Prudential Regulation Authority Rulebook

1.

This Chapter 5 of the Disclosure (CRR) Part of the PRA Rulebook lays down uniform disclosure formats, and associated instructions in accordance with which institutions shall make the disclosures required under Titles II and III of Part Eight of the CRR.

2.

Annexes referred to in this Chapter 5 can be found at Chapter 6 (Pillar 3 Templates and Instructions) of this Disclosure (CRR) Part of the PRA Rulebook.

1.

Institutions shall make the disclosures required in Article 447 (a) to (g) and point (b) of Article 438 of the CRR in accordance with the Templates UK KM1 of Annex I and the relevant instructions set out in Annex II.

2.

Institutions shall make the disclosures required in point (d) of Article 438 of the CRR in accordance with the Template UK OV1 of Annex I and the relevant instructions set out in Annex II.

3.

Institutions shall make the disclosures required in points (a) and (c) of Article 438 of the CRR in accordance with the Table UK OVC in Annex I and the relevant instructions set out in Annex II.

4.

Institutions shall make the disclosures required in points (f) and (g) of Article 438 of the CRR in accordance with the Template UK INS1 and UK INS2 of Annex I and the relevant instructions set out in Annex II.

Institutions shall make the disclosures required in Article 435 of the CRR in accordance with the Tables UK OVA and UK OVB of Annex III and the relevant instructions set out in Annex IV.

1.

Institutions shall make the disclosures required in points (b) and (c) of Article 436 of the CRR in accordance with the Templates UK LI1 and UK LI3 of Annex V and the relevant instructions set out in Annex VI.

2.

Institutions shall make the disclosures required in points (b) and (d) of Article 436 of the CRR in accordance with the Template UK LI2 and Table UK LIA of Annex V and the relevant instructions set out in Annex VI.

3.

Institutions shall make the disclosures required in point (e) of Article 436 of the CRR in accordance with the Template UK PV1 of Annex V and the relevant instructions set out in Annex VI.

4.

Institutions shall make the disclosures required in points (f), (g) and (h) of Article 436 of the CRR in accordance with the Table UK LIB of Annex V and the relevant instructions set out in Annex VI.

Institutions shall make the disclosures on own funds, required in Article 437 of the CRR as follows:

1. (a) For the disclosures required in points (a), (d), (e), and (f) of Article 437 of the CRR, in accordance with the Templates UK CC1 and UK CC2 of Annex VII and the relevant instructions set out in Annex VIII.
2. (b) For the disclosures required in points (b) and (c) of Article 437 in accordance with the Template UK CCA of Annex VII and the relevant instructions set out in Annex VIII.

Institutions shall make the disclosures on the countercyclical capital buffer required in Article 440 of the CRR as follows:

1. (a) For the disclosures required in point (a) of Article 440 in accordance with the Template UK CCyB1 of Annex IX and the relevant instructions set out in Annex X.
2. (b) For the disclosures required in point (b) of Article 440 in accordance with the Template UK CCyB2 of Annex IX and the relevant instructions set out in Annex X.

Institutions shall make the disclosures on the leverage ratio, required in Article 451 of the CRR as follows:

1. (a) For the disclosures required in Article 451 of the CRR, other than those required in points (d) and (e) of Article 451(1), in accordance with the Templates UK LR1, UK LR2 and UK LR3 of Annex XI and the relevant instructions set out in Annex XII.
2. (b) For the disclosures required in points (d) and (e) of Article 451(1) of the CRR, in accordance with the Table UK LRA of Annex XI and the relevant instructions set out in Annex XII.

Institutions shall make the disclosures on the liquidity requirements required in Articles 435(1) and 451a of the CRR as follows:

1. (a) For the disclosures required in Article 435(1) and in Article 451a(4) of the CRR, in accordance with the Table UK LIQA of Annex XIII and the relevant instructions set out in Annex XIV.
2. (b) For the disclosures required in Article 451a(2) of the CRR, in accordance with the Template UK LIQ1 and Table UK LIQB of Annex XIII and the relevant instructions set out in Annex XIV.
3. (c) For the disclosures required in Article 451a(3) of the CRR, in accordance with the Template UK LIQ2 of Annex XIII and the relevant instructions set out in Annex XIV.

1.

