Prudential Regulation Authority Rulebook

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.