1
Applications and Definitions
1.1
This Part applies to:
- (a) a firm that is a CRR firm; and
- (b) a CRR consolidation entity.
- 01/01/2022
- Legal Instruments that change this rule 1.1
1.2
In this Part, the following definitions shall apply:
additional leverage disclosure requirements
means the requirements specified in:
means the average total exposure measure calculated in accordance with Articles 451(4)(1) or 451(5) of Chapter 4, as applicable.
means the average leverage ratio calculated in accordance with Articles 451(4)(b) of Chapter 4.
means the following exposures of a firm to a central bank, provided these are denominated in the national currency of such central bank:
- (1) banknotes and coins constituting legal currency in the jurisdiction of the central bank;
- (2) reserves held by a firm at the central bank; and
- (3) any assets representing debt claims on the central bank with a maturity of no longer than 3 months.
means an institution that has not issued securities that are admitted to trading on a regulated market.
has the meaning given in the Remuneration Part.
standard leverage disclosure requirements
means the requirements specified in Articles 447(e)(i) and 451(1) of Chapter 4, and related requirements in Article 7 of Chapter 5 and annexes XI and Annex XII of Chapter 6.
Export chapter as
2
Level of Application
Application of requirements on an individual basis
2.1
An institution that is not a parent undertaking or a subsidiary or included in the consolidation pursuant to Article 18 of the CRR shall comply with this Part on an individual basis.
[Note: rule 2.1 sets out an equivalent provision to Article 6(1) and the first subparagraph of Article 6(3) of the CRR that apply to this Part]
- 01/01/2022
- Legal Instruments that change this rule 2.1
2.2
The institutions referred to in Article 6(1a) of the CRR shall comply with Article 437a and point (h) of Article 447 on an individual basis.
[Note: rule 2.2 sets out an equivalent provision to the second subparagraph of Article 6(3) of the CRR that applies to this Part]
2.3
Large subsidiaries of UK parent institutions, UK parent financial holding companies or UK parent mixed financial holding companies and large subsidiaries of parent undertakings established in a third country shall disclose the information specified in Articles 437, 438, 440, 442, 450, 451, 451a and 453 on an individual basis or on a sub-consolidated basis.
[Note: rule 2.3 corresponds to the second subparagraph of Article 13(1) of the CRR as it applied immediately before revocation by the Treasury and sets out an equivalent provision to the second subparagraph of Article 13(3) of the CRR that applies to this Part]
- 01/01/2022
- Legal Instruments that change this rule 2.3
Application of requirements on a consolidated basis
2.4
- 01/01/2022
- Legal Instruments that change this rule 2.4
2.5
Rule 2.4 shall not apply to a CRR consolidation entity or a resolution entity where it is included in an equivalent disclosure on a consolidated basis provided by a parent undertaking established in a third country.
[Note: rule 2.5 sets out an equivalent provision to the first subparagraph of Article 13(3) of the CRR that applies to this Part]
- 01/01/2022
- Legal Instruments that change this rule 2.5
2.6
An institution identified as a resolution entity that is a G-SII or that is part of a G-SII shall comply with Article 437a and point (h) of Article 447 on the basis of the consolidated situation of its resolution group.
[Note: rule 2.6 corresponds to Article 13(2) of the CRR as it applied immediately before revocation by the Treasury]
- 01/01/2022
- Legal Instruments that change this rule 2.6
2.7
For the purposes of applying this Part on a consolidated basis, the terms "institution" and "UK parent institution" shall include a CRR consolidation entity (if it would not otherwise have been included).
[Note: rule 2.7 sets out an equivalent provision to Article 11(2) of the CRR that applies to this Part]
- 01/01/2022
- Legal Instruments that change this rule 2.7
2.8
- 01/01/2022
- Legal Instruments that change this rule 2.8
Application of requirements on a sub-consolidated basis
2.9
- 01/01/2022
- Legal Instruments that change this rule 2.9
Application of leverage disclosure requirements to LREQ firms
2.10
An LREQ firm shall comply with:
- (a) the standard leverage disclosure requirements on the LREQ basis and any other basis on which this Part applies to the LREQ firm under rules 2.1 to 2.9;
- (b) the additional leverage disclosure requirements on the LREQ basis only.
- 01/01/2022
- Legal Instruments that change this rule 2.10
3
Organisational Structure and Control Mechanisms
3.1
A CRR consolidation entity and an institution shall set up a proper organisational structure and appropriate internal control mechanisms in order to ensure that the data required for consolidation for the purposes of this Part are duly processed and forwarded.
[Note: rule 3.1 sets out an equivalent provision to the second sentence of Article 11(1) of the CRR that applies to this Part]
- 01/01/2022
- Legal Instruments that change this rule 3.1
3.2
A CRR consolidation entity and an institution shall ensure that a subsidiary not subject to this Part implements arrangements, processes and mechanisms to ensure proper consolidation for the purposes of this Part.
[Note: rule 3.2 sets out an equivalent provision to the third sentence of Article 11(1) of the CRR that applies to this Part]
- 01/01/2022
- Legal Instruments that change this rule 3.2
4
Disclosure (Part Eight CRR)
Title I General Principles
Article 431 Disclosure Requirements and Policies
1.
Institutions shall publicly disclose the information referred to in Titles II and III in accordance with the provisions laid down in this Title, subject to the exceptions referred to in Article 432.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
Institutions that have been granted permission by the competent authorities under Part Three for the instruments and methodologies referred to in Title III of this Part shall publicly disclose the information laid down therein.
- 01/01/2022
- Legal Instruments that change this rule 2.
3.
The management body or senior management shall adopt formal policies to comply with the disclosure requirements laid down in this Part and put in place and maintain internal processes, systems and controls to verify that the institution’s disclosures are appropriate and in compliance with the requirements laid down in this Part. At least one member of the management body or senior management shall attest in writing that the relevant institution has made the disclosures required under this Part in accordance with the formal policies and internal processes, systems and controls. The written attestation and the key elements of the institution's formal policies to comply with the disclosure requirements shall be included in the institutions' disclosures.
Information to be disclosed in accordance with this Part shall be subject to the same level of internal verification as that applicable to the management report included in the institution's financial report.
Institutions shall also have policies in place to verify that their disclosures convey their risk profile comprehensively to market participants. Where institutions find that the disclosures required under this Part do not convey the risk profile comprehensively to market participants, they shall publicly disclose information in addition to the information required to be disclosed under this Part. Nonetheless, institutions shall only be required to disclose information that is material and not proprietary or confidential in accordance with Article 432.
- 01/01/2022
- Legal Instruments that change this rule 3.
4.
All quantitative disclosures shall be accompanied by a qualitative narrative and any other supplementary information that may be necessary in order for the users of that information to understand the quantitative disclosures, noting in particular any significant change in any given disclosure compared to the information contained in the previous disclosures.
- 01/01/2022
- Legal Instruments that change this rule 4.
5.
Institutions shall, if requested, explain their rating decisions to SMEs and other corporate applicants for loans, providing an explanation in writing when asked. The administrative costs of the explanation shall be proportionate to the size of the loan.
[Note: This rule corresponds to Article 431 of the CRR as it applied immediately before revocation by the Treasury]
- 01/01/2022
- Legal Instruments that change this rule 5.
Article 432 Non-Material, Proprietary or Confidential Information
1.
With the exception of the disclosures laid down in point (c) of Article 435(2) and in Articles 437 and 450, institutions may omit one or more of the disclosures listed in Titles II and III where the information provided by those disclosures is not regarded as material.
Information in disclosures shall be regarded as material where its omission or misstatement could change or influence the assessment or decision of a user of that information relying on it for the purpose of making economic decisions.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
Institutions may also omit one or more items of information referred to in Titles II and III where those items include information that is regarded as proprietary or confidential in accordance with this paragraph, except for the disclosures laid down in Articles 437 and 450.
Information shall be regarded as proprietary to institutions where disclosing it publicly would undermine their competitive position. Proprietary information may include information on products or systems that would render the investments of institutions therein less valuable, if shared with competitors.
Information shall be regarded as confidential where the institutions are obliged by customers or other counterparty relationships to keep that information confidential.
- 01/01/2022
- Legal Instruments that change this rule 2.
3.
In the exceptional cases referred to in paragraph 2, the institution concerned shall state in its disclosures the fact that the specific items of information are not disclosed and the reason for not disclosing those items, and publish more general information about the subject matter of the disclosure requirement, except where that subject matter is, in itself, proprietary or confidential.
[Note: This rule corresponds to Article 432 of the CRR as it applied immediately before revocation by the Treasury.]
- 01/01/2022
- Legal Instruments that change this rule 3.
Article 433 Frequency and Scope of Disclosures
Institutions shall publish the disclosures required under Titles II and III in the manner set out in Articles 433a, 433b and 433c.
Annual disclosures shall be published on the same date as the date on which institutions publish their financial statements or as soon as possible thereafter.
Semi-annual and quarterly disclosures shall be published on the same date as the date on which the institutions publish their financial reports for the corresponding period where applicable or as soon as possible thereafter.
Any delay between the date of publication of the disclosures required under this Part and the relevant financial statements shall be reasonable.
[Note: This rule corresponds to Article 433 of the CRR as it applied immediately before revocation by the Treasury.]
Article 433a Disclosures by Large Institutions
1.
Large institutions shall disclose the information outlined below with the following frequency:
- (a) all the information required under this Part on an annual basis;
- (b) on a semi-annual basis the information referred to in:
- (i) point (a) of Article 437;
- (ii) point (e) of Article 438;
- (iii) points (e) to (l) of Article 439;
- (iv) Article 440;
- (v) points (c), (e), (f) and (g) of Article 442;
- (vi) point (e) of Article 444;
- (vii) Article 445;
- (viii) point (a) and (b) of Article 448(1);
- (ix) point (j) to (l) of Article 449;
- (x) points (a) and (c) of Article 451(1);
- (xi) Article 451a(3);
- (xii) point (g) of Article 452;
- (xiii) points (f) to (j) of Article 453;
- (xiv) points (d), (e) and (g) of Article 455;
- (c) on a quarterly basis the information referred to in:
- (i) points (d) and (h) of Article 438;
- (ii) the key metrics referred to in Article 447;
- (iii) Article 451a(2).
