II 
(Non-legislative acts)  
REGULATIONS  
COMMISSION IMPLEMENTING REGULATION (EU) 2021/451  
of 17 December 2020  
laying down implementing technical standards for the application of Regulation (EU) No 575/2013 
of the European Parliament and of the Council with regard to supervisory reporting of institutions 
and repealing Implementing Regulation (EU) No 680/2014  
(Text with EEA relevance)  
THE EUROPEAN COMMISSION,  
Having regard to the Treaty on the Functioning of the European Union,  
Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on 
prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012, (  1 ) and 
in particular the first subparagraph of Article 415(3), the first subparagraph of Article 415(3a), the first subparagraph of 
Article 430(7) and the second subparagraph of Article 430(9) thereof,  
Whereas:  
(1) Without prejudice to the powers of competent authorities under Article 104(1), point (j), of Directive 2013/36/EU 
of the European Parliament and of the Council (  2 ) Commission Implementing Regulation (EU) No 680/2014 (  3 ) 
lays down, on the basis of Article 430 of Regulation (EU) No 575/2013, a coherent reporting framework. 
Implementing Regulation (EU) No 680/2014 has been amended several times following the amendments of 
Regulation (EU) No 575/2013 adopted to introduce, further develop or adapt prudential elements.  
(2) The provisions in this Regulation are closely linked, since they deal with institutions’ reporting requirements. To 
ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a 
comprehensive view and compact access to them by persons subject to those obligations, it is desirable to include 
all related implementing technical standards required by Regulation (EU) No 575/2013 in a single Regulation.  
(3) Taking into account the international standards of the Basel Committee on Banking Supervision, Regulation (EU) 
2019/876 of the European Parliament and of the Council (  4 ) amended Regulation (EU) No 575/2013 in a number 
of aspects, such as the leverage ratio, the net stable funding requirement, requirements for own funds and eligible 
liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective 
investment undertakings, large exposures, and reporting and disclosure requirements. The reporting framework 
laid down in Implementing Regulation (EU) No 680/2014 should therefore be revised and the set of templates for 
the collection of information for supervisory reporting purposes should be updated.EN 19.3.2021 Official Journal of the European Union L 97/1  
( 1 ) OJ L 176, 27.6.2013, p. 1.  
( 2 ) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit instit utions 
and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directi ves 
2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).  
( 3 ) Commission Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory 
reporting of institutions according to Regulation (EU) No 575/2013 (OJ L 191, 28.6.2014, p. 1).  
( 4 ) Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 
as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, 
market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting a nd 
disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1).
 (4) Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 a Tier 1 capital leverage ratio requirement 
calibrated at 3 %, a range of adjustments to the calculation of leverage ratio exposure, and a leverage ratio buffer 
requirement for institutions identified as global systemically important institutions (G-SIIs) in accordance with 
Directive 2013/36/EU. The leverage ratio reporting should therefore be updated to reflect those requirements and 
adjustments in the exposure calculation.  
(5) Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 net stable funding ratio (NSFR) reporting 
requirements, including simplified requirements. It is therefore necessary to lay down a new set of reporting 
templates and instructions.  
(6) Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 a new supporting factor to be applied to 
infrastructure projects’ exposures and updated approaches to calculating risk-weighted exposure amounts for 
collective investment undertakings. It is therefore necessary to lay down, also in accordance with the disclosures 
framework, new templates and instructions for reporting on credit risk and update the current instructions.  
(7) Regulation (EU) 2019/876 replaced in Regulation (EU) No 575/2013 the standardised approach with a more risk 
sensitive standardised approach for counterparty credit risk (SA-CCR) and a simplified version (the simplified SA- 
CCR) for institutions that meet predefined eligibility criteria. The original exposure method, though revised, 
remains available for institutions meeting predefined criteria. It is therefore necessary to add new templates and 
instructions for reporting on counterparty credit risk and update the current instructions.  
(8) Regulation (EU) 2019/876 replaced in Regulation (EU) No 575/2013 the references to ‘eligible capital’ in the 
calculation of large exposures with references to ‘Tier 1 capital’ and introduced another threshold for reporting of 
large exposures on a consolidated basis. The large exposures reporting should therefore be updated.  
(9) Regulation (EU) 2019/630 of the European Parliament and of the Council (  5 ) introduced in Regulation (EU) 
No 575/2013 a prudential backstop for non-performing exposures (NPEs) imposing a deduction from institutions’ 
own funds where NPEs are not sufficiently covered by provisions or other adjustments, following a predefined 
calendar to build up a full coverage over time. That prudential backstop is based on the definitions of 
‘non-performing exposure’ and ‘forbearance measures’ laid down in Implementing Regulation (EU) 
No 680/2014. It is therefore necessary to amend templates and instructions to ensure that there is a single 
definition of ‘non-performing exposure’ and ‘forbearance measures’ for both reporting and prudential backstop 
purposes. New templates are also necessary for the collection of information for the backstop calculation.  
(10) Regulation (EU) 2019/2033 of the European Parliament and of the Council (  6 ) repeals with effect from 26 June 
2026 Chapter 1 of Title I of Part Three, Section 2 (Articles 95 to 98), of Regulation (EU) No 575/2013. For this 
reason, provisions on reporting for groups that consist only of investment firms subject to Articles 95 and 96 of 
Regulation (EU) No 575/2013 on an individual basis or a consolidated basis should cease to apply on 26 June 
2026.  
(11) In view of the scope of those amendments and for the sake of clarity, it is appropriate to repeal Implementing 
Regulation (EU) No 680/2014 and replace it with this Regulation.  
(12) Regulation (EU) 2020/873 of the European Parliament and of the Council (  7 ) is part of a series of measures to 
mitigate the impact of the COVID-19 pandemic on institutions across the Union. That Regulation introduced 
certain amendments to Regulations (EU) No 575/2013 and (EU) 2019/876 that have an impact on supervisory 
reporting. Those amendments should therefore be reflected in the reporting framework.  
(13) Institutions should start supervisory reporting for the end of second quarter of 2021. However, reporting for the 
leverage ratio buffer should start from January 2023 as the application of the leverage buffer requirements was 
postponed to January 2023 by Regulation (EU) 2020/873.EN L 97/2 Official Journal of the European Union 19.3.2021  
( 5 ) Regulation (EU) 2019/630 of the European Parliament and of the Council of 17 April 2019 amending Regulation (EU) No 575/2013 
as regards minimum loss coverage for non-performing exposures (OJ L 111, 25.4.2019, p. 4).  
( 6 ) Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements of  
investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 
(OJ L 314, 5.12.2019, p. 1).  
( 7 ) Regulation (EU) 2020/873 of the European Parliament and of the Council of 24 June 2020 amending Regulations (EU) No 575/2013 
and (EU) 2019/876 as regards certain adjustments in response to the COVID-19 pandemic (OJ L 204, 26.6.2020, p. 4).
 (14) This Regulation is based on the draft implementing technical standards submitted to the Commission by the 
European Banking Authority (EBA).  
(15) The EBA has conducted open public consultations on the draft implementing technical standards on which this 
Regulation is based, analysed the potential related costs and benefits, and requested the advice of the Banking 
Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European 
Parliament and of the Council (  8 ), with the exception of the provisions reflecting the amendments of Regulation 
(EU) No 575/2013 by Regulation (EU) 2020/873. The EBA decided that it would have been highly 
disproportionate to carry out public consultations or a cost-benefit analysis on those provisions as they 
concern very few rows in reporting templates on solvency and leverage and are not likely to materially affect 
the costs of reporting. In addition, such public consultation or a cost-benefit analysis would prevent supervisors 
from the timely collection of relevant data in a coherent and regular manner.  
(16) To provide institutions with sufficient time to prepare for reporting in accordance with this Regulation, it should 
enter into force on the day following the date of its publication in the  Official Journal of the European Union , 
HAS ADOPTED THIS REGULATION:  
Article 1  
Subject matter and scope  
This Regulation lays down uniform reporting formats and templates, instructions on and a methodology for how to use 
those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting of institutions 
to their competent authorities in accordance with Article 415, paragraphs 3 and 3a, of Regulation (EU) No 575/2013, 
and Article 430, paragraphs 1 to 4 and paragraphs 7 and 9 of that Regulation.  
Article 2  
Reporting reference dates  
1. Institutions shall submit information to competent authorities as this information stands on the following reporting 
reference dates:  
(a) monthly reporting: on the last day of each month;  
(b) quarterly reporting: 31 March, 30 June, 30 September and 31 December;  
(c) semi-annual reporting: 30 June and 31 December;  
(d) annual reporting: 31 December.  
2. Information submitted pursuant to the templates set out in Annexes III and IV, in accordance with the instructions 
in Annex V and referring to a certain period, shall be reported cumulatively from the first day of the accounting year to 
the reference date.  
3. Where institutions are permitted by national laws to report their financial information based on their accounting 
year-end, which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting 
of financial information and of information for the purposes of identifying global systemically important institutions 
(G-SIIs) and assigning G-SII buffer rates is done every three, six or 12 months from their accounting year-end, 
respectively.  
Article 3  
Reporting remittance dates  
1. Institutions shall submit information to competent authorities by close of business on the following remittance 
dates:  
(a) monthly reporting: 15th calendar day after the reporting reference date;EN 19.3.2021 Official Journal of the European Union L 97/3  
( 8 ) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European 
Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 
2009/78/EC (OJ L 331, 15.12.2010, p. 12).
 (b) quarterly reporting: 12 May, 11 August, 11 November and 11 February;  
(c) semi-annual reporting: 11 August and 11 February;  
(d) annual reporting: 11 February.  
2. If the remittance day is a public holiday in the Member State of the competent authority to which the report is to 
be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.  
3. Where institutions report their financial information or the information for the purposes of identifying G-SIIs and 
assigning G-SII buffer rates using adjusted reporting reference dates based on their accounting year-end as set out in 
paragraph 3 of Article 2, the remittance dates may also be adjusted accordingly so that the same remittance period from 
the adjusted reporting reference date is maintained.  
4. Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the 
revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an 
external auditor’s opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.  
5. Other corrections to the submitted reports shall also be submitted to the competent authorities without undue 
delay.  
Article 4  
Reporting thresholds – entry and exit criteria  
1. Institutions that meet the conditions set out in in Article 4(1), point (145), of Regulation (EU) No 575/2013 shall 
start reporting information as small and non-complex institutions on the first reporting reference date after those 
conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information 
on the first reporting reference date thereafter.  
2. Institutions that meet the conditions set out in Article 4(1), point (146), of Regulation (EU) No 575/2013 shall start 
reporting information as large institutions, on the first reporting reference date after those conditions have been met. 
Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting 
reference date thereafter.  
3. Institutions shall start reporting information subject to the thresholds set out in this Regulation on the next 
reporting reference date after those thresholds have been exceeded on two consecutive reporting reference dates. 
Institutions may stop reporting information subject to the thresholds set out in this Regulation on the next reporting 
reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.  
Article 5  
Reporting on own funds and own funds requirements on an individual basis – quarterly reporting  
1. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), 
point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this 
Article with a quarterly frequency.  
2. Institutions shall submit information on own funds and own funds requirements as specified in Annex I, 
templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1.  
3. Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the 
standardised approach as specified in Annex I, template 7, in accordance with the instructions in Annex II, Part II, 
point 3.2.  
4. Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the internal 
ratings-based approach as specified in Annex I, templates 8.1 and 8.2, in accordance with the instructions in Annex II, 
Part II, point 3.3.  
5. Institutions shall submit information on the geographical distribution of exposures by country, as well as aggregated 
exposures at a total level, as specified in Annex I, template 9, in accordance with the instructions in Annex II, Part II, 
point 3.4.EN L 97/4 Official Journal of the European Union 19.3.2021
 
Institutions shall submit information specified in templates 9.1 and 9.2, and in particular information on the geographical 
distribution of exposures by country, where non-domestic original exposures in all non-domestic countries in all exposure 
classes, as reported in accordance with Annex I, template 4, row 0850, are equal to or higher than 10 % of total domestic 
and non-domestic original exposures as reported in accordance with Annex I, template 4, row 0860. Exposures shall be 
deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is 
established.  
The entry and exit criteria set out in Article 4 shall apply.  
6. Institutions shall submit information on counterparty credit risk as specified in Annex I, templates 34.01 to 34.05 
and 34.08 to 34.10, in accordance with the instructions in Annex II, Part II, point 3.9.  
7. Institutions applying the standardised approach or the internal model method for the calculation of counterparty 
credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 3 and 6, of Regulation (EU) 
No 575/2013 shall submit information on counterparty credit risk as specified in Annex I, template 34.06, in accordance 
with the instructions in Annex II, Part II, point 3.9.7.  
8. Institutions shall submit information on equity exposures treated under the internal ratings-based approach as 
specified in Annex I, template 10, in accordance with the instructions in Annex II, Part II, point 3.5.  
9. Institutions shall submit information on settlement risk as specified in Annex I, template 11, in accordance with the 
instructions in Annex II, Part II, point 3.6.  
10. Institutions shall submit information on securitisation exposures as specified in Annex I, template 13.01, in 
accordance with the instructions in Annex II, Part II, point 3.7.  
11. Institutions shall submit information on own funds requirements and losses relating to operational risk as specified 
in Annex I, template 16, in accordance with the instructions in Annex II, Part II, point 4.1.  
12. Institutions shall submit information on own funds requirements relating to market risk as specified in Annex I, 
templates 18 to 24, in accordance with the instructions in Annex II, Part II, points 5.1 to 5.7.  
13. Institutions shall submit information on own funds requirements relating to credit valuation adjustment risk as 
specified in Annex I, template 25, in accordance with the instructions in Annex II, Part II, point 5.8.  
14. Institutions shall submit information on prudent valuation as specified in Annex I, template 32, in accordance 
with the instructions in Annex II, Part II, point 6, as follows:  
(a) all institutions shall submit the information specified in Annex I, template 32.1, in accordance with the instructions in 
Annex II, Part II, point 6;  
(b) institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 (  9 ) 
shall, in addition to information referred in point (a) of this paragraph, report the information specified in Annex I, 
template 32.2, in accordance with the instructions in Annex II, Part II, point 6;  
(c) institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 and 
which exceed the threshold referred to in Article 4(1) of that Regulation shall, in addition to information referred in 
points (a) and (b) of this paragraph, report the information specified in Annex I, templates 32.3 and 32.4, in 
accordance with the instructions in Annex II, Part II, point 6.EN 19.3.2021 Official Journal of the European Union L 97/5  
( 9 ) Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the 
European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14 ) 
(OJ L 21, 28.1.2016, p. 54).
 For the purposes of this paragraph, the entry and exit criteria set out in Article 4 shall not apply.  
15. Institutions shall submit information on the prudential backstop for non-performing exposures (NPEs) as specified 
in Annex I, templates 35.01, 35.02 and 35.03, in accordance with the instructions in Annex II, Part II, point 8.  
Article 6  
Reporting on own funds and own funds requirements on an individual basis – semi-annual reporting  
1. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), 
point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this 
Article with a semi-annual frequency.  
2. Institutions shall submit information on all securitisation exposures as specified in Annex I, templates 14 and 
14.01, in accordance with the instructions in Annex II, Part II, point 3.8; except where they are part of a group in the 
same country in which they are subject to own funds requirements.  
3. Institutions shall submit information on sovereign exposures as follows:  
(a) where the aggregate carrying amount of financial assets from the counterparty sector ‘General governments’ is equal 
to or higher than 1 % of the sum of total carrying amount for ‘Debt securities’ and ‘Loans and advances’ institutions 
shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, 
Part II, point 7, and shall follow the instructions in Annex V regarding template 4 in Annex III or Annex IV, as 
applicable, to calculate the relevant values;  
(b) where the value reported for domestic exposures of non-derivative financial assets as defined in row 0010, 
column 0010 in Annex I, template 33 is less than 90 % of the value reported for domestic and non-domestic 
exposures for the same data point institutions that meet the condition referred to in point (a) shall submit the 
information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, 
with a full country breakdown;  
(c) institutions that meet the conditions referred to in point (a) and do not meet the condition referred in point (b) shall 
submit the information specified in template 33, in accordance with the instructions in Annex II, Part II, point 7, with 
exposures aggregated at:  
(i) total level; and  
(ii) domestic level.  
The entry and exit criteria of Article 4(3) shall apply.  
4. Information on material losses regarding operational risk shall be reported as follows:  
(a) institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, 
Chapter 4, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 
and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;  
(b) large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, 
Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, 
templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;  
(c) institutions other than large institutions that calculate own funds requirements relating to operational risk in 
accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report, in accordance with 
the instructions in Annex II, Part II, point 4.2, the following information:  
(i) the information as specified in Annex I, template 17.01, column 0080 for the following rows:  
— number of events (new events) (row 0910),  
— gross loss amount (new events) (row 0920),  
— number of events subject to loss adjustments (row 0930),EN L 97/6 Official Journal of the European Union 19.3.2021
 
— loss adjustments relating to previous reporting periods (row 0940),  
— maximum single loss (row 0950),  
— sum of the five largest losses (row 0960),  
— total direct loss recovery (except insurance and other risk transfer mechanisms) (row 0970),  
— total recoveries from insurance and other risk transfer mechanisms (row 0980);  
(ii) the information as specified in Annex I, template 17.02.  
(d) the institutions referred to in point (c) may report the complete set of information specified in Annex I, 
templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;  
(e) large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, 
Title III, Chapter 2, of Regulation (EU) No 575/2013 shall report the information as specified in Annex I, 
templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;  
(f) institutions other than large institutions that calculate own funds requirements relating to operational risk in 
accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 may report the information as 
specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2.  
The entry and exit criteria of Article 4(3) shall apply.  
5. Institutions applying the simplified standardised approach or the original exposure method for the calculation of 
counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 4 and 5 Regulation (EU) 
No 575/2013 shall submit the information on counterparty credit risk as specified in Annex I, template 34.06, in 
accordance with the instructions in Annex II, Part II, point 3.9.7.  
Article 7  
Reporting on own funds and own funds requirements on a consolidated basis  
In order to report information on own funds and on own funds requirements in accordance with Article 430(1), 
point (a), of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in:  
(a) Articles 5 and 6 of this Implementing Regulation on a consolidated basis with the frequency specified therein; and  
(b) template 6 of Annex I, in accordance with the instructions provided in Annex II, Part II, point 2 regarding entities 
included in the scope of consolidation, with a semi-annual frequency.  
Article 8  
Reporting on own funds and own funds requirements – additional reporting requirements on individual and 
consolidated basis  
1. Institutions subject to a requirement to disclose the information referred to in Article 438, points (e) or (h), or 
Article 452, points (b), (g) or (h), of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or 
Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance 
with Article 13, as applicable, of that Regulation, shall submit the information on credit risk and counterparty credit risk, 
as specified in Annex I, templates 8.3, 8.4, 8.5, 8.5.1, 8.6, 8.7 and 34.11, to this Regulation, with the same frequency and 
on the same basis, following the instructions in Annex II, Part II, points 3.3 and 3.9.12, to this Regulation.  
2. Institutions subject to a requirement to disclose the information referred to in point (l) of Article 439 of Regulation 
(EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in 
accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall 
submit the information on counterparty credit risk, as specified in Annex I, template 34.07, to this Regulation, with the 
same frequency and on the same basis, following the instructions in Annex II, Part II, point 3.9.8, to this Regulation.EN 19.3.2021 Official Journal of the European Union L 97/7
 
