                        the period due to changes in the credit risk (own credit risk of the borrower or issuer).U.K.

#### 15.6.**Gains or losses from hedge accounting (16.6)**U.K.

##### 101.Gains and losses from hedge accounting shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge                        and hedge of net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down between                        the hedging instrument and the hedged item.U.K.

#### 15.7.**Impairment on financial and non-financial assets (16.7)**U.K.

##### 102.‘Additions’ shall be reported when, for the accounting portfolio or main category of assets, the estimation of the impairment                        for the period results in recognition of net expenses. ‘Reversals’ shall be reported when, for the accounting portfolio or                        main category of assets, the estimation of the impairment for the period result in the recognition of net income.U.K.

### 16.RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)U.K.

#### 103.‘Accounting scope of consolidation’ includes the carrying amount of assets, liabilities and equity as well as the nominal                        amounts of the off-balance sheet exposures prepared using the accounting scope of consolidation; that is, including in the                        consolidation insurance undertakings and non-financial corporations.U.K.

#### 104.In this template, the item ‘Investments in subsidiaries, joint ventures and associates’ shall not include subsidiaries as                        with the accounting scope of consolidation all subsidiaries are fully consolidatedU.K.

#### 105.‘Assets under reinsurance and insurance contracts’ shall include assets under reinsurance ceded as well as, if any, assets                        related to insurance and reinsurance contracts issued.U.K.

#### 106.‘Liabilities under insurance and reinsurance contracts’ shall include liabilities under insurance and reinsurance contracts                        issued.U.K.

### 17.GEOGRAPHICAL BREAKDOWN (20)U.K.

#### 107.Template 20 shall be reported when the institution exceeds the threshold described in Article 5.1(a)(iv). The geographical                        breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between ‘domestic activities’ and ‘non-domestic                        activities’. ‘Location’ means the jurisdiction of incorporation of the legal entity which has recognized the corresponding                        asset or liability; for branches, it means the jurisdiction of its residence. For these purposes, ‘Domestic’ shall include                        the activities recognised in Member State where the institution is located.U.K.

#### 108.Templates 20.4 to 20.7 contain information ‘country-by-country’ on the basis of the residence of the immediate counterparty.                        The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution                        has exposures.U.K.

#### 109.In template 20.4 for debt instruments, ‘gross carrying amount’ shall be reported as defined in paragraph 45 of Part 2. For                        derivatives and equity instruments, the amount to be reported is the carrying amount. ‘Of which: defaulted’ shall include                        the carrying amount of those debt instruments whose counterparty has incurred in default according to Article 178 of the CRR.                        Template 20.7 shall be reported with the classification by NACE Codes on a ‘country-by-country’ basis. NACE Codes shall be                        reported with the first level of disaggregation (by ‘section’).U.K.

### 18.TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)U.K.

#### 110.For the purposes of the calculation of the threshold in Article 9(e) tangible assets that have been leased by the institution                        (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be                        divided by total of tangible assets.U.K.

#### 111.Under IFRS or compatible National GAAP, assets that have been leased by the institution (as lessor) to third parties in operating                        leases shall be reported broken-down by measurement method.U.K.

### 19.ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)U.K.

#### 112.For the purposes of the calculation of the threshold in Article 9(f), the amount of ‘net fee and commission income’ is the                        absolute value of the difference between ‘fee and commission income’ and ‘fee and commission expense’. For the same purposes,                        the amount of ‘net interest’ is the absolute value of the difference between ‘interest income’ and ‘interest expenses’.U.K.

#### 19.1.**Fee and commission income and expenses by activity (22.1)**U.K.

##### 113.The fee and commission income and expenses shall be reported by type of activity. Under IFRS or compatible National GAAP,                        this template includes fee and commission income and expenses other than:U.K.

amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)] and

amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)].

##### 114.Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through                        profit or loss shall not be included; they form part of the initial acquisition/issue value of these instruments and are amortised                        to profit or loss over their residual life using the effective interest rate [see IAS 39.43].U.K.

##### 115.Transaction costs directly attributable to the acquisition or issue of financial instruments measured at fair value through                        profit or loss shall be included as a part of ‘Gains or losses on financial assets and liabilities held for trading, net’                        or ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net’. They shall                        not be part of the initial acquisition or issuance value of these instruments and are immediately recognized in profit or                        loss.U.K.

##### 116.Institutions shall report fee and commission income and expenses according to the following criteria:U.K.

‘Securities. Issuances’ includes fees and commissions received for the involvement in the origination or issuance of securities                              not originated or issued by the institution.                           

‘Securities. Transfer orders’ includes fees and commissions generated by the reception, transmission and execution on behalf                              of customers of orders to buy or sell securities.                           

‘Securities. Other’ includes fees and commissions generated by the institution providing other services related with securities                              not originated or issued by the institution.                           

‘Clearing and settlement’ includes fee and commission income (expenses) generated by (charged to) the institution when participating                              in counterparty, clearing and settlement facilities.                           

‘Asset management’, ‘Custody’, ‘Central administrative services for collective investment undertakings’, ‘Fiduciary transactions’,                              ‘Payment services’ include fee and commission income (expenses) generated by (charged to) the institution when providing these                              services.                           

‘Structured finance’ includes fees and commissions received for the involvement in the origination or issuance of financial                              instruments other than securities originated or issued by the institution.                           

‘Servicing fees from securitisation activities’ includes, on the income side, the fee and commission income generated by the                              institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution                              by loan service providers.                           

‘Loan commitments given’ and ‘Financial guarantees given’ include the amount, recognized as income during the period, of the                              amortization of the fees and commission for these activities initially recognised as ‘other financial liabilities’.                           

‘Loan commitments received’ and ‘Financial guarantees received’ include the fee and commission expense recognised by the institution                              as a consequence of the charge made by the counterparty that has given the loan commitment or the financial guarantee.                           

‘Other’ includes the rest of fee and commission income (expenses) generated by (charged to) the institution such as those                              derived from ‘other commitments’, from foreign exchange services (such as exchange of foreign banknotes or coins) or from                              providing (receiving) other fee-based advice and services.                           

#### 19.2.**Assets involved in the services provided (22.2)**U.K.

##### 117.Business related to asset management, custody functions, and other services provided by the institution shall be reported                        using the following definitions:U.K.

‘Asset management’ refers to assets belonging directly to the customers, for which the institution is providing management.                              ‘Asset management’ shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios                              managed on a discretionary basis, and other investment vehicles.                           

‘Custody assets’ refers to the services of safekeeping and administration of financial instruments for the account of clients                              provided by the institution and services related to custodianship such as cash and collateral management. ‘Custody assets’                              shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment                              undertakings and others. The item ‘of which: entrusted to other entities’ refers to the amount of assets included in custody                              assets for which the institution has given the effective custody to other entities.                           