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
By way of derogation from paragraph 1, large institutions other than G-SIIs that are non-listed institutions shall disclose the information outlined below with the following frequency:
- (a) all the information required under this Part on an annual basis;
- (b) the key metrics referred to in Article 447 on a semi-annual basis.
3.
Large institutions that are subject to Article 92a or 92b shall disclose the information required under Article 437a on a semi-annual basis, except for the key metrics referred to in point (h) of Article 447, which are to be disclosed on a quarterly basis.
[Note: Paragraph 3 of this rule corresponds to Article 433a(3) of the CRR as it applied immediately before revocation by the Treasury.]
4.
Large institutions that are LREQ firms shall disclose the information required under paragraphs (1)(a), (b) and (g), (2) and (3) of Article 451 on a quarterly basis.
- 01/01/2022
- Legal Instruments that change this rule 4.
Article 433b Disclosures by Small Domestic Deposit Takers, SDDT Consolidation Entities and Small and Non-Complex Institutions
1.
SDDTs and SDDT consolidation entities shall disclose the information outlined below with the following frequency:
- (a) on an annual basis the information referred to in:
- (i) [deleted];
- (ii) point (d) of Article 438;
- (iii) points (a) to (d), (h)(i) and (h)(ii) of Article 450(1);
- (b) on a semi-annual basis the key metrics referred to in Article 447.
2.
By way of derogation from paragraph 1 of this Article, SDDTs that are non-listed institutions are not required to make the disclosures specified in that paragraph.
3.
In relation to any disclosure relating to a period ending on or before 30 June 2027, this Article as it stood immediately before 1 January 2024 applies, with the modification in paragraph 4, to any institution that:
- (a) was a small and non-complex institution immediately before 1 January 2024 and continues to be so; and
- (b) is not an SDDT or an SDDT consolidation entity.
- 01/01/2024
- Legal Instruments that change this rule 3.
4.
The modification referred to in paragraph 3 is that for any institution subject to that paragraph that is a small CRR firm the disclosure required in relation to the information referred to in Article 450 is as follows:
- (a) for a non-listed institution, no disclosure is required;
- (b) otherwise, points (a)-(d), (h)(i) and (h)(ii) of Article 450(1).
- 01/01/2024
- Legal Instruments that change this rule 4.
Article 433c Disclosures by Other Institutions
1.
Institutions that are not subject to Article 433a or 433b shall disclose the information outlined below with the following frequency:
- (a) all the information required under this Part on an annual basis;
- (b) the key metrics referred to in Article 447 on a semi-annual basis;
- (c) for such institutions that are LREQ firms, the information required under paragraphs (1)(a), (b) and (g), (2) and (3) of Article 451 on a quarterly basis.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
By way of derogation from paragraph 1 of this Article, other institutions that are non-listed institutions shall disclose the following information on an annual basis:
- (a) points (a), (e) and (f) of Article 435(1);
- (b) points (a), (b) and (c) of Article 435(2);
- (c) point (a) of Article 437;
- (d) points (c) and (d) of Article 438;
- (e) the key metrics referred to in Article 447;
- (f) points (a) to (d), (h) to (k) of Article 450(1).
3.
Notwithstanding paragraphs 1 and 2, for institutions subject to this Article that are small CRR firms, the disclosure required in relation to the information referred to in Article 450 is as follows:
- (a) for non-listed institutions, no disclosure is required;
- (b) otherwise, points (a)-(d), (h)(i) and (h)(ii) of Article 450(1).
- 01/01/2024
- Legal Instruments that change this rule 3.
Article 434 Means of Disclosures
1.
Institutions shall disclose all the information required under Titles II and III in electronic format and in a single medium or location. The single medium or location shall be a standalone document that provides a readily accessible source of prudential information for users of that information or a distinctive section included in or appended to the institutions' financial statements or financial reports containing the required disclosures and being easily identifiable to those users.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
Institutions shall make available on their website or, in the absence of a website, in any other appropriate location an archive of the information required to be disclosed in accordance with this Part. That archive shall be kept accessible for a period of time that shall be no less than the storage period set by national law for information included in the institutions' financial reports.
[Note: This rule corresponds to Article 434 of the CRR as it applied immediately before revocation by the Treasury.]
- 01/01/2022
- Legal Instruments that change this rule 2.
Article 434a Uniform Disclosure Formats
[Note: Provision left blank]
Article 434b Timing and Means of Disclosures under Article 441
1.
By way of derogation from the second paragraph of Article 433, G-SIIs shall disclose the information required under Article 441 within four months after the end of the period to which the information relates.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
By way of derogation from Article 434(1), where a G-SII relies on the derogation in paragraph 1, it may disclose the information required under Article 441 in a separate medium or location from the standalone document mentioned in Article 434(1).
- 01/01/2022
- Legal Instruments that change this rule 2.
3.
If, in accordance with paragraphs 1 and 2, a G-SII does not disclose the information required under Article 441 at the same time as, and in the same medium or location as, the other information required to be disclosed under Titles II and III, it shall include in the standalone document mentioned in Article 434(1) a statement specifying when and in what medium or location the information required under Article 441 will be disclosed.
- 01/01/2022
- Legal Instruments that change this rule 3.
Title II Technical Criteria on Transparency and Disclosure
Article 435 Disclosure of Risk Management Objectives and Policies
1.
Institutions shall disclose their risk management objectives and policies for each separate category of risk, including the risks referred to in this Title. These disclosures shall include:
- (a) the strategies and processes to manage those categories of risks;
- (b) the structure and organisation of the relevant risk management function including information on the basis of its authority, its powers and accountability in accordance with the institution's incorporation and governing documents;
- (c) the scope and nature of risk reporting and measurement systems;
- (d) the policies for hedging and mitigating risk, and the strategies and processes for monitoring the continuing effectiveness of hedges and mitigants;
- (e) a declaration approved by the management body on the adequacy of risk management arrangements of the institution providing assurance that the risk management systems put in place are adequate with regard to the institution's profile and strategy;
- (f) a concise risk statement approved by the management body succinctly describing the relevant institution's overall risk profile associated with the business strategy; that statement shall include:
- (i) key ratios and figures providing external stakeholders with a comprehensive view of the institution's management of risk, including how the risk profile of the institution interacts with the risk tolerance set by the management body;
- (ii) information on intragroup transactions and transactions with related parties that may have a material impact of the risk profile of the consolidated group.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
Institutions shall disclose the following information regarding governance arrangements:
- (a) the number of directorships held by members of the management body;
- (b) the recruitment policy for the selection of members of the management body and their actual knowledge, skills and expertise;
- (c) the policy on diversity with regard to selection of members of the management body, its objectives and any relevant targets set out in that policy, and the extent to which those objectives and targets have been achieved;
- (d) whether or not the institution has set up a separate risk committee and the number of times the risk committee has met;
- (e) the description of the information flow on risk to the management body.
[Note: This rule corresponds to Article 435 of the CRR as it applied immediately before revocation by the Treasury]
- 01/01/2022
- Legal Instruments that change this rule 2.
Article 436 Disclosure of the Scope of Application
Institutions shall disclose the following information regarding the scope of application of the CRR as follows:
- (a) the name of the institution to which the CRR applies;
- (b) a reconciliation between the consolidated financial statements prepared in accordance with the applicable accounting framework and the consolidated financial statements prepared in accordance with the requirements on regulatory consolidation pursuant to Sections 2 and 3 of Title II of Part One; that reconciliation shall outline the differences between the accounting and regulatory scopes of consolidation and the legal entities included within the regulatory scope of consolidation where it differs from the accounting scope of consolidation; the outline of the legal entities included within the regulatory scope of consolidation shall describe the method of regulatory consolidation where it is different from the accounting consolidation method, whether those entities are fully or proportionally consolidated and whether the holdings in those legal entities are deducted from own funds;
- (c) a breakdown of assets and liabilities of the consolidated financial statements prepared in accordance with the requirements on regulatory consolidation pursuant to Sections 2 and 3 of Title II of Part One, broken down by type of risks as referred to under this Part;
- (d) a reconciliation identifying the main sources of differences between the carrying value amounts in the financial statements under the regulatory scope of consolidation as defined in Sections 2 and 3 of Title II of Part One, and the exposure amount used for regulatory purposes; that reconciliation shall be supplemented by qualitative information on those main sources of differences;
- (e) for exposures from the trading book and the non-trading book that are adjusted in accordance with Article 34 and Article 105, a breakdown of the amounts of the constituent elements of an institution's prudent valuation adjustment, by type of risks, and the total of constituent elements separately for the trading book and non-trading book positions;
- (f) any current or expected material practical or legal impediment to the prompt transfer of own funds or repayment of liabilities between the parent undertaking and its subsidiaries;
- (g) the aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation, and the name or names of those subsidiaries;
- (h) where applicable, the circumstances under which use is made of the derogation referred to in Article 7 or the individual consolidation method laid down in Article 9.
[Note: This rule corresponds to Article 436 of the CRR as it applied immediately before revocation by the Treasury]
Article 437 Disclosure of Own Funds
Institutions shall disclose the following information regarding their own funds:
- (a) a full reconciliation of Common Equity Tier 1 items, Additional Tier 1 items, Tier 2 items and filters and deductions applied to own funds of the institution pursuant to Articles 32 to 36, 56, 66 and 79 with the balance sheet in the audited financial statements of the institution;
- (b) a description of the main features of the Common Equity Tier 1 and Additional Tier 1 instruments and Tier 2 instruments issued by the institution;
- (c) the full terms and conditions of all Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments;
- (d) a separate disclosure of the nature and amounts of the following:
- (i) each prudential filter applied pursuant to Articles 32 to 35;
- (ii) items deducted pursuant to Articles 36, 56 and 66;
- (iii) items not deducted pursuant to Articles 47, 48, 56, 66 and 79;
- (e) a description of all restrictions applied to the calculation of own funds in accordance with the CRR and the instruments, prudential filters and deductions to which those restrictions apply;
- (f) a comprehensive explanation of the basis on which capital ratios are calculated where those capital ratios are calculated by using elements of own funds determined on a basis other than the basis laid down in the CRR.