Article 9  
Reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 of 
Regulation (EU) No 575/2013 on an individual basis  
1. Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit 
information as set out in this Article.  
2. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), 
point (a), of Regulation (EU) No 575/2013 on an individual basis, with the exception of information on the leverage 
ratio, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of 
Regulation (EU) No 575/2013 shall submit the information specified in Annex I, templates 1 to 5, in accordance 
with the instructions in Annex II, Part II, point 1, with a quarterly frequency.  
3. In order to report information on own funds and own funds requirements in accordance with Article 430(1), 
point (a), of Regulation (EU) No 575/2013 on an individual basis, investment firms making use of Article 57(3) of 
Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the information 
referred to in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13), and Article 6(2) of this Regulation with the 
frequency laid down in those Articles.  
Article 10  
Reporting on own funds and own funds requirements for groups that consist only of investment firms subject 
to Articles 95 and 96 of Regulation (EU) No 575/2013 on a consolidated basis  
1. Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit 
information as set out in this Article.  
2. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), 
point (a), of Regulation (EU) No 575/2013 on a consolidated basis, with the exception of information on the leverage 
ratio, investment firms of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 
2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a 
consolidated basis:  
(a) the information on own funds and on own funds requirements as specified in Annex I, templates 1 to 5, in 
accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency;  
(b) the information on own funds and on own funds requirements regarding entities included in the scope of 
consolidation as specified in Annex I, template 6, in accordance with the instructions in Annex II, Part II, point 
2, with a semi-annual frequency.  
3. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), 
point (a), of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups that consist only of 
investment firms subject to Article 95 and investment firms subject to Article 96 or of groups that consist only of 
investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation 
(EU) No 575/2013 shall submit the following information on a consolidated basis:  
(a) the information specified in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13) Article 6(2) of this Regulation 
with the frequency laid down in those Articles;  
(b) the information regarding entities included in the scope of consolidation specified in Annex I, template 6, in 
accordance with the instructions in Annex II, Part II, point 2, with a semi-annual frequency.  
Article 11  
Reporting on financial information on a consolidated basis for institutions subject to Regulation (EC) 
No 1606/2002 of the European Parliament and of the Council  ( 10 ) 
1. In order to report financial information on a consolidated basis in accordance with Article 430(3) or (4) of 
Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex III on a consolidated 
basis, in accordance with the instructions in Annex V.EN L 97/8 Official Journal of the European Union 19.3.2021  
( 10 ) Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of internationa l 
accounting standards (OJ L 243, 11.9.2002, p. 1).
 2. The information referred to in paragraph 1 shall be submitted as follows:  
(a) the information specified in Annex III, Part 1, with a quarterly frequency;  
(b) the information specified in Annex III, Part 3, with a semi-annual frequency;  
(c) the information specified in Annex III, Part 4, with the exception of the information specified in template 47, with an 
annual frequency;  
(d) the information specified in Annex III, Part 2, template 20, with a quarterly frequency where the institution exceeds 
the threshold laid down in Article 5(5), the second subparagraph;  
(e) the information specified in Annex III, Part 2, template 21, with a quarterly frequency where tangible assets subject to 
operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex III, 
Part 1,template 1.1;  
(f) the information specified in Annex III, Part 2, template 22, with a quarterly frequency where net fee and commission 
income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as 
reported in accordance with Annex III, Part 1, template 2;  
(g) the information specified in Annex III, Part 2, templates 23 to 26, with a quarterly frequency where both of the 
following conditions are fulfilled:  
(i) the institution is not a small and non-complex institution;  
(ii) the ratio between the institution’s gross carrying amount of loans and advances that fall under Article 47a(3) of 
Regulation (EU) No 575/2013 and the total gross carrying amount of loans and advances that fall under 
Article 47a(1) of that Regulation is equal to or higher than 5 %;  
(h) the information specified in Annex III, Part 4, template 47, with an annual frequency where both of the conditions set 
out in point (g) of this paragraph are fulfilled.  
For the purpose of point (g)(ii), the ratio shall not include loans and advances classified as held for sale, cash balances at 
central banks and other demand deposits in either the denominator or the numerator.  
For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.  
Article 12  
Reporting on financial information on a consolidated basis for institutions applying national accounting 
frameworks  
1. Where a competent authority has extended the reporting requirements on financial information to institutions 
established in a Member State in accordance with Article 430(9) of Regulation (EU) No 575/2013, institutions shall 
submit the information as specified in Annex IV to this Regulation on a consolidated basis, in accordance with the 
instructions in Annex V to this Regulation.  
2. The information referred to in paragraph 1 shall be submitted as follows:  
(a) the information specified in Annex IV, Part 1, with a quarterly frequency;  
(b) the information specified in Annex IV, Part 3, with a semi-annual frequency;  
(c) the information specified in Annex IV, Part 4, with the exception of the information specified in template 47, with an 
annual frequency;  
(d) the information specified in Annex IV, Part 2, template 20, with a quarterly frequency where the institution exceeds 
the threshold laid down in Article 5(5), the second subparagraph;  
(e) the information specified in Annex IV, Part 2, template 21, with a quarterly frequency where tangible assets subject to 
operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex IV, 
Part 1, template 1.1;EN 19.3.2021 Official Journal of the European Union L 97/9
 
(f) the information specified in Annex IV, Part 2, template 22, with a quarterly frequency where net fee and commission 
income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as 
reported in accordance with Annex IV, Part 1, template 2;  
(g) the information specified in Annex IV, Part 2, templates 23 to 26, with a quarterly frequency where both of the 
following conditions are fulfilled:  
(i) the institution is not a small and non-complex;  
(ii) the institution’s ratio as specified in Article 11(2), point (g)(ii) is equal to or higher than 5 %;  
(h) the information specified in Annex IV, Part 4, template 47, with an annual frequency where both of the conditions 
set out in point (g) of this paragraph are fulfilled.  
For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.  
Article 13  
Reporting on losses stemming from lending collateralised by immovable property in accordance with 
Article 430a(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis  
1. Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, 
on a consolidated basis with an annual frequency.  
2. Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, 
on a individual basis with an annual frequency.  
3. Where an institution has a branch in another Member State, that branch shall submit to the competent authority of 
the host Member State the information specified in Annex VI related to that branch, in accordance with the instructions 
in Annex VII, with an annual frequency.  
Article 14  
Reporting on large exposures on an individual and a consolidated basis  
1. In order to report information on large exposures to clients and groups of connected clients in accordance with 
Article 394 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the 
information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.  
2. In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance 
with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions subject to Part Three, Title II, 
Chapter 3 of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII, in accordance with the 
instructions in Annex IX, with a quarterly frequency.  
3. In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % 
of the institution’s Tier 1 capital in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated 
basis, institutions shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, 
with a quarterly frequency.  
4. In order to report information on the 10 largest exposures to institutions on a consolidated basis, and on the 
10 largest exposures to shadow banking entities that carry out banking activities outside the regulated framework on a 
consolidated basis, in accordance with Article 394(2) of Regulation (EU) No 575/2013, institutions shall submit the 
information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.  
Article 15  
Reporting on leverage ratio on an individual and a consolidated basis  
1. In order to report information on the leverage ratio in accordance with Article 430(1), point (a), of Regulation (EU) 
No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in 
Annex X, in accordance with the instructions in Annex XI, with a quarterly frequency. Only large institutions shall 
submit template 48.00 of Annex X.EN L 97/10 Official Journal of the European Union 19.3.2021
 
2. The information specified in Annex X, template 40.00, cell {r0410;c0010} shall be reported only by:  
(a) large institutions that either are G-SIIs or have issued securities that are admitted to trading on a regulated market 
with a semi-annual frequency;  
(b) large institutions other than G-SIIs that are not listed institutions with an annual frequency;  
(c) institutions other than large institutions and small and non-complex institutions that have issued securities that are 
admitted to trading on a regulated market with an annual frequency.  
3. Institutions shall calculate the leverage ratio at the reporting reference date in accordance with Article 429 of 
Regulation (EU) No 575/2013.  
4. Institutions shall report the information referred to in Annex XI, Part II, point 13, where at least one of the 
following conditions is met:  
(a) the derivatives share referred to in Annex XI, Part II, point 5, is more than 1,5 %;  
(b) the derivatives share referred to in Annex XI, Part II, point 5, exceeds 2 %.  
If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply.  
If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the 
reference date following the reporting reference date on which it exceeded the threshold.  
5. Institutions for which the total notional value of derivatives as defined in Annex XI, Part II, point 8, exceeds 
EUR 10 000 million shall report the information referred to in Annex XI, Part II, point 13, even if their derivatives share 
does not fulfil the conditions set out in paragraph 4 of this Article.  
For the purposes of this paragraph, the entry criteria of Article 4(3) shall not apply. Institutions shall start reporting 
information from the next reporting reference date where they have exceeded the threshold on one reporting reference 
date.  
6. Institutions are required to report the information referred to in Annex XI, Part II, point 14, where at least one of 
the following conditions is met:  
(a) the credit derivatives volume referred to in Annex XI, Part II, point 9, is more than EUR 300 million;  
(b) the credit derivatives volume referred to in Annex XI, Part II, point 9, exceeds EUR 500 million.  
If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply. If an institutio n 
meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following 
the reporting reference date on which it exceeded the threshold.  
Article 16  
Reporting on the liquidity coverage requirement on an individual and a consolidated basis  
1. In order to report information on the liquidity coverage requirement in accordance with Article 430(1), point (d), of 
Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information 
specified in Annex XXIV to this Regulation, in accordance with the instructions in Annex XXV to this Regulation, 
with a monthly frequency;  
2. The information set out in Annex XXIV shall take into account the information submitted for the reference date 
and the information on the cash-flows of the institution over the following 30 calendar days.  
Article 17  
Reporting on stable funding on an individual and a consolidated basis  
In order to report information on stable funding in accordance with Article 430(1), point (d), of Regulation (EU) 
No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex 
XII, in accordance with the instructions in Annex XIII, with a quarterly frequency as follows:EN 19.3.2021 Official Journal of the European Union L 97/11
 
(a) small and non-complex institutions that have chosen to calculate their net stable funding ratio (NSFR) using the 
methodology set out in Part Six, Title IV, Chapters 6 and 7 of Regulation (EU) No 575/2013, with the prior 
permission of their competent authority in accordance with Article 428ai of that Regulation, shall submit 
templates 82 and 83 of Annex XII to this Regulation, in accordance with the instructions in Annex XIII to this 
Regulation;  
(b) institutions other than those referred to in point (a) shall submit templates 80 and 81 of Annex XII, in accordance 
with the instructions in Annex XIII;  
(c) all institutions shall submit template 84 of Annex XII, in accordance with the instructions in Annex XIII.  
Article 18  
Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis  
1. In order to report information on additional liquidity monitoring metrics in accordance with Article 430(1), 
point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of 
the following information with a monthly frequency:  
(a) the information specified in Annex XVIII in accordance with the instructions in Annex XIX;  
(b) the information specified in Annex XX in accordance with the instructions in Annex XXI;  
(c) the information specified in Annex XXII in accordance with the instructions in Annex XXIII.  
2. By way of derogation from paragraph 1, an institution that meets all the conditions set out in Article 4(1), 
point (145), of Regulation (EU) No 575/2013 may report the information on additional liquidity monitoring metrics 
with a quarterly frequency.  
Article 19  
Reporting on asset encumbrance on an individual and a consolidated basis  
1. In order to report information on asset encumbrance in accordance with Article 430(1), point (g), of Regulation 
(EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in 
Annex XVI to this Regulation, in accordance with the instructions set out in Annex XVII to this Regulation.  
2. The information referred to in paragraph 1 shall be submitted as follows:  
(a) the information specified in Annex XVI, Parts A, B and D, with a quarterly frequency;  
(b) the information specified in Annex XVI, Part C, with an annual frequency;  
(c) the information specified in Annex XVI, Part E, with a semi-annual frequency.  
3. Institutions shall not be required to report the information specified in Annex XVI, Parts B, C and E, where both of 
the following conditions are met:  
(a) the institution is not considered a large institution;  
(b) the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is 
below 15 %.  
The entry and exit criteria of Article 4(3) shall apply.  
4. Institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in 
Article 52(4), the first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council (  11 ). 
The entry and exit criteria of Article 4(3) shall apply.EN L 97/12 Official Journal of the European Union 19.3.2021  
( 11 ) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations a nd 
administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.1 1.2009, 
p. 32).
 Article 20  
Supplementary reporting on a consolidated basis for the purposes of identifying G-SIIs and assigning G-SII 
buffer rates  
1. In order to report supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates 
under Article 131 of Directive 2013/36/EU, EU parent institutions, EU parent financial holdings and EU parent mixed 
financial holdings shall submit the information as specified in Annex XXVI, in accordance with the instructions in 
Annex XXVII, on a consolidated basis with a quarterly frequency.  
2. EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall only submit the 
information referred to in paragraph 1, where both of the following conditions are met:  
(a) the total exposure measure of the group, including insurance subsidiaries, is equal to or exceeds 
EUR 125 000 million;  
(b) the EU parent or any of its subsidiaries or any branch operated by the parent or by a subsidiary is located in a 
participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament 
and of the Council (  12 ). 
3. By way of derogation from Article 3(1), point (b), the information referred to in paragraph 1 of this Article shall be 
submitted by close of business on the following remittance dates: 1 July, 1 October, 2 January and 1 April.  
4. By way of derogation from Article 4, the following shall apply with regard to the threshold specified in paragraph 2, 
point (a), of this Article:  
(a) the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately start 
reporting the information in accordance with this Article where its leverage ratio exposure measure exceeds the 
specified threshold as of the end of the accounting year, and shall report this information at least for the end of that 
accounting year and the subsequent three quarterly reference dates;  
(b) the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately stop 
reporting the information in accordance with this Article where its leverage ratio exposure measure falls below the 
specified threshold as of the end of their accounting year.  
Article 21  
Data exchange formats and information accompanying submissions  
1. Institutions shall submit the information in the data exchange formats and representations specified by the 
competent authorities and respecting the data point definition of the data point model referred to in Annex XIV and 
the validation formulae referred to in Annex XV as well as the following specifications:  
(a) information that is not required or not applicable shall not be included in a data submission;  
(b) numerical values shall be submitted as follows:  
(i) data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of 
units;  
(ii) data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to 
four decimals;  
(iii) data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units;EN 19.3.2021 Official Journal of the European Union L 97/13  
( 12 ) Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a 
uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolutio n 
Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).
 (c) institutions and insurance undertakings shall be identified solely by their Legal Entity Identifier (LEI);  
(d) legal entities and counterparties other than institutions and insurance undertakings shall be identified by their LEI 
where available.  
2. Institutions shall accompany the submitted data by the following information:  
(a) reporting reference date and reference period;  
(b) reporting currency;  
(c) accounting standard;  
(d) Legal Entity Identifier (LEI) of the reporting institution;  
(e) scope of consolidation.  
Article 22  
Repeal of Implementing Regulation (EU) No 680/2014  
Implementing Regulation (EU) No 680/2014 is repealed.  
References to the repealed Regulation shall be construed as references to this Regulation.  
Article 23  
Entry into force and application  
This Regulation shall enter into force on the day following that of its publication in the  Official Journal of the European 
Union . 
It shall apply from 28 June 2021.  
Notwithstanding the second paragraph of this Article, reporting on leverage ratio buffer requirement for institutions 
identified as G-SIIs provided for in template 47 of Annex X shall apply from 1 January 2023.  
Articles 9 and 10 shall cease to apply on 26 June 2026.  
This Regulation shall be binding in its entirety and directly applicable in all Member States.  
Done at Brussels, 17 December 2020.  
For the Commission  
The President  
Ursula  VON DER LEYENEN L 97/14 Official Journal of the European Union 19.3.2021
 EN 19.3.2021 Official Journal of the European Union L 97/15
 ANNEX I  
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS 
COREP TEMPLATES  
Template number  Template code  Name of the template /group of templates  Short name  
CAPITAL ADEQUACY  CA 
1 C 01.00  OWN FUNDS  CA1  
2 C 02.00  OWN FUNDS REQUIREMENTS  CA2  
3 C 03.00  CAPITAL RATIOS  CA3  
4 C 04.00  MEMORANDUM ITEMS  CA4  
TRANSITIONAL PROVISIONS  CA5  
5.1 C 05.01  TRANSITIONAL PROVISIONS  CA5.1  
5.2 C 05.02  GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID  CA5.2  
GROUP SOLVENCY  GS 
6.1 C 06.01  GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL  GS Total  
6.2 C 06.02  GROUP SOLVENCY: INFORMATION ON AFFILIATES  GS  
CREDIT RISK  CR 
7 C 07.00  CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS  CR SA  
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS  CR IRB  
8.1 C 08.01  CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS  CR IRB 1  
8.2 C 08.02  CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown 
by obligor grades or pools)  CR IRB 2  
8.3 C 08.03  CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES  CR IRB 3
EN L 97/16 Official Journal of the European Union 19.3.2021
 COREP TEMPLATES  
Template number  Template code  Name of the template /group of templates  Short name  
CAPITAL ADEQUACY  CA 
8.4 C 08.04  CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS  CR IRB 4  
8.5 C 08.05  CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD  CR IRB 5  
8.5.1  C 08.05.1  CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO 
POINT (f) OF ARTICLE 180(1) (CR IRB 5)  
8.6 C 08.06  CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING 
APPROACH  CR IRB 6  
8.7 C 08.07  CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA 
APPROACHES  CR IRB 7  
GEOGRAPHICAL BREAKDOWN  CR GB  
9.1 C 09.01  Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)  CR GB 1  
9.2 C 09.02  Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)  CR GB 2  
9.4 C 09.04  Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institutio n-specific 
countercyclical buffer rate  CCB  
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS  CR EQU IRB  
10.1  C 10.01  CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS  CR EQU IRB 1  
10.2  C 10.02  CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE 
PD/LGD APRROACH BY OBLIGOR GRADES:  CR EQU IRB 2  
11 C 11.00  SETTLEMENT/DELIVERY RISK  CR SETT  
13.1  C 13.01  CREDIT RISK: SECURITISATIONS  CR SEC  
14 C 14.00  DETAILED INFORMATION ON SECURITISATIONS  CR SEC Details  
14.1  C 14.01  DETAILED INFORMATION ON SECURITISATIONS BY APPROACH  CR SEC Details 2
EN 19.3.2021 Official Journal of the European Union L 97/17
 COREP TEMPLATES  
Template number  Template code  Name of the template /group of templates  Short name  
CAPITAL ADEQUACY  CA 
COUNTERPARTY CREDIT RISK  CCR  
34.01  C 34.01  COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS  CCR 1  
34.02  C 34.02  COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH  CCR 2  
34.03  C 34.03  COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA- 
CCR CCR 3  
34.04  C 34.04  COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE THE ORIGINAL EXPOSURE METHOD (OEM)  CCR 4  
34.05  C 34.05  COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM)  CCR 5  
34.06  C 34.06  COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES  CCR 6  
34.07  C 34.07  COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE  CCR 7  
34.08  C 34.08  COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES  CCR 8  
34.09  C 34.09  COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES  CCR 9  
34.10  C 34.10  COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs  CCR 10  
34.11  C 34.11  COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM  CCR 11  
OPERATIONAL RISK  OPR  
16 C 16.00  OPERATIONAL RISK  OPR  
OPERATIONAL RISK: LOSSES AND RECOVERIES  
17.1  C 17.01  OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR  OPR DETAILS 1  
17.2  C 17.02  OPERATIONAL RISK: LARGE LOSS EVENTS  OPR DETAILS 2  
MARKET RISK  MKR  
18 C 18.00  MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS  MKR SA TDI  
19 C 19.00  MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS  MKR SA SEC
EN L 97/18 Official Journal of the European Union 19.3.2021
 COREP TEMPLATES  
Template number  Template code  Name of the template /group of templates  Short name  
CAPITAL ADEQUACY  CA 
20 C 20.00  MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO  MKR SA CTP  
21 C 21.00  MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES  MKR SA EQU  
22 C 22.00  MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK  MKR SA FX  
23 C 23.00  MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES  MKR SA COM  
24 C 24.00  MARKET RISK INTERNAL MODELS  MKR IM  
25 C 25.00  CREDIT VALUE ADJUSTMENT RISK  CVA  
PRUDENT VALUATION  MKR  
32.1  C 32.01  PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES  PRUVAL 1  
32.2  C 32.02  PRUDENT VALUATION: CORE APPROACH  PRUVAL 2  
32.3  C 32.03  PRUDENT VALUATION: MODEL RISK AVA  PRUVAL 3  
32.4  C 32.04  PRUDENT VALUATION: CONCENTRATED POSITIONS AVA  PRUVAL 4  
GENERAL GOVERNMENTS EXPOSURES  MKR  
33 C 33.00  GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY  GOV  
NPE LOSS COVERAGE  NPE LC  
35.1  C 35.01  NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES  NPE LC1  
35.2  C 35.02  NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES 
EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR  NPE LC2  
35.3  C 35.03  NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE 
EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR  NPE LC3
 C 01.00 - OWN FUNDS (CA1) 
Rows  ID  Item  Amount  
0010  1  OWN FUNDS  
0015  1.1  TIER 1 CAPITAL  
0020  1.1.1  COMMON EQUITY TIER 1 CAPITAL  
0030  1.1.1.1  Capital instruments eligible as CET1 Capital  
0040  1.1.1.1.1  Fully paid up capital instruments  
0045  1.1.1.1.1*  Of which: Capital instruments subscribed by public authorities in emergency situations  
0050  1.1.1.1.2*  Memorandum item: Capital instruments not eligible  
0060  1.1.1.1.3  Share premium  
0070  1.1.1.1.4  (-) Own CET1 instruments  
0080  1.1.1.1.4.1  (-) Direct holdings of CET1 instruments  
0090  1.1.1.1.4.2  (-) Indirect holdings of CET1 instruments  
0091  1.1.1.1.4.3  (-) Synthetic holdings of CET1 instruments  
0092  1.1.1.1.5  (-) Actual or contingent obligations to purchase own CET1 instruments  
0130  1.1.1.2  Retained earnings  
0140  1.1.1.2.1  Previous years retained earnings  
0150  1.1.1.2.2  Profit or loss eligible  
0160  1.1.1.2.2.1  Profit or loss attributable to owners of the parent  
0170  1.1.1.2.2.2  (-) Part of interim or year-end profit not eligible  
0180  1.1.1.3  Accumulated other comprehensive income  
0200  1.1.1.4  Other reserves  
0210  1.1.1.5  Funds for general banking risk  
0220  1.1.1.6  Transitional adjustments due to grandfathered CET1 Capital instruments  
0230  1.1.1.7  Minority interest given recognition in CET1 capital  
0240  1.1.1.8  Transitional adjustments due to additional minority interests  
0250  1.1.1.9  Adjustments to CET1 due to prudential filters  
0260  1.1.1.9.1  (-) Increases in equity resulting from securitised assetsEN 19.3.2021 Official Journal of the European Union L 97/19
 