‘Central administrative services for collective investment’ refers to the administrative services provided by the institution                              to collective investment undertakings. It includes, among others, the services of transfer agent; of compiling accounting                              documents; of preparing the prospectus, financial reports and all other documents intended for investors; of carrying out                              the correspondence by distributing financial reports and all other documents intended for investors; of carrying out issues                              and redemptions and keeping the register of investors; as well as of calculating the net asset value.                           

‘Fiduciary transactions’ refers to the activities where the institution acts in its own name but for the account and at the                              risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody asset management                              services to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported                              exclusively in this item without regarding whether the institution provides additionally other services.                           

‘Payment services’ refers to the collection on behalf of customers of payments generated by debt instruments that are neither                              recognised on the balance sheet of the institution nor originated by it.                           

‘Customer resources distributed but not managed’ refers to products issued by entities outside the group that the institution                              has distributed to its current customers. This item shall be reported by type of product.                           

‘Amount of the assets involved in the services provided’ includes the amount of assets in relation to which the institution                              is acting, using the fair value. Other measurement bases including nominal value may be used if the fair value is not available.                              In those cases where the institution provides services to entities such as collective investment undertakings, pension funds,                              the assets concerned may be shown at the value at which these entities report the assets in their own balance sheet. Reported                              amounts shall include accrued interest, if appropriate.                           

### 20.INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)U.K.

#### 118.‘Liquidity support drawn’ shall mean the sum of the carrying amount of the loan and advances granted to unconsolidated structured                        entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities.U.K.

### 21.RELATED PARTIES (31)U.K.

#### 119.Institutions shall report amounts and/or transactions related to the balance sheet and the off-balance sheet exposures where                        the counterparty is a related party.U.K.

#### 120.Intra-group transactions and intra-group outstanding balances shall be eliminated. Under ‘Subsidiaries and other entities                        of the same group’, institutions shall include balances and transactions with subsidiaries that have not been eliminated either                        because the subsidiaries are not fully consolidated with the prudential scope of consolidation or because, in accordance with                        Article 19 of the CRR, the subsidiaries are excluded from the scope of prudential consolidation for being immaterial or because,                        for institutions that are part of a bigger group, the subsidiaries are of the ultimate parent not of the institution. Under                        ‘Associates and joint ventures’, institutions shall include the portions of balances and transactions with joint ventures                        and associates of the group to which the entity belongs that have not been eliminated when either proportional consolidation                        or the equity method is applied.U.K.

#### 21.1.**Related parties: amounts payable to and amounts receivable from (31.1)**U.K.

##### 121.For ‘Loan commitments, financial guarantees and other commitments received’, the amount that shall be reported is the sum                        of the ‘nominal’ of loan commitments received, the ‘maximum collateral/guarantee that can be considered’ of financial guarantees                        received and the ‘nominal’ of the other commitments received.U.K.

#### 21.2.**Related parties: expenses and income generated by transactions with (31.2)**U.K.

##### 122.‘Gains or losses on derecognition of non-financial assets’ shall include all the gains and losses on derecognition of non-financial                        assets generated by transactions with related parties. This item shall include the gains and losses on derecognition of non-financial                        assets, which have been generated by transactions with related parties and that are part of the following line items of the                        ‘Statement of profit or loss’:U.K.

‘Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates’

‘Gains or losses on derecognition of non-financial assets other than held for sale’,

‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’,                              and                           

‘Profit or loss after tax from discontinued operations’.

### 22.GROUP STRUCTURE (40)U.K.

#### 123.Institutions shall provide detailed information on subsidiaries, joint ventures and associates as of the reporting date. All                        subsidiaries regardless the activity they perform shall be reported.U.K.

#### 22.1.**Group structure: ‘entity-by-entity’ (40.1)**U.K.

##### 124.The following information shall be reported on a ‘entity-by-entity’ basis:U.K.

‘LEI code’ includes the LEI code of the investee.

‘Entity code’ includes the identification code of the investee.

‘Entity name’ includes the name of the investee.

‘Entry date’ means the date in which the investee entered within the ‘scope of the group’.

‘Share capital’ means the total amount of capital issued by the investee as at the reference date.

‘Equity of Investee’, ‘Total assets of the Investee’ and ‘Profit or (loss) of the Investee’ include the amounts of these items                              in the last financial statements of the investee.                           

‘Residence of investee’ means the country of residence of the investee.

‘Sector of investee’ means the sector of counterparty as defined in paragraph 35 of Part 1.

‘NACE code’ shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE                              codes shall be reported with the first level of disaggregation (by ‘section’); for financial corporations, NACE codes shall                              be reported with a two level detail (by ‘division’).                           

‘Accumulated equity interest (%)’ is the percentage of ownership instruments held by the institution as of the reference date.

‘Voting rights (%)’ means the percentages of voting rights associated to the ownership instruments held by the institution                              as of the reference date.                           

‘Group structure [relationship]’ shall indicate the relationship between the parent and the investee (subsidiary, joint venture                              or associate).                           

‘Accounting treatment [Accounting Group]’ shall indicate the accounting treatment with the accounting scope of consolidation                              (full consolidation, proportional consolidation or equity method).                           

‘Accounting treatment [CRR Group]’ shall indicate the accounting treatment with the CRR scope of consolidation (full integration,                              proportional integration or equity method).                           

‘Carrying amount’ means amounts reported on the balance sheet of the institution for investees that are neither fully nor                              proportionally consolidated.                           

‘Acquisition cost’ means the amount paid by the investors.

‘Goodwill link to the investee’ means the amount of goodwill reported on the consolidated balance sheet of the institution                              for the investee in the items ‘goodwill’ or ‘investments in subsidiaries, joint ventures and associated’.                           

‘Fair value of the investments for which there are published price quotations’ means the price at the reference date; it shall                              be provided only if the instruments are quoted.                           

#### 22.2.**Group structure: ‘instrument-by-instrument’ (40.2)**U.K.

##### 125.The following information shall be reported on an ‘instrument-by-instrument’ basis:U.K.

‘Security code’ includes the ISIN code of the security. For securities without ISIN code assigned, it includes another code                              that uniquely identifies the security.                           

‘Holding company code’ is the identification code of the entity within the group that holds the investment.

‘Entity code’, ‘Accumulated equity interest (%)’, ‘Carrying amount’ and ‘Acquisition cost’ are defined above. The amounts                              shall correspond to the security held by the related holding company.                           

### 23.FAIR VALUE (41)U.K.

#### 23.1.**Fair value hierarchy: financial instruments at amortised cost (41.1)**U.K.

##### 126.Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 7.27A shall                        be reported in this template.U.K.

#### 23.2.**Use of fair value option (41.2)**U.K.

##### 127.Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or                        loss shall be reported in this template. ‘Hybrid contracts’ includes the carrying amount of hybrid financial instruments classified,                        as a whole, in these accounting portfolios; that is, it includes non-separated hybrid instruments in their entirely.U.K.

#### 23.3.**Hybrid financial instruments not designated at fair value through profit or loss (41.3)**U.K.

##### 128.In this template shall be reported information on hybrid financial instruments with the exception of those hybrid contracts                        measured at fair value through profit or loss under the ‘fair value option’ that are reported in template 41.2.U.K.

