Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

CHAPTER 3 FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION

SECTION 1 Format and frequency of reporting on own funds and own funds requirements

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

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

  1. (a)

    Institutions shall submit the following information with a quarterly frequency:

    1. (1)

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

    2. (2)

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

    3. (3)

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

    4. (4)

      the information on the geographical distribution of exposures by country, as well as aggregated at a total level, as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II. With regard to the information specified in templates 9.1 and 9.2 in particular, information on the geographical distribution of exposures by country shall be reported where non-domestic original exposures in all "non-domestic" countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the United Kingdom. The entry and exit criteria of Article 4 shall apply;

    5. (5)

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

    6. (6)

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

    7. (7)

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

    8. (8)

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

    9. (9)

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

    10. (10)

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

    11. (11)

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

    12. (12)

      the information on prudent valuation specified in template 32 of Annex I in accordance with the instructions in Part II, point 6 of Annex II as follows:

      1. (i)

        all institutions shall report the information specified in template 32.1 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;

      2. (ii)

        in addition to the reporting referred to in point (i), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 shall also report the information specified in template 32.2 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;

      3. (iii)

        in addition to the requirements referred to in points (i) and (ii), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation at their respective reporting level, shall also report the information specified in templates 32.3 and 32.4 of Annex I in accordance with the instructions in Part II, point 6 of Annex II.

      For the purposes of point (a)(12), the entry and exit criteria of Article 4 shall not apply.

  2. (b)

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

    1. (1)

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

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

    2. (2)

      the information on material losses stemming from operational risk events as follows:

      1. (a)

        institutions which calculate own funds requirements relating to operational risk in accordance with Chapter 4 of Title III of Part Three of Regulation (EU) No 575/2013 shall report this information as specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;

      2. (b)

        institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the following criteria shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II:

        1. (i)

          the ratio of the individual balance sheet total to the sum of individual balance sheet totals of all institutions within the United Kingdom is equal to or above 1 %, where balance sheet total figures are based on year-end figures for the year before the year preceding the reporting reference date;

        2. (ii)

          the total value of the institution's assets exceeds EUR 30 billion;

        3. (iii)

          the total value of the institution's assets exceeds both EUR 5 billion and 20 % of the GDP of the United Kingdom;

        4. (iv)

          the institution is one of the three largest institutions established in the United Kingdom measured by the total value of its assets;

      3. (c)

        institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions in point (b) is met, shall report the information referred to in points (i) and (ii) below in accordance with the instructions in point 4.2 of Part II of Annex II:

        1. (i)

          the information as specified for column 080 of template 17.01 of Annex I for the following rows:

          • number of events (new events) (row 910),
          • gross loss amount (new events) (row 920),
          • number of events subject to loss adjustments (row 930),
          • loss adjustments relating to previous reporting periods (row 940),
          • maximum single loss (row 950),
          • sum of the five largest losses (row 960),
          • total direct loss recovery (except insurance and other risk transfer mechanisms) (row 970),
          • total recoveries from insurance and other risk transfer mechanisms (row 980);

        2. (ii)

          the information as specified in template 17.02 of Annex I;

      4. (d)

        the institutions referred to in point (c) may report the complete set of information specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;

      5. (e)

        institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the conditions (ii) to (v) of point (b) shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;

      6. (f)

        institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions set out in points (ii) to (v) of point (b) are met, may report the information referred to in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;

      7. (g)

        the entry and exit criteria of Article 4 shall apply;

    3. (3)

      the information on sovereign exposures as follows:

      1. (a)

        institutions shall report the information specified in template 33 of Annex I in accordance with the instructions in point 7 of Part II of Annex II where the aggregate carrying amount of financial assets from the counterparty sector "General governments" is equal or higher than 1 % of the sum of total carrying amount for "Debt securities and Loans and advances". For the purposes of determining those carrying amounts, institutions shall apply the definitions used in templates 4.1 to 4.4.1 of Annex III or templates 4.1 to 4.4.1 and 4.6 to 4.10 of Annex IV, as applicable;

      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 010, column 010 of template 33 of Annex I is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point, shall report the information specified in template 33 of Annex I in accordance with the instructions in point 7 of Part II of Annex II of Annex II aggregated at a total level and for each individual country they are exposed to;

      3. (c)

        institutions that meet the criterion referred to in point (a) but do not meet the criterion referred in point (b) shall report the information specified in template 33 of Annex I in accordance with the instructions in point 7 of Part II of Annex II with exposures aggregated at both a total level and at domestic level;

      4. (d)

        the entry and exit criteria of Article 4 shall apply.