Rows  ID  Item  Amount  
0270  1.1.1.9.2  Cash flow hedge reserve  
0280  1.1.1.9.3  Cumulative gains and losses due to changes in own credit risk on fair valued liabilities  
0285  1.1.1.9.4  Fair value gains and losses arising from the institution's own credit risk related to derivative 
liabilities  
0290  1.1.1.9.5  (-) Value adjustments due to the requirements for prudent valuation  
0300  1.1.1.10  (-) Goodwill  
0310  1.1.1.10.1  (-) Goodwill accounted for as intangible asset  
0320  1.1.1.10.2  (-) Goodwill included in the valuation of significant investments  
0330  1.1.1.10.3  Deferred tax liabilities associated to goodwill  
0335  1.1.1.10.4  Accounting revaluation of subsidiaries' goodwill derived from the consolidation of 
subsidiaries attributable to third persons  
0340  1.1.1.11  (-) Other intangible assets  
0350  1.1.1.11.1  (-) Other intangible assets before deduction of deferred tax liabilities  
0360  1.1.1.11.2  Deferred tax liabilities associated to other intangible assets  
0365  1.1.1.11.3  Accounting revaluation of subsidiaries' other intangible assets derived from the consoli ­
dation of subsidiaries attributable to third persons  
0370  1.1.1.12  (-) Deferred tax assets that rely on future profitability and do not arise from 
temporary differences net of associated tax liabilities  
0380  1.1.1.13  (-) IRB shortfall of credit risk adjustments to expected losses  
0390  1.1.1.14  (-) Defined benefit pension fund assets  
0400  1.1.1.14.1  (-) Defined benefit pension fund assets  
0410  1.1.1.14.2  Deferred tax liabilities associated to defined benefit pension fund assets  
0420  1.1.1.14.3  Defined benefit pension fund assets which the institution has an unrestricted ability to use  
0430  1.1.1.15  (-) Reciprocal cross holdings in CET1 Capital  
0440  1.1.1.16  (-) Excess of deduction from AT1 items over AT1 Capital  
0450  1.1.1.17  (-) Qualifying holdings outside the financial sector which can alternatively be subject 
to a 1 250 % risk weight  
0460  1.1.1.18  (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight  
0470  1.1.1.19  (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight  
0471  1.1.1.20  (-) Positions in a basket for which an institution cannot determine the risk weight 
under the IRB approach, and can alternatively be subject to a 1 250 % risk weight  
0472  1.1.1.21  (-) Equity exposures under an internal models approach which can alternatively be 
subject to a 1 250 % risk weightEN L 97/20 Official Journal of the European Union 19.3.2021
 
Rows  ID  Item  Amount  
0480  1.1.1.22  (-) CET1 instruments of financial sector entites where the institution does not have a 
significant investment  
0490  1.1.1.23  (-) Deductible deferred tax assets that rely on future profitability and arise from 
temporary differences  
0500  1.1.1.24  (-) CET1 instruments of financial sector entities where the institution has a significant 
investment  
0510  1.1.1.25  (-) Amount exceeding the 17.65 % threshold  
0511  1.1.1.25.1  (-) Amount exceeding the 17.65 % threshold related to CET1 instruments of financial sector 
entities where the institution has a significant investment  
0512  1.1.1.25.2  (-) Amount exceeding the 17.65 % threshold related to deferred tax assets arising from 
temporary differences  
0513  1.1.1.25A  (-) Insufficient coverage for non-performing exposures  
0514  1.1.1.25B  (-) Minimum value commitment shortfalls  
0515  1.1.1.25C  (-) Other foreseeable tax charges  
0520  1.1.1.26  Other transitional adjustments to CET1 Capital  
0524  1.1.1.27  (-) Additional deductions of CET1 Capital due to Article 3 CRR  
0529  1.1.1.28  CET1 capital elements or deductions - other  
0530  1.1.2  ADDITIONAL TIER 1 CAPITAL  
0540  1.1.2.1  Capital instruments eligible as AT1 Capital  
0551  1.1.2.1.1  Fully paid up, directly issued capital instruments  
0560  1.1.2.1.2*  Memorandum item: Capital instruments not eligible  
0571  1.1.2.1.3  Share premium  
0580  1.1.2.1.4  (-) Own AT1 instruments  
0590  1.1.2.1.4.1  (-) Direct holdings of AT1 instruments  
0620  1.1.2.1.4.2  (-) Indirect holdings of AT1 instruments  
0621  1.1.2.1.4.3  (-) Synthetic holdings of AT1 instruments  
0622  1.1.2.1.5  (-) Actual or contingent obligations to purchase own AT1 instruments  
0660  1.1.2.2  Transitional adjustments due to grandfathered AT1 Capital instruments  
0670  1.1.2.3  Instruments issued by subsidiaries that are given recognition in AT1 Capital  
0680  1.1.2.4  Transitional adjustments due to additional recognition in AT1 Capital of instruments 
issued by subsidiaries  
0690  1.1.2.5  (-) Reciprocal cross holdings in AT1 Capital  
0700  1.1.2.6  (-) AT1 instruments of financial sector entities where the institution does not have a 
significant investmentEN 19.3.2021 Official Journal of the European Union L 97/21
 
Rows  ID  Item  Amount  
0710  1.1.2.7  (-) AT1 instruments of financial sector entities where the institution has a significant 
investment  
0720  1.1.2.8  (-) Excess of deduction from T2 items over T2 Capital  
0730  1.1.2.9  Other transitional adjustments to AT1 Capital  
0740  1.1.2.10  Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)  
0744  1.1.2.11  (-) Additional deductions of AT1 Capital due to Article 3 CRR  
0748  1.1.2.12  AT1 capital elements or deductions - other  
0750  1.2  TIER 2 CAPITAL  
0760  1.2.1  Capital instruments eligible as T2 Capital  
0771  1.2.1.1  Fully paid up, directly issued capital instruments  
0780  1.2.1.2*  Memorandum item: Capital instruments not eligible  
0791  1.2.1.3  Share premium  
0800  1.2.1.4  (-) Own T2 instruments  
0810  1.2.1.4.1  (-) Direct holdings of T2 instruments  
0840  1.2.1.4.2  (-) Indirect holdings of T2 instruments  
0841  1.2.1.4.3  (-) Synthetic holdings of T2 instruments  
0842  1.2.1.5  (-) Actual or contingent obligations to purchase own T2 instruments  
0880  1.2.2  Transitional adjustments due to grandfathered T2 Capital instruments  
0890  1.2.3  Instruments issued by subsidiaries that are given recognition in T2 Capital  
0900  1.2.4  Transitional adjustments due to additional recognition in T2 Capital of instruments 
issued by subsidiaries  
0910  1.2.5  IRB Excess of provisions over expected losses eligible  
0920  1.2.6  SA General credit risk adjustments  
0930  1.2.7  (-) Reciprocal cross holdings in T2 Capital  
0940  1.2.8  (-) T2 instruments of financial sector entities where the institution does not have a 
significant investment  
0950  1.2.9  (-) T2 instruments of financial sector entities where the institution has a significant 
investment  
0955  1.2.9A  (-) Excess of deductions from eligible liabilities over eligible liabilities  
0960  1.2.10  Other transitional adjustments to T2 Capital  
0970  1.2.11  Excess of deduction from T2 items over T2 Capital (deducted in AT1)  
0974  1.2.12  (-) Additional deductions of T2 Capital due to Article 3 CRR  
0978  1.2.13  T2 capital elements or deductions - otherEN L 97/22 Official Journal of the European Union 19.3.2021
 
C 02.00 - OWN FUNDS REQUIREMENTS (CA2) 
Rows  Item  Label  Amount  
0010  1  TOTAL RISK EXPOSURE AMOUNT  
0020  1*  Of which: Investment firms under Article 95 paragraph 2 and Article 98 CRR  
0030  1**  Of which: Investment firms under Article 96 paragraph 2 and Article 97 CRR  
0040  1.1  RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND 
DILUTION RISKS AND FREE DELIVERIES  
0050  1.1.1  Standardised approach (SA)  
0051  1.1.1*  Of which: Additional stricter prudential requirements based on Article 124 CRR  
0060  1.1.1.1  SA exposure classes excluding securitisation positions  
0070  1.1.1.1.01  Central governments or central banks  
0080  1.1.1.1.02  Regional governments or local authorities  
0090  1.1.1.1.03  Public sector entities  
0100  1.1.1.1.04  Multilateral Development Banks  
0110  1.1.1.1.05  International Organisations  
0120  1.1.1.1.06  Institutions  
0130  1.1.1.1.07  Corporates  
0140  1.1.1.1.08  Retail  
0150  1.1.1.1.09  Secured by mortgages on immovable property  
0160  1.1.1.1.10  Exposures in default  
0170  1.1.1.1.11  Items associated with particular high risk  
0180  1.1.1.1.12  Covered bonds  
0190  1.1.1.1.13  Claims on institutions and corporates with a short-term credit assessment  
0200  1.1.1.1.14  Collective investments undertakings (CIU)  
0210  1.1.1.1.15  Equity  
0211  1.1.1.1.16  Other items  
0240  1.1.2  Internal ratings based Approach (IRB)  
0241  1.1.2*  Of which: Additional stricter prudential requirements based on Article 164 CRR  
0242  1.1.2**  Of which: Additional stricter prudential requirements based on Article 124 CRR  
0250  1.1.2.1  IRB approaches when neither own estimates of LGD nor Conversion Factors are usedEN 19.3.2021 Official Journal of the European Union L 97/23
 
Rows  Item  Label  Amount  
0260  1.1.2.1.01  Central governments and central banks  
0270  1.1.2.1.02  Institutions  
0280  1.1.2.1.03  Corporates - SME  
0290  1.1.2.1.04  Corporates - Specialised Lending  
0300  1.1.2.1.05  Corporates - Other  
0310  1.1.2.2  IRB approaches when own estimates of LGD and/or Conversion Factors are used  
0320  1.1.2.2.01  Central governments and central banks  
0330  1.1.2.2.02  Institutions  
0340  1.1.2.2.03  Corporates - SME  
0350  1.1.2.2.04  Corporates - Specialised Lending  
0360  1.1.2.2.05  Corporates - Other  
0370  1.1.2.2.06  Retail - Secured by real estate SME  
0380  1.1.2.2.07  Retail - Secured by real estate non-SME  
0390  1.1.2.2.08  Retail - Qualifying revolving  
0400  1.1.2.2.09  Retail - Other SME  
0410  1.1.2.2.10  Retail - Other non-SME  
0420  1.1.2.3  Equity IRB  
0450  1.1.2.5  Other non credit-obligation assets  
0460  1.1.3  Risk exposure amount for contributions to the default fund of a CCP  
0470  1.1.4  Securitisation positions  
0490  1.2  TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY  
0500  1.2.1  Settlement/delivery risk in the non-Trading book  
0510  1.2.2  Settlement/delivery risk in the Trading book  
0520  1.3  TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND 
COMMODITIES RISKS  
0530  1.3.1  Risk exposure amount for position, foreign exchange and commodities risks under 
standardised approaches (SA)  
0540  1.3.1.1  Traded debt instruments  
0550  1.3.1.2  Equity  
0555  1.3.1.3  Particular approach for position risk in CIUs  
0556  1.3.1.3*  Memo item: CIUs exclusively invested in traded debt instrumentsEN L 97/24 Official Journal of the European Union 19.3.2021
 
Rows  Item  Label  Amount  
0557  1.3.1.3**  Memo item: CIUs invested exclusively in equity instruments or in mixed instruments  
0560  1.3.1.4  Foreign Exchange  
0570  1.3.1.5  Commodities  
0580  1.3.2  Risk exposure amount for Position, foreign exchange and commodities risks under 
internal models (IM)  
0590  1.4  TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )  
0600  1.4.1  OpR Basic indicator approach (BIA)  
0610  1.4.2  OpR Standardised (STA) / Alternative Standardised (ASA) approaches  
0620  1.4.3  OpR Advanced measurement approaches (AMA)  
0630  1.5  ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS  
0640  1.6  TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT  
0650  1.6.1  Advanced method  
0660  1.6.2  Standardised method  
0670  1.6.3  Based on OEM  
0680  1.7  TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING 
BOOK  
0690  1.8  OTHER RISK EXPOSURE AMOUNTS  
0710  1.8.2  Of which: Additional stricter prudential requirements based on Article 458 CRR  
0720  1.8.2*  Of which: requirements for large exposures  
0730  1.8.2**  Of which: due to modified risk weights for targeting asset bubbles in the residential and 
commercial property  
0740  1.8.2***  Of which: due to intra financial sector exposures  
0750  1.8.3  Of which: Additional stricter prudential requirements based on Article 459 CRR  
0760  1.8.4  Of which: Additional risk exposure amount due to Article 3 CRREN 19.3.2021 Official Journal of the European Union L 97/25
 
C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3) 
Rows  ID  Item  Amount  
0010  1  CET1 Capital ratio  
0020  2  Surplus(+)/Deficit(-) of CET1 capital  
0030  3  T1 Capital ratio  
0040  4  Surplus(+)/Deficit(-) of T1 capital  
0050  5  Total capital ratio  
0060  6  Surplus(+)/Deficit(-) of total capital  
Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance 
(P2G)  
0130  13  Total SREP capital requirement (TSCR) ratio  
0140  13*  TSCR: to be made up of CET1 capital  
0150  13**  TSCR: to be made up of Tier 1 capital  
0160  14  Overall capital requirement (OCR) ratio  
0170  14*  OCR: to be made up of CET1 capital  
0180  14**  OCR: to be made up of Tier 1 capital  
0190  15  OCR and Pillar 2 Guidance (P2G)  
0200  15*  OCR and P2G: to be made up of CET1 capital  
0210  15**  OCR and P2G: to be made up of Tier 1 capital  
0220  16  Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR 
and 104a CRD  
Memorandum Items: Capital ratios without application of the transitional provisions on IFRS 9  
0300  20  CET1 Capital ratio without application of the transitional provisions on IFRS 9  
0310  21  T1 Capital ratio without application of the transitional provisions on IFRS 9  
0320  22  Total capital ratio without application of the transitional provisions on IFRS 9EN L 97/26 Official Journal of the European Union 19.3.2021
 
C 04.00 - MEMORANDUM ITEMS (CA4) 
Row  ID  Item  Column  
Deferred tax assest and liabilities  0010  
0010  1  Total deferred tax assets  
0020  1.1  Deferred tax assets that do not rely on future profitability  
0030  1.2  Deferred tax assets that rely on future profitability and do not arise from temporary 
differences  
0040  1.3  Deferred tax assets that rely on future profitability and arise from temporary differences  
0050  2  Total deferred tax liabilities  
0060  2.1  Deferred tax liabilities non deductible from deferred tax assets that rely on future profit ­
ability  
0070  2.2  Deferred tax liabilities deductible from deferred tax assets that rely on future profitability  
0080  2.2.1  Deductible deferred tax liabilities associated with deferred tax assets that rely on future 
profitability and do not arise from temporary differences  
0090  2.2.2  Deductible deferred tax liabilities associated with deferred tax assets that rely on future 
profitability and arise from temporary differences  
0093  2A  Tax overpayments and tax loss carry backs  
0096  2B  Deferred Tax Assets subject to a risk weight of 250%  
0097  2C  Deferred Tax Assets subject to a risk weight of 0%  
Exception from deductions from CET1  
0901  2W  Exception from deduction of intangible assets from CET1  
Accounting classification of AT1 instruments  
0905  2Y  Capital instruments and the related share premium accounts classified as equity under 
applicable accounting standards  
0906  2Z  Capital instruments and the related share premium accounts classified as liabilities 
under applicable accounting standards  
Credit risk adjustments and expected losses  
0100  3  IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments 
and other own funds reductions to expected losses for non defaulted exposures  
0110  3.1  Total credit risk adjustments, additional value adjustments and other own funds 
reductions eligible for inclusion in the calculation of the expected loss amount  
0120  3.1.1  General credit risk adjustments  
0130  3.1.2  Specific credit risk adjustmentsEN 19.3.2021 Official Journal of the European Union L 97/27
 