##### 129.‘Held for trading’ includes the carrying amount of hybrid financial instruments classified, as a whole, as ‘financial assets                        held for trading’ or ‘financial liabilities held for trading’; that is it includes non-separated hybrid instruments in their                        entirely.U.K.

##### 130.The other rows include the carrying amount of the host contracts that have been separated from the embedded derivatives according                        to the relevant accounting framework. The carrying amounts of the embedded derivatives separated from these host contracts,                        in accordance with the relevant accounting framework, shall be reported in templates 10 and 11.U.K.

### 24.TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)U.K.

#### 131.‘Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the criteria used                        in their measurement.U.K.

#### 132.‘Other intangible assets’ include all other intangible assets than goodwill.U.K.

### 25.PROVISIONS (43)U.K.

#### 133.This template includes reconciliation between the carrying amount of the item ‘Provisions’ at the beginning and end of the                        period by the nature of the movements.U.K.

### 26.DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)U.K.

#### 134.These templates include accumulated information of all defined benefit plans of the institution. When there is more than one                        defined benefit plan, aggregated amount of all plans shall be reported.U.K.

#### 26.1.**Components of net defined benefit plan assets and liabilities (44.1)**U.K.

##### 135.‘Components of net defined benefit plan assets and liabilities’ shows the reconciliation of the accumulated present value                        of all net defined benefit liabilities (assets) as well as reimbursement rights [IAS 19.140 (a), (b)].U.K.

##### 136.‘Net defined benefit assets’ includes, in the event of a surplus, the surplus amounts that shall be recognized in the balance                        sheet as they are not affected by the limits set up in IAS 19.63. The amount of this item and the amount recognized in the                        memo item ‘Fair value of any right to reimbursement recognized as asset’ are included in the item ‘Other assets’ of the balance                        sheet.U.K.

#### 26.2.**Movements in defined benefit obligations (44.2)**U.K.

##### 137.‘Movements in defined benefit obligations’ shows the reconciliation of opening and closing balances of the accumulated present                        value of all defined benefit obligations of the institution. The effects of the different elements listed in IAS 19.141 during                        the period are presented separately.U.K.

##### 138.The amount of ‘Closing balance [present value]’ in the template for movements in defined benefit obligations shall be equal                        to ‘Present value defined benefit obligations’.U.K.

#### 26.3.**Memo items [related to staff expenses] (44.3)**U.K.

##### 139.For reporting of memorandum items related to staff expenses, the following definitions shall be used:U.K.

‘Pension and similar expenses’ includes the amount recognized in the period as staff expenses for any post — employment benefit                              obligations (both defined contributions plans and defined benefits plans) and contributions to social security funds.                           

‘Share based payments’ include the amount recognized in the period as staff expenses for share based payments.

### 27.BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)U.K.

#### 27.1.**Gains or losses on derecognition of non-financial assets other than held-for-sale (45.2)**U.K.

##### 140.Gains and losses on derecognition of non financial assets other than held for sale shall be broken down by type of asset;                        each line item shall include the gain or the loss on the asset (such as property, software, hardware, gold, investment) that                        has been derecognised.U.K.

#### 27.2.**Other operating income and expenses (45.3)**U.K.

##### 141.Other operating income and expenses shall be broken down according to the following items: fair value adjustments on tangible                        assets measured using the fair value model; rental income and direct operating expenses from investment property; income and                        expenses on operating leases other than investment property and the rest of operating income and expenses.U.K.

##### 142.‘Operating leases other than investment property’ includes, for the column ‘income’, the returns obtained, and for the column                        ‘expenses’ the costs incurred by the institution as lessor in their operating leasing activities other than those with assets                        classified as investment property. The costs for the institution as lessee shall be included in the item ‘Other administrative                        expenses’.U.K.

##### 143.Gains or losses from remeasurements of holdings of precious metals and other commodities measured at fair value less cost                        to sell shall be reported among the items included in ‘Other operating income. Other’ or ‘Other operating expenses. Other’U.K.

### 28.STATEMENT OF CHANGES IN EQUITY (46)U.K.

#### 144.The statement of changes in equity discloses the reconciliation between the carrying amount at the beginning of the period                        (opening balance) and the end of the period (closing balance) for each component of equity.U.K.

## **PART 3**U.K.MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS

### 1.The following tables map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors                        used in FINREP tables.U.K.

## ANNEX VIU.K.REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY

### **C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES)**

**Country:**

## ANNEX VIIU.K.INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY

#### 1.This Annex contains additional instructions in relation to the tables included in Annex VI of this Regulation. This Annex                        complements the instructions in format of references included in the tables in Annex VI.U.K.

#### 2.All the general instructions included in Part I of Annex II of this regulation shall also apply.U.K.

### 1.Reporting scopeU.K.

#### 3.Data specified in Article 101 (1) of CRR is subject to reporting by all institutions using immovable property for the purposes                        of Part Three, Title II of CRR.U.K.

#### 4.The template covers all national markets an institution/group of institution is exposed to (see Article 101 (1) CRR). According                        to Article 101 (2) sentence 3 the data should be reported for each property market within the Union separately.U.K.

### 2.DefinitionsU.K.

#### 5.Definition of loss: ‘Loss’ means ‘economic loss’ as defined in Article 5 (2) CRR, including losses stemming from leased property.                        The recovery flows stemming from other sources (e.g. bank guarantees, life insurance, etc) shall not be recognised when calculating                        losses stemming from immovable property. Losses of one position shall not be netted with the profit of a successful recovery                        of another position.U.K.

#### 6.According to the definition of Article 5(2) CRR, for exposures secured by residential and commercial property the calculation                        of economic loss should start from outstanding exposure value at reporting date and should include at least: (i) proceeds                        from collateral realisation; (ii) direct costs (including interest rates payments and workouts costs linked to the liquidation                        of the collateral); and (iii) indirect costs (including operating costs of the workout unit). All components need to be discounted                        to the reporting reference date.U.K.

#### 7.Exposure value: The exposure value follows the rules stipulated in Part Three, Title II of CRR (see Chapter 2 for institutions                        using the standardised approach, and Chapter 3 for institutions using the IRB approach).U.K.

#### 8.Property value: The property value follows the rules stipulated in Part Three, Title II of CRRU.K.

#### 9.F/X effect: The reporting currency shall be used with the exchange rate at the reporting date. The reporting currency shall                        be the exchange rate at the reporting date. Moreover, the estimates of the economic losses should consider the F/X effect                        if the exposure or collateral is denominated in different currency.U.K.

### 3.Geographical breakdownU.K.

#### 10.Following the reporting scope, the CR IP Losses reporting shall consist of the following templates:U.K.

one total template

one template for each national market in the Union where the institution is exposed to, and

one template aggregating the data for all national markets outside the Union where the institution is exposed to.