[Note: This rule corresponds to Article 437 of the CRR as it applied immediately before revocation by the Treasury.]
Article 437a Disclosure of Own Funds and Eligible Liabilities
Institutions that are subject to Article 92a or 92b shall disclose the following information regarding their own funds and eligible liabilities:
- (a) the composition of their own funds and eligible liabilities, their maturity and their main features;
- (b) the ranking of eligible liabilities in the creditor hierarchy;
- (c) the total amount of each issuance of eligible liabilities instruments referred to in Article 72b and the amount of those issuances that is included in eligible liabilities items within the limits specified in Article 72b(3) and (4);
- (d) the total amount of excluded liabilities referred to in Article 72a(2).
[Note: This rule corresponds to Article 437a of the CRR as it applied immediately before revocation by the Treasury.]
Article 438 Disclosure of Own Funds Requirements and Risk-Weighted Exposure Amounts
Institutions shall disclose the following information regarding their compliance with Article 92 and rules 3.1(1)(a) and 3.4 of the Internal Capital Adequacy Assessment Part of the PRA Rulebook:
- (a) a summary of their approach to assessing the adequacy of their internal capital to support current and future activities;
- (b) the amount of the additional own funds requirements based on the supervisory review and evaluation process (within the meaning of regulation 34A of the Capital Requirements Regulations) and its composition in terms of Common Equity Tier 1, additional Tier 1 and Tier 2 instruments;
- (c) the result of the institution's internal capital adequacy assessment process;
- (d) the total risk-weighted exposure amount and the corresponding total own funds requirement determined in accordance with Article 92, to be broken down by the different risk categories set out in Part Three and, where applicable, an explanation of the effect on the calculation of own funds and risk-weighted exposure amounts that results from applying capital floors and not deducting items from own funds;
- (e) the on- and off-balance-sheet exposures, the risk-weighted exposure amounts and associated expected losses for each category of specialised lending referred to in Table 1 of Article 153(5) and the on- and off-balance-sheet exposures and risk-weighted exposure amounts for the categories of equity exposures set out in Article 155(2);
- (f) the exposure value and the risk-weighted exposure amount of own funds instruments held in any insurance undertaking, reinsurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 when calculating their capital requirements on an individual, sub-consolidated and consolidated basis;
- (g) the supplementary own funds requirement and the capital adequacy ratio of the financial conglomerate calculated in accordance with the provisions implementing Article 6 of Directive 2002/87/EC and Annex I to that Directive where method 1 or 2 set out in that Annex is applied;
- (h) the variations in the risk-weighted exposure amounts of the current disclosure period compared to the immediately preceding disclosure period that result from the use of internal models, including an outline of the key drivers explaining those variations.
[Note: This rule corresponds to Article 438 of the CRR as it applied immediately before revocation by the Treasury]
Article 439 Disclosure of Exposures to Counterparty Credit Risk
Institutions shall disclose the following information regarding their exposure to counterparty credit risk as referred to in Chapter 6 of Title II of Part Three:
- (a) a description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties;
- (b) a description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves;
- (c) a description of policies with respect to General Wrong-Way risk and Specific Wrong-Way risk as defined in Article 291;
- (d) the amount of collateral the institution would have to provide if its credit rating were downgraded;
- (e) for derivative transactions, the amount of segregated and unsegregated collateral received and posted per type of collateral; and for securities financing transactions, the total amount of collateral received and posted per type of collateral; provided in each case that:
- (i) institutions shall not disclose such amounts unless both the fair value of collateral posted in the form of debt securities and the fair value of collateral received in that form exceed GBP 125 billion; and
- (ii) for the purposes of subparagraph (i), institutions shall use the twelve month rolling arithmetic mean of the fair value of collateral received or posted (as the case may be) in the form of debt securities, determined using quarterly data calculated in a manner consistent with data reported under Article 430(g) and covering the twelve months immediately preceding the disclosure reference date;
- (f) for derivative transactions, the exposure values before and after the effect of the credit risk mitigation as determined under the methods set out in Sections 3 to 6 of Chapter 6 of Title II of Part Three, whichever method is applicable, and the associated risk exposure amounts broken down by applicable method;
- (g) for securities financing transactions, the exposure values before and after the effect of the credit risk mitigation as determined under the methods set out in Chapters 4 and 6 of Title II of Part Three, whichever method is used, and the associated risk exposure amounts broken down by applicable method;
- (h) the exposure values after credit risk mitigation effects and the associated risk exposures for credit valuation adjustment capital charge, separately for each method as set out in Title VI of Part Three;
- (i) the exposure value to central counterparties and the associated risk exposures within the scope of Section 9 of Chapter 6 of Title II of Part Three, separately for qualifying and non-qualifying central counterparties, and broken down by types of exposures;
- (j) the notional amounts and fair value of credit derivative transactions; credit derivative transactions shall be broken down by product type; within each product type, credit derivative transactions shall be broken down further by credit protection bought and credit protection sold;
- (k) the estimate of alpha where the institution has received the permission of the competent authorities to use its own estimate of alpha in accordance with Article 284(9);
- (m) for institutions using the methods set out in Sections 4 to 5 of Chapter 6 of Title II Part Three, the size of their on- and off-balance-sheet derivative business as calculated in accordance with Article 273a(1) or (2), as applicable.
[Note: This rule corresponds to Article 439 of the CRR as it applied immediately before revocation by the Treasury]
Article 440 Disclosure of Countercyclical Capital Buffers
Institutions shall disclose the following information in relation to their compliance with the requirement for a countercyclical capital buffer referred to in regulation 2 of the Capital Requirements (Capital Buffers and Macro-prudential Measures) Regulations 2014:
- (a) the geographical distribution of the exposure amounts and risk-weighted exposure amounts of its credit exposures used as a basis for the calculation of their countercyclical capital buffer;
- (b) the amount of their institution-specific countercyclical capital buffer.
[Note: This rule corresponds to Article 440 of the CRR as it applied immediately before revocation by the Treasury.]
Article 441 Disclosure of Indicators of Global Systemic Importance
G-SIIs shall disclose, on an annual basis, the values of the indicators used for determining their score in accordance with the identification methodology referred to in regulation 23 of Part 4 of Capital Requirements (Capital Buffers and Macro-prudential Measures) Regulations 2014.
[Note: This rule corresponds to Article 441 of the CRR as it applied immediately before revocation by the Treasury.]
Article 442 Disclosure of Exposures to Credit Risk and Dilution Risk
Institutions shall disclose the following information regarding their exposure to credit risk and dilution risk:
- (a) the scope and definitions that they use for accounting purposes of ‘past due’ and ‘impaired’ and the differences, if any, between the definitions of ‘past due’ and ‘default’ for accounting and regulatory purposes;
- (b) a description of the approaches and methods adopted for determining specific and general credit risk adjustments;
- (c) information on the amount and quality of performing, non-performing and forborne exposures for loans, debt securities and off-balance-sheet exposures, including their related accumulated impairment, provisions and negative fair value changes due to credit risk and amounts of collateral and financial guarantees received;
- (d) an ageing analysis of accounting past due exposures;
- (e) the gross carrying amounts of both defaulted and non-defaulted exposures, the accumulated specific and general credit risk adjustments, the accumulated write-offs taken against those exposures and the net carrying amounts and their distribution by geographical area and industry type and for loans, debt securities and off-balance-sheet exposures;
- (f) any changes in the gross amount of defaulted on- and off-balance-sheet exposures, including, as a minimum, information on the opening and closing balances of those exposures, the gross amount of any of those exposures reverted to non-defaulted status or subject to a write-off;
- (g) the breakdown of loans and debt securities by residual maturity.
[Note: This rule corresponds to Article 442 of the CRR as it applied immediately before revocation by the Treasury.]
Article 443 Disclosure of Encumbered and Unencumbered Assets
Institutions shall disclose information concerning their encumbered and unencumbered assets. For those purposes, institutions shall use the carrying amount per exposure class broken down by asset quality and the total amount of the carrying amount that is encumbered and unencumbered. Disclosure of information on encumbered and unencumbered assets shall not reveal emergency liquidity assistance provided by central banks.
[Note: This rule corresponds to Article 443 of the CRR as it applied immediately before revocation by the Treasury.]
Article 444 Disclosure of the Use of the Standardised Approach
Institutions calculating their risk-weighted exposure amounts in accordance with Chapter 2 of Title II of Part Three shall disclose the following information for each of the exposure classes set out in Article 112:
- (a) the names of the nominated ECAIs and export credit agencies and the reasons for any changes in those nominations over the disclosure period;
- (b) the exposure classes for which each ECAI or export credit agency is used;
- (c) a description of the process used to transfer the issuer and issue credit ratings onto items not included in the trading book;
- (d) the association of the external rating of each nominated ECAI or export credit agency with the risk weights that correspond to the credit quality steps as set out in Chapter 2 of Title II of Part Three taking into account that it is not necessary to disclose that information where the institutions comply with the standard association published by the competent authority;
- (e) the exposure values and the exposure values after credit risk mitigation associated with each credit quality step as set out in Chapter 2 of Title II of Part Three, by exposure class, as well as those deducted from own funds.
[Note: This rule corresponds to Article 444 of the CRR as it applied immediately before revocation by the Treasury.]
Article 445 Disclosure of Exposure to Market Risk
Institutions calculating their own funds requirements in accordance with points (b) and (c) of Article 92(3) shall disclose those requirements separately for each risk referred to in those provisions. In addition, own funds requirements for the specific interest rate risk of securitisation positions shall be disclosed separately.
[Note: This rule corresponds to Article 445 of the CRR as it applied immediately before revocation by the Treasury.]
Article 446 Disclosure of Operational Risk Management
Institutions shall disclose the following information about their operational risk management:
- (a) the approaches for the assessment of own funds requirements for operational risk that the institution qualifies for;
- (b) where the institution makes use of it, a description of the methodology set out in Article 312(2), which shall include a discussion of relevant internal and external factors being considered in the institution's advanced measurement approach;
- (c) in the case of partial use, the scope and coverage of the different methodologies used.
[Note: This rule corresponds to Article 446 of the CRR as it applied immediately before revocation by the Treasury.]
