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 semi-annual frequency.

Institutions shall submit information in accordance with paragraphs 2 and 3, point (a) of paragraph 4, and paragraph 5.

Large institutions shall also submit information in accordance with points (b) to (f) of paragraph 4.

2.

Information on all securitisation exposures shall be reported as specified in templates C 14.00 and C 14.01 of Annex I, in accordance with the instructions in point 3.8 of Part II of Annex II;

Institutions shall be exempted from submitting those securitisation details where they are part of a group and are subject to own funds requirements in the United Kingdom on a consolidated basis.

3.

Information on sovereign exposures shall be submitted in the following manner:

1. (a) Institutions shall submit the information specified in template C 33.00 in accordance with the instructions in Part II point 7 of Annex II where the aggregate carrying amount of financial assets from the counterparty sector 'General governments' is equal to or higher than 1% of the sum of total carrying amount for 'Debt securities' and 'Loans and advances'. To calculate the relevant values, institutions shall follow the instructions in Annex III or Annex IV, as applicable for template C 04.00;
2. (b) Institutions that meet the criterion referred to in point (a) and where the value reported for domestic exposures of non-derivative financial assets as defined in row 0010, column 0010 of template C 33.00 is less than 90% of the value reported for domestic and non- domestic exposures for the same data point shall submit the information specified in template C 33.00, in accordance with the instructions in point 7 of Part II of Annex II but with a full country breakdown;
3. (c) Institutions that meet the criterion referred to in point (a) but do not meet the criterion referred in point (b) shall submit the information specified in template C 33.00 in accordance with the instructions in point 7 of Part II of Annex II but with exposures aggregated at (i) a total level and (ii) a domestic level.

The entry and exit criteria of Article 4(2) shall apply.

4.

Information on material losses regarding operational risk shall be reported in the following manner:

1. (a) institutions that calculate own funds requirements relating to operational risk in accordance with Chapter 4 of Title III of Part Three of the CRR shall report this information as specified in template C 17.01 and C 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;
2. (b) large institutions that calculate own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of the CRR shall report this information as specified in templates C 17.01 and C 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;
3. (c) institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of the CRR shall report the information specified in points (i) and (ii) in accordance with the instructions in point 4.2 of Part II of Annex II:
1. i. The information specified for column 0080 of template C 17.01 of Annex I for the following rows:
1. 1. number of events (new events) (row 0910);
2. 2. gross loss amount (new events) (row 0920);
3. 3. number of events subject to loss adjustments (row 0930);
4. 4. loss adjustments relating to previous reporting periods (row 0940);
5. 5. maximum single loss (row 0950);
6. 6. sum of the five largest losses (row 0960);
7. 7. total direct loss recovery (except insurance and other risk transfer mechanisms) (row 0970);
8. 8. total recoveries from insurance and other risk transfer mechanisms (row 0980);
2. ii. The information specified in template C 17.02 of Annex I;
4. (d) the institutions referred to in point (c) may report the complete set of information specified in templates C 17.01 and C 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;
5. (e) large institutions that calculate own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of the CRR shall report the information specified in templates C 17.01 and C 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;
6. (f) institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of the CRR may report the information referred to n templates C 17.01 and C 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II.

The entry and exit criteria of Article 4(2) shall apply.

5.

The information in template C 34.06 of Annex I on counterparty credit risk shall be submitted by institutions applying the simplified standardised approach or the original exposure method for the calculation of counterparty credit risk exposures following Sections 4 and 5 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.