What changed, Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standa…

− (e) Liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013;
− **2.** The reporting of this data shall reflect the methodology applicable for the calculation of the leverage ratio, either as the simple arithmetic mean of monthly data over the quarter, as per Article 429(2) of Regulation (EU) No 575/2013, or, where competent authorities have exercised the deroga…
− **3.** Institutions are required to report the information referred to in paragraph 22 of Part II of Annex XI in the next reporting period, if one of the following conditions is met:
− (a) the derivatives share referred to in paragraph 15 of Part II of Annex XI is more than 1,5 %;
− (b) the derivatives share referred to in paragraph 15 of Part II of Annex XI exceeds 2,0 %.
− The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date
− **4.** Institutions for which the total notional value of derivatives as defined in paragraph 17 of Part II of Annex XI exceeds 10 billion € shall report the information referred to in paragraph 22 of Part II of Annex XI, even though their derivatives share does not fulfil the conditions described i…
− The entry criteria of Article 4 shall not apply for paragraph 4. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.
− **5.** Institutions are required to report the information referred to in paragraph 23 of Part II of Annex XI in the next reporting period where one of the following conditions is met:
− (a) the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI is more than EUR 300 million;
− (b) the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI exceeds EUR 500 million.
− The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.
− 73. The scope of the CR IRB template covers own funds requirements for: i. Credit risk in the banking book, among which: - Counterparty credit risk in the banking book; Counterparty credit risk in the banking book; - Dilution risk for purchased receivables; Dilution risk for purchased receivables; i…
− 124. The Total loss amount is the algebraic sum of the following elements: i. The gross loss amounts pertinent to operational risk events ‘accounted for the first time’ within the reporting period (e.g. direct charges, provisions, settlements); ii. the gross loss amounts pertinent to positive loss a…
− 140. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associat…
− | 110 | **N-TH-TO-DEFAULT CREDIT DERIVATIVES**N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here.The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a conse…
− 35. Where a breakdown by counterparty is required the following counterparty sectors shall be used: (a) central banks; (b) general governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding pu…
− | 45 | C 45.00 | Leverage ratio calculation | LRCalc |
− | 41 | C 41.00 | On- and Off-Balance Sheet items - Additional breakdown of exposures | LR2 |
− | 43 | C 43.00 | Breakdown of leverage ratio exposure measure components | LR4 |
− | 46 | C 46.00 | Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation | LR6 |
− **C 40.00 - ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)**
− | **Row** |  | **Column** |  |  |  |  |  |  |  |  |  |  |
− | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 |  |  |
− | **Accounting balance sheet value** | **Accounting value assuming no netting or other CRM** | **Value with netting rules (Derivatives) taking into account cash collateral** | **Add-on amount SFT** | **Add-on Mark-to market method (assuming no netting or CRM) (Derivatives)** | **Add-on Mark-to marke…
− | 010 | Derivatives |  |  |  |  |  |  |  |  |  |  |  |
− | 020 | Credit derivatives (protection sold) |  |  |  |  |  |  |  |  |  |  |  |
− | 030 | Credit derivatives (protection sold), which are subject to close out clause |  |  |  |  |  |  |  |  |  |  |  |
− | 040 | Credit derivatives (protection sold), which are not subject to close out clause |  |  |  |  |  |  |  |  |  |  |  |
− | 050 | Credit derivatives (protection bought) |  |  |  |  |  |  |  |  |  |  |  |
+ (e) liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013;
+ **2.** The reporting of the data shall be based on the methodology used for the calculation of the leverage ratio as end of quarter leverage ratio.
+ **3.** Institutions are required to report the information referred to in paragraph 14 of Part II of Annex XI in the next reporting period, where any of the following conditions is met:
+ (a) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 1,5 %;
+ (b) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 2,0 %.
+ The entry criteria set out in Article 4 shall apply, except for point (b) of the first subparagraph of this paragraph where institutions start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
+ **4.** Institutions for which the total notional value of derivatives as defined in paragraph 9 of Part II of Annex XI exceeds EUR 10 billion shall report the information referred to in paragraph 14 of Part II of Annex XI, irrespective of whether their derivatives share fulfils the conditions referr…
+ The entry criteria set out in Article 4 shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
+ **5.** Institutions are required to report the information referred to in paragraph 15 of Part II of Annex XI in the next reporting period where any of the following conditions is met:
+ (a) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 300 million;
+ (b) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 500 million.
+ The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
+ 73. The scope of the CR IRB template covers own funds requirements for: i. Credit risk in the banking book, among which: - Counterparty credit risk in the banking book; Counterparty credit risk in the banking book; - Dilution risk for purchased receivables; Dilution risk for purchased receivables; i…
+ 124. The Total loss amount is the algebraic sum of the following elements: i. The gross loss amounts pertinent to operational risk events ‘accounted for the first time’ within the reporting period (e.g. direct charges, provisions, settlements); ii. The gross loss amounts pertinent to positive loss a…
+ 140. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associat…
+ | 110 | **N-TH-TO-DEFAULT CREDIT DERIVATIVES**N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here.The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a conse…
+ 35. Where a breakdown by counterparty is required the following counterparty sectors shall be used: (a) central banks; (b) general governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding pu…
+ **REPORTING ON LEVERAGE**
+ | 47 | C 47.00 | Leverage ratio calculation | LRCalc |
+ | 41 | C 41.00 | On- and Off-Balance Sheet items — Additional breakdown of exposures | LR2 |
+ | 43 | C 43.00 | Alternative breakdown of leverage ratio exposure measure components | LR4 |
+ **C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)**
+ | **Row** |  | **Column** |  |  |  |  |  |  |  |
+ | 010 | 020 | 040 | 050 | 070 | 075 | 085 | 120 |  |  |
+ | **Accounting balance sheet value** | **Accounting value assuming no netting or other CRM** | **Add-on for SFTs** | **Add-on under the mark-to market method (assuming no netting or other CRM)** | **Notional amount/ nominal value** | **Capped notional amount** | **Capped notional amount (same refere…
+ | 010 | Derivatives |  |  |  |  |  |  |  |  |
+ | 020 | Credit derivatives (protection sold) |  |  |  |  |  |  |  |  |
+ | 030 | Credit derivatives (protection sold), which are subject to a close out clause |  |  |  |  |  |  |  |  |
+ | 040 | Credit derivatives (protection sold), which are not subject to a close out clause |  |  |  |  |  |  |  |  |
+ | 050 | Credit derivatives (protection bought) |  |  |  |  |  |  |  |  |