Article 447 Disclosure of Key Metrics
Institutions shall disclose the following key metrics in a tabular format:
- (a) the composition of their own funds and their own funds requirements as calculated in accordance with Article 92;
- (b) the total risk exposure amount as calculated in accordance with Article 92(3);
- (c) where applicable, the amount and composition of additional own funds which the institutions are required to hold in accordance with regulation 34(1) of the Capital Requirements Regulations;
- (d) their combined buffer requirement which the institutions are required to hold in accordance with regulation 35 of the Capital Requirements (Capital Buffers and Macro-prudential Measures) Regulations 2014;
- (e) the following information in relation to their leverage ratio:
- (i) for all institutions, their leverage ratio and total exposure measure;
- (ii) for LREQ firms, the information in Article 451(1)(b) and (g) and Article 451(2)(b) to (d);
- (f) the following information in relation to their liquidity coverage ratio as calculated in accordance with Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook:
- (g) the following information in relation to their net stable funding requirement as calculated in accordance with Title IV of Part Six:
- (h) their own funds and eligible liabilities ratios and their components, numerator and denominator, as calculated in accordance with Articles 92a and 92b and broken down at the level of each resolution group, where applicable.
[Note: With effect from 1 July 2024, paragraph (g) is disapplied for SDDTs and SDDT consolidation entities by Chapter 5 of the Liquidity (CRR) Part where certain conditions are met]
[Note: Paragraph (h) of this rule corresponds to Article 447(h) of the CRR as it applied immediately before revocation by the Treasury.]
Article 448 Disclosure of Exposures to Interest Rate Risk on Positions Not Held in the Trading Book
1.
Institutions shall disclose the following quantitative and qualitative information on the risks arising from potential changes in interest rates that affect both the economic value of equity and the net interest income of their non-trading book activities referred to in in Chapter 9 of the Internal Capital Adequacy Assessment (ICAA) Part of the PRA Rulebook:
- (a) the changes in the economic value of equity calculated under the following six supervisory shock scenarios referred to in Rule 9.7 of the ICAA Part of the PRA Rulebook for the current and previous disclosure periods:
- (i) parallel shock up;
- (ii) parallel shock down;
- (iii) steepener shock (short rates down and long rates up);
- (iv) flattener shock (short rates up and long rates down);
- (v) short rates shock up;
- (vi) short rates shock down;
- (b) the changes in the net interest income calculated under the following two supervisory shock scenarios referred to in Rule 9.7 of the ICAA Part of the PRA Rulebook for the current and previous disclosure periods:
- (i) parallel shock up;
- (ii) parallel shock down;
- (c) a description of key modelling and parametric assumptions used to calculate changes in the economic value of equity and in the net interest income required under points (a) and (b) of this paragraph;
- (d) an explanation of the significance of the risk measures disclosed under points (a) and (b) of this paragraph and of any significant variations of those risk measures since the previous disclosure reference date;
- (e) the description of how institutions define, measure, mitigate and control the interest rate risk of their non-trading book activities for the purposes of the competent authorities' review in accordance with Chapter 9 of the ICAA Part of the PRA Rulebook, including:
- (i) a description of the specific risk measures that the institutions use to evaluate changes in their economic value of equity and in their net interest income;
- (ii) a description of the key modelling and parametric assumptions used in the institutions' internal measurement systems for the purpose of calculating changes in the economic value of equity and in net interest income, as required under points (a) and (b) of this paragraph, if those assumptions differ from those used for the purposes of Chapter 9 of the ICAA Part of the PRA Rulebook or from those specified in Annex XXXVIII of Chapter 6 of this Disclosure (CRR) Part of the PRA Rulebook, including the rationale for those differences;
- (iii) a description of the interest rate shock scenarios that institutions use to estimate the interest rate risk;
- (iv) the recognition of the effect of hedges against those interest rate risks, including internal hedges that meet the requirements laid down in Article 106(3);
- (v) an outline of how often the evaluation of the interest rate risk occurs;
- (f) the description of the overall risk management and mitigation strategies for those risks;
- (g) average and longest repricing maturity assigned to non-maturing deposits.
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- Legal Instruments that change this rule 1.
2.
By way of derogation from paragraph 1 of this Article, the requirements set out in points (c) and (e)(i) to (e)(iv) of paragraph 1 of this Article for descriptions relating to economic value of equity shall not apply to institutions that use the standardised framework referred to in Rule 9.1B of the ICAA Part of the PRA Rulebook.
[Note: This rule corresponds to Article 448 of the CRR as it applied immediately before revocation by the Treasury.]
- 01/01/2022
- Legal Instruments that change this rule 2.
Article 449 Disclosure of Exposure to Securitisation Positions
Institutions calculating risk-weighted exposure amounts in accordance with Chapter 5 of Title II of Part Three or own funds requirements in accordance with Article 337 or 338 shall disclose the following information separately for their trading and non-trading book activities:
- (a) a description of their securitisation and re-securitisation activities, including their risk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions, whether they use the simple, transparent and standardised securitisation (STS) as defined in point (10) of Article 242, and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy;
- (b) the type of risks they are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions providing a distinction between STS and non-STS positions and:
- (i) the risk retained in own-originated transactions;
- (ii) the risk incurred in relation to transactions originated by third parties;
- (c) their approaches for calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies and with a distinction between STS and non-STS positions;
- (d) a list of SSPEs falling into any of the following categories, with a description of their types of exposures to those SSPEs, including derivative contracts:
- (i) SSPEs which acquire exposures originated by the institutions;
- (ii) SSPEs sponsored by the institutions;
- (iii) SSPEs and other legal entities for which the institutions provide securitisation-related services, such as advisory, asset servicing or management services;
- (iv) SSPEs included in the institutions' regulatory scope of consolidation;
- (e) a list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with Chapter 5 of Title II of Part Three;
- (f) a list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions;
- (g) a summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions;
- (h) the names of the ECAIs used for securitisations and the types of exposure for which each agency is used;
- (i) where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three, including the structure of the internal assessment process and relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels;
- (j) separately for the trading book and the non-trading book, the carrying amount of securitisation exposures, including information on whether institutions have transferred significant credit risk in accordance with Articles 244 and 245, for which institutions act as originator, sponsor or investor, separately for traditional and synthetic securitisations, and for STS and non-STS transactions and broken down by type of securitisation exposures;
- (k) for the trading and the non-trading book activities, the following information:
- (i) the aggregate amount of securitisation positions where institutions act as originator or sponsor and the associated risk-weighted assets and capital requirements by regulatory approaches, including exposures deducted from own funds or risk weighted at 1250%, broken down between traditional and synthetic securitisations and between securitisation and re-securitisation exposures, separately for STS and non-STS positions, and further broken down into a meaningful number of risk-weight or capital requirement bands and by approach used to calculate the capital requirements ;
- (ii) the aggregate amount of securitisation positions where institutions act as investor and the associated risk-weighted assets and capital requirements by regulatory approaches, including exposures deducted from own funds or risk weighted at 1250%, broken down between traditional and synthetic securitisations, securitisation and re-securitisation positions, and STS and non-STS positions, and further broken down into a meaningful number of risk weight or capital requirement bands and by approach used to calculate the capital requirements;
- (l) for exposures securitised by the institution, the amount of exposures in default and the amount of the specific credit risk adjustments made by the institution during the current period, both broken down by exposure type.
[Note: This rule corresponds to Article 449 of the CRR as it applied immediately before revocation by the Treasury.]
Article 450 Disclosure of Remuneration Policy
1.
Institutions shall disclose the following information regarding their remuneration policy and practices for those categories of staff whose professional activities have a material impact on risk profile of the institutions:
- (a) information concerning the decision-making process used for determining the remuneration policy, as well as the number of meetings held by the main body overseeing remuneration during the financial year, including, where applicable, information about the composition and the mandate of a remuneration committee, the external consultant whose services have been used for the determination of the remuneration policy and the role of the relevant stakeholders;
- (b) information about the link between pay of the staff and their performance;
- (c) the most important design characteristics of the remuneration system, including information on the criteria used for performance measurement and risk adjustment, deferral policy and vesting criteria;
- (d) the ratios between fixed and variable remuneration set in accordance with rule 15.9 of the Remuneration Part;
- (e) information on the performance criteria on which the entitlement to shares, options or variable components of remuneration is based;
- (f) the main parameters and rationale for any variable component scheme and any other non-cash benefits;
- (g) aggregate quantitative information on remuneration, broken down by business area;
- (h) aggregate quantitative information on remuneration, broken down by senior management and members of staff whose professional activities have a material impact on the risk profile of the institutions, indicating the following:
- (i) the amounts of remuneration for the financial year, split into fixed remuneration including a description of the fixed components, and variable remuneration, and the number of beneficiaries;
- (ii) the amounts and forms of awarded variable remuneration, split into cash, shares, share-linked instruments and other types separately for the part paid upfront and the deferred part;
- (iii) the amounts of deferred remuneration awarded for previous performance periods, split into the amount due to vest in the financial year and the amount due to vest in subsequent years;
- (iv) the amount of deferred remuneration due to vest in the financial year, and the number of beneficiaries of those awards;
- (v) the guaranteed variable remuneration awards during the financial year, and the number of beneficiaries of those awards;
- (vi) severance payments awarded in previous periods, that have been paid out during the financial year;
- (vii) the amounts of severance payments awarded during the financial year, split into paid upfront and deferred, the number of beneficiaries of those payments and highest payment that has been awarded to a single person;
- (i) the number of individuals that have been remunerated EUR 1 million or more per financial year, with the remuneration between EUR 1 million and EUR 5 million broken down into pay bands of EUR 500 000 and with the remuneration of EUR 5 million and above broken down into pay bands of EUR 1 million;
- (j) [Note: Provision deleted]
- (k) information on whether the institution benefits from a derogation laid down in the Remuneration Part of the PRA Rulebook at 5.3, and/or 12.2 (second subparagraph), and 15.A1(3).
For the purposes of point (k) of the first subparagraph of this paragraph, institutions that benefit from such a derogation shall indicate whether they benefit from that derogation on the basis of the Remuneration Part of the PRA Rulebook at 5.3, and/or 12.2 (second subparagraph), and 15.A1(3). They shall also indicate for which of the remuneration principles they apply the derogation(s), the number of staff members that benefit from the derogation(s) and their total remuneration, split into fixed and variable remuneration.
