Prudential Regulation Authority Rulebook

1.

In order to report information on own funds and on own funds requirements in accordance with point (a) of Article 430(1) of the CRR on an individual basis, institutions shall submit information as set out in the following paragraphs with a quarterly frequency. Institutions shall submit information in accordance with paragraphs 2 to 15 of this Article.

2.

Information relating to own funds and own funds requirements shall be submitted as specified in templates C 01.00 to C 05.02 of Annex I, in accordance with the instructions in point 1 of Part II of Annex II.

3.

Information on credit risk and counterparty credit risk exposures treated under the standardised approach shall be submitted as specified in template C 07.00 of Annex I, in accordance with the instructions in point 3.2 of Part II of Annex II.

4.

Information on credit risk and counterparty credit risk exposures treated under the internal ratings-based approach shall be submitted as specified in templates C 08.01 and C 08.02 of Annex I, in accordance with the instructions in point 3.3 of Part II of Annex II.

5.

Information on the geographical distribution of exposures by country, as well as aggregated at a total level, shall be submitted as specified in template C 09.01 of Annex I, in accordance with the instructions in point 3.4 of Part II of Annex II. Information specified in template C 09.01 and C 09.02, and in particular information on the geographical distribution of exposures by country, shall be submitted where non-domestic original exposures in all non-domestic countries in all exposure classes, as reported in row 0850 of template C 04.00 of Annex I, are equal to or higher than 10% of total domestic and non-domestic original exposures as reported in row 0860 of template C 04.00 of Annex I. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the United Kingdom. The entry and exit criteria of Article 4 shall apply.

6.

Information on counterparty credit risk shall be submitted as specified in templates C 34.01 to C 34.05 and C 34.08 to C 34.10 of Annex I, in accordance with the instructions in point 3.9 of Part II of Annex II.

7.

Information in template C 34.06 of Annex I on counterparty credit risk shall be submitted by institutions applying the standardised approach or the internal model method for the calculation of counterparty credit risk exposures following Sections 3 and 6 of Chapter 6 of Title II of Part Three of the CRR. The information shall be submitted in accordance with the instructions in point 3.9.7 of Part II of Annex II.

8.

Information on equity exposures treated under the internal ratings-based approach shall be submitted as specified in template C 10.01 of Annex I, in accordance with the instructions in point 3.5 of Part II of Annex II.

9.

Information on settlement risk shall be submitted as specified in template C 11.00 of Annex I, in accordance with the instructions in point 3.6 of Part II of Annex II.

10.

Information on securitisation exposures shall be submitted as specified in template C 13.01 of Annex I, in accordance with the instructions in point 3.7 of Part II of Annex II.

11.

Information on own funds requirements and losses relating to operational risk shall be submitted as specified in template C 16.00 of Annex I, in accordance with the instructions in point 4.1 of Part II of Annex II.

12.

Information on own funds requirements relating to market risk shall be submitted as specified in templates C 18.00 to C 24.00 of Annex I, in accordance with the instructions in points 5.1 to 5.7 of Part II of Annex II.

13.

Information on own funds requirements relating to credit valuation adjustment risk shall be submitted as specified in template C 25.00 of Annex I, in accordance with the instructions in point 5.8 of Part II of Annex II.

14.

Information on prudent valuation shall be submitted as specified in template C 32.01 of Annex I in accordance with the instructions in point 6 of Part II, of Annex II as follows:

1. (a) all institutions shall submit the information specified in template C 32.01 of Annex I in accordance with the instructions in point 6 of Part II of Annex II;
2. (b) institutions that apply the core approach pursuant to Commission Delegated Regulation (EU) 2016/101 shall also report the information specified in template C 32.02 of Annex II in accordance with the instructions in point 6 of Part II of Annex II;
3. (c) institutions that apply the core approach pursuant to Commission Delegated Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation shall also report the information specified in templates C 32.03 and C 32.04 of Annex I in accordance with the instructions in point 6 of Part II of Annex II.

The entry and exit criteria of Article 4 shall not apply for Article 5(14) (c) above.

15.

Information on the prudential backstop for non-performing exposures shall be submitted as specified in templates C 35.01 to C 35.03 of Annex I, in accordance with the instructions in point 8 of Part II of Annex II.