Row  ID  Item  Column  
0131  3.1.3  Additional value adjustments and other own funds reductions  
0140  3.2  Total expected losses eligible  
0145  4  IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for 
defaulted exposures  
0150  4.1  Specific credit risk adjustments and positions treated similarily  
0155  4.2  Total expected losses eligible  
0160  5  Risk weighted exposure amounts for calculating the cap to the excess of provision 
eligible as T2  
0170  6  Total gross provisions eligible for inclusion in T2 capital  
0180  7  Risk weighted exposure amounts for calculating the cap to the provision eligible as T2  
Thresholds for Common Equity Tier 1 deductions  
0190  8  Threshold non deductible of holdings in financial sector entities where an institution 
does not have a significant investment  
0200  9  10% CET1 threshold  
0210  10  17.65% CET1 threshold  
0225  11  Eligible capital for the purposes of qualifying holdings outside the financial sector  
Investments in the capital of financial sector entities where the institution does not have a significant investment  
0230  12  Holdings of CET1 capital of financial sector entities where the institution does not 
have a significant investment, net of short positions  
0240  12.1  Direct holdings of CET1 capital of financial sector entities where the institution does not 
have a significant investment  
0250  12.1.1  Gross direct holdings of CET1 capital of financial sector entities where the institution 
does not have a significant investment  
0260  12.1.2  (-) Permitted offsetting short positions in relation to the direct gross holdings included 
above  
0270  12.2  Indirect holdings of CET1 capital of financial sector entities where the institution does not 
have a significant investment  
0280  12.2.1  Gross indirect holdings of CET1 capital of financial sector entities where the institution 
does not have a significant investment  
0290  12.2.2  (-) Permitted offsetting short positions in relation to the indirect gross holdings included 
above  
0291  12.3  Synthetic holdings of CET1 capital of financial sector entities where the institution does not 
have a significant investmentEN L 97/28 Official Journal of the European Union 19.3.2021
 
Row  ID  Item  Column  
0292  12.3.1  Gross synthetic holdings of CET1 capital of financial sector entities where the institution 
does not have a significant investment  
0293  12.3.2  (-) Permitted offsetting short positions in relation to the synthetic gross holdings included 
above  
0300  13  Holdings of AT1 capital of financial sector entities where the institution does not 
have a significant investment, net of short positions  
0310  13.1  Direct holdings of AT1 capital of financial sector entities where the institution does not 
have a significant investment  
0320  13.1.1  Gross direct holdings of AT1 capital of financial sector entities where the institution does 
not have a significant investment  
0330  13.1.2  (-) Permitted offsetting short positions in relation to the direct gross holdings included 
above  
0340  13.2  Indirect holdings of AT1 capital of financial sector entities where the institution does not 
have a significant investment  
0350  13.2.1  Gross indirect holdings of AT1 capital of financial sector entities where the institution 
does not have a significant investment  
0360  13.2.2  (-) Permitted offsetting short positions in relation to the indirect gross holdings included 
above  
0361  13.3  Synthetic holdings of AT1 capital of financial sector entities where the institution does not 
have a significant investment  
0362  13.3.1  Gross synthetic holdings of AT1 capital of financial sector entities where the institution 
does not have a significant investment  
0363  13.3.2  (-) Permitted offsetting short positions in relation to the synthetic gross holdings included 
above  
0370  14  Holdings of T2 capital of financial sector entities where the institution does not have 
a significant investment, net of short positions  
0380  14.1  Direct holdings of T2 capital of financial sector entities where the institution does not have 
a significant investment  
0390  14.1.1  Gross direct holdings of T2 capital of financial sector entities where the institution does 
not have a significant investment  
0400  14.1.2  (-) Permitted offsetting short positions in relation to the direct gross holdings included 
above  
0410  14.2  Indirect holdings of T2 capital of financial sector entities where the institution does not 
have a significant investment  
0420  14.2.1  Gross indirect holdings of T2 capital of financial sector entities where the institution does 
not have a significant investment  
0430  14.2.2  (-) Permitted offsetting short positions in relation to the indirect gross holdings included 
aboveEN 19.3.2021 Official Journal of the European Union L 97/29
 
Row  ID  Item  Column  
0431  14.3  Synthetic holdings of T2 capital of financial sector entities where the institution does not 
have a significant investment  
0432  14.3.1  Gross synthetic holdings of T2 capital of financial sector entities where the institution 
does not have a significant investment  
0433  14.3.2  (-) Permitted offsetting short positions in relation to the synthetic gross holdings included 
above  
Investments in the capital of financial sector entities where the institution has a significant investment  
0440  15  Holdings of CET1 capital of financial sector entities where the institution has a 
significant investment, net of short positions  
0450  15.1  Direct holdings of CET1 capital of financial sector entities where the institution has a 
significant investment  
0460  15.1.1  Gross direct holdings of CET1 capital of financial sector entities where the institution has 
a significant investment  
0470  15.1.2  (-) Permitted offsetting short positions in relation to the direct gross holdings included 
above  
0480  15.2  Indirect holdings of CET1 capital of financial sector entities where the institution has a 
significant investment  
0490  15.2.1  Gross indirect holdings of CET1 capital of financial sector entities where the institution 
has a significant investment  
0500  15.2.2  (-) Permitted offsetting short positions in relation to the indirect gross holdings included 
above  
0501  15.3  Synthetic holdings of CET1 capital of financial sector entities where the institution has a 
significant investment  
0502  15.3.1  Gross synthetic holdings of CET1 capital of financial sector entities where the institution 
has a significant investment  
0503  15.3.2  (-) Permitted offsetting short positions in relation to the synthetic gross holdings included 
above  
0504  15A  Investments in CET1 capital of financial sector entities where the institution has a 
significant investment - subject to a risk weight of 250%  
0510  16  Holdings of AT1 capital of financial sector entities where the institution has a 
significant investment, net of short positions  
0520  16.1  Direct holdings of AT1 capital of financial sector entities where the institution has a 
significant investment  
0530  16.1.1  Gross direct holdings of AT1 capital of financial sector entities where the institution has a 
significant investment  
0540  16.1.2  (-) Permitted offsetting short positions in relation to the direct gross holdings included 
above  
0550  16.2  Indirect holdings of AT1 capital of financial sector entities where the institution has a 
significant investmentEN L 97/30 Official Journal of the European Union 19.3.2021
 
Row  ID  Item  Column  
0560  16.2.1  Gross indirect holdings of AT1 capital of financial sector entities where the institution has 
a significant investment  
0570  16.2.2  (-) Permitted offsetting short positions in relation to the indirect gross holdings included 
above  
0571  16.3  Synthetic holdings of AT1 capital of financial sector entities where the institution has a 
significant investment  
0572  16.3.1  Gross synthetic holdings of AT1 capital of financial sector entities where the institution 
has a significant investment  
0573  16.3.2  (-) Permitted offsetting short positions in relation to the synthetic gross holdings included 
above  
0580  17  Holdings of T2 capital of financial sector entities where the institution has a 
significant investment, net of short positions  
0590  17.1  Direct holdings of T2 capital of financial sector entities where the institution has a 
significant investment  
0600  17.1.1  Gross direct holdings of T2 capital of financial sector entities where the institution has a 
significant investment  
0610  17.1.2  (-) Permitted offsetting short positions in relation to the direct gross holdings included 
above  
0620  17.2  Indirect holdings of T2 capital of financial sector entities where the institution has a 
significant investment  
0630  17.2.1  Gross indirect holdings of T2 capital of financial sector entities where the institution has 
a significant investment  
0640  17.2.2  (-) Permitted offsetting short positions in relation to the indirect gross holdings included 
above  
0641  17.3  Synthetic holdings of T2 capital of financial sector entities where the institution has a 
significant investment  
0642  17.3.1  Gross synthetic holdings of T2 capital of financial sector entities where the institution has 
a significant investment  
0643  17.3.2  (-) Permitted offsetting short positions in relation to the synthetic gross holdings included 
above  
Total risk exposure amounts of holdings not deducted from the corresponding capital category:  
0650  18  Risk weighted exposures of CET1 holdings in financial sector entities which are not 
deducted from the institution's CET1 capital  
0660  19  Risk weighted exposures of AT1 holdings in financial sector entities which are not 
deducted from the institution's AT1 capital  
0670  20  Risk weighted exposures of T2 holdings in financial sector entities which are not 
deducted from the institution's T2 capital  
Temporary waiver from deduction from own funds  
0680  21  Holdings on CET1 Capital Instruments of financial sector entities where the insti ­
tution does not have a significant investment temporary waivedEN 19.3.2021 Official Journal of the European Union L 97/31
 