2.
For large institutions, the quantitative information on the remuneration of institutions' collective management body referred to in this Article shall also be made available to the public, differentiating between executive and non-executive members.
Institutions shall comply with the requirements set out in this Article in a manner that is appropriate to their size, internal organisation and the nature, scope and complexity of their activities and without prejudice to the GDPR.
[Note: This rule corresponds to Article 450 of the CRR as it applied immediately before revocation by the Treasury.]
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- Legal Instruments that change this rule 2.
Article 451 Disclosure of the Leverage Ratio
1.
Institutions shall disclose the following information regarding their leverage ratio as calculated in accordance with Article 429 of Chapter 3 of the Leverage Ratio (CRR) Part and their management of the risk of excessive leverage:
- (a) the leverage ratio;
- (b) the leverage ratio calculated as if central bank claims were required to be included in the total exposure measure;
- (c) a breakdown of the total exposure measure, as well as a reconciliation of the total exposure measure with the relevant information disclosed in published financial statements;
- (d) a description of the processes used to manage the risk of excessive leverage;
- (e) a description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers;
- (f) in relation to the quarterly periods up to 31 December 2022, the leverage ratio calculated as if Article 468 of the CRR did not apply for purposes of the capital measure under Article 429(3) of Chapter 3 of the Leverage Ratio (CRR) Part;
- (g) in relation to the quarterly periods up to 31 December 2024, the leverage ratio calculated as if Article 473a of the CRR did not apply for purposes of the capital measure under Article 429(3) of Chapter 3 of the Leverage Ratio (CRR) Part.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
An LREQ firm must disclose each of the following:
- (a) the average exposure measure;
- (b) the average leverage ratio;
- (c) the average leverage ratio calculated as if central bank claims were required to be included in the total exposure measure; and
- (d) the countercyclical leverage ratio buffer.
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- Legal Instruments that change this rule 2.
3.
An LREQ firm must disclose such information as is necessary to enable users to understand changes in the firm’s total exposure measure and tier 1 capital (leverage) over the quarter that have affected the firm’s average leverage ratio.
- 01/01/2022
- Legal Instruments that change this rule 3.
4.
Subject to paragraph 5:
- (a) for the purposes of paragraph 2(a) an LREQ firm must calculate its average exposure measure for a quarter as the sum of:
- (i) the arithmetic mean of the firm’s total exposure measure in relation to on-balance sheet assets and securities financing transactions on each day in the quarter; and
- (ii) the arithmetic mean of the firm’s total exposure measure excluding on-balance sheet assets and securities financing transactions on the last day of each month in the quarter; and
- (b) for the purposes of paragraphs 2(a) and 3, an LREQ firm must calculate its average leverage ratio for a quarter as its capital measure divided by its exposure measure where the:
- (i) capital measure is the arithmetic mean of the firm’s tier 1 capital (leverage) on the last day of each month in the quarter; and
- (ii) exposure measure is the sum derived in accordance with (a), unless paragraph 5 applies in which case it shall be the sum derived in accordance with that paragraph.
5.
In relation to the quarterly periods up to 1 January 2023 an LREQ firm must calculate its average exposure measure for a quarter as the sum of:
- (a) the arithmetic mean of the firm’s total exposure measure in relation to on-balance sheet assets on each day in the quarter; and
- (b) the arithmetic mean of the firm’s total exposure measure excluding on-balance sheet assets on the last day of each month in the quarter.
[Note: This rule corresponds to Article 451 of the CRR as it applied immediately before revocation by the Treasury.]
Article 451a Disclosure of Liquidity Requirements
1.
Institutions that are subject to Part Six shall disclose information on their liquidity coverage ratio, net stable funding ratio and liquidity risk management in accordance with this Article.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
Institutions shall disclose the following information in relation to their liquidity coverage ratio as calculated in accordance with the Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook:
- (a) the average or averages, as applicable, of their liquidity coverage ratio based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period;
- (b) the average or averages, as applicable, of their total liquid assets, after applying the relevant haircuts, included in the liquidity buffer pursuant to the Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook, based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period, and a description of the composition of that liquidity buffer;
- (c) the averages of their liquidity outflows, inflows and net liquidity outflows as calculated in accordance with the Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook, based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period and the description of their composition.
- 01/01/2022
- Legal Instruments that change this rule 2.
3.
Institutions shall disclose the following information in relation to their net stable funding ratio as calculated in accordance with Title IV of Part Six:
- (a) averages of their net stable funding ratio calculated in accordance with Chapter 2 of Title IV of Part Six for each quarter of the relevant disclosure period, based on end-of-the-quarter observations over the preceding four quarters;
- (b) an overview of the amount of available stable funding calculated in accordance with Chapter 3 of Title IV of Part Six for each quarter of the relevant disclosure period, comprising averages based on end-of-the-quarter observations over the preceding four quarters;
- (c) an overview of the amount of required stable funding calculated in accordance with Chapter 4 of Title IV of Part Six for each quarter of the relevant disclosure period, comprising averages based on end-of-the-quarter observations over the preceding four quarters.
- 01/01/2022
- Legal Instruments that change this rule 3.
4.
Institutions shall disclose the arrangements, systems, processes and strategies put in place to identify, measure, manage and monitor their liquidity risk in accordance with the Internal Liquidity Adequacy Assessment Part of the PRA Rulebook.
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- Legal Instruments that change this rule 4.
Title III Qualifying Requirements for the Use of Particular Instruments or Methodologies
Article 452 Disclosure of the Use of the IRB Approach to Credit Risk
Institutions calculating the risk-weighted exposure amounts under the IRB Approach to credit risk shall disclose the following information:
- (a) the competent authority's permission of the approach or approved transition;
- (b) for each exposure class referred to in Article 147, the percentage of the total exposure value of each exposure class subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three or to the IRB Approach laid down in Chapter 3 of Title II of Part Three, as well as the part of each exposure class subject to a roll-out plan; where institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, they shall disclose separately the percentage of the total exposure value of each exposure class subject to that permission;
- (c) the control mechanisms for rating systems at the different stages of model development, controls and changes, which shall include information on:
- (i) the relationship between the risk management function and the internal audit function;
- (ii) the rating system review;
- (iii) the procedure to ensure the independence of the function in charge of reviewing the models from the functions responsible for the development of the models;
- (iv) the procedure to ensure the accountability of the functions in charge of developing and reviewing the models;
- (d) the role of the functions involved in the development, approval and subsequent changes of the credit risk models;
- (e) the scope and main content of the reporting related to credit risk models;
- (f) a description of the internal ratings process by exposure class, including the number of key models used with respect to each portfolio and a brief discussion of the main differences between the models within the same portfolio, covering:
- (i) the definitions, methods and data for estimation and validation of PD, which shall include information on how PDs are estimated for low default portfolios, whether there are regulatory floors and the drivers for differences observed between PD and actual default rates at least for the last three periods;
- (ii) where applicable, the definitions, methods and data for estimation and validation of LGD, such as methods to calculate downturn LGD, how LGDs are estimated for low default portfolio and the time lapse between the default event and the closure of the exposure;
- (iii) where applicable, the definitions, methods and data for estimation and validation of conversion factors, including assumptions employed in the derivation of those variables;
- (g) as applicable, the following information in relation to each exposure class referred to in Article 147:
- (i) their gross on-balance-sheet exposure;
- (ii) their off-balance-sheet exposure values prior to the relevant conversion factor;
- (iii) their exposure after applying the relevant conversion factor and credit risk mitigation;
- (iv) any model, parameter or input relevant for the understanding of the risk weighting and the resulting risk exposure amounts disclosed across a sufficient number of obligor grades (including default) to allow for a meaningful differentiation of credit risk;
- (v) separately for those exposure classes in relation to which institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, and for exposures for which the institutions do not use such estimates, the values referred to in points (i) to (iv) subject to that permission;
- (h institutions' estimates of PDs against the actual default rate for each exposure class over a longer period, with separate disclosure of the PD range, the external rating equivalent, the weighted average and arithmetic average PD, the number of obligors at the end of the previous year and of the year under review, the number of defaulted obligors, including the new defaulted obligors, and the annual average historical default rate.
For the purposes of point (b) of this Article, institutions shall use the exposure value as defined in Article 166.
[Note: This rule corresponds to Article 452 of the CRR as it applied immediately before revocation by the Treasury.]
Article 453 Disclosure of the Use of Credit Risk Mitigation Techniques
Institutions using credit risk mitigation techniques shall disclose the following information:
- (a) the core features of the policies and processes for on- and off-balance-sheet netting and an indication of the extent to which institutions make use of balance sheet netting;
- (b) the core features of the policies and processes for eligible collateral evaluation and management;
- (c) a description of the main types of collateral taken by the institution to mitigate credit risk;
- (d) for guarantees and credit derivatives used as credit protection, the main types of guarantor and credit derivative counterparty and their creditworthiness used for the purpose of reducing capital requirements, excluding those used as part of synthetic securitisation structures;
- (e) information about market or credit risk concentrations within the credit mitigation taken;
- (f) for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, the total exposure value not covered by any eligible credit protection and the total exposure value covered by eligible credit protection after applying volatility adjustments; the disclosure set out in this point shall be made separately for loans and debt securities and including a breakdown of defaulted exposures;
- (g) the corresponding conversion factor and the credit risk mitigation associated with the exposure and the incidence of credit risk mitigation techniques with and without substitution effect;
- (h) for institutions calculating risk-weighted exposure amounts under the Standardised Approach, the on- and off-balance-sheet exposure value by exposure class before and after the application of conversion factors and any associated credit risk mitigation;
- (i) for institutions calculating risk-weighted exposure amounts under the Standardised Approach, the risk-weighted exposure amount and the ratio between that risk-weighted exposure amount and the exposure value after applying the corresponding conversion factor and the credit risk mitigation associated with the exposure; the disclosure set out in this point shall be made separately for each exposure class;
- (j) for institutions calculating risk-weighted exposure amounts under the IRB Approach, the risk-weighted exposure amount before and after recognition of the credit risk mitigation impact of credit derivatives; where institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, they shall make the disclosure set out in this point separately for the exposure classes subject to that permission.