### 4.Reporting of exposures and lossesU.K.

#### 11.Exposures: All exposures that are treated according to Part Three, Title II of CRR and where the collateral is used to reduce                        own funds requirements, are reported in CR IP Losses. This also means that in case the risk mitigation effect of immovable                        property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR), the exposures                        and losses concerned must not reported.U.K.

#### 12.Losses: The institution which has the exposure by the end of the reporting period shall report the losses. Losses shall be                        reported as soon as provisions are to be booked according to accounting rules. Also estimated losses should be reported. Loss                        data shall be collected on a loan-by-loan basis, i.e. aggregation of individual loss data stemming from exposures collateralised                        by immovable property.U.K.

#### 13.Reference date: The exposure value from the date of default should be used for reporting of losses.U.K.

Losses should be reported for all defaults on loans secured by real estate property that occur during the respective reporting                              period (i.e. irrespective of whether the work out is completed during the period or not). Since there may be a long time lag                              between default and loss realisation, loss estimates (which includes incomplete workout process) shall be reported in cases                              where the workout has not been completed within the reporting period.                           

For all defaults observed within the reporting period, there are three scenarios: (i.) defaulted loan can be restructured                              so that it is no longer treated as in default (no loss observed); (ii.) realization of all collateral is completed (completed                              workout, actual loss known); or (iii.) incomplete workout (loss estimates to be used). Loss reporting shall include only losses                              stemming from scenario (ii.) realisation of collateral (observed losses) and scenario (iii.) incomplete workout (estimates                              of losses).                           

As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses of exposures                              having defaulted during previous reporting periods will not be reflected in the reported data. I.e. proceeds from the realisation                              of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported.                           

#### 14.Role of the valuation of the property: The latest valuation of the property before the default date of the exposure is needed                        as reference date for reporting the part of exposure secured by mortgages on immovable property. After default, the property                        might be re-valued. This new value should however not be relevant for identifying the part of the exposure which was originally                        fully (and completely) secured by the mortgages on immovable property. However the new value of the property shall be considered                        in economic loss reporting (a reduced property value is part of economic costs). In other words, the latest valuation of the                        property before the default date shall be used to determine which part of the loss shall be reported in cell 010 (identification                        of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation                        a possible workout from collateral) in cells 010 and 030.U.K.

#### 15.Treatment of loan sales during the reporting period: The institution which has the exposure by the end of the reporting period                        shall report losses, but only if a default for that exposure was identified.U.K.

### 5.Instructions concerning specific positionsU.K.

## ANNEX VIIIU.K.TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

### **LARGE EXPOSURES TEMPLATES**

### **C 26.00 — Large Exposures limits (LE Limits)**

### **C 27.00 — Identification of the counterparty (LE 1)**

### **C 28.00 — Exposures in the non-trading and trading book (LE 2)**

### **C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3)**

### **C 30.00 — Maturity buckets of the exposures in the non-trading and trading book (LE 4)**

### **C 31.00 — Maturity buckets of the exposures to individual clients within groups of connected clients (LE 5)**

## ANNEX IXU.K.INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

## **PART I: GENERAL INSTRUCTIONS**U.K.

### 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.

Large exposures limits

Identification of the counterparty (LE1 template)

Exposures in the non-trading and trading book (LE2 template)

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

Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities                              (LE4 template)                           

Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities:                              detail of the exposures to individual clients within groups of connected clients (LE5 template)                           

#### 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) means the absolute value without sign.U.K.

#### 7.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: TEMPLATE RELATED INSTRUCTIONS**U.K.

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 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                        Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 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                        Regulation (EU) No 575/2013.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 Regulation (EU) No 575/2013 on a consolidated basis, the parent institutions in a Member State                        which are subject to Part three, Title II, Chapter 3 of Regulation (EU) No 575/2013 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 10 largest exposures to institutions as well as on the 10 largest exposures to unregulated                        financial entities according to Article 394(2), points (a) to (d) of Regulation (EU) No 575/2013 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 point (e) of Article 394(2) of Regulation (EU) No 575/2013, 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.

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;                           

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

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 Regulation (EU) No 575/2013.                           

#### 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 10 largest exposures to institutions as well as the 10 largest exposures to unregulated financial                        entities shall be allocated.U.K.

### 3.**Definitions for the purposes of the LE reporting**U.K.

#### 11.‘Group of connected clients’ is defined in Article 4(39) of Regulation (EU) No 575/2013.U.K.

#### 12.‘Unregulated financial entities’ are defined in Article 142(5) of Regulation (EU) No 575/2013.U.K.

#### 13.‘Institutions’ shall include credit institutions and investment funds according to Article 4 of Regulation (EU) No 575/2013                        and, for the purposes of this reporting, shall mean any private or public undertaking, including its branches, which has been                        authorised in a third country that applies prudential supervisory and regulatory requirements at least equivalent to those                        applied in the European Union.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 Regulation                        (EU) No 575/2013. Specifically, credit conversion factors shall not be applied to off balance sheet items.U.K.

#### 16.‘Exposures’ are defined in Article 389 of Regulation (EU) No 575/2013 and shall mean:U.K.

Any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 of Regulation                              (EU) No 575/2013, but excluding items which fall under effect of Article 390(6) points (a) to (d) of Regulation (EU) No 575/2013.                           

‘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 Regulation (EU) No 575/2013.                           

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 paragraphs (1) to (3) of the Article 390 of Regulation (EU) No 575/2013. The exposure value of a derivative instrument                        listed in Annex II of Regulation (EU) No 575/2013 shall be determined in accordance with Part Three, Title II, Chapter 6 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. 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 6 or Part Three, Title II, Chapter 4. In accordance to Article 296 of Regulation (EU) No                        575/2013, 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 Regulation (EU) No 575/2013.U.K.

#### 19.The effect of the full or partial application of exemptions and eligible CRM techniques for the purposes of calculating of                        exposures for the purpose of Article 395(1) is described in Articles 399 to 403 of Regulation (EU) No 575/2013.U.K.

#### 20.Reverse repurchase agreements which fall under the reporting for large exposures shall be reported accordingly with Article                        402(3) of the Regulation (EU) No 575/2013. Provided that the criteria in Article 402(3) of the Regulation (EU) No 575/2013                        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.**LE Limits template**U.K.

#### 4.1.Instructions concerning specific rowsU.K.

### 5.**LE1 template: Identification of the counterparty**U.K.

#### 5.1.Instructions concerning specific columnsU.K.

### 6.**LE2 template: Exposures in the non-trading and trading book**U.K.

#### 6.1.Instructions concerning specific columnsU.K.

### 7.**LE3 template: Details of the exposures to individual clients within groups of connected clients**U.K.

#### 7.1.Instructions concerning specific columnsU.K.

### 8.**LE 4 template: Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial                           entities**U.K.

#### 8.1.Instructions concerning specific columnsU.K.

### 9.**LE5 template: Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial                           entities: detail of the exposures to individual clients within groups of connected clients**U.K.

