3
Approach to specific cases: Reporting and disclosure requirements based on the CRR
3.1
Table B considers specific cases where CRR reporting and disclosure requirements include EU-based references, and sets out an expected approach in each instance.
- 01/01/2022
Table B: Approach to interpretation of specific EU-based references in reporting and disclosure requirements based on CRR
| Reference | Template title |
Legislative reference |
Interpretation |
|---|---|---|---|
| Row and column labels referring to EU |
Leverage ratio disclosures |
ITS 2016/200, Annex I |
Firms have an option to either retain the reference to the EU or remove this from the row labels. |
| Conservation buffer due to macro- prudential or systemic risk identified at the level of a Member State |
COREP C04.00, row 760, C06.02, column 440 |
PRA Rulebook, Reporting (CRR) Part, Reporting Requirements, Annexes I and II |
The reference to ‘…conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State…’ should be read as ‘…conservation buffer due to enhanced prudential measures…’ |
|
References to |
CCyB disclosures |
PRA Rulebook, Disclosure (CRR) Part, Templates and Instructions, Annexes IX and X |
References in Part II of Annex II to exposures ‘defined in accordance with Article 140(4)(a) of Directive 2013/36/EU’ shall be read as references to ‘all exposure classes (other than those referred to in points (a) to (f) of CRR Article 112 ) that are subject to the own funds requirements for credit risk under Part Three, Title II of that Regulation’. References in Part II of Annex II to exposures ‘defined in accordance with Article 140(4)(b) of Directive 2013/36/EU’ shall be read, where the exposure is held in the trading book, as references to ‘all exposure classes (other than those referred to in points (a) to (f) of CRR Article 112) that are subject to the own funds requirements for specific risk under Part Three, Title IV, Chapter 2 of that Regulation or incremental default and migration risk under Part Three, Title IV, Chapter 5 of that Regulation’. References in Part II of Annex II to exposures ‘defined in accordance with Article 140(4)(c) of Directive 2013/36/EU’ shall be read, where the exposure is a securitisation as references to ‘all exposure classes (other than those referred to in points (a) to (f) of CRR Article 112) that are subject to the own funds requirements under Part Three, Title II, Chapter 5 of that Regulation’. References to relevant credit exposures defined in accordance to Article 140(4) of Directive 2013/36/EU are to be read in line with the instructions above. |
| EU references contained within the definitions of benchmarking portfolios and corresponding reporting instructions |
Benchmarking templates |
2016/2070, all annexes | The definitions of the benchmarking portfolios should remain unchanged. For the avoidance of doubt, this means that any references to codes assigned by the EBA; to Euros; to Central European Time (CET); and to European OTC options should remain as they are. |
| Reference to joint decisions |
Benchmarking template C105.01 |
2016/2070, Annexes III and IV |
Firms should report whether a joint decision, made prior to the date of EU withdrawal, continues to apply in relation to the use of the IRB approach for exposures included in the benchmarking portfolios. |
- 01/01/2022