[Note: This rule corresponds to Article 453 of the CRR as it applied immediately before revocation by the Treasury.]
Article 454 Disclosure of the Use of the Advanced Measurement Approaches to Operational Risk
The institutions using the Advanced Measurement Approaches set out in Articles 321 to 324 for the calculation of their own funds requirements for operational risk shall disclose a description of their use of insurance and other risk transfer mechanisms for the purpose of mitigating that risk.
[Note: This rule corresponds to Article 454 of the CRR as it applied immediately before revocation by the Treasury.]
Article 455 Use of Internal Market Risk Models
Institutions calculating their capital requirements in accordance with Article 363 shall disclose the following information:
- (a) for each sub-portfolio covered:
- (i) the characteristics of the models used;
- (ii) where applicable, for the internal models for incremental default and migration risk and for correlation trading, the methodologies used and the risks measured through the use of an internal model including a description of the approach used by the institution to determine liquidity horizons, the methodologies used to achieve a capital assessment that is consistent with the required soundness standard and the approaches used in the validation of the model;
- (iii) a description of stress testing applied to the sub-portfolio;
- (iv) a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;
- (b) the scope of permission by the competent authority;
- (c) a description of the extent and methodologies for compliance with the requirements set out in Articles 104 and 105;
- (d) the highest, the lowest and the mean of the following:
- (i) the daily value-at-risk measures over the reporting period and at the end of the reporting period;
- (ii) the stressed value-at-risk measures over the reporting period and at the end of the reporting period;
- (iii) the risk numbers for incremental default and migration risk and for the specific risk of the correlation trading portfolio over the reporting period and at the end of the reporting period;
- (e) the elements of the own funds requirement as specified in Article 364;
- (f) the weighted average liquidity horizon for each sub-portfolio covered by the internal models for incremental default and migration risk and for correlation trading;
- (g) a comparison of the daily end-of-day value-at-risk measures to the one-day changes of the portfolio's value by the end of the subsequent business day together with an analysis of any important overshooting during the reporting period.
[Note: This rule corresponds to Article 455 of the CRR as it applied immediately before revocation by the Treasury.]
Export chapter as
5
Disclosure Formats and Instructions
Article 1 Subject Matter and Scope
1.
This Chapter 5 of the Disclosure (CRR) Part of the PRA Rulebook lays down uniform disclosure formats, and associated instructions in accordance with which institutions shall make the disclosures required under Titles II and III of Part Eight of the CRR.
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- Legal Instruments that change this rule 1.
2.
Annexes referred to in this Chapter 5 can be found at Chapter 6 (Pillar 3 Templates and Instructions) of this Disclosure (CRR) Part of the PRA Rulebook.
- 01/01/2022
- Legal Instruments that change this rule 2.
Article 2 Disclosure of Key Metrics and Overview of Risk-Weighted Exposure Amounts
1.
Institutions shall make the disclosures required in Article 447 (a) to (g) and point (b) of Article 438 of the CRR in accordance with the Templates UK KM1 of Annex I and the relevant instructions set out in Annex II.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
Institutions shall make the disclosures required in point (d) of Article 438 of the CRR in accordance with the Template UK OV1 of Annex I and the relevant instructions set out in Annex II.
- 01/01/2022
- Legal Instruments that change this rule 2.
3.
Institutions shall make the disclosures required in points (a) and (c) of Article 438 of the CRR in accordance with the Table UK OVC in Annex I and the relevant instructions set out in Annex II.
- 01/01/2022
- Legal Instruments that change this rule 3.
4.
Institutions shall make the disclosures required in points (f) and (g) of Article 438 of the CRR in accordance with the Template UK INS1 and UK INS2 of Annex I and the relevant instructions set out in Annex II.
- 01/01/2022
- Legal Instruments that change this rule 4.
Article 3 Disclosure of Risk Management Objectives and Policies
Institutions shall make the disclosures required in Article 435 of the CRR in accordance with the Tables UK OVA and UK OVB of Annex III and the relevant instructions set out in Annex IV.
Article 4 Disclosure of the Scope of Application
1.
Institutions shall make the disclosures required in points (b) and (c) of Article 436 of the CRR in accordance with the Templates UK LI1 and UK LI3 of Annex V and the relevant instructions set out in Annex VI.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
Institutions shall make the disclosures required in points (b) and (d) of Article 436 of the CRR in accordance with the Template UK LI2 and Table UK LIA of Annex V and the relevant instructions set out in Annex VI.
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- Legal Instruments that change this rule 2.
3.
Institutions shall make the disclosures required in point (e) of Article 436 of the CRR in accordance with the Template UK PV1 of Annex V and the relevant instructions set out in Annex VI.
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- Legal Instruments that change this rule 3.
4.
Institutions shall make the disclosures required in points (f), (g) and (h) of Article 436 of the CRR in accordance with the Table UK LIB of Annex V and the relevant instructions set out in Annex VI.
- 01/01/2022
- Legal Instruments that change this rule 4.
Article 5 Disclosure of Own Funds
Institutions shall make the disclosures on own funds, required in Article 437 of the CRR as follows:
- (a) For the disclosures required in points (a), (d), (e), and (f) of Article 437 of the CRR, in accordance with the Templates UK CC1 and UK CC2 of Annex VII and the relevant instructions set out in Annex VIII.
- (b) For the disclosures required in points (b) and (c) of Article 437 in accordance with the Template UK CCA of Annex VII and the relevant instructions set out in Annex VIII.
Article 6 Disclosure of Countercyclical Capital Buffers
Institutions shall make the disclosures on the countercyclical capital buffer required in Article 440 of the CRR as follows:
- (a) For the disclosures required in point (a) of Article 440 in accordance with the Template UK CCyB1 of Annex IX and the relevant instructions set out in Annex X.
- (b) For the disclosures required in point (b) of Article 440 in accordance with the Template UK CCyB2 of Annex IX and the relevant instructions set out in Annex X.
Article 7 Disclosure of the Leverage Ratio
Institutions shall make the disclosures on the leverage ratio, required in Article 451 of the CRR as follows:
- (a) For the disclosures required in Article 451 of the CRR, other than those required in points (d) and (e) of Article 451(1), in accordance with the Templates UK LR1, UK LR2 and UK LR3 of Annex XI and the relevant instructions set out in Annex XII.
- (b) For the disclosures required in points (d) and (e) of Article 451(1) of the CRR, in accordance with the Table UK LRA of Annex XI and the relevant instructions set out in Annex XII.
Article 8 Disclosure of Liquidity Requirements
Institutions shall make the disclosures on the liquidity requirements required in Articles 435(1) and 451a of the CRR as follows:
- (a) For the disclosures required in Article 435(1) and in Article 451a(4) of the CRR, in accordance with the Table UK LIQA of Annex XIII and the relevant instructions set out in Annex XIV.
- (b) For the disclosures required in Article 451a(2) of the CRR, in accordance with the Template UK LIQ1 and Table UK LIQB of Annex XIII and the relevant instructions set out in Annex XIV.
- (c) For the disclosures required in Article 451a(3) of the CRR, in accordance with the Template UK LIQ2 of Annex XIII and the relevant instructions set out in Annex XIV.
Article 9 Disclosure of Exposures to Credit Risk, Dilution Risk and Credit Quality
1.
Institutions shall make the disclosures on credit risk and dilution risk required in Articles 435 and 442 of the CRR as follows:
- (a) For the disclosures required in points (a), (b), (d), and (f) of Article 435 (1) regarding credit risk of the CRR, in accordance with the Table UK CRA of Annex XV and the relevant instructions set out in Annex XVI.
- (b) For the disclosures required in points (a) and (b) of Article 442 of the CRR, in accordance with the Table UK CRB of Annex XV and the relevant instructions set out in Annex XVI.
- (c) For the disclosures required in points (d) of Article 442 of the CRR, in accordance with the Template UK CQ3 of Annex XV and the relevant instructions set out in Annex XVI.
- (d) For the disclosures required in point (g) of Article 442 of the CRR, in accordance with the Template UK CR1-A of Annex XV and the relevant instructions set out in Annex XVI.
- (e) For the disclosures required in point (f) of Article 442 of the CRR, in accordance with the Template UK CR2 of Annex XV and the relevant instructions set out in Annex XVI.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
Institutions shall make the disclosures required in points (c), (e), and (f) of Article 442 of the CRR in accordance with Templates UK CR1, UK CQ1 and UK CQ7, columns a, c, e, f, and g of Template UK CQ4 and columns a, c, e, and f of Template UK CQ5 set out in Annex XV and with the instructions set out in Annex XVI.
- 01/01/2022
- Legal Instruments that change this rule 2.
3.
In addition to the templates referred to in paragraph 22 and in order to convey sufficiently comprehensive and comparable information for users of that information to assess the risk profiles of institutions, large institutions with a ratio of gross carrying amount of non-performing loans and advances divided by the total gross carrying amount of loans and advances subject to the definition of non-performing according to Article 47a of the CRR equal to or higher than 5% shall make the disclosure required in points (c) and (f) of Article 442 of the CRR also in accordance with templates UK CR2a, UK CQ2, CQ6 and UK CQ8, columns b and d of Templates UK CQ4 and UK CQ5 set out in Annex XV and with the instructions set out in Annex XVI, on an annual basis.
- 01/01/2022
- Legal Instruments that change this rule 3.
4.
For the purpose of paragraph (3), loans and advances classified as held for sale, cash balances at central banks and other demand deposits shall be excluded both from the denominator and the numerator of the ratio.
- 01/01/2022
- Legal Instruments that change this rule 4.
5.
Institutions shall commence disclosure in accordance with paragraph 3 where they have reached or exceeded the 5% threshold in two consecutive quarters during the four quarters prior to the reference date of the disclosure. For the reference date of the first disclosure, institutions shall disclose the templates subject to the 5% threshold if they comply with the threshold on that disclosure reference date.
- 01/01/2022
- Legal Instruments that change this rule 5.
6.
Institutions shall stop having the obligation to disclose in accordance with paragraph 3 where they have fallen below the threshold in three consecutive quarters during the four quarters prior to the disclosure reference date.
- 01/01/2022
- Legal Instruments that change this rule 6.