Institutions shall make the disclosures on credit risk and dilution risk required in Articles 435 and 442 of the CRR as follows:

1. (a) For the disclosures required in points (a), (b), (d), and (f) of Article 435 (1) regarding credit risk of the CRR, in accordance with the Table UK CRA of Annex XV and the relevant instructions set out in Annex XVI.
2. (b) For the disclosures required in points (a) and (b) of Article 442 of the CRR, in accordance with the Table UK CRB of Annex XV and the relevant instructions set out in Annex XVI.
3. (c) For the disclosures required in points (d) of Article 442 of the CRR, in accordance with the Template UK CQ3 of Annex XV and the relevant instructions set out in Annex XVI.
4. (d) For the disclosures required in point (g) of Article 442 of the CRR, in accordance with the Template UK CR1-A of Annex XV and the relevant instructions set out in Annex XVI.
5. (e) For the disclosures required in point (f) of Article 442 of the CRR, in accordance with the Template UK CR2 of Annex XV and the relevant instructions set out in Annex XVI.

2.

Institutions shall make the disclosures required in points (c), (e), and (f) of Article 442 of the CRR in accordance with Templates UK CR1, UK CQ1 and UK CQ7, columns a, c, e, f, and g of Template UK CQ4 and columns a, c, e, and f of Template UK CQ5 set out in Annex XV and with the instructions set out in Annex XVI.

3.

In addition to the templates referred to in paragraph 22 and in order to convey sufficiently comprehensive and comparable information for users of that information to assess the risk profiles of institutions, large institutions with a ratio of gross carrying amount of non-performing loans and advances divided by the total gross carrying amount of loans and advances subject to the definition of non-performing according to Article 47a of the CRR equal to or higher than 5% shall make the disclosure required in points (c) and (f) of Article 442 of the CRR also in accordance with templates UK CR2a, UK CQ2, CQ6 and UK CQ8, columns b and d of Templates UK CQ4 and UK CQ5 set out in Annex XV and with the instructions set out in Annex XVI, on an annual basis.

4.

For the purpose of paragraph (3), loans and advances classified as held for sale, cash balances at central banks and other demand deposits shall be excluded both from the denominator and the numerator of the ratio.

5.

Institutions shall commence disclosure in accordance with paragraph 3 where they have reached or exceeded the 5% threshold in two consecutive quarters during the four quarters prior to the reference date of the disclosure. For the reference date of the first disclosure, institutions shall disclose the templates subject to the 5% threshold if they comply with the threshold on that disclosure reference date.

6.

Institutions shall stop having the obligation to disclose in accordance with paragraph 3 where they have fallen below the threshold in three consecutive quarters during the four quarters prior to the disclosure reference date.

Institutions shall make the disclosures on the use of credit risk mitigation techniques required in points (a) to (f) of Article 453 of the CRR as follows:

1. (a) For the disclosures required in points (a) to (e) of Article 453 of the CRR, in accordance with the Table UK CRC of Annex XVII and the relevant instructions set out in Annex XVIII.
2. (b) For the disclosures required in point (f) of Article 453 of the CRR, in accordance with the Template UK CR3 of Annex XVII and the relevant instructions set out in Annex XVIII.

Institutions calculating risk-weighted exposure amounts under the Standardised Approach shall make the disclosures on the use of the standardised approach, required in Article 444 and in points (g), (h) and (i) of Article 453 of the CRR as follows:

1. (a) For the disclosures required in points (a) to (d) of Article 444 of the CRR, in accordance with the Table UK CRD of Annex XIX and the relevant instructions set out in Annex XX.
2. (b) For the disclosures required in points (g), (h), and (i) of Article 453 and in point (e) of Article 444 of the CRR, in accordance with the Template UK CR4 of Annex XIX and the relevant instructions set out in Annex XX.
3. (c) For the disclosures required in point (e) of Article 444 of the CRR, in accordance with the Template UK CR5 of Annex XIX and the relevant instructions set out in Annex XX and, for the disclosure of the exposure values deducted from own funds required in the same Article in accordance with the template UK CC1 of Annex VII and the relevant instructions set out in Annex VIII.