#### 9.1.Instructions concerning specific columnsU.K.

## ANNEX XU.K.REPORTING ON LEVERAGE

### **C 40.00 - ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)**

### **C 41.00 - ON- AND OFF-BALANCE SHEET ITEMS - ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)**

### **C 42.00 - ALTERNATIVE DEFINITION OF CAPITAL (LR3)**

### **C 43.00 - BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)**

### **C 44.00 - GENERAL INFORMATION (LR5)**

### **C 45.00 - LEVERAGE RATIO CALCULATION (LRCalc)**

### **C 46.00 - ENTITIES THAT ARE CONSOLIDATED FOR ACCOUNTING PURPOSES BUT ARE NOT WITHIN THE SCOPE OF PRUDENTIAL CONSOLIDATION                           (LR6)**

## ANNEX XIU.K.REPORTING ON LEVERAGE

## **PART I: GENERAL INSTRUCTIONS**U.K.

### 1.**Template labelling and other conventions**U.K.

#### 1.1.**Template labelling**U.K.

##### 1.This Annex contains additional instructions for the Leverage Ratio (hereinafter ‘LR’) templates included in Annex X of this                        Standard.U.K.

##### 2.Overall, the framework consists of seven templates:U.K.

          -  Leverage Ratio Calculation (LRCalc): Leverage ratio calculation 
          -  Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure 
          -  Leverage Ratio Template 2 (LR2): On and off-balance sheet items — additional breakdown of exposures 
          -  Leverage Ratio Template 3 (LR3): Alternative definition of capital 
          -  Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components 
          -  Leverage Ratio Template 5 (LR5): General information 
          -  Leverage Ratio Template 6 (LR6): Entities that are consolidated for accounting purposes but are not within the scope of prudential                           consolidation.                         

##### 3.For each template legal references are provided as well as further detailed information regarding more general aspects of                        the reporting.U.K.

#### 1.2.**Numbering convention**U.K.

##### 4.The document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and                        fields of the templates. These numerical codes are extensively used in the validation rules.U.K.

##### 5.The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to express                        that the validation is done for the whole row or column.U.K.

##### 6.In the case of validations within a template, where only data points from that template are used, notations will not refer                        to a template: {Row;Column}.U.K.

##### 7.For the purpose of the reporting on leverage, ‘of which’ refers to an item that is a subset of a higher level exposure category                        whereas ‘memo item’ refers to a separate item that is not a subset of an exposure class. Reporting of both types of fields                        is mandatory unless otherwise specified.U.K.

#### 1.3.**Sign convention**U.K.

##### 8.All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;110;1}, {LRCalc;110;2},                        {LRCalc;110;3}, {LRCalc;120;1}, {LRCalc;120;2}, {LRCalc;120;3}, {LRCalc;150;1}, {LRCalc;150;2}, {LRCalc;150;3}, {LRCalc;160;1},                        {LRCalc;160;2}, {LRCalc;160;3}, {LRCalc;170;1}, {LRCalc;170;2}, {LRCalc;170;3}, {LRCalc;180;1}, {LRCalc;180;2}, {LRCalc;180;3},                        {LRCalc;190;1}, {LRCalc;190;2}, {LRCalc;190;3}, {LR3;010;1}, LR3;020;1}, {LR3;030;1}, {LR3;040;1}, {LR3;050;1}, {LR3;060;1},                        {LR3;070;1} and LR3;080;1} which can either take positive or negative values. Thereby note that, apart from extreme cases,                        {LRCalc;150;1}, {LRCalc;150;2}, {LRCalc;150;3}, {LRCalc;170;1}, {LRCalc;170;2}, {LRCalc;170;3}, {LR3;050;1}, {LR3;060;1},                        {LR3;070;1} and {LR3;080;1} only take negative values. Also note that, apart from extreme cases, {LRCalc;110;1}, {LRCalc;110;2},                        {LRCalc;110;3}, {LRCalc;120;1}, {LRCalc;120;2}, {LRCalc;120;3}, {LRCalc;180;1}, {LRCalc;180;2}, {LRCalc;180;3}, {LRCalc;190;1},                        {LRCalc;190;2}, {LRCalc;190;3}, {LR3;010;1}, {LR3;020;1}, {LR3;030;1}, LR3;040;1} only take positive values.U.K.

## **PART II: TEMPLATE RELATED INSTRUCTIONS**U.K.

### 1.**Structure and frequency**U.K.

#### 1.The leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation                        of the leverage ratio that institutions shall submit to competent authorities according to Article 430(1), 1st subparagraph,                        of the CRR, while Part B comprises all the data items that institutions shall submit according to Article 430(1), 2nd subparagraph                        of the CRR (ie for the purposes of the report referred to in Article 511 of the CRR).U.K.

#### 2.In Part A, institutions shall report end-of-month values unless the derogation specified in Article 499(3) of the CRR applies.                        In Part B, institutions shall report end-of-quarter values.U.K.

#### 3.When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article                        429(11) of the CRR.U.K.

### 2.**Formulas for leverage ratio calculation**U.K.

#### 4.The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with fields from Part                        A.U.K.

#### 5.

#### 6.LR month 1 (PI) = {LRCalc;110;1}/[({LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1}                        + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;130;1} + {LRCalc;150;1} — {LRCalc;160;1})]U.K.

#### 7.LR month 2 (PI) = {LRCalc;110;2}/[({LRCalc;010; 2} + {LRCalc;020; 2} + {LRCalc;030; 2} + {LRCalc;040; 2} + {LRCalc;050; 2}                        + {LRCalc;060; 2} + {LRCalc;070;2} + {LRCalc;080;2} + {LRCalc;090;2} + {LRCalc;100;2} + {LRCalc;130; 2} + {LRCalc;150; 2}                        — {LRCalc;160; 2})]U.K.

#### 8.LR month 3 (PI) = {LRCalc;110;3}/[{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3}                        + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;130;3} + {LRCalc;150;3} — {LRCalc;160;3}]U.K.

#### 9.

#### 10.LR month 1 (T) = {LRCalc;120;1}/[({LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1}                        + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;140;1} + {LRCalc;170;1} — {LRCalc;160;1})]U.K.

#### 11.LR month 2 (T) = {LRCalc;120;2}/[({LRCalc;010; 2} + {LRCalc;020; 2} + {LRCalc;030; 2} + {LRCalc;040; 2} + {LRCalc;050; 2}                        + {LRCalc;060; 2} + {LRCalc;070;2} + {LRCalc;080;2} + {LRCalc;090;2} + {LRCalc;100;2} + {LRCalc;140; 2} + {LRCalc;170; 2}                        — {LRCalc;160; 2})]U.K.

#### 12.LR month 3 (T) = {LRCalc;120;3}/[{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3}                        + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;140;3} + {LRCalc;170;3} — {LRCalc;160;3}]U.K.

#### 13.When the derogation specified in Article 499 (3) of the CRR applies, the leverage ratio — fully phased-in definition is equal                        to LR month 3 (PI) and the leverage ratio — transitional definition is equal to LR month 3 (T).U.K.