Article 10 Disclosure of the Use of Credit Risk Mitigation Techniques
Institutions shall make the disclosures on the use of credit risk mitigation techniques required in points (a) to (f) of Article 453 of the CRR as follows:
- (a) For the disclosures required in points (a) to (e) of Article 453 of the CRR, in accordance with the Table UK CRC of Annex XVII and the relevant instructions set out in Annex XVIII.
- (b) For the disclosures required in point (f) of Article 453 of the CRR, in accordance with the Template UK CR3 of Annex XVII and the relevant instructions set out in Annex XVIII.
Article 11 Disclosure of the Use of the Standardised Approach
Institutions calculating risk-weighted exposure amounts under the Standardised Approach shall make the disclosures on the use of the standardised approach, required in Article 444 and in points (g), (h) and (i) of Article 453 of the CRR as follows:
- (a) For the disclosures required in points (a) to (d) of Article 444 of the CRR, in accordance with the Table UK CRD of Annex XIX and the relevant instructions set out in Annex XX.
- (b) For the disclosures required in points (g), (h), and (i) of Article 453 and in point (e) of Article 444 of the CRR, in accordance with the Template UK CR4 of Annex XIX and the relevant instructions set out in Annex XX.
- (c) For the disclosures required in point (e) of Article 444 of the CRR, in accordance with the Template UK CR5 of Annex XIX and the relevant instructions set out in Annex XX and, for the disclosure of the exposure values deducted from own funds required in the same Article in accordance with the template UK CC1 of Annex VII and the relevant instructions set out in Annex VIII.
Article 12 Disclosure of the Use of the IRB Approach to Credit Risk
Institutions calculating risk-weighted exposure amounts under the IRB Approach shall make the disclosures on the use of the IRB approach, required in Articles 438, 452 and in points (g) and (j) of Article 453 of the CRR as follows:
- (a) For the disclosures required in points (a) to (f) of Article 452 of the CRR, in accordance with the Table UK CRE and Template UK CR6-A of Annex XXI and the relevant instructions set out in Annex XXII.
- (b) For the disclosures required in point (g) of Article 452 of the CRR, in accordance with the Template UK CR6 of Annex XXI and the relevant instructions set out in Annex XXII.
- (c) For the disclosures required in points (g) and (j) of Article 453 of the CRR, in accordance with the Templates UK CR7-A and CR7 of Annex XXI and the relevant instructions set out in Annex XXII.
- (d) For the disclosures required in point (h) of Article 438 of the CRR, for IRB Approach to credit risk, in accordance with the Template UK CR8 of Annex XXI and the relevant instructions set out in Annex XXII.
- (e) For the disclosures required in point (h) of Article 452 of the CRR, in accordance with the Template UK CR9 and CR9.1 of Annex XXI and the relevant instructions set out in Annex XXII.
Article 13 Disclosure of Specialised Lending and Equity Exposures Under the Simple Risk Weight Approach
Institutions shall make the disclosures required in point (e) of Article 438 of the CRR in accordance with the Template UK CR10 of Annex XXIII and the relevant instructions set out in Annex XXIV.
Article 14 Disclosure of Exposures to Counterparty Credit Risk
Institutions shall make the disclosures on the exposures to counterparty credit risk required in Articles 435, 438 and 439 of the CRR as follows:
- (a) For the disclosures required in points ((a), (b), (c), and (d) of Articles 439 of the CRR, in accordance with the Table UK CCRA of Annex XXV and the relevant instructions set out in Annex XXVI.
- (b) For the disclosures required in points (f), (g), (k), and (m) of Article 439 of the CRR, in accordance with the Template UK CCR1 of Annex XXV and the relevant instructions set out in Annex XXVI.
- (c) For the disclosures required in point (h) of Article 439 of the CRR, in accordance with the Template UK CCR2 of Annex XXV and the relevant instructions set out in Annex XXVI.
- (d) For the disclosures required in point (l) of Article 439 of the CRR, in accordance with the Templates UK CCR3 and UK CCR4 of Annex XXV and the relevant instructions set out in Annex XXVI.
- (e) For the disclosures required in point (e) of Article 439 of the CRR, in accordance with the Template UK CCR5 of Annex XXV and the relevant instructions set out in Annex XXVI.
- (f) For the disclosures required in point (j) of Article 439 of the CRR, in accordance with the Template UK CCR6 of Annex XXV and the relevant instructions set out in Annex XXVI.
- (g) For the disclosures required in point (h) of Article 438 of the CRR, for Internal Model Method, in accordance with the Template UK CCR7 of Annex XXV and the relevant instructions set out in Annex XXVI.
- (h) For the disclosures required in point (i) of Article 439 of the CRR, in accordance with the Template UK CCR8 of Annex XXV and the relevant instructions set out in Annex XXVI.
Article 15 Disclosure of Exposures to Securitisation Positions
Institutions shall make the disclosures on the exposures to securitisation positions required in Article 449 of the CRR as follows:
- (a) For the disclosures required in points (a) to (i) of Article 449 of the CRR, in accordance with the Table UK-SECA of Annex XXVII and the relevant instructions set out in Annex XXVIII.
- (b) For the disclosures required in point (j) of Article 449 of the CRR, in accordance with the Templates UK-SEC1 and UK-SEC2 of Annex XXVII and the relevant instructions set out in Annex XXVIII.
- (c) For the disclosures required in point (k) of Article 449 of the CRR in accordance with the Templates UK-SEC3 and UK-SEC4 of Annex XXVII and the relevant instructions set out in Annex XXVIII.
- (d) For the disclosures required in point (l) of Article 449 of the CRR in accordance with the Templates UK-SEC5 of Annex XXVII and the relevant instructions set out in Annex XXVIII.
Article 16 Disclosure of Use of Standardised Approach and Internal Model for Market Risk
1.
Institutions shall make the disclosures required in Article 445 of the CRR in accordance with the Template UK MR1 of Annex XXIX and the relevant instructions set out in Annex XXX.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
Institutions shall make the disclosures required in Articles 435, 438, and 455 of the CRR as follows:
- (a) For the disclosures required in points (a) to (d) of Article 435(1) of the CRR regarding market risk, in accordance with the Table UK MRA of Annex XXIX and the relevant instructions set out in Annex XXX.
- (b) For the disclosures required in points (a), (b), (c), and (f) of Article 455 of the CRR, in accordance with the Table UK MRB of Annex XXIX and the relevant instructions set out in Annex XXX.
- (c) For the disclosures required in point (e) of Article 455 of the CRR, in accordance with the Template UK MR2-A of Annex XXIX and the relevant instructions set out in Annex XXX.
- (d) For the disclosures required in point (h) of Article 438 of the CRR, for internal market risk models, in accordance with the Template UK MR2-B of Annex XXIX and the relevant instructions set out in Annex XXX.
- (e) For the disclosures required in point (d) of Article 455 of the CRR, in accordance with the Template UK MR3 of Annex XXIX and the relevant instructions set out in Annex XXX.
- (f) For the disclosures required in point (g) of Article 455 of the CRR, in accordance with the Template UK MR4 of Annex XXIX and the relevant instructions set out in Annex XXX.
- 01/01/2022
- Legal Instruments that change this rule 2.
Article 17 Disclosure of Operational Risk
Institutions shall disclose the information on operational risk required in Articles 435, 438 (d), 446, and 454 of the CRR in accordance with the Table UK ORA and Template UK OR1 of Annex XXXI and the relevant instructions set out in Annex XXXII.
Article 17a Disclosure of Exposures to Interest Rate Risk on Positions Not Held in the Trading Book
Institutions shall make the disclosures required in Article 448 of the CRR as follows:
- (a) For the disclosures required in points (c), (d), (e), (f), and (g) of Article 448(1) of the CRR, in accordance with the Table UK IRRBBA of Annex XXXVII and the relevant instructions set out in Annex XXXVIII.
- (b) For the disclosures required in points (a) and (b) of Article 448(1) of the CRR, in accordance with the Template UK IRRBB1 of Annex XXXVII and the relevant instructions set out in Annex XXXVIII.
Article 18 Disclosure of Remuneration Policy
Institutions shall make the disclosures on the remuneration policy required in Article 450 of the CRR as follows:
- (a) For the disclosures required in points (a) to (f), and (k) of Article 450(1) and in Article 450(2) of the CRR, in accordance with the Table UK REMA of Annex XXXIII and the relevant instructions set out in Annex XXXIV.
- (b) For the disclosures required in points (h)(i) and (h)(ii) of Article 450(1) of the CRR, in accordance with the Template UK REM1 of Annex XXXIII and the relevant instructions set out in Annex XXXIV.
- (c) For the disclosures required in points (h)(v), (h)(vi), and (h)(vii) of Article 450(1) of the CRR, in accordance with the Template UK REM2 of Annex XXXIII and the relevant instructions set out in Annex XXXIV.
- (d) For the disclosures required in points (h)(iii) and (h)(iv) of Article 450(1) of the CRR, in accordance with the Template UK REM3 of Annex XXXIII and the relevant instructions set out in Annex XXXIV.
- (e) For the disclosures required in points (g) and (i) of Article 450(1) of the CRR, in accordance with the Templates UK REM4 and UK REM5 of Annex XXXIII and the relevant instructions set out in Annex XXXIV.
Article 19 Disclosure of Encumbered and Unencumbered Assets
Institutions shall disclose the information regarding their encumbered and unencumbered assets required in Article 443 of the CRR in accordance with the Templates UK AE1, UK AE2, and UK AE3, and Table UK AE4 of Annex XXXV and the relevant instructions set out in Annex XXXVI.
Article 20 General Provisions
1.
Where Article 432 of the CRR applies, the institution shall not be obliged to populate the relevant rows or columns of the templates and tables referred to in this Chapter 5 of the Disclosure (CRR) Part of the PRA Rulebook. In this case the numbering of subsequent rows or columns shall not be altered.
- 01/01/2022
- Legal Instruments that change this rule 1.
2.
Institutions shall make a clear note in the relevant template or table of the rows or columns not populated and of the reason of the omission of the disclosure.
- 01/01/2022
- Legal Instruments that change this rule 2.
3.