Institutions calculating risk-weighted exposure amounts under the IRB Approach shall make the disclosures on the use of the IRB approach, required in Articles 438, 452 and in points (g) and (j) of Article 453 of the CRR as follows:

1. (a) For the disclosures required in points (a) to (f) of Article 452 of the CRR, in accordance with the Table UK CRE and Template UK CR6-A of Annex XXI and the relevant instructions set out in Annex XXII.
2. (b) For the disclosures required in point (g) of Article 452 of the CRR, in accordance with the Template UK CR6 of Annex XXI and the relevant instructions set out in Annex XXII.
3. (c) For the disclosures required in points (g) and (j) of Article 453 of the CRR, in accordance with the Templates UK CR7-A and CR7 of Annex XXI and the relevant instructions set out in Annex XXII.
4. (d) For the disclosures required in point (h) of Article 438 of the CRR, for IRB Approach to credit risk, in accordance with the Template UK CR8 of Annex XXI and the relevant instructions set out in Annex XXII.
5. (e) For the disclosures required in point (h) of Article 452 of the CRR, in accordance with the Template UK CR9 and CR9.1 of Annex XXI and the relevant instructions set out in Annex XXII.

Institutions shall make the disclosures required in point (e) of Article 438 of the CRR in accordance with the Template UK CR10 of Annex XXIII and the relevant instructions set out in Annex XXIV.

Institutions shall make the disclosures on the exposures to counterparty credit risk required in Articles 435, 438 and 439 of the CRR as follows:

1. (a) For the disclosures required in points ((a), (b), (c), and (d) of Articles 439 of the CRR, in accordance with the Table UK CCRA of Annex XXV and the relevant instructions set out in Annex XXVI.
2. (b) For the disclosures required in points (f), (g), (k), and (m) of Article 439 of the CRR, in accordance with the Template UK CCR1 of Annex XXV and the relevant instructions set out in Annex XXVI.
3. (c) For the disclosures required in point (h) of Article 439 of the CRR, in accordance with the Template UK CCR2 of Annex XXV and the relevant instructions set out in Annex XXVI.
4. (d) For the disclosures required in point (l) of Article 439 of the CRR, in accordance with the Templates UK CCR3 and UK CCR4 of Annex XXV and the relevant instructions set out in Annex XXVI.
5. (e) For the disclosures required in point (e) of Article 439 of the CRR, in accordance with the Template UK CCR5 of Annex XXV and the relevant instructions set out in Annex XXVI.
6. (f) For the disclosures required in point (j) of Article 439 of the CRR, in accordance with the Template UK CCR6 of Annex XXV and the relevant instructions set out in Annex XXVI.
7. (g) For the disclosures required in point (h) of Article 438 of the CRR, for Internal Model Method, in accordance with the Template UK CCR7 of Annex XXV and the relevant instructions set out in Annex XXVI.
8. (h) For the disclosures required in point (i) of Article 439 of the CRR, in accordance with the Template UK CCR8 of Annex XXV and the relevant instructions set out in Annex XXVI.

Institutions shall make the disclosures on the exposures to securitisation positions required in Article 449 of the CRR as follows:

1. (a) For the disclosures required in points (a) to (i) of Article 449 of the CRR, in accordance with the Table UK-SECA of Annex XXVII and the relevant instructions set out in Annex XXVIII.
2. (b) For the disclosures required in point (j) of Article 449 of the CRR, in accordance with the Templates UK-SEC1 and UK-SEC2 of Annex XXVII and the relevant instructions set out in Annex XXVIII.
3. (c) For the disclosures required in point (k) of Article 449 of the CRR in accordance with the Templates UK-SEC3 and UK-SEC4 of Annex XXVII and the relevant instructions set out in Annex XXVIII.
4. (d) For the disclosures required in point (l) of Article 449 of the CRR in accordance with the Templates UK-SEC5 of Annex XXVII and the relevant instructions set out in Annex XXVIII.

1.

Institutions shall make the disclosures required in Article 445 of the CRR in accordance with the Template UK MR1 of Annex XXIX and the relevant instructions set out in Annex XXX.

2.