### 3.**Materiality thresholds for derivatives**U.K.

#### 14.In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are                        used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall                        calculate these measures as follows:U.K.

#### 15.

#### 16.Where total exposure measure is equal to: [{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3}                        + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;130;3} + {LRCalc;150;3} — {LRCalc;160;3}]U.K.

#### 17.Total notional value of derivatives = {LR1; 010; 7}U.K.

#### 18.Credit derivatives volume = {LR1;020;7} + {LR1;050;7}U.K.

#### 19.Institutions are required to report the fields referred to in paragraph 22 in the next reporting period, if one of the following                        conditions is met:U.K.

          -  The derivatives share referred to in paragraph 15 is more than 1.5 % on two consecutive reporting reference dates; or 
          -  The derivatives share referred to in paragraph 15 exceeds 2.0 %. 

#### 20.Institutions for which the total notional value of derivatives as defined in paragraph 17 exceeds 10 billion € must report                        the fields referred to in paragraph 22, even though their derivatives share does not fulfil the conditions described in paragraph                        19.U.K.

#### 21.Institutions are required to report the fields referred to in paragraph 23 if one of the following conditions is met:U.K.

          -  The credit derivatives volume referred to in paragraph 18 is more than 300 million € on two consecutive reporting reference                           dates; or                         
          -  The credit derivatives volume referred to in paragraph 18 exceeds 500 million €. 

#### 22.{LR1;010;1},{LR1;010;2},{LR1;010;3},{LR1;010;5};{LR1;010;6},{LR1;010;7},{LR1;020;1},{LR1;020;2},{LR1;020;5},{{LR1;020;7},{LR1;030;5},{LR1;030;7},{LR1;040;5},{LR1;040;7},{LR1;050;1},{LR1;050;2},{LR1;050;5},                        },{LR1;050;7}, {LR1;060;1},{LR1;060;2},{LR1;060;5},{LR1;060;7}.U.K.

#### 23.{LR1;050;8}, {LR1;050;9},{LR1;050;10},{LR1;050;11}.U.K.

### 4.**LRCalc: Leverage ratio calculation**U.K.

#### 24.This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Article                        429 of the CRR.U.K.

#### 25.Since the leverage ratio shall be calculated ‘as the simple arithmetic mean of the monthly leverage ratios over a quarter’,                        institutions shall report the components at an end-of-month basis unless the derogation specified in Article 499(3) of the                        CRR applies. If the latter is the case, institutions shall only report values in column 3 of LRCalc.U.K.

#### 26.Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the ‘Month-1-value’ shall be the                        value at the last calendar day of the first month of the respective quarter, the ‘Month-2-value’ shall be the value at the                        last calendar day of the second month of the respective quarter and the ‘Month-3-value’ shall be the value at the last calendar                        day of the third month of the respective quarter.U.K.

### 5.**LR1 on alternative treatment of the Exposure Measure**U.K.

#### 27.This part of the reporting collects data on alternative treatment of derivatives, repurchase transactions, securities or commodities                        lending or borrowing transactions, long settlement transactions and margin lending transactions, and off-balance sheet items.U.K.

#### 28.Institutions shall determine the ‘accounting balance sheet values’ in LR1 based on the applicable accounting framework in                        accordance with Article 4(1)(77) of the CRR. ‘Accounting value assuming not netting or other CRM’ refers to the accounting                        balance sheet value not taking into account any effects of netting or risk mitigation.U.K.

### 6.**LR2 On- and off-balance sheet items — additional breakdown of exposures**U.K.

#### 29.Panel LR2 provides information on additional breakdown items of all on and off balance sheet exposures(7) belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown                        is according to the risk weights applied under the credit risk section of the CRR. The information is derived differently                        for exposures under respectively the standardised and the IRB approach.U.K.

#### 30.For exposures supported by credit risk mitigation techniques implying the substitution of the risk weighting of the counterparty                        with the risk weighting of the guarantee, institutions shall refer to the risk weight after the substitution effect. Under                        the internal ratings-based approach for credit risk, institutions shall proceed with the following calculation: for exposures                        (other than those for which specific regulatory risk weights are provided for) belonging to each obligor grade, the risk weight                        shall be derived by dividing the risk weighted exposure obtained from the risk weight formula or the supervisory formula (for                        credit risk and securitisations exposures, respectively) by the exposure value after taking into account inflows and outflows                        due to CRM techniques with substitution effect on the exposure. Under the internal ratings-based approach, exposures classified                        as in default shall be excluded from rows 020 to 090 and included in row 100.U.K.

#### 31.Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1 250                        % risk weight.U.K.

### 7.**LR3 Alternative definition of capital**U.K.

#### 32.Template LR3 provides with the capital measures needed for the review provided for in Article 511 of the CRR.U.K.

### 8.**LR4 Alternative breakdown of leverage ratio exposure measure components**U.K.

#### 33.In order to avoid double-counting, institutions shall uphold the following:U.K.

#### 34.[{LRCalc;010;3}+{LRCalc;020;3}+{LRCalc;030;3}+{LRCalc;040;3}+{LRCalc;050;3}+{LRCalc;060;3}+{LRCalc;070;3}+{LRCalc;080;3}+{LRCalc;090;3}+{LRCalc;100;3}]=                        [{LR4;010;1}+{LR4;040;1}+{LR4;050;1}+{LR4;060;1}+{LR4;070;1}+{LR4;080;1}+{LR4;080;2}+{LR4;090;1}+{LR4;090;2}{LR4;140;1}+{LR4;140;2}+{LR4;180;1}+{LR4;180;2}+{LR4;190;1}+{LR4;190;2}+{LR4;210;1}+{LR4;210;2}+{LR4;230;1}+{LR4;230;2}+{LR4;280;1}+{LR4;280;2}+{LR4;290;1}+{LR4;290;2}]U.K.

### 9.**LR5 General information**U.K.

#### 35.Additional information is collected here for the purpose of categorising the institution activities and the regulatory options                        chosen by the institution.U.K.

### 10.**LR6 Entities that are consolidated for accounting purposes but not within the scope of prudential consolidation**U.K.

#### 36.LR6 collects information on financial sector entities as defined in Article 4(1)(27) CRR that are consolidated according to                        the applicable accounting framework but are not included in the institution's prudential consolidation according to Chapter                        2 of Title II of Part One of the CRR, securitisation entities that are consolidated according to the applicable accounting                        framework but are not included in the institution's prudential consolidation according to Chapter 2 of Title II of Part One                        of the CRR, and to commercial entities that are consolidated according to the applicable accounting framework but are not                        included in the institution's prudential consolidation according to Chapter 2 of Title II of Part One of the CRR.U.K.

#### 37.Institutions shall determine the total amount of the equity of the financial sector entities referred to in paragraph 36 reduced                        by the deductions that relate to the financial sector entities referred to in paragraph 36 pursuant to Article 36 paragraph                        1, points (g), (h) and (i) of the CRR. To obtain the inclusion factor for financial sector entities, institutions shall divide                        the amount specified in the previous sentence by the total amount of the equity of the financial sector entities referred                        to in paragraph 36.U.K.