Row  ID  Item  Column  
0690  22  Holdings on CET1 Capital Instruments of financial sector entities where the insti ­
tution has a significant investment temporary waived  
0700  23  Holdings on AT1 Capital Instruments of financial sector entities where the institution 
does not have a significant investment temporary waived  
0710  24  Holdings on AT1 Capital Instruments of financial sector entities where the institution 
has a significant investment temporary waived  
0720  25  Holdings on T2 Capital Instruments of financial sector entities where the institution 
does not have a significant investment temporary waived  
0730  26  Holdings on T2 Capital Instruments of financial sector entities where the institution 
has a significant investment temporary waived  
Capital buffers  
0740  27  Combined buffer requirement  
0750  Capital conservation buffer  
0760  Conservation buffer due to macro-prudential or systemic risk identified at the level of 
a Member State  
0770  Institution specific countercyclical capital buffer  
0780  Systemic risk buffer  
0800  Global Systemically Important Institution buffer  
0810  Other Systemically Important Institution buffer  
Pillar II requirements  
0820  28  Own funds requirements related to Pillar II adjustments  
Additional information for investment firms  
0830  29  Initial capital  
0840  30  Own funds based on Fixed Overheads  
Additional information for calculation of reporting thresholds  
0850  31  Non-domestic original exposures  
0860  32  Total original exposuresEN L 97/32 Official Journal of the European Union 19.3.2021
 EN 19.3.2021 Official Journal of the European Union L 97/33
 C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)  
Adjustments to 
CET1  Adjustments to 
AT1  Adjustments to 
T2 Adjustments 
included in RWAs  Memorandum items  
Applicable 
percentage  Eligible amount 
without transi ­
tional provisions  
Code  ID  Item  0010  0020  0030  0040  0050  0060  
0010  1  TOTAL ADJUSTMENTS  
0020  1.1  GRANDFATHERED INSTRUMENTS  link to 
{CA1;r0220}  link to 
{CA1;r0660}  link to 
{CA1;r0880}  
0060  1.1.2  Instruments not constituting state aid  
0061  1.1.3  Instruments issued through special 
purpose vehicles  
0062  1.1.4  Instruments issued before 27 June 
2019 that do not meet the eligibility 
criteria related to write-down and 
conversion powers pursuant to 
Article 59 BRRD or are subject to 
set-off or netting arrangements  
0063  1.1.4.1*  of which: Instruments without legally or 
contractually mandatory write-down or 
conversion upon exercise of Article 59 
BRRD powers  
0064  1.1.4.2*  of which: Instruments governed by third- 
country law without effective and 
enforceable exercise of Article 59 BRRD 
powers  
0065  1.1.4.3*  of which: Instruments subject to set-off 
or netting arrangements
EN L 97/34 Official Journal of the European Union 19.3.2021
 Adjustments to 
CET1  Adjustments to 
AT1  Adjustments to 
T2 Adjustments 
included in RWAs  Memorandum items  
Applicable 
percentage  Eligible amount 
without transi ­
tional provisions  
Code  ID  Item  0010  0020  0030  0040  0050  0060  
0070  1.2  MINORITY INTERESTS AND EQUIVALENTS  link to 
{CA1;r0240}  link to 
{CA1;r0680}  link to 
{CA1;r0900}  
0080  1.2.1  Capital instruments and items that do 
not qualify as minority interests  
0090  1.2.2  Transitional recognition in consolidated 
own funds of minority interests  
0091  1.2.3  Transitional recognition in consolidated 
own funds of qualifying Additional Tier 1 
capital  
0092  1.2.4  Transitional recognition in consolidated 
own funds of qualifying Tier 2 capital  
0100  1.3  OTHER TRANSITIONAL ADJUSTMENTS  link to 
{CA1;r0520}  link to 
{CA1;r0730}  link to 
{CA1;r0960}  
0111  1.3.1.6  Unrealised gains and losses from certain 
debt exposures to central governments, 
regional governments, local authorities 
and PSEs  
0112  1.3.1.6.1  of which: amount A  
0140  1.3.2  Deductions  
0170  1.3.2.3  Deferred tax assets that rely on future 
profitability and do not arise from 
temporary differences
EN 19.3.2021 Official Journal of the European Union L 97/35
 Adjustments to 
CET1  Adjustments to 
AT1  Adjustments to 
T2 Adjustments 
included in RWAs  Memorandum items  
Applicable 
percentage  Eligible amount 
without transi ­
tional provisions  
Code  ID  Item  0010  0020  0030  0040  0050  0060  
0380  1.3.2.9  Deferred tax assets that are dependent on 
future profitability and arise from 
temporary differences and CET1 
instruments of financial sector entities 
where the institution has a significant 
investment  
0385  1.3.2.9a  Deferred tax assets that are dependent on 
future profitability and arise from 
temporary differences  
0425  1.3.2.11  Exemption from deduction of Equity 
Holdings in Insurance Companies from 
CET 1 Items  
0430  1.3.3  Additional filters and deductions  
0440  1.3.4  Adjustments due to IFRS 9 transitional 
arrangements  
0441  1.3.4.1  Memorandum item: ECL impact of the 
static component  
0442  1.3.4.2  Memorandum item: ECL impact of the 
dynamic component for the period 
1.1.2018 – 31.12.2019  
0443  1.3.4.3  Memorandum item: ECL impact of the 
dynamic component for the period 
starting on 1.1.2020
EN L 97/36 Official Journal of the European Union 19.3.2021
 C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)  
Amount of 
instruments plus 
related share 
premium  Base for calcu ­
lating the limit  Applicable 
percentage  Limit  (-) Amount that 
exceeds the limits 
for grandfathering  Total grandfathered 
amount  
Code  ID  Item  0010  0020  0030  0040  0050  0060  
0010  1.  Instruments that qualified for point (a) of 
Article 57 of 2006/48/EC  link to 
{CA5.1;r060;c010)  
0020  2.  Instruments that qualified for point (ca) of 
Article 57 and Article 154(8) and (9) of 
2006/48/EC, subject to the limit of 
Article 489 CRR  link to 
{CA5.1;r060;c020)  
0030  2.1  Total instruments without a call or an incentive 
to redeem  
0040  2.2.  Grandfathered instruments with a call and 
incentive to redeem  
0050  2.2.1  Instruments with a call exercisable after the 
reporting date, and which meet the conditions 
in Article 52 CRR after the date of effective 
maturity  
0060  2.2.2  Instruments with a call exercisable after the 
reporting date, and which do not meet the 
conditions in Article 52 CRR after the date 
of effective maturity  
0070  2.2.3  Instruments with a call exercisable prior to or 
on 20 July 2011, and which do not meet the 
conditions in Article 52 CRR after the date of 
effective maturity
EN 19.3.2021 Official Journal of the European Union L 97/37
 Amount of 
instruments plus 
related share 
premium  Base for calcu ­
lating the limit  Applicable 
percentage  Limit  (-) Amount that 
exceeds the limits 
for grandfathering  Total grandfathered 
amount  
Code  ID  Item  0010  0020  0030  0040  0050  0060  
0080  2.3  Excess on the limit of CET1 grandfathered 
instruments  
0090  3  Items that qualified for points (e), (f), (g) or 
(h) of Article 57 of 2006/48/EC, subject to 
the limit of Article 490 CRR  link to 
{CA5.1;r060;c030)  
0100  3.1  Total items without an incentive to redeem  
0110  3.2  Grandfathered items with an incentive to 
redeem  
0120  3.2.1  Items with a call exercisable after the reporting 
date, and which meet the conditions in 
Article 63 CRR after the date of effective 
maturity  
0130  3.2.2  Items with a call exercisable after the reporting 
date, and which do not meet the conditions in 
Article 63 CRR after the date of effective 
maturity  
0140  3.2.3  Items with a call exercisable prior to or on 
20 July 2011, and which do not meet the 
conditions in Article 63 CRR after the date 
of effective maturity  
0150  3.3  Excess on the limit of AT1 grandfathered 
instruments
EN L 97/38 Official Journal of the European Union 19.3.2021
 C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL)  
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP  
TOTAL RISK 
EXPOSURE AMOUNT  QUALIFYING OWN 
FUNDS INCLUDED IN 
CONSOLIDATED OWN 
FUNDS  CREDIT; COUNTERPARTY 
CREDIT; DILUTION RISKS, 
FREE DELIVERIES AND 
SETTLEMENT/DELIVERY RISK  POSITION, FX AND 
COMMODITIES RISKS  OPERATIONAL RISK  OTHER RISK 
EXPOSURE 
AMOUNTS  QUALIFYING TIER 1 
INSTRUMENTS 
INCLUDED IN 
CONSOLIDATED TIER 1 
CAPITAL  MINORITY INTERESTS 
INCLUDED IN CONSOLIDATED 
COMMON EQUITY TIER 1 
CAPITAL  
0250  0260  0270  0280  0290  0300  0310  0320  
0010  TOTAL  
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP  
CONSOLIDATED 
OWN FUNDS  QUALIFYING OWN FUNDS 
INSTRUMENTS INCLUDED IN 
CONSOLIDATED TIER 2 
CAPITAL  MEMORANDUM ITEM: 
GOODWILL (-) / (+) NEGATIVE 
GOODWILL  OF WHICH: 
COMMON EQUITY 
TIER 1  OF WHICH: 
ADDITIONAL TIER 
1 OF WHICH: 
CONRIBUTIONS TO 
CONSOLIDATED 
RESULT  OF WHICH: (-) 
GOODWILL / (+) 
NEGATIVE 
GOODWILL  QUALIFYING TIER 1 
INSTRUMENTS INCLUDED IN 
CONSOLIDATED ADDITIONAL 
TIER 1 CAPITAL  
0330  0340  0350  0360  0370  0380  0390  0400  
0010  TOTAL  
CAPITAL BUFFERS  
COMBINED BUFFER 
REQUIREMENTS  CAPITAL 
CONSERVATION 
BUFFER  INSTITUTION SPECIFIC 
COUNTER-CYCLICAL 
CAPITAL BUFFER  CONSERVATION BUFFER DUE TO 
MACRO-PRUDENTIAL OR SYSTEMIC 
RISK IDENTIFIED AT THE LEVEL OF 
A MEMBER STATE  SYSTEMIC RISK BUFFER  GLOBAL SYSTEMICALLY 
IMPORTANT INSTITUTION 
BUFFER  OTHER SYSTEMICALLY 
IMPORTANT 
INSTITUTION 
BUFFER  
0410  0420  0430  0440  0450  0470  0480  
0010  TOTAL
EN 19.3.2021 Official Journal of the European Union L 97/39
 C 06.02 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)  
ENTITIES WITHIN SCOPE OF CONSOLIDATION  
NAME  CODE  TYPE OF CODE  NATIONAL CODE  INSTITUTION OR 
EQUIVALENT (YES/NO)  TYPE OF ENTITY  SCOPE OF DATA: SOLO 
FULLY CONSOLIDATED (SF) 
OR SOLO PARTIALLY 
CONSOLIDATED (SP)  COUNTRY CODE  SHARE OF HOLDING 
(%) 
0011  0021  0026  0027  0030  0035  0040  0050  0060  
INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS  
OWN FUNDS  TOTAL RISK EXPOSURE 
AMOUNT  CREDIT; COUNTERPARTY 
CREDIT; DILUTION RISKS, 
FREE DELIVERIES AND 
SETTLEMENT/DELIVERY 
RISK  POSITION, FX AND 
COMMODITIES RISKS  OPERATIONAL RISK  OTHER RISK EXPOSURE 
AMOUNTS  OF WHICH: QUALIFYING 
OWN FUNDS  RELATED OWN FUNDS 
INSTRUMENTS, RELATED 
RETAINED EARNINGS 
AND SHARE PREMIUM 
ACCOUNTS  
0070  0080  0090  0100  0110  0120  0130  0140
EN L 97/40 Official Journal of the European Union 19.3.2021
 INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS  
TOTAL TIER 1 
CAPITAL  TIER 2 CAPITAL  COMMON EQUITY 
TIER 1 CAPITAL  ADDITIONAL TIER 1 
CAPITAL  OF WHICH: 
QUALIFYING TIER 1 
CAPITAL  RELATED T1 
INSTRUMENTS, 
RELATED RETAINED 
EARNINGS AND SHARE 
PREMIUM ACCOUNTS  OF WHICH: 
MINORITY 
INTERESTS  RELATED OWN FUNDS 
INSTRUMENTS, RELATED 
RETAINED EARNINGS, 
SHARE PREMIUM 
ACCOUNTS AND OTHER 
RESERVES  OF WHICH: 
QUALIFYING 
ADDITIONAL TIER 1 
CAPITAL  OF WHICH: 
QUALIFYING TIER 2 
CAPITAL  
0150  0160  0170  0180  0190  0200  0210  0220  0230  0240  
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP  
TOTAL RISK 
EXPOSURE AMOUNT  QUALIFYING OWN 
FUNDS INCLUDED IN 
CONSOLIDATED OWN 
FUNDS  CREDIT; 
COUNTERPARTY 
CREDIT; DILUTION 
RISKS, FREE 
DELIVERIES AND 
SETTLEMENT/DELIVERY 
RISK  POSITION, FX AND 
COMMODITIES RISKS  OPERATIONAL RISK  OTHER RISK 
EXPOSURE AMOUNTS  QUALIFYING TIER 1 
INSTRUMENTS 
INCLUDED IN 
CONSOLIDATED TIER 
1 CAPITAL  MINORITY INTERESTS 
INCLUDED IN 
CONSOLIDATED 
COMMON EQUITY 
TIER 1 CAPITAL  QUALIFYING TIER 1 
INSTRUMENTS 
INCLUDED IN 
CONSOLIDATED 
ADDITIONAL TIER 1 
CAPITAL  
0250  0260  0270  0280  0290  0300  0310  0320  0330
EN 19.3.2021 Official Journal of the European Union L 97/41
 INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP  
CONSOLIDATED OWN FUNDS  QUALIFYING OWN FUNDS 
INSTRUMENTS INCLUDED IN 
CONSOLIDATED TIER 2 
CAPITAL  MEMORANDUM ITEM: 
GOODWILL (-) / (+) NEGATIVE 
GOODWILL  OF WHICH: COMMON EQUITY 
TIER 1  OF WHICH: ADDITIONAL 
TIER 1  OF WHICH: CONRIBUTIONS 
TO CONSOLIDATED RESULT  OF WHICH: (-) GOODWILL / 
(+) NEGATIVE GOODWILL  
0340  0350  0360  0370  0380  0390  0400  
CAPITAL BUFFERS  
COMBINED BUFFER 
REQUIREMENT  CAPITAL CONSERVATION 
BUFFER  INSTITUTION SPECIFIC 
COUNTER-CYCLICAL CAPITAL 
BUFFER  CONSERVATION BUFFER DUE 
TO MACRO-PRUDENTIAL OR 
SYSTEMIC RISK IDENTIFIED AT 
THE LEVEL OF A MEMBER 
STATE  SYSTEMIC RISK BUFFER  GLOBAL SYSTEMICALLY 
IMPORTANT INSTITUTION 
BUFFER  OTHER SYSTEMICALLY 
IMPORTANT INSTITUTION 
BUFFER  
0410  0420  0430  0440  0450  0470  0480
EN L 97/42 Official Journal of the European Union 19.3.2021
 C 07.00 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)  
SA Exposure class  
ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS  (-) VALUE 
ADJUSTMENTS 
AND 
PROVISIONS 
ASSOCIATED 
WITH THE 
ORIGINAL 
EXPOSURE  EXPOSURE NET 
OF VALUE 
ADJUSTMENTS 
AND 
PROVISIONS  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE  
UNFUNDED CREDIT 
PROTECTION: ADJUSTED 
VALUES (Ga)  FUNDED CREDIT PROTECTION  SUBSTITUTION OF THE 
EXPOSURE DUE TO CRM  
(-) GUAR ­
ANTEES  (-) CREDIT 
DERIVATIVES  (-) FINANCIAL 
COLLATERAL: 
SIMPLE 
METHOD  (-) OTHER 
FUNDED 
CREDIT 
PROTECTION  (-) TOTAL 
OUTFLOWS  TOTAL 
INFLOWS (+)  
0010  0030  0040  0050  0060  0070  0080  0090  0100  
0010  TOTAL EXPOSURES  
0015  of which: Defaulted exposures  
0020  of which: SME  
0030  of which: Exposures subject to SME- 
supporting factor  
0035  of which: Exposures subject to the Infra ­
structure supporting factor  
0040  of which: Secured by mortgages on 
immovable property - Residential 
property  
0050  of which: Exposures under the 
permanent partial use of the standardised 
approach
EN 19.3.2021 Official Journal of the European Union L 97/43
 ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS  (-) VALUE 
ADJUSTMENTS 
AND 
PROVISIONS 
ASSOCIATED 
WITH THE 
ORIGINAL 
EXPOSURE  EXPOSURE NET 
OF VALUE 
ADJUSTMENTS 
AND 
PROVISIONS  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE  
UNFUNDED CREDIT 
PROTECTION: ADJUSTED 
VALUES (Ga)  FUNDED CREDIT PROTECTION  SUBSTITUTION OF THE 
EXPOSURE DUE TO CRM  
(-) GUAR ­
ANTEES  (-) CREDIT 
DERIVATIVES  (-) FINANCIAL 
COLLATERAL: 
SIMPLE 
METHOD  (-) OTHER 
FUNDED 
CREDIT 
PROTECTION  (-) TOTAL 
OUTFLOWS  TOTAL 
INFLOWS (+)  
0010  0030  0040  0050  0060  0070  0080  0090  0100  
0060  of which: Exposures under the stan ­
dardised approach with prior super ­
visory permission to carry out a 
sequential IRB implementation  
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:  
0070  On balance sheet exposures subject to 
credit risk  
0080  Off balance sheet exposures subject to 
credit risk  
Exposures / Transactions subject to 
counterparty credit risk  
0090  Securities Financing Transactions 
netting sets  
0100  of which: centrally cleared through a 
QCCP  
0110  Derivatives & Long Settlement 
Transactions netting sets  
0120  of which: centrally cleared through a 
QCCP
EN L 97/44 Official Journal of the European Union 19.3.2021
 ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS  (-) VALUE 
ADJUSTMENTS 
AND 
PROVISIONS 
ASSOCIATED 
WITH THE 
ORIGINAL 
EXPOSURE  EXPOSURE NET 
OF VALUE 
ADJUSTMENTS 
AND 
PROVISIONS  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE  
UNFUNDED CREDIT 
PROTECTION: ADJUSTED 
VALUES (Ga)  FUNDED CREDIT PROTECTION  SUBSTITUTION OF THE 
EXPOSURE DUE TO CRM  
(-) GUAR ­
ANTEES  (-) CREDIT 
DERIVATIVES  (-) FINANCIAL 
COLLATERAL: 
SIMPLE 
METHOD  (-) OTHER 
FUNDED 
CREDIT 
PROTECTION  (-) TOTAL 
OUTFLOWS  TOTAL 
INFLOWS (+)  
0010  0030  0040  0050  0060  0070  0080  0090  0100  
0130  From Contractual Cross Product 
netting sets  
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:  
0140  0 %  
0150  2 %  
0160  4 %  
0170  10 %  
0180  20 %  
0190  35 %  
0200  50 %  
0210  70 %  
0220  75 %  
0230  100 %  
0240  150 %  
0250  250 %
EN 19.3.2021 Official Journal of the European Union L 97/45
 ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS  (-) VALUE 
ADJUSTMENTS 
AND 
PROVISIONS 
ASSOCIATED 
WITH THE 
ORIGINAL 
EXPOSURE  EXPOSURE NET 
OF VALUE 
ADJUSTMENTS 
AND 
PROVISIONS  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE  
UNFUNDED CREDIT 
PROTECTION: ADJUSTED 
VALUES (Ga)  FUNDED CREDIT PROTECTION  SUBSTITUTION OF THE 
EXPOSURE DUE TO CRM  
(-) GUAR ­
ANTEES  (-) CREDIT 
DERIVATIVES  (-) FINANCIAL 
COLLATERAL: 
SIMPLE 
METHOD  (-) OTHER 
FUNDED 
CREDIT 
PROTECTION  (-) TOTAL 
OUTFLOWS  TOTAL 
INFLOWS (+)  
0010  0030  0040  0050  0060  0070  0080  0090  0100  
0260  370 %  
0270  1 250 %  
0280  Other risk weights  
BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU):  
0281  Look-through approach  
0282  Mandate-based approach  
0283  Fall-back approach  
MEMORANDUM ITEMS  
0290  Exposures secured by mortgages on 
commercial immovable property  
0300  Exposures in default subject to a risk 
weight of 100 %  
0310  Exposures secured by mortgages on resi ­
dential property  
0320  Exposures in default subject to a risk 
weight of 150 %
EN L 97/46 Official Journal of the European Union 19.3.2021
 NET EXPOSURE 
AFTER CRM SUBSTI ­
TUTION EFFECTS 
PRE CONVERSION 
FACTORS  CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE 
EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL 
COLLATERAL COMPREHENSIVE METHOD  
FULLY ADJUSTED 
EXPOSURE VALUE 
(E*)  BREAKDOWN OF THE FULLY 
ADJUSTED EXPOSURE VALUE OF OFF- 
BALANCE SHEET ITEMS BY 
CONVERSION FACTORS  
VOLATILITY 
ADJUSTMENT TO 
THE EXPOSURE  (-) FINANCIAL COLLATERAL: ADJUSTED 
VALUE (Cvam)  
0 %  20 %  50 %  100 %  (-) OF WHICH: 
VOLATILITY AND 
MATURITY ADJUST ­
MENTS  
0110  0120  0130  0140  0150  0160  0170  0180  0190  
0010  TOTAL EXPOSURES  
0015  of which: Defaulted exposures  
0020  of which: SME  
0030  of which: Exposures subject to SME- 
supporting factor  
0035  of which: Exposures subject to the Infra ­
structure supporting factor  
0040  of which: Secured by mortgages on 
immovable property - Residential 
property  
0050  of which: Exposures under the 
permanent partial use of the standardised 
approach
EN 19.3.2021 Official Journal of the European Union L 97/47
 NET EXPOSURE 
AFTER CRM SUBSTI ­
TUTION EFFECTS 
PRE CONVERSION 
FACTORS  CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE 
EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL 
COLLATERAL COMPREHENSIVE METHOD  
FULLY ADJUSTED 
EXPOSURE VALUE 
(E*)  BREAKDOWN OF THE FULLY 
ADJUSTED EXPOSURE VALUE OF OFF- 
BALANCE SHEET ITEMS BY 
CONVERSION FACTORS  
VOLATILITY 
ADJUSTMENT TO 
THE EXPOSURE  (-) FINANCIAL COLLATERAL: ADJUSTED 
VALUE (Cvam)  
0 %  20 %  50 %  100 %  (-) OF WHICH: 
VOLATILITY AND 
MATURITY ADJUST ­
MENTS  
0110  0120  0130  0140  0150  0160  0170  0180  0190  
0060  of which: Exposures under the stan ­
dardised approach with prior super ­
visory permission to carry out a 
sequential IRB implementation  
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:  
0070  On balance sheet exposures subject to 
credit risk  
0080  Off balance sheet exposures subject to 
credit risk  
Exposures / Transactions subject to 
counterparty credit risk  
0090  Securities Financing Transactions 
netting sets  
0100  of which: centrally cleared through a 
QCCP  
0110  Derivatives & Long Settlement 
Transactions netting sets  
0120  of which: centrally cleared through a 
QCCP
EN L 97/48 Official Journal of the European Union 19.3.2021
 NET EXPOSURE 
AFTER CRM SUBSTI ­
TUTION EFFECTS 
PRE CONVERSION 
FACTORS  CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE 
EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL 
COLLATERAL COMPREHENSIVE METHOD  
FULLY ADJUSTED 
EXPOSURE VALUE 
(E*)  BREAKDOWN OF THE FULLY 
ADJUSTED EXPOSURE VALUE OF OFF- 
BALANCE SHEET ITEMS BY 
CONVERSION FACTORS  
VOLATILITY 
ADJUSTMENT TO 
THE EXPOSURE  (-) FINANCIAL COLLATERAL: ADJUSTED 
VALUE (Cvam)  
0 %  20 %  50 %  100 %  (-) OF WHICH: 
VOLATILITY AND 
MATURITY ADJUST ­
MENTS  
0110  0120  0130  0140  0150  0160  0170  0180  0190  
0130  From Contractual Cross Product 
netting sets  
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:  
0140  0 %  
0150  2 %  
0160  4 %  
0170  10 %  
0180  20 %  
0190  35 %  
0200  50 %  
0210  70 %  
0220  75 %  
0230  100 %  
0240  150 %  
0250  250 %
EN 19.3.2021 Official Journal of the European Union L 97/49
 NET EXPOSURE 
AFTER CRM SUBSTI ­
TUTION EFFECTS 
PRE CONVERSION 
FACTORS  CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE 
EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL 
COLLATERAL COMPREHENSIVE METHOD  
FULLY ADJUSTED 
EXPOSURE VALUE 
(E*)  BREAKDOWN OF THE FULLY 
ADJUSTED EXPOSURE VALUE OF OFF- 
