3

Approach to specific cases: Reporting and disclosure requirements based on the CRR

3.1

Table B considers specific cases where CRR reporting and disclosure requirements include EU-based references, and sets out an expected approach in each instance.

Table B: Approach to interpretation of specific EU-based references in reporting and disclosure requirements based on CRR

Reference Template
title
Legislative
reference
Interpretation
Row and column
labels referring to EU
Leverage ratio
disclosures
ITS 2016/200,
Annex I
Firms have an option to either retain the reference to the EU or remove this from the row labels.
Conservation buffer
due to macro-
prudential or
systemic risk
identified at the
level of a Member State
COREP C04.00,
row 760, C06.02,
column 440
PRA Rulebook,
Reporting (CRR) Part, Reporting
Requirements,
Annexes I and II
The reference to ‘…conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State…’ should be read as ‘…conservation buffer due to enhanced prudential measures…’

References to
Capital
Requirements 
Directive
(2013/36/EU)
(CRD) Article
140(4) within
counter-cyclical
capital buffer
disclosure
requirements

CCyB
disclosures
PRA Rulebook,
Disclosure (CRR)
Part, Templates
and Instructions,
Annexes IX and X
References in Part II of Annex II to exposures ‘defined in accordance with Article 140(4)(a) of Directive 2013/36/EU’ shall be read as references to ‘all exposure classes (other than those referred to in points (a) to (f) of CRR Article 112 ) that are subject to the own funds requirements for credit risk under Part Three, Title II of that Regulation’.
References in Part II of Annex II to exposures ‘defined in accordance with Article 140(4)(b) of Directive 2013/36/EU’ shall be read, where the exposure is held in the trading book, as references to ‘all exposure classes (other than those referred to in points (a) to (f) of CRR Article 112) that are subject to the own funds requirements for specific risk under Part Three, Title IV, Chapter 2 of that Regulation or incremental default and migration risk under Part Three, Title IV, Chapter 5 of that Regulation’.
References in Part II of Annex II to exposures ‘defined in accordance with Article 140(4)(c) of Directive 2013/36/EU’ shall be read, where the exposure is a securitisation as references to ‘all exposure classes (other than those referred to in points (a) to (f) of CRR Article 112) that are subject to the own funds requirements under Part Three, Title II, Chapter 5 of that Regulation’. References to relevant credit exposures defined in accordance to Article 140(4) of Directive 2013/36/EU are to be read in line with the instructions above.
EU references
contained within
the definitions of
benchmarking
portfolios and
corresponding
reporting
instructions
Benchmarking
templates
2016/2070, all annexes The definitions of the benchmarking portfolios should remain unchanged. For the avoidance of doubt, this means that any references to codes assigned by the EBA; to Euros; to Central European Time (CET); and to European OTC options should remain as they are.
Reference to joint decisions
Benchmarking template
C105.01
2016/2070,
Annexes III and IV
Firms should report whether a joint decision, made prior to the date of EU withdrawal, continues to apply in relation to the use of the IRB approach for exposures included in the benchmarking portfolios.