#### 38.Institutions shall determine the total amount of the equity of commercial entities referred to in paragraph 36 reduced by                        the deductions that relate to the commercial entities referred to in paragraph 36 pursuant to Article 36 paragraph 1, point                        (k)(i) of the CRR. To obtain the inclusion factor for commercial entities, institutions shall divide the amount specified                        in the previous sentence by the total amount of the equity of the commercial entities referred to in paragraph 36.U.K.

#### 39.For commercial entities referred to in paragraph 36, institutions shall gauge the potential relative importance of these entities                        to the total exposure of the leverage ratio on an entity by entity basis. When reporting the fields referred to in paragraph                        40, institutions are not required to take into account those commercial entities for which the value that enters into {LR6;140;                        3} is less than 0.1 % of the amount determined according to paragraph 16.U.K.

#### 40.{LR6;010; 3}, {LR6;020; 3}, {LR6;030; 3}, {LR6;040; 3}, {LR6;050; 3}, {LR6;060; 3}, {LR6;070; 3}, {LR6;080; 3}, {LR6;090;                        3}, {LR6;100; 3}, {LR6;110; 3} to {LR6;120; 3}.U.K.

#### 41.For the purpose of LR6 institutions shall treat an entity as a securitisation entity if it is 4(1)(61)4(1)(63)a securitisation                        special purpose entity as defined in Article 4(1)(66).U.K.

#### 42.For the purpose of LR6 institutions shall treat an entity as a commercial entity if it is an entity that is not a financial                        sector entity as defined in Article 4(1)(27) CRR and is not a entity within the scope of the previous paragraph.U.K.

## ANNEX XIIU.K.REPORTING ON LIQUIDITY

### **C 51.00 — LIQUIDITY COVERAGE — LIQUID ASSETS**

### **C 52.00 — LIQUIDITY COVERAGE — OUTFLOWS**

### **C 53.00 — LIQUIDITY COVERAGE — INFLOWS**

### **C 54.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS**

### **C 60.00 — STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING**

### **C 61.00 — STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING**

## ANNEX XIIIU.K.

### REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS)U.K.

#### 1.Liquid assetsU.K.

##### 1.1.General remarksU.K.

###### 1.This is a summary template which contains information about assets for the purpose of monitoring the liquidity coverage requirement                        as specified in Article 412 REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are colored                        grey.U.K.

###### 2.Assets shall be reported in one of six sections in this template:U.K.

###### 3.Assets which meet the requirements of Article 416 and Article 417: assets identified as liquid for reporting purposes in the                        REGULATION (EU) NO 575/2013, which meet the operational requirements for holdings of liquid assets.U.K.

###### 4.Assets which meet the requirements of Article 416 (1) (b) and (d) but do not meet the requirements of Article 417 (b) and                        (c) REGULATION (EU) NO 575/2013.U.K.

###### 5.Items subject to supplementary reporting of liquid assets according to Annex III REGULATION (EU) NO 575/2013U.K.

###### 6.Assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but meet the requirements of Article                        417(b) and (c) REGULATION (EU) NO 575/2013.U.K.

###### 7.Treatment for jurisdictions with insufficient liquid assetsU.K.

###### 8.Reporting of Shar'iah compliant assets as alternative assets under Article 509(2)(i).U.K.

##### 1.2.Specific remarksU.K.

###### 9.For items 1.1 to 1.2 institutions shall report the relevant amounts in column 030.U.K.

###### 10.For items 1.3 to 1.4 institutions shall report the market value of assets in column 010 and the value according to Article                        418 in column 020 for each category of assets.U.K.

###### 11.For item 1.5 institutions shall report the relevant undrawn amount in column 040.U.K.

###### 12.For item 1.6.1/1.6.2 institutions shall report the relevant amounts in column 030/040.U.K.

###### 13.For items 1.7 to 2.2, in accordance with the last paragraph of Article 416(1) REGULATION (EU) NO 575/2013 and pending a uniform                        definition in accordance with Article 460 of high and extremely high liquidity and credit quality, institutions shall identify                        themselves in a given currency transferable assets that are of extremely high and high liquidity and credit quality and report                        their market value in columns 010 and 030 and the value according to Article 418 in columns 020 and 040.U.K.

###### 14.For items 1.3 to 1.4 and 1.7 to 1.14, institutions shall only report assets that fulfill all the operational requirements                        referred to in Article 417 REGULATION (EU) NO 575/2013.U.K.

###### 15.For items 2.1 to 2.2, institutions shall report assets which would otherwise qualify to be reported in section 1.1 to 1.14                        but do not meet the operational requirements referred to in Article 417 (b) and (c) REGULATION (EU) NO 575/2013.U.K.

###### 16.For items 1.1 to 2.2, with the exception of item 1.5, institutions shall only report assets which fulfill all the conditions                        referred to in Article 416(3) REGULATION (EU) NO 575/2013.U.K.

###### 17.For items 3.1 to 3.12, institutions shall only report assets subject to supplementary reporting of liquid assets in accordance                        with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9,                        must satisfy the conditions as set out in the last paragraph of that Annex.U.K.

###### 18.For items 4.1 to 4.12.3, institutions shall only report assets which do not meet the requirements of Article 416 REGULATION                        (EU) NO 575/2013 but still meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013U.K.

###### 19.For items 5.1 to 5.2, institutions shall only report items related to the derogations as referred to in Article 419(2) REGULATION                        (EU) NO 575/2013 for currencies with constraints on the availability of liquid assetsU.K.

###### 20.For items 6.1 to 6.1.3, only Shar'iah compliant banks shall report items that are Shar'iah compliant financial products as                        an alternative to assets that would qualify as liquid assets for the purposes of Article 416 REGULATION (EU) NO 575/2013U.K.

###### 21.The value of the liquid assets of all items in the template, with the exception of 1.1 to 1.2.1, 1.5 to 1.6.2, 3.1 to 3.2,                        3.9 to 3.10 and 5.2 shall be the market value and the value after the application of the relevant haircuts. For items 1.1                        to 1.2.1, 1.6 to 1.6.2, 3.1 to 3.2, 3.10 and 5.2 the amount of the item shall be reported. For item 1.5 and 3.9 the undrawn                        amount of the line shall be reported.U.K.

##### Liquid assets sub templateU.K.

###### 1.2.1.Instructions concerning specific rowsU.K.

### REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS)U.K.

#### 1.OutflowsU.K.

##### 1.1.General remarksU.K.

###### 1.This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose                        of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which                        do not need to be completed by institutions are coloured grey.U.K.

###### 2.In accordance with Article 420 REGULATION (EU) NO 575/2013, this section covers reporting requirements on retail deposits                        (Article 421), other deposits and liabilities (Article 422), additional outflows (Article 423) and outflows from credit and                        liquidity facilities (Article 424).U.K.