BALANCE SHEET ITEMS BY 
CONVERSION FACTORS  
VOLATILITY 
ADJUSTMENT TO 
THE EXPOSURE  (-) FINANCIAL COLLATERAL: ADJUSTED 
VALUE (Cvam)  
0 %  20 %  50 %  100 %  (-) OF WHICH: 
VOLATILITY AND 
MATURITY ADJUST ­
MENTS  
0110  0120  0130  0140  0150  0160  0170  0180  0190  
0260  370 %  
0270  1 250 %  
0280  Other risk weights  
BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU):  
0281  Look-through approach  
0282  Mandate-based approach  
0283  Fall-back approach  
MEMORANDUM ITEMS  
0290  Exposures secured by mortgages on 
commercial immovable property  
0300  Exposures in default subject to a risk 
weight of 100 %  
0310  Exposures secured by mortgages on resi ­
dential property  
0320  Exposures in default subject to a risk 
weight of 150 %
EN L 97/50 Official Journal of the European Union 19.3.2021
 EXPOSURE 
VALUE  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT PRE 
SUPPORTING 
FACTORS  (-) 
ADJUSTMENT 
TO THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE 
TO SME 
SUPPORTING 
FACTOR  (-) 
ADJUSTMENT 
TO THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE 
TO THE 
INFRA­
STRUCTURE 
SUPPORTING 
FACTOR  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
AFTER 
SUPPORTING 
FACTORS  OF WHICH: 
ARISING 
FROM 
COUNTER- 
PARTY 
CREDIT RISK  OF WHICH: 
WITH A 
CREDIT 
ASSESSMENT 
BY A 
NOMINATED 
ECAI  OF WHICH: 
WITH A 
CREDIT 
ASSESSMENT 
DERIVED 
FROM 
CENTRAL 
GOVERNMENT  OF WHICH: 
ARISING FROM 
COUNTERPARTY 
CREDIT RISK 
EXCLUDING 
EXPOSURES 
CLEARED 
THROUGH A CCP  
0200  0210  0211  0215  0216  0217  0220  0230  0240  
0010  TOTAL EXPOSURES  Cell linked to 
CA 
0015  of which: Defaulted exposures  
0020  of which: SME  
0030  of which: Exposures subject to SME- 
supporting factor  
0035  of which: Exposures subject to the Infra ­
structure supporting factor  
0040  of which: Secured by mortgages on 
immovable property - Residential 
property  
0050  of which: Exposures under the 
permanent partial use of the standardised 
approach
EN 19.3.2021 Official Journal of the European Union L 97/51
 EXPOSURE 
VALUE  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT PRE 
SUPPORTING 
FACTORS  (-) 
ADJUSTMENT 
TO THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE 
TO SME 
SUPPORTING 
FACTOR  (-) 
ADJUSTMENT 
TO THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE 
TO THE 
INFRA­
STRUCTURE 
SUPPORTING 
FACTOR  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
AFTER 
SUPPORTING 
FACTORS  OF WHICH: 
ARISING 
FROM 
COUNTER- 
PARTY 
CREDIT RISK  OF WHICH: 
WITH A 
CREDIT 
ASSESSMENT 
BY A 
NOMINATED 
ECAI  OF WHICH: 
WITH A 
CREDIT 
ASSESSMENT 
DERIVED 
FROM 
CENTRAL 
GOVERNMENT  OF WHICH: 
ARISING FROM 
COUNTERPARTY 
CREDIT RISK 
EXCLUDING 
EXPOSURES 
CLEARED 
THROUGH A CCP  
0200  0210  0211  0215  0216  0217  0220  0230  0240  
0060  of which: Exposures under the stan ­
dardised approach with prior super ­
visory permission to carry out a 
sequential IRB implementation  
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:  
0070  On balance sheet exposures subject to 
credit risk  
0080  Off balance sheet exposures subject to 
credit risk  
Exposures / Transactions subject to 
counterparty credit risk  
0090  Securities Financing Transactions 
netting sets  
0100  of which: centrally cleared through a 
QCCP  
0110  Derivatives & Long Settlement 
Transactions netting sets  
0120  of which: centrally cleared through a 
QCCP
EN L 97/52 Official Journal of the European Union 19.3.2021
 EXPOSURE 
VALUE  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT PRE 
SUPPORTING 
FACTORS  (-) 
ADJUSTMENT 
TO THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE 
TO SME 
SUPPORTING 
FACTOR  (-) 
ADJUSTMENT 
TO THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE 
TO THE 
INFRA­
STRUCTURE 
SUPPORTING 
FACTOR  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
AFTER 
SUPPORTING 
FACTORS  OF WHICH: 
ARISING 
FROM 
COUNTER- 
PARTY 
CREDIT RISK  OF WHICH: 
WITH A 
CREDIT 
ASSESSMENT 
BY A 
NOMINATED 
ECAI  OF WHICH: 
WITH A 
CREDIT 
ASSESSMENT 
DERIVED 
FROM 
CENTRAL 
GOVERNMENT  OF WHICH: 
ARISING FROM 
COUNTERPARTY 
CREDIT RISK 
EXCLUDING 
EXPOSURES 
CLEARED 
THROUGH A CCP  
0200  0210  0211  0215  0216  0217  0220  0230  0240  
0130  From Contractual Cross Product 
netting sets  
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:  
0140  0 %  
0150  2 %  
0160  4 %  
0170  10 %  
0180  20 %  
0190  35 %  
0200  50 %  
0210  70 %  
0220  75 %  
0230  100 %  
0240  150 %  
0250  250 %
EN 19.3.2021 Official Journal of the European Union L 97/53
 EXPOSURE 
VALUE  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT PRE 
SUPPORTING 
FACTORS  (-) 
ADJUSTMENT 
TO THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE 
TO SME 
SUPPORTING 
FACTOR  (-) 
ADJUSTMENT 
TO THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE 
TO THE 
INFRA­
STRUCTURE 
SUPPORTING 
FACTOR  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
AFTER 
SUPPORTING 
FACTORS  OF WHICH: 
ARISING 
FROM 
COUNTER- 
PARTY 
CREDIT RISK  OF WHICH: 
WITH A 
CREDIT 
ASSESSMENT 
BY A 
NOMINATED 
ECAI  OF WHICH: 
WITH A 
CREDIT 
ASSESSMENT 
DERIVED 
FROM 
CENTRAL 
GOVERNMENT  OF WHICH: 
ARISING FROM 
COUNTERPARTY 
CREDIT RISK 
EXCLUDING 
EXPOSURES 
CLEARED 
THROUGH A CCP  
0200  0210  0211  0215  0216  0217  0220  0230  0240  
0260  370 %  
0270  1 250 %  
0280  Other risk weights  
BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU):  
0281  Look-through approach  
0282  Mandate-based approach  
0283  Fall-back approach  
MEMORANDUM ITEMS  
0290  Exposures secured by mortgages on 
commercial immovable property  
0300  Exposures in default subject to a risk 
weight of 100 %  
0310  Exposures secured by mortgages on resi ­
dential property  
0320  Exposures in default subject to a risk 
weight of 150 %
EN L 97/54 Official Journal of the European Union 19.3.2021
 C 08.01 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)  
IRB Exposure class:  
Own estimates of LGD and/or conversion factors:  
INTERNAL RATING 
SCALE  ORIGINAL EXPOSURE PRE 
CONVERSION FACTORS  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE 
EXPOSURE  
UNFUNDED CREDIT PROTECTION  
(-) OTHER 
FUNDED CREDIT 
PROTECTION  SUBSTITUTION OF THE EXPOSURE 
DUE TO CRM  
PD ASSIGNED TO 
THE OBLIGOR 
GRADE OR POOL 
(%) OF WHICH: LARGE 
FINANCIAL SECTOR 
ENTITIES AND 
UNREGULATED 
FINANCIAL ENTITIES  (-) GUAR ­
ANTEES  (-) CREDIT 
DERIVATIVES  (-) TOTAL 
OUTFLOWS  TOTAL INFLOWS 
(+) 
0010  0020  0030  0040  0050  0060  0070  0080  
0010  TOTAL EXPOSURES  
0015  of which: Exposures subject to SME-supporting factor  
0016  of which: Exposures subject to the Infrastructure 
supporting factor  
BREAKDOWN OF TOTAL EXPOSURES BY 
EXPOSURE TYPES:  
0020  On balance sheet items subject to credit risk  
0030  Off balance sheet items subject to credit risk  
Exposures / Transactions subject to counterparty 
credit risk
EN 19.3.2021 Official Journal of the European Union L 97/55
 INTERNAL RATING 
SCALE  ORIGINAL EXPOSURE PRE 
CONVERSION FACTORS  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE 
EXPOSURE  
UNFUNDED CREDIT PROTECTION  
(-) OTHER 
FUNDED CREDIT 
PROTECTION  SUBSTITUTION OF THE EXPOSURE 
DUE TO CRM  
PD ASSIGNED TO 
THE OBLIGOR 
GRADE OR POOL 
(%) OF WHICH: LARGE 
FINANCIAL SECTOR 
ENTITIES AND 
UNREGULATED 
FINANCIAL ENTITIES  (-) GUAR ­
ANTEES  (-) CREDIT 
DERIVATIVES  (-) TOTAL 
OUTFLOWS  TOTAL INFLOWS 
(+) 
0010  0020  0030  0040  0050  0060  0070  0080  
0040  Securities Financing Transactions netting sets  
0050  Derivatives & Long Settlement Transactions 
netting sets  
0060  From Contractual Cross Product netting sets  
0070  EXPOSURES ASSIGNED TO OBLIGOR GRADES OR 
POOLS: TOTAL  
0080  SPECIALIZED LENDING SLOTTING APPROACH: 
TOTAL  
0160  ALTERNATIVE TREATMENT: SECURED BY REAL 
ESTATE  
0170  EXPOSURES FROM FREE DELIVERIES APPLYING 
RISK WEIGHTS UNDER THE ALTERNATIVE 
TREATMENT OR 100% AND OTHER EXPOSURES 
SUBJECT TO RISK WEIGHTS  
0180  DILUTION RISK: TOTAL PURCHASED RECEIV ­
ABLES
EN L 97/56 Official Journal of the European Union 19.3.2021
 EXPOSURE AFTER CRM 
SUBSTITUTION EFFECTS 
PRE CONVERSION 
FACTORS  EXPOSURE VALUE  
OF WHICH: OFF 
BALANCE SHEET ITEMS  OF WHICH: OFF 
BALANCE SHEET ITEMS  OF WHICH: ARISING 
FROM COUNTERPARTY 
CREDIT RISK  OF WHICH: LARGE 
FINANCIAL SECTOR 
ENTITIES AND 
UNREGULATED 
FINANCIAL ENTITIES  
0090  0100  0110  0120  0130  0140  
0010  TOTAL EXPOSURES  
0015  of which: Exposures subject to SME-supporting factor  
0016  of which: Exposures subject to the Infrastructure 
supporting factor  
BREAKDOWN OF TOTAL EXPOSURES BY 
EXPOSURE TYPES:  
0020  On balance sheet items subject to credit risk  
0030  Off balance sheet items subject to credit risk  
Exposures / Transactions subject to counterparty 
credit risk
EN 19.3.2021 Official Journal of the European Union L 97/57
 EXPOSURE AFTER CRM 
SUBSTITUTION EFFECTS 
PRE CONVERSION 
FACTORS  EXPOSURE VALUE  
OF WHICH: OFF 
BALANCE SHEET ITEMS  OF WHICH: OFF 
BALANCE SHEET ITEMS  OF WHICH: ARISING 
FROM COUNTERPARTY 
CREDIT RISK  OF WHICH: LARGE 
FINANCIAL SECTOR 
ENTITIES AND 
UNREGULATED 
FINANCIAL ENTITIES  
0090  0100  0110  0120  0130  0140  
0040  Securities Financing Transactions netting sets  
0050  Derivatives & Long Settlement Transactions 
netting sets  
0060  From Contractual Cross Product netting sets  
0070  EXPOSURES ASSIGNED TO OBLIGOR GRADES OR 
POOLS: TOTAL  
0080  SPECIALIZED LENDING SLOTTING APPROACH: 
TOTAL  
0160  ALTERNATIVE TREATMENT: SECURED BY REAL 
ESTATE  
0170  EXPOSURES FROM FREE DELIVERIES APPLYING 
RISK WEIGHTS UNDER THE ALTERNATIVE 
TREATMENT OR 100% AND OTHER EXPOSURES 
SUBJECT TO RISK WEIGHTS  
0180  DILUTION RISK: TOTAL PURCHASED RECEIV ­
ABLES
EN L 97/58 Official Journal of the European Union 19.3.2021
 CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT  
OWN ESTIMATES OF LGD'S 
ARE USED: 
UNFUNDED CREDIT 
PROTECTION  FUNDED CREDIT PROTECTION  
GUAR­
ANTEES  CREDIT DERI ­
VATIVES  OWN ESTIMATES 
OF LGD'S ARE 
USED: 
OTHER FUNDED 
CREDIT 
PROTECTION  ELIGIBLE 
FINANCIAL 
COLLATERAL  OTHER ELIGIBLE COLLATERAL  
CASH ON 
DEPOSIT  LIFE 
INSURANCE 
POLICIES  INSTRUMENT ­
S HELD BY A 
THIRD PARTY  REAL ESTATE  OTHER 
PHYSICAL 
COLLATERAL  RECEIV­
ABLES  
0150  0160  0170  0171  0172  0173  0180  0190  0200  0210  
0010  TOTAL EXPOSURES  
0015  of which: Exposures subject to SME-supporting factor  
0016  of which: Exposures subject to the Infrastructure 
supporting factor  
BREAKDOWN OF TOTAL EXPOSURES BY 
EXPOSURE TYPES:  
0020  On balance sheet items subject to credit risk  
0030  Off balance sheet items subject to credit risk  
Exposures / Transactions subject to counterparty 
credit risk
EN 19.3.2021 Official Journal of the European Union L 97/59
 CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT  
OWN ESTIMATES OF LGD'S 
ARE USED: 
UNFUNDED CREDIT 
PROTECTION  FUNDED CREDIT PROTECTION  
GUAR­
ANTEES  CREDIT DERI ­
VATIVES  OWN ESTIMATES 
OF LGD'S ARE 
USED: 
OTHER FUNDED 
CREDIT 
PROTECTION  ELIGIBLE 
FINANCIAL 
COLLATERAL  OTHER ELIGIBLE COLLATERAL  
CASH ON 
DEPOSIT  LIFE 
INSURANCE 
POLICIES  INSTRUMENT ­
S HELD BY A 
THIRD PARTY  REAL ESTATE  OTHER 
PHYSICAL 
COLLATERAL  RECEIV­
ABLES  
0150  0160  0170  0171  0172  0173  0180  0190  0200  0210  
0040  Securities Financing Transactions netting sets  
0050  Derivatives & Long Settlement Transactions 
netting sets  
0060  From Contractual Cross Product netting sets  
0070  EXPOSURES ASSIGNED TO OBLIGOR GRADES OR 
POOLS: TOTAL  
0080  SPECIALIZED LENDING SLOTTING APPROACH: 
TOTAL  
0160  ALTERNATIVE TREATMENT: SECURED BY REAL 
ESTATE  
0170  EXPOSURES FROM FREE DELIVERIES APPLYING 
RISK WEIGHTS UNDER THE ALTERNATIVE 
TREATMENT OR 100% AND OTHER EXPOSURES 
SUBJECT TO RISK WEIGHTS  
0180  DILUTION RISK: TOTAL PURCHASED RECEIV ­
ABLES
EN L 97/60 Official Journal of the European Union 19.3.2021
 SUBJECT TO 
DOUBLE DEFAULT 
TREATMENT  EXPOSURE 
WEIGHTED 
AVERAGE LGD (%)  EXPOSURE WEIGHTED 
AVERAGE LGD (%) FOR 
LARGE FINANCIAL 
SECTOR ENTITIES AND 
UNREGULATED 
FINANCIAL ENTITIES  EXPOSURE- 
WEIGHTED 
AVERAGE 
MATURITY VALUE 
(DAYS)  RISK WEIGHTED 
EXPOSURE AMOUNT 
PRE SUPPORTING 
FACTORS  (-) ADJUSTMENT TO 
RISK-WEIGHTED 
EXPOSURE AMOUNT 
DUE TO SME 
SUPPORTING 
FACTOR  (-) ADJUSTMENT TO 
RISK-WEIGHTED 
EXPOSURE AMOUNT 
DUE TO THE INFRA ­
STRUCTURE 
SUPPORTING 
FACTOR  UNFUNDED CREDIT 
PROTECTION  
0220  0230  0240  0250  0255  0256  0257  
0010  TOTAL EXPOSURES  
0015  of which: Exposures subject to SME-supporting factor  
0016  of which: Exposures subject to the Infrastructure 
supporting factor  
BREAKDOWN OF TOTAL EXPOSURES BY 
EXPOSURE TYPES:  
0020  On balance sheet items subject to credit risk  
0030  Off balance sheet items subject to credit risk  
Exposures / Transactions subject to counterparty 
credit risk
EN 19.3.2021 Official Journal of the European Union L 97/61
 SUBJECT TO 
DOUBLE DEFAULT 
TREATMENT  EXPOSURE 
WEIGHTED 
AVERAGE LGD (%)  EXPOSURE WEIGHTED 
AVERAGE LGD (%) FOR 
LARGE FINANCIAL 
SECTOR ENTITIES AND 
UNREGULATED 
FINANCIAL ENTITIES  EXPOSURE- 
WEIGHTED 
AVERAGE 
MATURITY VALUE 
(DAYS)  RISK WEIGHTED 
EXPOSURE AMOUNT 
PRE SUPPORTING 
FACTORS  (-) ADJUSTMENT TO 
RISK-WEIGHTED 
EXPOSURE AMOUNT 
DUE TO SME 
SUPPORTING 
FACTOR  (-) ADJUSTMENT TO 
RISK-WEIGHTED 
EXPOSURE AMOUNT 
DUE TO THE INFRA ­
STRUCTURE 
SUPPORTING 
FACTOR  UNFUNDED CREDIT 
PROTECTION  
0220  0230  0240  0250  0255  0256  0257  
0040  Securities Financing Transactions netting sets  
0050  Derivatives & Long Settlement Transactions 
netting sets  
0060  From Contractual Cross Product netting sets  
0070  EXPOSURES ASSIGNED TO OBLIGOR GRADES OR 
POOLS: TOTAL  
0080  SPECIALIZED LENDING SLOTTING APPROACH: 
TOTAL  
0160  ALTERNATIVE TREATMENT: SECURED BY REAL 
ESTATE  
0170  EXPOSURES FROM FREE DELIVERIES APPLYING 
RISK WEIGHTS UNDER THE ALTERNATIVE 
TREATMENT OR 100% AND OTHER EXPOSURES 
SUBJECT TO RISK WEIGHTS  
0180  DILUTION RISK: TOTAL PURCHASED RECEIV ­
ABLES
EN L 97/62 Official Journal of the European Union 19.3.2021
 RISK WEIGHTED EXPOSURE AMOUNT AFTER 
SUPPORTING FACTORS  MEMORANDUM ITEMS:  
EXPECTED LOSS 
AMOUNT  (-) VALUE 
ADJUSTMENTS AND 
PROVISIONS  NUMBER OF OBLIGORS  PRE-CREDIT DERI ­
VATIVES RISK 
WEIGHTED EXPOSURE 
AMOUNT  OF WHICH: LARGE 
FINANCIAL SECTOR 
ENTITIES AND 
UNREGULATED 
FINANCIAL ENTITIES  
0260  0270  0280  0290  0300  0310  
0010  TOTAL EXPOSURES  Cell linked to CA  
0015  of which: Exposures subject to SME-supporting factor  
0016  of which: Exposures subject to the Infrastructure 
supporting factor  
BREAKDOWN OF TOTAL EXPOSURES BY 
EXPOSURE TYPES:  
0020  On balance sheet items subject to credit risk  
0030  Off balance sheet items subject to credit risk  
Exposures / Transactions subject to counterparty 
credit risk
EN 19.3.2021 Official Journal of the European Union L 97/63
 RISK WEIGHTED EXPOSURE AMOUNT AFTER 
SUPPORTING FACTORS  MEMORANDUM ITEMS:  
EXPECTED LOSS 
AMOUNT  (-) VALUE 
ADJUSTMENTS AND 
PROVISIONS  NUMBER OF OBLIGORS  PRE-CREDIT DERI ­
VATIVES RISK 
WEIGHTED EXPOSURE 
AMOUNT  OF WHICH: LARGE 
FINANCIAL SECTOR 
ENTITIES AND 
UNREGULATED 
FINANCIAL ENTITIES  
0260  0270  0280  0290  0300  0310  
0040  Securities Financing Transactions netting sets  
0050  Derivatives & Long Settlement Transactions 
netting sets  
0060  From Contractual Cross Product netting sets  
0070  EXPOSURES ASSIGNED TO OBLIGOR GRADES OR 
POOLS: TOTAL  
0080  SPECIALIZED LENDING SLOTTING APPROACH: 
TOTAL  
0160  ALTERNATIVE TREATMENT: SECURED BY REAL 
ESTATE  
0170  EXPOSURES FROM FREE DELIVERIES APPLYING 
RISK WEIGHTS UNDER THE ALTERNATIVE 
TREATMENT OR 100% AND OTHER EXPOSURES 
SUBJECT TO RISK WEIGHTS  
0180  DILUTION RISK: TOTAL PURCHASED RECEIV ­
ABLES
EN L 97/64 Official Journal of the European Union 19.3.2021
 C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS 
(CR IRB 2)  
IRB Exposure class:  
Own estimates of LGD and/or conversion factors:  
OBLIGOR GRADE (ROW 
IDENTIFIER)  INTERNAL RATING 
SCALE  ORIGINAL EXPOSURE PRE CONVERSION FACTORS  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE  
UNFUNDED CREDIT PROTECTION  
(-) OTHER FUNDED 
CREDIT PROTECTION  SUBSTITUTION OF THE EXPOSURE DUE TO CRM  
PD ASSIGNED TO THE 
OBLIGOR GRADE OR 
POOL 
(%) OF WHICH: LARGE 
FINANCIAL SECTOR 
ENTITIES AND 
UNREGULATED 
FINANCIAL ENTITIES  (-) GUARANTEES  (-) CREDIT DERIVATIVES  (-) TOTAL OUTFLOWS  TOTAL INFLOWS (+)  
0005  0010  0020  0030  0040  0050  0060  0070  0080  
EXPOSURE AFTER CRM SUBSTI ­
TUTION EFFECTS PRE CONVERSION 
FACTORS  EXPOSURE VALUE  OF WHICH: OFF BALANCE SHEET 
ITEMS  OF WHICH: OFF BALANCE SHEET 
ITEMS  OF WHICH: ARISING FROM 
COUNTERPARTY CREDIT RISK  OF WHICH: LARGE FINANCIAL SECTOR 
ENTITIES AND UNREGULATED 
FINANCIAL ENTITIES  
0090  0100  0110  0120  0130  0140
EN 19.3.2021 Official Journal of the European Union L 97/65
 CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT  
OWN ESTIMATES OF LGD'S ARE USED: 
UNFUNDED CREDIT PROTECTION  FUNDED CREDIT PROTECTION  
GUARANTEES  CREDIT DERIVATIVES  OWN ESTIMATES OF 
LGD'S ARE USED: 
OTHER FUNDED 
CREDIT PROTECTION  ELIGIBLE FINANCIAL 
COLLATERAL  OTHER ELIGIBLE COLLATERAL  
CASH ON DEPOSIT  LIFE INSURANCE 
POLICIES  INSTRUMENTS HELD 
BY A THIRD PARTY  REAL ESTATE  OTHER PHYSICAL 
COLLATERAL  RECEIVABLES  
0150  0160  0170  0171  0172  0173  0180  0190  0200  0210  
SUBJECT TO DOUBLE DEFAULT 
TREATMENT  EXPOSURE WEIGHTED 
AVERAGE LGD (%)  EXPOSURE WEIGHTED 
AVERAGE LGD (%) FOR LARGE 
FINANCIAL SECTOR ENTITIES 
AND UNREGULATED FINANCIAL 
ENTITIES  EXPOSURE-WEIGHTED 
AVERAGE MATURITY VALUE 
(DAYS)  RISK WEIGHTED EXPOSURE 
AMOUNT PRE SUPPORTING 
FACTORS  (-) ADJUSTMENT TO RISK- 
WEIGHTED EXPOSURE AMOUNT 
DUE TO SME SUPPORTING 
FACTOR  (-) ADJUSTMENT TO RISK- 
WEIGHTED EXPOSURE AMOUNT 
DUE TO THE INFRASTRUCTURE 
SUPPORTING FACTOR  UNFUNDED CREDIT 
PROTECTION  
0220  0230  0240  0250  0255  0256  0257  
RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS  MEMORANDUM ITEMS:  
EXPECTED LOSS AMOUNT  (-) VALUE ADJUSTMENTS AND 
PROVISIONS  NUMBER OF OBLIGORS  PRE-CREDIT 
DERIVATIVES RISK WEIGHTED 
EXPOSURE AMOUNT  OF WHICH: LARGE FINANCIAL 
SECTOR ENTITIES AND 
UNREGULATED FINANCIAL ENTITIES  
0260  0270  0280  0290  0300  0310
EN L 97/66 Official Journal of the European Union 19.3.2021
 C 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES (CR IRB 3)  
IRB Exposure class:  
Own estimates of LGD 
and/or conversion factors:  
PD RANGE  ON-BALANCE 
SHEET 
EXPOSURES  OFF- 
BALANCE- 
SHEET 
EXPOSURES 
PRE- 
CONVERSION 
FACTORS  EXPOSURE 
WEIGHTED 
AVERAGE 
CONVERSION 
FACTORS  EXPOSURE 
VALUE POST 
CONVERSION 
FACTORS 
AND POST 
CRM  EXPOSURE 
WEIGHTED 
AVERAGE PD 
(%) NUMBER OF 
OBLIGORS  EXPOSURE 
WEIGHTED 
AVERAGE 
LGD (%)  EXPOSURE 
WEIGHTED 
AVERAGE 
MATURITY 
(YEARS)  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
AFTER 
SUPPORTING 
FACTORS  EXPECTED 
LOSS 
AMOUNT  VALUE 
ADJUST- 
MENTS AND 
PROVISIONS  
0010  0020  0030  0040  0050  0060  0070  0080  0090  0100  0110  
0010  0.00 to <0.15  
0020  0.00 to <0.10  
0030  0.10 to <0.15  
0040  0.15 to <0.25  
0050  0.25 to <0.50  
0060  0.50 to <0.75  
0070  0.75 to <2.5  
0080  0.75 to <1.75  
0090  1.75 to <2.5
EN 19.3.2021 Official Journal of the European Union L 97/67
 PD RANGE  ON-BALANCE 
SHEET 
EXPOSURES  OFF- 
BALANCE- 
SHEET 
EXPOSURES 
PRE- 
CONVERSION 
FACTORS  EXPOSURE 
WEIGHTED 
AVERAGE 
CONVERSION 
FACTORS  EXPOSURE 
VALUE POST 
CONVERSION 
FACTORS 
AND POST 
CRM  EXPOSURE 
WEIGHTED 
AVERAGE PD 
(%) NUMBER OF 
OBLIGORS  EXPOSURE 
WEIGHTED 
AVERAGE 
LGD (%)  EXPOSURE 
WEIGHTED 
AVERAGE 
MATURITY 
(YEARS)  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
AFTER 
SUPPORTING 
FACTORS  EXPECTED 
LOSS 
AMOUNT  VALUE 
ADJUST- 
MENTS AND 
PROVISIONS  
0010  0020  0030  0040  0050  0060  0070  0080  0090  0100  0110  
0100  2.5 to <10  
0110  2.5 to <5  
0120  5 to <10  
0130  10 to <100  
0140  10 to <20  
0150  20 to <30  
0160  30 to <100  
0170  100 (Default)
 C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS 
(CR IRB 4)  
RISK 
WEIGHTED 
EXPOSURE 
AMOUNT  
0010  
0010  RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING 
PERIOD  
0020  ASSET SIZE (+/-)  
0030  ASSET QUALITY (+/-)  
0040  MODEL UPDATES (+/-)  
0050  METHODOLOGY AND POLICY (+/-)  
0060  ACQUISITIONS AND DISPOSALS (+/-)  
0070  FOREIGN EXCHANGE MOVEMENTS (+/-)  
0080  OTHER (+/-)  
0090  RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIODEN L 97/68 Official Journal of the European Union 19.3.2021
 
