Article 1Reporting by the institutions for the purposes of Article 78(2) of Directive 2013/36/EU on an individual and consolidated basis

For the purposes of Article 78(2) of Directive 2013/36/EU, an institution referred to in paragraph 1 of that Article shall submit to its competent authority all the information referred to in Articles 2 and 3 on an individual and consolidated basis.

Article 2Reporting of information for credit risk

For internal approaches for credit risk, an institution shall submit to its competent authority the following information:

  1. (a)

    the information specified in template 101 of Annex III, for the counterparties referred to in template 101 of Annex I, in accordance with the instructions referred to in Tables C 101 of Annex II and Annex IV respectively;

  2. (b)

    the information specified in template 102 of Annex III, for the portfolios referred to in template 102 of Annex I, in accordance with the instructions referred to in Tables C 102 of Annex II and Annex IV respectively;

  3. (c)

    the information specified in template 103 of Annex III, for the portfolios referred to in template 103 of Annex I, in accordance with the instructions referred to in Tables C 103 of Annex II and Annex IV respectively;

  4. (d)

    F1. . . . .

  5. (e)

    the information specified in template 105 of Annex III in relation to the name and characteristics of the internal approaches used for the computation of the results provided in templates 102 to 104 of Annex III, in accordance with the instructions referred to in Table C 105 of Annex IV.

Article 3Reporting of information for market risk

1.

For internal approaches for market risk, an institution shall submit to its competent authority the information specified in the templates of Annex VII, in accordance with the portfolio definitions and instructions contained in Annexes V and VI, respectively.

2.

As a derogation from paragraph 1, an institution shall not be required to submit the information referred to in paragraph 1 for an individual portfolio in any of the following cases:

(a)

the institution does not have the permission from its competent authority to model the relevant instruments or risk factors that are included in the portfolio;

(b)

there is no internal approval by the management of that institution to operate in one or more instruments or in the underlying assets included in the relevant portfolios;

(c)

one or more of the instruments included in the portfolios incorporate underlying risks or modelling features that are not contemplated in the institution's risk metrics.

3.

An institution that meets the conditions of paragraph 2 and has decided not to submit the information referred to in paragraph 1 on one or more portfolios shall:

(a)

report those portfolios and indicate which of the reasons listed in paragraph 2 is the cause thereofF2.

F3(b)

still submit the information for the aggregated portfolios included in Annex V, considering only the individual portfolios that it is able and permitted to model.

Article 4Reference and remittance dates

1.

An institution shall submit to its competent authority the information referred to in Article 1 on the following reporting reference dates:

(a)

the information referred to in Article 2 shall be submitted as it stands on 31 December of each year;

(b)

the information referred to in Article 3 shall be submitted as it stands on the reporting reference dates specified in the instructions laid down in Annexes V and VI.

F22.

An institution shall submit to its competent authority the information referred to in Article 2 by 11 April of each year. An institution shall submit to its competent authority the information referred to in Articles 3 by the remittance dates specified in Annex V.

3.

Where the date referred to in paragraph 2 is not a working day in the Member State of the competent authority to which the information is to be submitted, the information shall be submitted on the following working day.

4.

An institution shall submit to its competent authority any corrections to the submitted information without undue delay.

Article 5Initial market valuation for market risk

For portfolios other than those reported in accordance with point (a) of Article 3(3), an institution shall report to its competent authority an initial market valuation of those portfolios or of individual instruments included in those portfolios, as applicable, at the precise date specified in the instructions set out in Annex VI.

Article 6IT solutions for the reporting

When submitting information in accordance with Article 1, an institution shall use the IT solution developed for the purposes of the supervisory reporting in accordance with Article 17 of Implementing Regulation (EU) No 680/2014.

F3Article 7F3Transitional provisions for reference dates, remittance dates, and for reporting of credit risk templates

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Article 8Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.