Institutions shall make the disclosures required in Articles 435, 438, and 455 of the CRR as follows:

1. (a) For the disclosures required in points (a) to (d) of Article 435(1) of the CRR regarding market risk, in accordance with the Table UK MRA of Annex XXIX and the relevant instructions set out in Annex XXX.
2. (b) For the disclosures required in points (a), (b), (c), and (f) of Article 455 of the CRR, in accordance with the Table UK MRB of Annex XXIX and the relevant instructions set out in Annex XXX.
3. (c) For the disclosures required in point (e) of Article 455 of the CRR, in accordance with the Template UK MR2-A of Annex XXIX and the relevant instructions set out in Annex XXX.
4. (d) For the disclosures required in point (h) of Article 438 of the CRR, for internal market risk models, in accordance with the Template UK MR2-B of Annex XXIX and the relevant instructions set out in Annex XXX.
5. (e) For the disclosures required in point (d) of Article 455 of the CRR, in accordance with the Template UK MR3 of Annex XXIX and the relevant instructions set out in Annex XXX.
6. (f) For the disclosures required in point (g) of Article 455 of the CRR, in accordance with the Template UK MR4 of Annex XXIX and the relevant instructions set out in Annex XXX.

Institutions shall disclose the information on operational risk required in Articles 435, 438 (d), 446, and 454 of the CRR in accordance with the Table UK ORA and Template UK OR1 of Annex XXXI and the relevant instructions set out in Annex XXXII.

Institutions shall make the disclosures required in Article 448 of the CRR as follows:

1. (a) For the disclosures required in points (c), (d), (e), (f), and (g) of Article 448(1) of the CRR, in accordance with the Table UK IRRBBA of Annex XXXVII and the relevant instructions set out in Annex XXXVIII.
2. (b) For the disclosures required in points (a) and (b) of Article 448(1) of the CRR, in accordance with the Template UK IRRBB1 of Annex XXXVII and the relevant instructions set out in Annex XXXVIII.

Institutions shall make the disclosures on the remuneration policy required in Article 450 of the CRR as follows:

1. (a) For the disclosures required in points (a) to (f), and (k) of Article 450(1) and in Article 450(2) of the CRR, in accordance with the Table UK REMA of Annex XXXIII and the relevant instructions set out in Annex XXXIV.
2. (b) For the disclosures required in points (h)(i) and (h)(ii) of Article 450(1) of the CRR, in accordance with the Template UK REM1 of Annex XXXIII and the relevant instructions set out in Annex XXXIV.
3. (c) For the disclosures required in points (h)(v), (h)(vi), and (h)(vii) of Article 450(1) of the CRR, in accordance with the Template UK REM2 of Annex XXXIII and the relevant instructions set out in Annex XXXIV.
4. (d) For the disclosures required in points (h)(iii) and (h)(iv) of Article 450(1) of the CRR, in accordance with the Template UK REM3 of Annex XXXIII and the relevant instructions set out in Annex XXXIV.
5. (e) For the disclosures required in points (g) and (i) of Article 450(1) of the CRR, in accordance with the Templates UK REM4 and UK REM5 of Annex XXXIII and the relevant instructions set out in Annex XXXIV.

Institutions shall disclose the information regarding their encumbered and unencumbered assets required in Article 443 of the CRR in accordance with the Templates UK AE1, UK AE2, and UK AE3, and Table UK AE4 of Annex XXXV and the relevant instructions set out in Annex XXXVI.

1.

Where Article 432 of the CRR applies, the institution shall not be obliged to populate the relevant rows or columns of the templates and tables referred to in this Chapter 5 of the Disclosure (CRR) Part of the PRA Rulebook. In this case the numbering of subsequent rows or columns shall not be altered.

2.

Institutions shall make a clear note in the relevant template or table of the rows or columns not populated and of the reason of the omission of the disclosure.

3.

The qualitative narrative and any other necessary supplementary information accompanying quantitative disclosures in accordance with Article 431 of the CRR shall be adequately clear and comprehensive, enabling users of information to understand the quantitative disclosures and shall be placed next to the templates, which they describe.

4.

Numerical values shall be presented as follows:

1. (a) quantitative monetary data shall be disclosed using a minimum precision equivalent to millions of units;
2. (b) quantitative data disclosed as 'Percentage' shall be expressed as per unit with a minimum precision equivalent to four decimals.

5.

Institutions shall, in addition to the information disclosed in accordance with this Chapter 5 of the Disclosure (CRR) Part of the PRA Rulebook, also provide the following information:

1. (a) disclosure reference date and reference period;
2. (b) reporting currency;
3. (c) name and where relevant, identifier of the disclosing institution (LEI);
4. (d) where relevant, accounting standard; and
5. (e) where relevant, scope of consolidation.