C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5)  
IRB Exposure class:  
Own estimates of LGD and/or conversion factors:  
PD RANGE  ARITHMETIC 
AVERAGE PD 
(%) NUMBER OF 
OBLIGORS AT 
THE END OF 
THE PREVIOUS 
YEAR  OBSERVED 
AVERAGE 
DEFAULT RATE 
(%) AVERAGE 
HISTORICAL 
ANNUAL 
DEFAULT RATE 
(%) OF WHICH: 
DEFAULTED 
DURING THE 
YEAR  
0010  0020  0030  0040  0050  
0010  0.00 to <0.15  
0020  0.00 to <0.10  
0030  0.10 to <0.15  
0040  0.15 to <0.25  
0050  0.25 to <0.50  
0060  0.50 to <0.75  
0070  0.75 to <2.5  
0080  0.75 to <1.75  
0090  1.75 to <2.5  
0100  2.5 to <10  
0110  2.5 to <5  
0120  5 to <10  
0130  10 to <100  
0140  10 to <20  
0150  20 to <30  
0160  30 to <100  
0170  100 (Default)EN 19.3.2021 Official Journal of the European Union L 97/69
 EN L 97/70 Official Journal of the European Union 19.3.2021
 C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF  ARTICLE 180(1) (CR IRB 5)  
IRB Exposure class:  
Own estimates of LGD and/or conversion factors:  
PD RANGE  EXTERNAL RATING 
EQUIVALENT  ARITHMETIC AVERAGE 
PD (%)  NUMBER OF OBLIGORS 
AT THE END OF THE 
PREVIOUS YEAR  OBSERVED AVERAGE 
DEFAULT RATE (%)  AVERAGE HISTORICAL 
ANNUAL DEFAULT 
RATE (%)  OF WHICH: DEFAULTED 
DURING THE YEAR  
0005  0006  0010  0020  0030  0040  0050
EN 19.3.2021 Official Journal of the European Union L 97/71
 C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6) 
Type of specialised lending:  
ORIGINAL 
EXPOSURE 
PRE 
CONVERSI ­
ON 
FACTORS  EXPOSURE 
AFTER CRM 
SUBSTI­
TUTION 
EFFECTS 
PRE 
CONVERSI ­
ON 
FACTORS  EXPOSURE 
VALUE  RISK 
WEIGHT  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
AFTER 
SUPPORTING 
FACTORS  MEMORANDUM ITEMS:  
EXPECTED LOSS 
AMOUNT  (-) VALUE 
ADJUSTME ­
NTS AND 
PROVI­
SIONS  OF WHICH: 
OFF 
BALANCE 
SHEET 
ITEMS  OF 
WHICH: 
OFF 
BALANCE 
SHEET 
ITEMS  OF WHICH: 
ARISING 
FROM 
COUNTERPA ­
RTY CREDIT 
RISK  
0010  0020  0030  0040  0050  0060  0070  0080  0090  0100  
0010  
CATEGORY 1  LESS THAN 2.5 YEARS  50 %  
0020  EQUAL TO OR MORE 
THAN 2.5 YEARS  70 %  
0030  
CATEGORY 2  LESS THAN 2.5 YEARS  70 %  
0040  EQUAL TO OR MORE 
THAN 2.5 YEARS  90 %  
0050  
CATEGORY 3  LESS THAN 2.5 YEARS  115 %  
0060  EQUAL TO OR MORE 
THAN 2.5 YEARS  115 %  
0070  
CATEGORY 4  LESS THAN 2.5 YEARS  250 %  
0080  EQUAL TO OR MORE 
THAN 2.5 YEARS  250 %
EN L 97/72 Official Journal of the European Union 19.3.2021
 ORIGINAL 
EXPOSURE 
PRE 
CONVERSI ­
ON 
FACTORS  EXPOSURE 
AFTER CRM 
SUBSTI­
TUTION 
EFFECTS 
PRE 
CONVERSI ­
ON 
FACTORS  EXPOSURE 
VALUE  RISK 
WEIGHT  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
AFTER 
SUPPORTING 
FACTORS  MEMORANDUM ITEMS:  
EXPECTED LOSS 
AMOUNT  (-) VALUE 
ADJUSTME ­
NTS AND 
PROVI­
SIONS  OF WHICH: 
OFF 
BALANCE 
SHEET 
ITEMS  OF 
WHICH: 
OFF 
BALANCE 
SHEET 
ITEMS  OF WHICH: 
ARISING 
FROM 
COUNTERPA ­
RTY CREDIT 
RISK  
0010  0020  0030  0040  0050  0060  0070  0080  0090  0100  
0090  
CATEGORY 5  LESS THAN 2.5 YEARS  — 
0100  EQUAL TO OR MORE 
THAN 2.5 YEARS  — 
0110  
TOTAL  LESS THAN 2.5 YEARS  
0120  EQUAL TO OR MORE 
THAN 2.5 YEARS
EN 19.3.2021 Official Journal of the European Union L 97/73
 C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7) 
TOTAL EXPOSURE 
VALUE AS DEFINED 
IN ART 166 CRR  TOTAL EXPOSURE 
VALUE SUBJECT TO 
SA AND IRB  PERCENTAGE OF 
TOTAL EXPOSURE 
VALUE SUBJECT TO 
PERMANENT 
PARTIAL USE OF SA 
(%) PERCENTAGE OF 
TOTAL EXPOSURE 
VALUE SUBJECT TO 
A ROLL-OUT PLAN 
(%) PERCENTAGE OF 
TOTAL EXPOSURE 
VALUE SUBJECT TO 
IRB APPROACH (%)  
0010  0020  0030  0040  0050  
0010  CENTRAL GOVERNMENTS OR CENTRAL BANKS  
0020  OF WHICH: REGIONAL GOVERNMENTS OR LOCAL 
AUTHORITIES  
0030  OF WHICH: PUBLIC SECTOR ENTITIES  
0040  INSTITUTIONS  
0050  CORPORATES  
0060  OF WHICH: CORPORATES - SPECIALISED 
LENDING, EXCLUDING SLOTTING APPROACH  
0070  OF WHICH: CORPORATES - SPECIALISED 
LENDING, INCLUDING SLOTTING APPROACH  
0080  OF WHICH: CORPORATES - SMES  
0090  RETAIL  
0100  OF WHICH RETAIL – SECURED BY REAL ESTATE 
SMES
EN L 97/74 Official Journal of the European Union 19.3.2021
 TOTAL EXPOSURE 
VALUE AS DEFINED 
IN ART 166 CRR  TOTAL EXPOSURE 
VALUE SUBJECT TO 
SA AND IRB  PERCENTAGE OF 
TOTAL EXPOSURE 
VALUE SUBJECT TO 
PERMANENT 
PARTIAL USE OF SA 
(%) PERCENTAGE OF 
TOTAL EXPOSURE 
VALUE SUBJECT TO 
A ROLL-OUT PLAN 
(%) PERCENTAGE OF 
TOTAL EXPOSURE 
VALUE SUBJECT TO 
IRB APPROACH (%)  
0010  0020  0030  0040  0050  
0110  OF WHICH RETAIL – SECURED BY REAL ESTATE 
NON-SMES  
0120  OF WHICH RETAIL – QUALIFYING REVOLVING  
0130  OF WHICH RETAIL – OTHER SMES  
0140  OF WHICH RETAIL – OTHER NON-SMES  
0150  EQUITY  
0160  OTHER NON-CREDIT OBLIGATION ASSETS  
0170  TOTAL
EN 19.3.2021 Official Journal of the European Union L 97/75
 C 09.01 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)  
Country:  
ORIGINAL EXPOSURE PRE 
CONVERSION FACTORS  Observed new 
defaults for the 
period  General credit risk 
adjustments  Specific credit risk 
adjustments  Write offs  Additional value 
adjustments and 
other own funds 
reductions  Defaulted 
exposures  
0010  0020  0040  0050  0055  0060  0061  
0010  Central governments or central banks  
0020  Regional governments or local authorities  
0030  Public sector entities  
0040  Multilateral Development Banks  
0050  International Organisations  
0060  Institutions  
0070  Corporates  
0075  of which: SME  
0080  Retail  
0085  of which: SME  
0090  Secured by mortgages on immovable property  
0095  of which: SME
EN L 97/76 Official Journal of the European Union 19.3.2021
 ORIGINAL EXPOSURE PRE 
CONVERSION FACTORS  Observed new 
defaults for the 
period  General credit risk 
adjustments  Specific credit risk 
adjustments  Write offs  Additional value 
adjustments and 
other own funds 
reductions  Defaulted 
exposures  
0010  0020  0040  0050  0055  0060  0061  
0100  Exposures in default  
0110  Items associated with particularly high risk  
0120  Covered bonds  
0130  Claims on institutions and corporates with a short-term 
credit assessment  
0140  Collective investments undertakings (CIU)  
0141  Look-through approach  
0142  Mandate-based approach  
0143  Fall-back approach  
0150  Equity exposures  
0160  Other exposures  
0170  Total exposures
EN 19.3.2021 Official Journal of the European Union L 97/77
 Credit risk adjust ­
ments/write-offs for 
observed new defaults  EXPOSURE 
VALUE  RISK WEIGHTED 
EXPOSURE AMOUNT 
PRE SUPPORTING 
FACTORS  (-) ADJUSTMENT TO 
THE RISK-WEIGHTED 
EXPOSURE AMOUNT 
DUE TO SME 
SUPPORTING FACTOR  (-) ADJUSTMENT TO 
THE RISK-WEIGHTED 
EXPOSURE AMOUNT 
DUE TO THE INFRA ­
STRUCTURE 
SUPPORTING FACTOR  RISK WEIGHTED 
EXPOSURE AMOUNT 
AFTER SUPPORTING 
FACTORS  
0070  0075  0080  0081  0082  0090  
0010  Central governments or central banks  
0020  Regional governments or local authorities  
0030  Public sector entities  
0040  Multilateral Development Banks  
0050  International Organisations  
0060  Institutions  
0070  Corporates  
0075  of which: SME  
0080  Retail  
0085  of which: SME  
0090  Secured by mortgages on immovable property  
0095  of which: SME
EN L 97/78 Official Journal of the European Union 19.3.2021
 Credit risk adjust ­
ments/write-offs for 
observed new defaults  EXPOSURE 
VALUE  RISK WEIGHTED 
EXPOSURE AMOUNT 
PRE SUPPORTING 
FACTORS  (-) ADJUSTMENT TO 
THE RISK-WEIGHTED 
EXPOSURE AMOUNT 
DUE TO SME 
SUPPORTING FACTOR  (-) ADJUSTMENT TO 
THE RISK-WEIGHTED 
EXPOSURE AMOUNT 
DUE TO THE INFRA ­
STRUCTURE 
SUPPORTING FACTOR  RISK WEIGHTED 
EXPOSURE AMOUNT 
AFTER SUPPORTING 
FACTORS  
0070  0075  0080  0081  0082  0090  
0100  Exposures in default  
0110  Items associated with particularly high risk  
0120  Covered bonds  
0130  Claims on institutions and corporates with a short-term 
credit assessment  
0140  Collective investments undertakings (CIU)  
0141  Look-through approach  
0142  Mandate-based approach  
0143  Fall-back approach  
0150  Equity exposures  
0160  Other exposures  
0170  Total exposures
EN 19.3.2021 Official Journal of the European Union L 97/79
 C 09.02 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)  
Country:  
ORIGINAL EXPOSURE PRE 
CONVERSION FACTORS  Observed new 
defaults for the 
period  General credit 
risk adjustments  Specific credit 
risk adjustments  Write off  Credit risk 
adjustments/ 
write-offs for 
observed new 
defaults  PD ASSIGNED 
TO THE 
OBLIGOR 
GRADE OR 
POOL (%)  Of which: 
defaulted  
0010  0030  0040  0050  0055  0060  0070  0080  
0010  Central governments or central banks  
0020  Institutions  
0030  Corporates  
0042  Of Which: Specialised Lending (excl. SL under the 
slotting approach)  
0045  Of Which: Specialised Lending under the slotting 
approach  
0050  Of Which: SME  
0060  Retail  
0070  Secured by immovable property  
0080  SME  
0090  Non-SME
EN L 97/80 Official Journal of the European Union 19.3.2021
 ORIGINAL EXPOSURE PRE 
CONVERSION FACTORS  Observed new 
defaults for the 
period  General credit 
risk adjustments  Specific credit 
risk adjustments  Write off  Credit risk 
adjustments/ 
write-offs for 
observed new 
defaults  PD ASSIGNED 
TO THE 
OBLIGOR 
GRADE OR 
POOL (%)  Of which: 
defaulted  
0010  0030  0040  0050  0055  0060  0070  0080  
0100  Qualifying Revolving  
0110  Other Retail  
0120  SME  
0130  Non-SME  
0140  Equity  
0150  Total exposures
EN 19.3.2021 Official Journal of the European Union L 97/81
 EXPOSURE WEIGHTED 
AVERAGE LGD (%)  
EXPOSURE 
VALUE  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
PRE 
SUPPORTING 
FACTORS  (-) 
ADJUSTMEN ­
T TO RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT 
DUE TO SME 
SUPPORTING 
FACTOR  (-) 
ADJUSTMENT 
TO RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE 
TO THE 
INFRA­
STRUCTURE 
SUPPORTING 
FACTOR  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
AFTER 
SUPPORTING 
FACTORS  EXPECTED 
LOSS 
AMOUNT  Of which: 
defaulted  Of which: 
defaulted  
0090  0100  0105  0110  0120  0121  0122  0125  0130  
0010  Central governments or central banks  
0020  Institutions  
0030  Corporates  
0042  Of Which: Specialised Lending (excl. SL under the 
slotting approach)  
0045  Of Which: Specialised Lending under the slotting 
approach  
0050  Of Which: SME  
0060  Retail  
0070  Secured by immovable property  
0080  SME  
0090  Non-SME
EN L 97/82 Official Journal of the European Union 19.3.2021
 EXPOSURE WEIGHTED 
AVERAGE LGD (%)  
EXPOSURE 
VALUE  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
PRE 
SUPPORTING 
FACTORS  (-) 
ADJUSTMEN ­
T TO RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT 
DUE TO SME 
SUPPORTING 
FACTOR  (-) 
ADJUSTMENT 
TO RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE 
TO THE 
INFRA­
STRUCTURE 
SUPPORTING 
FACTOR  RISK 
WEIGHTED 
EXPOSURE 
AMOUNT 
AFTER 
SUPPORTING 
FACTORS  EXPECTED 
LOSS 
AMOUNT  Of which: 
defaulted  Of which: 
defaulted  
0090  0100  0105  0110  0120  0121  0122  0125  0130  
0100  Qualifying Revolving  
0110  Other Retail  
0120  SME  
0130  Non-SME  
0140  Equity  
0150  Total exposures
 C 09.04 - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY 
COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)  
Country:  
Amount  Percentage  Qualitative 
information  
0010  0020  0030  
Relevant credit exposures - Credit Risk  
0010  Exposure value under the Standardised Approach  
0020  Exposure value under the IRB Approach  
Relevant credit exposures – Market risk  
0030  Sum of long and short positions of trading book exposures for standardised 
approaches  
0040  Value of trading book exposures for internal models  
Relevant credit exposures – Securitisation  
0055  Exposure value of securitisation positions in the banking book  
Own funds requirements and weights  
0070  Total own funds requirements for CCB  
0080  Own funds requirements for relevant credit exposures – Credit risk  
0090  Own funds requirements for relevant credit exposures – Market risk  
0100  Own funds requirements for relevant credit exposures – Securitisation 
positions in the banking book  
0110  Own funds requirements weights  
Countercyclical capital buffer rates  
0120  Countercyclical capital buffer rate set by the Designated Authority  
0130  Countercyclical capital buffer rate applicable for the country of the institutionEN 19.3.2021 Official Journal of the European Union L 97/83
 