The qualitative narrative and any other necessary supplementary information accompanying quantitative disclosures in accordance with Article 431 of the CRR shall be adequately clear and comprehensive, enabling users of information to understand the quantitative disclosures and shall be placed next to the templates, which they describe.
- 01/01/2022
- Legal Instruments that change this rule 3.
4.
Numerical values shall be presented as follows:
- (a) quantitative monetary data shall be disclosed using a minimum precision equivalent to millions of units;
- (b) quantitative data disclosed as 'Percentage' shall be expressed as per unit with a minimum precision equivalent to four decimals.
- 01/01/2022
- Legal Instruments that change this rule 4.
5.
Institutions shall, in addition to the information disclosed in accordance with this Chapter 5 of the Disclosure (CRR) Part of the PRA Rulebook, also provide the following information:
- (a) disclosure reference date and reference period;
- (b) reporting currency;
- (c) name and where relevant, identifier of the disclosing institution (LEI);
- (d) where relevant, accounting standard; and
- (e) where relevant, scope of consolidation.
- 01/01/2022
- Legal Instruments that change this rule 5.
6
Pillar 3 Templates and Instructions
6.1
Annex I Template UK OV1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.1
6.2
Annex I Template UK KM1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.2
6.3
Annex I Template UK INS1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.3
6.4
Annex I Template UK INS2 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.4
6.5
Annex I Table UK OVC can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.5
6.6
Annex II can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.6
6.7
Annex III Table UK OVA can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.7
6.8
Annex III Table UK OVB can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.8
6.9
Annex IV can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.9
6.10
Annex V Template UK LI1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.10
6.11
Annex V Template UK LI2 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.11
6.12
Annex V Template UK LI3 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.12
6.13
Annex V Table UK LIA can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.13
6.14
Annex V Table UK LIB can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.14
6.15
Annex V Template UK PV1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.15
6.16
Annex VI can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.16
6.17
Annex VII Template UK CC1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.17
6.18
Annex VII Template UK CC2 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.18
6.19
Annex VII Template UK CCA can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.19
6.20
Annex VIII can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.20
6.21
Annex IX Template UK CCyB1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.21
6.22
Annex IX Template UK CCyB2 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.22
6.23
Annex X can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.23
6.24
Annex XI Templates UK LR1, UK LR2, UK LR3 and UK LRA can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.24
6.25
Annex XII can be found here.
6.26
Annex XIII Table UK LIQA can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.26
6.27
Annex XIII Template UK LIQ1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.27
6.28
Annex XIII Table UK LIQB can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.28
6.29
Annex XIII Template UK LIQ2 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.29
6.30
Annex XIV can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.30
6.30A
Annex XIV Table UK CRA can be found here.
6.31
Annex XV Table UK CRB can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.31
6.32
Annex XV Template UK CR1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.32
6.33
Annex XV Template UK CR1-A can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.33
6.34
Annex XV Template UK CR2 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.34
6.35
Annex XV Template UK CR2a can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.35
6.36
Annex XV Template UK CQ1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.36
6.37
Annex XV Template UK CQ2 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.37
6.38
Annex XV Template UK CQ3 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.38
6.39
Annex XV Template UK CQ4 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.39
6.40
Annex XV Template UKCQ5 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.40
6.41
Annex XV Template UK CQ6 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.41
6.42
Annex XV Template UK CQ7 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.42
6.43
Annex XV Template UK CQ8 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.43
6.44
Annex XVI can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.44
6.45
Annex XVII Table UK CRC can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.45
6.46
Annex XVII Template UK CR3 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.46
6.47
Annex XVIII can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.47
6.48
Annex XIX Table UK CRD can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.48
6.49
Annex XIX Template UK CR4 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.49
6.50
Annex XIX Template UK CR5 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.50
6.51
Annex XX can be found here.
6.52
Annex XXI Table UK CRE can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.52
6.53
Annex XXI Template UK CR6 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.53
6.54
Annex XXI Template UK CR6-A can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.54
6.55
Annex XXI Template UK CR7 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.55
6.56
Annex XXI Template UK CR7-A can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.56
6.57
Annex XXI Template UK CR8 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.57
6.58
Annex XXI Template UK CR9 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.58
6.59
Annex XXI Template UK CR9.1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.59
6.60
Annex XXII can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.60
6.61
Annex XXIII Template UK CR10 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.61
6.62
Annex XXIV can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.62
6.63
Annex XXV Table UK CCRA can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.63
6.64
Annex XXV Template UK CCR1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.64
6.65
Annex XXV Template UK CCR2 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.65
6.66
Annex XXV Template UK CCR3 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.66
6.67
Annex XXV Template UK CCR4 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.67
6.68
Annex XXV Template UK CCR5 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.68
6.69
Annex XXV Template UK CCR6 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.69
6.70
Annex XXV Template UK CCR7 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.70
6.71
Annex XXV Template UK CCR8 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.71
6.72
Annex XXVI can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.72
6.73
Annex XXVII Table UK-SECA can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.73
6.74
Annex XXVII Template UK-SEC1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.74
6.75
Annex XXVII Template UK-SEC2 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.75
6.76
Annex XXVII Template UK-SEC3 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.76
6.77
Annex XXVII Template UK-SEC4 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.77
6.78
Annex XXVII Template UK-SEC5 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.78
6.79
Annex XXVIII can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.79
6.80
Annex XXIX Table UK MRA can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.80
6.81
Annex XXIX Template UK MR1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.81
6.82
Annex XXIX Table UK MRB can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.82
6.83
Annex XXIX Template UK MR2-A can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.83
6.84
Annex XXIX Template UK MR2-B can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.84
6.85
Annex XXIX Template UK MR3 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.85
6.86
Annex XXIX Template UK MR4 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.86
6.87
Annex XXX can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.87
6.88
Annex XXXI Table UK ORA can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.88
6.88A
Annex XXXI Template UK OR1 can be found here.
6.89
Annex XXXII can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.89
6.90
Annex XXXIII Table UK REMA can be found here.
6.91
Annex XXXIII Template UK REM1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.91
6.92
Annex XXXIII Template UK REM2 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.92
6.93
Annex XXXIII Template UK REM3 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.93
6.94
Annex XXXIII Template UK REM4 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.94
6.95
Annex XXXIII Template UK REM5 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.95
6.96
Annex XXXIV can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.96
6.97
Annex XXXV Template UK AE1 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.97
6.98
Annex XXXV Template UK AE2 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.98
6.99
Annex XXXV Template UK AE3 can be found here.
- 01/09/2022
- Legal Instruments that change this rule 6.99
6.100
Annex XXXV Table UK AE4 can be found here.
6.101
Annex XXXVI can be found here.
6.102
Annex XXXVII Template UK IRRBB1 can be found here.
6.103
Annex XXXVII Table UK IRRBBA can be found here.
6.104
Annex XXXVIII can be found here.
3.2
[Deleted.]
3.3
[Deleted.]
3.4
[Deleted.]
3.5
[Deleted.]
3.6
[Deleted.]
3.7
[Deleted.]
3.8
[Deleted.]
3.9
[Deleted.]
3.10
[Deleted.]
3.11
[Deleted.]
3.12
[Deleted.]
3.13
[Deleted.]
3.14
[Deleted.]
3.15
[Deleted.]
3.16
[Deleted.]
3.17
[Deleted.]
3.18
[Deleted.]
3.19
[Deleted.]
3.20
[Deleted.]
3.21
[Deleted.]
3.22
[Deleted.]
3.23
[Deleted.]
3.24
[Deleted.]
3.25
[Deleted.]
3.26
[Deleted.]
3.27
[Deleted.]
3.28
[Deleted.]
3.29
[Deleted.]
3.30
[Deleted.]
3.31
[Deleted.]
3.32
[Deleted.]
3.33
[Deleted.]
3.34
[Deleted.]
3.35
[Deleted.]
3.36
[Deleted.]
3.37
[Deleted.]
3.38
[Deleted.]
3.39
[Deleted.]
3.40
[Deleted.]
3.41
[Deleted.]
3.42
[Deleted.]
3.43
[Deleted.]
3.44
[Deleted.]
3.45
[Deleted.]
3.46
[Deleted.]
3.47
[Deleted.]
3.48
[Deleted.]
3.49
[Deleted.]
3.50
[Deleted.]
3.51
[Deleted.]
3.52
[Deleted.]
3.53
[Deleted.]
3.54
[Deleted.]
3.55
[Deleted.]
3.56
[Deleted.]
3.57
[Deleted.]
3.58
[Deleted.]
3.59
[Deleted.]
3.60
[Deleted.]
3.61
[Deleted.]
3.62
[Deleted.]
3.63
[Deleted.]
3.64
[Deleted.]
3.65
[Deleted.]
3.66
[Deleted.]
3.67
[Deleted.]
3.68
[Deleted.]
3.69
[Deleted.]
3.70
[Deleted.]
3.71
[Deleted.]
3.72
[Deleted.]
3.73
[Deleted.]
3.74
[Deleted.]
3.75
[Deleted.]
3.76
[Deleted.]
3.77
[Deleted.]
3.78
[Deleted.]
3.79
[Deleted.]
3.80
[Deleted.]
3.81
[Deleted.]
3.82
[Deleted.]
3.83
[Deleted.]
3.84
[Deleted.]
3.85
[Deleted.]
3.86
[Deleted.]
3.87
[Deleted.]
3.88
[Deleted.]
3.89
[Deleted.]
3.90
[Deleted.]
3.91
[Deleted.]
3.92
[Deleted.]
3.93
[Deleted.]
3.94
[Deleted.]
3.95
[Deleted.]
3.96
[Deleted.]
3.97
[Deleted.]
3.98
[Deleted.]
3.99
[Deleted.]
3.100
[Deleted.]
3.101
[Deleted.]
3.102
[Deleted.]
3.103
[Deleted.]
3.104
[Deleted.]
3.105
[Deleted.]
7
Application Dates and Transitional Provisions
7.1
In relation to any disclosure made after 31 December 2023 but relating to a period ending on or before 31 December 2023, a small CRR firm, an SDDT and an SDDT consolidation entity must apply this Part in accordance with Articles 433b and 433c as those Articles had effect on 31 December 2023.
- 01/01/2024
- Legal Instruments that change this rule 7.1