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.

ANNEX II INSTRUCTIONS FOR DISCLOSURE STANDARD FORMATS

PART I

GENERAL INSTRUCTIONS

Reference data

  1. (1)

    Under the field "Level of application" institutions shall indicate the level of application that forms the basis for the data provided in Tables 1 and 2. When completing this field institutions shall select one of the following, in accordance with Article 6 and 13 of Regulation (EU) No 575/2013:

    1. (a)

      Consolidated;

    2. (b)

      Individual;

    3. (c)

      Sub-consolidated.

  2. (2)

    For disclosure on an individual basis in accordance with Part One, Title II of Regulation (EU) No 575/2013, institutions shall complete Tables 1 and 2 of these Instructions on an individual basis in accordance with Part One, Title II, Chapter 1 of Regulation (EU) No 575/2013.

  3. (3)

    For disclosure on a consolidated or sub-consolidated basis in accordance with Part One, Title II of Regulation (EU) No 575/2013, institutions shall complete Tables 1 and 2 of these Instructions based on a consolidated basis in accordance with Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013.

PART II

INSTRUCTIONS FOR STANDARD FORMAT 1

Table 1 Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer

The scope of Table 1 is limited to credit exposures relevant for the calculation of CCB in accordance with Article 140(4) of Directive 2013/36/EU.

Legal references and instructions

Row number

Explanation

010-01X

Breakdown of relevant credit exposures by country

List of countries in which the institution has credit exposures relevant for the calculation of the institution-specific countercyclical buffer in accordance with Delegated Regulation (EU) No 1152/2014.

The number of rows may vary depending on the number of countries where the institution has its credit exposures relevant for the calculation of the countercyclical buffer.

In accordance with Delegated Regulation (EU) No 1152/2014, if trading book exposures or foreign credit exposures of an institution represent less than 2 % of its aggregate risk weighted exposures, the institution may choose to allocate these exposures to the place of institution. If the exposures disclosed for the place of institution include exposures from other countries, these should be clearly identified in a note or footnote to the disclosure table.

020

Total

The value as described in accordance with the explanation for columns 010 to 120 of the current Table.

Legal references and instructions

Column number

Explanation

010

Exposure value of general credit exposures for SA

Exposure value of relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 111 of Regulation (EU) No 575/2013.

Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014.

Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 111 of Regulation (EU) No 575/2013.

020

Exposure value of general credit exposures for IRB

Exposure value of relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 166 of Regulation (EU) No 575/2013.

Geographical breakdown is made in accordance with EBA/RTS/2013/15.

Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 166 of Regulation (EU) No 575/2013.

030

Sum of long and short positions of trading book exposures

Sum of long and short positions of relevant credit exposures defined in accordance with Article 140(4)(b) of Directive 2013/36/EU, calculated as the sum of long and short positions determined in accordance with Article 327 of Regulation (EU) No 575/2013.

Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014.

Row 020 (Total): The sum of all long and short positions of relevant credit exposures defined in accordance with Article 140(4)(b) of Directive 2013/36/EU, calculated as the sum of long and short positions determined in accordance with Article 327 of Regulation (EU) No 575/2013.

040

Value of trading book exposures for internal models

Sum of the following:

  • Fair value of cash positions, that represent relevant credit exposures as defined in Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013.
  • Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) of Directive 2013/36/EU.

Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014.

Row 020 (Total): The sum of fair value of all cash positions, that represent relevant credit exposures as defined in Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013, and notional value of all derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) of Directive 2013/36/EU.

050

Exposure value of securitisation exposures for SA

Exposure value of relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(a) and (c) of Regulation (EU) No 575/2013.

Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014.

Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(a) and (c) of Regulation (EU) No 575/2013.

060

Exposure value of securitisation exposures for IRB

Exposure value of relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(b) and (d) of Regulation (EU) No 575/2013.

Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014.

Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(b) and (d) of Regulation (EU) No 575/2013.

070

Own funds requirements: general credit exposures

Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Part Three, Title II of Regulation (EU) No 575/2013.

Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Part Three, Title II of Regulation (EU) No 575/2013.

080

Own funds requirements: trading book exposures

Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk.

Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk.

090

Own funds requirements: securitisation exposures

Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013.

Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013.

100

Own funds requirements — Total

The sum of columns 070, 080 and 090.

Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4) of Directive 2013/36/EU.

110

Own funds requirements weights

The weight applied to the countercyclical buffer rate in each country, calculated as the total own funds requirements that relates to the relevant credit exposures in the country in question (row 01X, column 100), divided by the total own funds requirements that relates to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of Directive 2013/36/EU (row 020, column 100).

This value is disclosed as an absolute number with 2 decimal points.

120

Countercyclical capital buffer rate

Countercyclical capital buffer rate applicable in the country in question, and set in accordance with Articles 136, 137, 138 and 139 of Directive 2013/36/EU. This column does not include countercyclical capital buffer rates that were set, but are not yet applicable at the time of computation of the institution-specific countercyclical capital buffer to which the disclosure relates.

This value is disclosed as percentage with the same number of decimal points as set in accordance with Articles 136, 137, 138 and 139 of Directive 2013/36/EU.

PART III

INSTRUCTIONS FOR STANDARD FORMAT 2

Table 2 Amount of institution-specific countercyclical capital buffer

Institutions shall apply the instructions provided in this section in order to complete Table 2 Amount of institution-specific countercyclical capital buffer.

Legal references and instructions

Row number

Explanation

010

Total risk exposure amount

Total risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013.

020

Institution-specific countercyclical capital buffer rate

Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) of Directive 2013/36/EU.

The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the institution are located and reported in rows 010 to 01X of column 120 of Table 1.

The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements relating to relevant credit exposures in the territory in question, and is disclosed in Table 1 column 110.

This value is disclosed as percentage with 2 decimal points.

030

Institution-specific countercyclical capital buffer requirement

Institution-specific countercyclical capital buffer requirement, calculated as the institution-specific countercyclical buffer rate, as reported in row 020 of this Table, applied to the total risk exposure amount as reported in row 010 of this Table.

Legal references and instructions

Column number

Explanation

010

The value as described in accordance with the explanation for rows 010 to 030 of the current Table.