###### 3.In accordance with Article 421(5) of the REGULATION (EU) NO 575/2013, institutions may exclude from the calculation of outflows                        certain clearly circumscribed categories of retail deposits. For completeness, the reporting of these deposits is requested                        in item 1.1.6 of the template.U.K.

##### 1.2.Outflows sub templateU.K.

###### 1.2.1.Instructions concerning specific rowsU.K.

### REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS)U.K.

#### 1.InflowsU.K.

##### 1.1.General remarksU.K.

###### 1.This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose                        of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which                        do not need to be completed by institutions are coloured grey.U.K.

###### 2.In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity inflows shall:U.K.

comprise only contractual inflows from exposures that are not passed due and for which the bank has no reason to expect non-performance                              within the 30-day time horizon.                           

be reported in full,.

###### 3.In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any of the liquid                        assets reported in accordance with Article 416 other than payments due on the assets that are not reflected in the market                        value of the asset.U.K.

###### 4.In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any new obligations                        entered into.U.K.

##### 1.2.Inflows sub templateU.K.

###### 1.2.1.Instructions concerning specific rowsU.K.

### REPORTING ON LIQUIDITY (PART 4 of 5: COLLATERAL SWAPS)U.K.

#### General remarksU.K.

##### 1.This is a summary template which contains information that will allow EBA to assess whether secured lending and collateral                        swap transactions have been properly unwound, where liquid assets referred to in points (a), (b) and (c) of Article 416(1)                        have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1).U.K.

Collateral swaps sub template

Instructions concerning specific rows

### REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)U.K.

#### 1.Items providing stable fundingU.K.

##### 1.1.General remarksU.K.

###### 1.This is a summary template which contains information about items providing stable funding. Items which do not need to be                        completed by institutions are coloured grey.U.K.

###### 2.All own funds and liabilities reported on an institution's balance sheet shall be reported here. The total amount of these                        two categories shall therefore reflect the size of the institutions' total assets.U.K.

###### 3.In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities shall be reported in five buckets as follows:U.K.

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is                              within three months of the reporting date, shall be reported in column F of the relevant category. All sight deposits shall                              be reported here.                           

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is                              between three and six months from the reporting date, shall be reported in column G of the relevant category.                           

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is                              between 6 and 9 months from the reporting date, shall be reported in column H of the relevant category.                           

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is                              between 9 and 12 months from the reporting date, shall be reported in column I of the relevant category.                           

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is                              beyond one year of the reporting date and own funds shall be reported in column J of the relevant category.                           

###### 4.Institutions shall assume that investors redeem a call option at the earliest possible date. For funding with options exercisable                        at the institution's discretion, reputational factors that may limit the institution's ability to exercise the option shall                        be taken into account. In particular, where the market expects certain liabilities to be redeemed before their legal final                        maturity date, institutions shall assume such behaviour.U.K.

###### 5.For retail deposits reported in section 1.2, the same assumptions with regard to maturity for the Liquidity Coverage template                        shall be used in the Available Stable Funding template.U.K.

##### 1.2.Items providing stable fundingU.K.

###### 1.2.1.Instructions concerning specific rowsU.K.

#### 2.Items requiring stable fundingU.K.

##### 2.1.General remarksU.K.

###### 1.This is a summary template which contains information about items requiring stable funding. Items which do not need to be                        completed by institutions are coloured grey.U.K.

###### 2.All assets reported on an institutions balance sheet shall be reported here. The total amount reported shall therefore reflect                        the size of total own funds and liabilities together.U.K.

###### 3.Treatment of maturity:U.K.

In accordance with Article 428(2) of the REGULATION (EU) NO 575/2013, items shall be presented in five buckets as follows:

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is within                                       three months of the reporting date, shall be reported in column 010, 060 or 110 depending on the relevant category.                                    

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between                                       three and six months from the reporting date, shall be reported in column 020, 070, or 120 depending on the relevant category.                                    

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between                                       6 and 9 months from the reporting date, shall be reported in column 030, 080, or 130 depending on the relevant category.                                    

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between                                       9 and 12 months from the reporting date, shall be reported in column 040, 090, or 140 depending on the relevant category.                                    

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond                                       one year of the reporting date and own funds shall be reported in column 050, 100, or 150 depending on the relevant category.                                    

For options exercisable at the institution's discretion, institutions shall take into account reputational factors that may                              limit the ability not to exercise the option. In particular, if third parties expect that an option will not be exercised,                              the institution shall assume such behaviour for the purpose of reporting assets in this template.                           

Assets shall be reported according to their residual contract maturity and not behavioural assumptions.

###### 4.In accordance with Article 510 of the REGULATION (EU) NO 575/2013, for the purpose of monitoring Stable Funding, for each                        category of assets reported in the required stable funding template, institutions shall provide a separate break down of the                        assets encumbrance as follows:U.K.

The amount of assets reported which are unencumbered shall be reported in the first sub-category.

The amount of assets which are encumbered shall be reported in the relevant sub-line depending on the period of encumbrance,                              as follows:                           

for a period within three months

for a period between three and 6 months

for a period between 6 and 9 months

for a period between 9 and 12 months

for a period greater than 12 months

###### 5.Treatment of assets received or lent in secured lending and capital market driven transactions in accordance with Article                        192 of REGULATION (EU) NO 575/2013:U.K.

Institutions shall exclude assets which they have borrowed in secured lending and capital market driven transactions in accordance                              with Article 192 or REGULATION (EU) NO 575/2013 (such as reverse repurchase transactions and collateral swaps) of which they                              do not have beneficial ownership.                           

Institutions shall report those assets they have lent in secured lending and capital market driven transactions in accordance                              with Article 192 or REGULATION (EU) NO 575/2013 (such as repurchase transactions or collateral swaps) of which they retain                              beneficial ownership.                           

Where an institution has encumbered securities in repurchase transactions lent in secured lending and capital market driven                              transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 but retained beneficial ownership and they remain                              on their balance sheet, they shall allocate such securities to the appropriate RSF category.                           

###### 6.Treatment of derivatives payables and receivables:U.K.

An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables)                              on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and                              report the amounts in both template 1.1. ‘Required funding’ and template 1.2 ‘Stable funding’ accordingly.                           

##### 2.2.Items requiring stable fundingU.K.

###### 2.2.1.Instructions concerning specific rowsU.K.

## ANNEX XIVU.K.DATA POINT MODEL — DICTIONARY

### **Tables**

### **Table Axes**

### **Named Table Axes**

### **Domains**

### **Dimensions**

### **Members**

## ANNEX XVU.K.VALIDATION FORMULAE

1

OJ L 176, 27.6.2013, p. 1.                           

2

Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions                              and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives                              2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).                           

3

Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international                              accounting standards (OJ L 243, 11.9.2002, p. 1).                           

4

Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory                              Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).                           

5

The data requested to the institutions in this template shall be reported on an accumulated basis for the natural year or                              report (i.e. since 1st of January of the current year).                           

6

‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject                              to own funds requirements.                           

7

This includes securitisations and equity exposures subject to credit risk