1.

The Tables 2 and 3 map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables. Table 2 Standardised Approach SA exposure classes (CRR Article 112) FINREP counterparty sectors Comments (a) Central governments or central banks (1) Central banks (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (b) Regional governments or local authorities (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (c) Public sector entities (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non financial corporations. These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (d) Multilateral development banks (3) Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (e) International organisations (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (f) Institutions (i.e. credit institutions and investment firms) (3) Credit institutions (4) Other financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (g) Corporates (4) Other financial corporations (5) Non financial corporations. (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (h) Retail (4) Other financial corporations (5) Non financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (i) Secured by mortgages on immovable property (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. (j) In default (1) Central banks (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. (ja) Items associated with particularly high risk (1) Central banks (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. (k) Covered bonds (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. (l) Securitisation positions (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions. (m) Institutions and corporates with a short-term credit assessment (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. (n) Collective investment undertakings Equity instruments Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through. (o) Equity Equity instruments In FINREP, equities shall be separated as instruments under different categories of financial assets (p) Other items Various items of the balance sheet In FINREP, other items may be included under different asset categories.

Table 3 Internal Ratings Based Approach IRBA exposure classes (CRR Article 147) FINREP counterparty sectors Comments (a) Central governments and central banks (1) Central banks (2) General governments (3) Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (b) Institutions (i.e. credit institution and investment firms as well as some general governments and multilateral banks) (2) General governments (3) Credit institutions (4) Other financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (c) Corporates (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (d) Retail (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (e) Equity Equity instruments In FINREP, equities shall be separated as instruments under different categories of financial assets (f) Securitisation positions (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation positions. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions (g) Other non credit obligations Various items of the balance sheet In FINREP, other items may be included under different asset categories.’