Amount  Percentage  Qualitative 
information  
0010  0020  0030  
0140  Institution-specific countercyclical capital buffer rate  
Use of 2 % threshold  
0150  Use of 2 % threshold for general credit exposure  
0160  Use of 2 % threshold for trading book exposureEN L 97/84 Official Journal of the European Union 19.3.2021
 EN 19.3.2021 Official Journal of the European Union L 97/85
 C 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)  
INTERNAL 
RATING SCALE  
ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS  CREDIT RISK MITIGATION (CRM) TECHNIQUES 
WITH SUBSTITUTION EFFECTS ON THE EXPOSURE  
EXPOSURE 
VALUE  EXPOSURE 
WEIGHTED 
AVERAGE LGD 
(%) RISK 
WEIGHTED 
EXPOSURE 
AMOUNT  MEMORANDUM 
ITEM:  
UNFUNDED CREDIT PROTECTION  SUBSTITUTION 
OF THE 
EXPOSURE DUE 
TO CRM  OF WHICH: OFF 
BALANCE 
SHEET ITEMS  EXPECTED LOSS 
AMOUNT  PD ASSIGNED 
TO THE 
OBLIGOR 
GRADE 
(%) (-) GUAR ­
ANTEES  (-) CREDIT 
DERIVATIVES  (-) TOTAL 
OUTFLOWS  
0010  0020  0030  0040  0050  0060  0061  0070  0080  0090  
0010  TOTAL IRB EQUITY EXPOSURES  Cell linked 
to CA  
0020  PD/LGD APRROACH: TOTAL  
0050  SIMPLE RISK WEIGHT APPROACH: 
TOTAL  
0060  BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:  
0070  RISK WEIGHT: 190 %  
0080  290 %  
0090  370 %  
0100  INTERNAL MODELS APPROACH  
0110  EQUITY EXPOSURES SUBJECT TO 
RISK WEIGHTS
EN L 97/86 Official Journal of the European Union 19.3.2021
 C 10.02 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES 
(CR EQU IRB 2) 
OBLIGOR 
GRADE (ROW 
IDENTIFIER)  INTERNAL 
RATING SCALE  ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS  CREDIT RISK MITIGATION (CRM) TECHNIQUES 
WITH SUBSTITUTION EFFECTS ON THE EXPOSURE  
EXPOSURE 
VALUE  EXPOSURE 
WEIGHTED 
AVERAGE LGD 
(%) RISK WEIGHTED 
EXPOSURE 
AMOUNT  MEMORANDUM 
ITEM:  
UNFUNDED CREDIT PROTECTION  SUBSTITUTION 
OF THE 
EXPOSURE DUE 
TO CRM  EXPECTED LOSS 
AMOUNT  PD ASSIGNED 
TO THE 
OBLIGOR 
GRADE (%)  (-) GUARANTEES  (-) CREDIT 
DERIVATIVES  (-) TOTAL 
OUTFLOWS  
0005  0010  0020  0030  0040  0050  0060  0070  0080  0090
EN 19.3.2021 Official Journal of the European Union L 97/87
 C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)  
UNSETTLED TRANS ­
ACTIONS AT 
SETTLEMENT PRICE  PRICE DIFFERENCE 
EXPOSURE DUE TO 
UNSETTLED TRANS ­
ACTIONS  OWN FUNDS 
REQUIREMENTS  TOTAL 
SETTLEMENT RISK 
EXPOSURE 
AMOUNT  
0010  0020  0030  0040  
0010  Total unsettled transactions in the Non-trading Book  Cell linked to CA  
0020  Transactions unsettled up to 4 days (Factor 0%)  
0030  Transactions unsettled between 5 and 15 days (Factor 8%)  
0040  Transactions unsettled between 16 and 30 days (Factor 50%)  
0050  Transactions unsettled between 31 and 45 days (Factor 75%)  
0060  Transactions unsettled for 46 days or more (Factor 100%)  
0070  Total unsettled transactions in the Trading Book  Cell linked to CA  
0080  Transactions unsettled up to 4 days (Factor 0%)  
0090  Transactions unsettled between 5 and 15 days (Factor 8%)  
0100  Transactions unsettled between 16 and 30 days (Factor 50%)  
0110  Transactions unsettled between 31 and 45 days (Factor 75%)  
0120  Transactions unsettled for 46 days or more (Factor 100%)
EN L 97/88 Official Journal of the European Union 19.3.2021
 C 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)  
TOTAL AMOUNT 
OF SECURITI ­
SATI0N 
EXPOSURES 
ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION 
TO THE SECURITISED EXPOSURES SECURITI ­
SATION 
POSITIONS 
(-) VALUE 
ADJUSTMENTS 
AND 
PROVISIONS EXPOSURE NET 
OF VALUE 
ADJUSTMENTS 
AND 
PROVISIONS (-) FUNDED 
CREDIT 
PROTECTION 
(Cva) (-) TOTAL 
OUTFLOWS NOTIONAL 
AMOUNT 
RETAINED OR 
REPURCHASED 
OF CREDIT 
PROTECTION ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS (-) UNFUNDED 
CREDIT 
PROTECTION 
ADJUSTED 
VALUES (G*)  
0010 0020 0030 0040 0050 0060 0070  
0010  TOTAL EXPOSURES  
0020 SECURITISATIONS 
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0040 STS EXPOSURES 
0050 SENIOR POSITION IN SMEs SECURITISATIONS 
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0070 RE-SECURITISATIONS 
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0110 OF WHICH: SENIOR EXPOSURES 
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/89
 TOTAL AMOUNT 
OF SECURITI ­
SATI0N 
EXPOSURES 
ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION 
TO THE SECURITISED EXPOSURES SECURITI ­
SATION 
POSITIONS 
(-) VALUE 
ADJUSTMENTS 
AND 
PROVISIONS EXPOSURE NET 
OF VALUE 
ADJUSTMENTS 
AND 
PROVISIONS (-) FUNDED 
CREDIT 
PROTECTION 
(Cva) (-) TOTAL 
OUTFLOWS NOTIONAL 
AMOUNT 
RETAINED OR 
REPURCHASED 
OF CREDIT 
PROTECTION ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS (-) UNFUNDED 
CREDIT 
PROTECTION 
ADJUSTED 
VALUES (G*)  
0010 0020 0030 0040 0050 0060 0070  
0130 OF WHICH: SENIOR EXPOSURES 
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0160 OF WHICH: SENIOR EXPOSURES 
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0180 OF WHICH: SENIOR EXPOSURES 
0190 RE-SECURITISATIONS 
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/90 Official Journal of the European Union 19.3.2021
 TOTAL AMOUNT 
OF SECURITI ­
SATI0N 
EXPOSURES 
ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION 
TO THE SECURITISED EXPOSURES SECURITI ­
SATION 
POSITIONS 
(-) VALUE 
ADJUSTMENTS 
AND 
PROVISIONS EXPOSURE NET 
OF VALUE 
ADJUSTMENTS 
AND 
PROVISIONS (-) FUNDED 
CREDIT 
PROTECTION 
(Cva) (-) TOTAL 
OUTFLOWS NOTIONAL 
AMOUNT 
RETAINED OR 
REPURCHASED 
OF CREDIT 
PROTECTION ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS (-) UNFUNDED 
CREDIT 
PROTECTION 
ADJUSTED 
VALUES (G*)  
0010 0020 0030 0040 0050 0060 0070  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0250 OF WHICH: SENIOR EXPOSURES 
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0280 OF WHICH: SENIOR EXPOSURES 
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0300 OF WHICH: SENIOR EXPOSURES 
0310 RE-SECURITISATIONS 
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/91
 TOTAL AMOUNT 
OF SECURITI ­
SATI0N 
EXPOSURES 
ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION 
TO THE SECURITISED EXPOSURES SECURITI ­
SATION 
POSITIONS 
(-) VALUE 
ADJUSTMENTS 
AND 
PROVISIONS EXPOSURE NET 
OF VALUE 
ADJUSTMENTS 
AND 
PROVISIONS (-) FUNDED 
CREDIT 
PROTECTION 
(Cva) (-) TOTAL 
OUTFLOWS NOTIONAL 
AMOUNT 
RETAINED OR 
REPURCHASED 
OF CREDIT 
PROTECTION ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS (-) UNFUNDED 
CREDIT 
PROTECTION 
ADJUSTED 
VALUES (G*)  
0010 0020 0030 0040 0050 0060 0070  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0350 OF WHICH: SENIOR EXPOSURES 
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0370 OF WHICH: SENIOR EXPOSURES 
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0400 OF WHICH: SENIOR EXPOSURES 
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0420 OF WHICH: SENIOR EXPOSURES 
0430 RE-SECURITISATIONS 
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/92 Official Journal of the European Union 19.3.2021
 TOTAL AMOUNT 
OF SECURITI ­
SATI0N 
EXPOSURES 
ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION 
TO THE SECURITISED EXPOSURES SECURITI ­
SATION 
POSITIONS 
(-) VALUE 
ADJUSTMENTS 
AND 
PROVISIONS EXPOSURE NET 
OF VALUE 
ADJUSTMENTS 
AND 
PROVISIONS (-) FUNDED 
CREDIT 
PROTECTION 
(Cva) (-) TOTAL 
OUTFLOWS NOTIONAL 
AMOUNT 
RETAINED OR 
REPURCHASED 
OF CREDIT 
PROTECTION ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS (-) UNFUNDED 
CREDIT 
PROTECTION 
ADJUSTED 
VALUES (G*)  
0010 0020 0030 0040 0050 0060 0070  
0450 CQS 1 
0460 CQS 2 
0470 CQS 3 
0480 ALL OTHER CQS AND UNRATED 
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1 
0510 CQS 2 
0520 CQS 3 
0530 CQS 4 
0540 CQS 5 
0550 CQS 6 
0560 CQS 7 
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/93
 TOTAL AMOUNT 
OF SECURITI ­
SATI0N 
EXPOSURES 
ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION 
TO THE SECURITISED EXPOSURES SECURITI ­
SATION 
POSITIONS 
(-) VALUE 
ADJUSTMENTS 
AND 
PROVISIONS EXPOSURE NET 
OF VALUE 
ADJUSTMENTS 
AND 
PROVISIONS (-) FUNDED 
CREDIT 
PROTECTION 
(Cva) (-) TOTAL 
OUTFLOWS NOTIONAL 
AMOUNT 
RETAINED OR 
REPURCHASED 
OF CREDIT 
PROTECTION ORIGINAL 
EXPOSURE PRE 
CONVERSION 
FACTORS (-) UNFUNDED 
CREDIT 
PROTECTION 
ADJUSTED 
VALUES (G*)  
0010 0020 0030 0040 0050 0060 0070  
0580 CQS 9 
0590 CQS 10 
0600 CQS 11 
0610 CQS 12 
0620 CQS 13 
0630 CQS 14 
0640 CQS 15 
0650 CQS 16 
0660 CQS 17 
0670 ALL OTHER CQS AND UNRATED
EN L 97/94 Official Journal of the European Union 19.3.2021
 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION 
EFFECTS ON THE EXPOSURE NET EXPOSURE 
AFTER CRM 
SUBSTITUTION 
EFFECTS PRE 
CONVERSION 
FACTORS (-) CREDIT RISK MITIGATION 
TECHNIQUES AFFECTING 
THE AMOUNT OF THE 
EXPOSURE: FUNDED CREDIT 
PROTECTION FINANCIAL 
COLLATERAL COMPRE ­
HENSIVE METHOD 
ADJUSTED VALUE (Cvam) (-) UNFUNDED 
CREDIT 
PROTECTION: 
ADJUSTED VALUES 
(Ga) (-) FUNDED 
CREDIT 
PROTECTION SUBSTITUTION OF THE EXPOSURE 
DUE TO CRM 
(-) TOTAL 
OUTFLOWS TOTAL INFLOWS  
0080 0090 0100 0110 0120 0130  
0010  TOTAL EXPOSURES  
0020 SECURITISATIONS 
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0040 STS EXPOSURES 
0050 SENIOR POSITION IN SMEs SECURITISATIONS 
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0070 RE-SECURITISATIONS 
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0110 OF WHICH: SENIOR EXPOSURES 
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/95
 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION 
EFFECTS ON THE EXPOSURE NET EXPOSURE 
AFTER CRM 
SUBSTITUTION 
EFFECTS PRE 
CONVERSION 
FACTORS (-) CREDIT RISK MITIGATION 
TECHNIQUES AFFECTING 
THE AMOUNT OF THE 
EXPOSURE: FUNDED CREDIT 
PROTECTION FINANCIAL 
COLLATERAL COMPRE ­
HENSIVE METHOD 
ADJUSTED VALUE (Cvam) (-) UNFUNDED 
CREDIT 
PROTECTION: 
ADJUSTED VALUES 
(Ga) (-) FUNDED 
CREDIT 
PROTECTION SUBSTITUTION OF THE EXPOSURE 
DUE TO CRM 
(-) TOTAL 
OUTFLOWS TOTAL INFLOWS  
0080 0090 0100 0110 0120 0130  
0130 OF WHICH: SENIOR EXPOSURES 
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0160 OF WHICH: SENIOR EXPOSURES 
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0180 OF WHICH: SENIOR EXPOSURES 
0190 RE-SECURITISATIONS 
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/96 Official Journal of the European Union 19.3.2021
 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION 
EFFECTS ON THE EXPOSURE NET EXPOSURE 
AFTER CRM 
SUBSTITUTION 
EFFECTS PRE 
CONVERSION 
FACTORS (-) CREDIT RISK MITIGATION 
TECHNIQUES AFFECTING 
THE AMOUNT OF THE 
EXPOSURE: FUNDED CREDIT 
PROTECTION FINANCIAL 
COLLATERAL COMPRE ­
HENSIVE METHOD 
ADJUSTED VALUE (Cvam) (-) UNFUNDED 
CREDIT 
PROTECTION: 
ADJUSTED VALUES 
(Ga) (-) FUNDED 
CREDIT 
PROTECTION SUBSTITUTION OF THE EXPOSURE 
DUE TO CRM 
(-) TOTAL 
OUTFLOWS TOTAL INFLOWS  
0080 0090 0100 0110 0120 0130  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0250 OF WHICH: SENIOR EXPOSURES 
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0280 OF WHICH: SENIOR EXPOSURES 
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0300 OF WHICH: SENIOR EXPOSURES 
0310 RE-SECURITISATIONS 
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/97
 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION 
EFFECTS ON THE EXPOSURE NET EXPOSURE 
AFTER CRM 
SUBSTITUTION 
EFFECTS PRE 
CONVERSION 
FACTORS (-) CREDIT RISK MITIGATION 
TECHNIQUES AFFECTING 
THE AMOUNT OF THE 
EXPOSURE: FUNDED CREDIT 
PROTECTION FINANCIAL 
COLLATERAL COMPRE ­
HENSIVE METHOD 
ADJUSTED VALUE (Cvam) (-) UNFUNDED 
CREDIT 
PROTECTION: 
ADJUSTED VALUES 
(Ga) (-) FUNDED 
CREDIT 
PROTECTION SUBSTITUTION OF THE EXPOSURE 
DUE TO CRM 
(-) TOTAL 
OUTFLOWS TOTAL INFLOWS  
0080 0090 0100 0110 0120 0130  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0350 OF WHICH: SENIOR EXPOSURES 
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0370 OF WHICH: SENIOR EXPOSURES 
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0400 OF WHICH: SENIOR EXPOSURES 
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0420 OF WHICH: SENIOR EXPOSURES 
0430 RE-SECURITISATIONS 
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/98 Official Journal of the European Union 19.3.2021
 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION 
EFFECTS ON THE EXPOSURE NET EXPOSURE 
AFTER CRM 
SUBSTITUTION 
EFFECTS PRE 
CONVERSION 
FACTORS (-) CREDIT RISK MITIGATION 
TECHNIQUES AFFECTING 
THE AMOUNT OF THE 
EXPOSURE: FUNDED CREDIT 
PROTECTION FINANCIAL 
COLLATERAL COMPRE ­
HENSIVE METHOD 
ADJUSTED VALUE (Cvam) (-) UNFUNDED 
CREDIT 
PROTECTION: 
ADJUSTED VALUES 
(Ga) (-) FUNDED 
CREDIT 
PROTECTION SUBSTITUTION OF THE EXPOSURE 
DUE TO CRM 
(-) TOTAL 
OUTFLOWS TOTAL INFLOWS  
0080 0090 0100 0110 0120 0130  
0450 CQS 1 
0460 CQS 2 
0470 CQS 3 
0480 ALL OTHER CQS AND UNRATED 
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1 
0510 CQS 2 
0520 CQS 3 
0530 CQS 4 
0540 CQS 5 
0550 CQS 6 
0560 CQS 7 
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/99
 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION 
EFFECTS ON THE EXPOSURE NET EXPOSURE 
AFTER CRM 
SUBSTITUTION 
EFFECTS PRE 
CONVERSION 
FACTORS (-) CREDIT RISK MITIGATION 
TECHNIQUES AFFECTING 
THE AMOUNT OF THE 
EXPOSURE: FUNDED CREDIT 
PROTECTION FINANCIAL 
COLLATERAL COMPRE ­
HENSIVE METHOD 
ADJUSTED VALUE (Cvam) (-) UNFUNDED 
CREDIT 
PROTECTION: 
ADJUSTED VALUES 
(Ga) (-) FUNDED 
CREDIT 
PROTECTION SUBSTITUTION OF THE EXPOSURE 
DUE TO CRM 
(-) TOTAL 
OUTFLOWS TOTAL INFLOWS  
0080 0090 0100 0110 0120 0130  
0580 CQS 9 
0590 CQS 10 
0600 CQS 11 
0610 CQS 12 
0620 CQS 13 
0630 CQS 14 
0640 CQS 15 
0650 CQS 16 
0660 CQS 17 
0670 ALL OTHER CQS AND UNRATED
EN L 97/100 Official Journal of the European Union 19.3.2021
 FULLY 
ADJUSTED 
EXPOSURE 
VALUE (E*) (-) NON 
REFUNDABLE 
PURCHASE 
PRICE 
DISCOUNT (-) SPECIFIC 
CREDIT RISK 
ADJUSTMENTS 
ON 
UNDERLYING 
EXPOSURES EXPOSURE 
VALUE OF WHICH: 
SUBJECT TO A 
CCF OF 0 % (-) DEDUCTED 
FROM OWN 
FUNDS SUBJECT TO 
RISK WEIGHTS  
0140 0150 0160 0170 0180 0190 0200  
0010  TOTAL EXPOSURES  
0020 SECURITISATIONS 
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0040 STS EXPOSURES 
0050 SENIOR POSITION IN SMEs SECURITISATIONS 
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0070 RE-SECURITISATIONS 
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0110 OF WHICH: SENIOR EXPOSURES 
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/101
 FULLY 
ADJUSTED 
EXPOSURE 
VALUE (E*) (-) NON 
REFUNDABLE 
PURCHASE 
PRICE 
DISCOUNT (-) SPECIFIC 
CREDIT RISK 
ADJUSTMENTS 
ON 
UNDERLYING 
EXPOSURES EXPOSURE 
VALUE OF WHICH: 
SUBJECT TO A 
CCF OF 0 % (-) DEDUCTED 
FROM OWN 
FUNDS SUBJECT TO 
RISK WEIGHTS  
0140 0150 0160 0170 0180 0190 0200  
0130 OF WHICH: SENIOR EXPOSURES 
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0160 OF WHICH: SENIOR EXPOSURES 
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0180 OF WHICH: SENIOR EXPOSURES 
0190 RE-SECURITISATIONS 
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/102 Official Journal of the European Union 19.3.2021
 FULLY 
ADJUSTED 
EXPOSURE 
VALUE (E*) (-) NON 
REFUNDABLE 
PURCHASE 
PRICE 
DISCOUNT (-) SPECIFIC 
CREDIT RISK 
ADJUSTMENTS 
ON 
UNDERLYING 
EXPOSURES EXPOSURE 
VALUE OF WHICH: 
SUBJECT TO A 
CCF OF 0 % (-) DEDUCTED 
FROM OWN 
FUNDS SUBJECT TO 
RISK WEIGHTS  
0140 0150 0160 0170 0180 0190 0200  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0250 OF WHICH: SENIOR EXPOSURES 
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0280 OF WHICH: SENIOR EXPOSURES 
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0300 OF WHICH: SENIOR EXPOSURES 
0310 RE-SECURITISATIONS 
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/103
 FULLY 
ADJUSTED 
EXPOSURE 
VALUE (E*) (-) NON 
REFUNDABLE 
PURCHASE 
PRICE 
DISCOUNT (-) SPECIFIC 
CREDIT RISK 
ADJUSTMENTS 
ON 
UNDERLYING 
EXPOSURES EXPOSURE 
VALUE OF WHICH: 
SUBJECT TO A 
CCF OF 0 % (-) DEDUCTED 
FROM OWN 
FUNDS SUBJECT TO 
RISK WEIGHTS  
0140 0150 0160 0170 0180 0190 0200  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0350 OF WHICH: SENIOR EXPOSURES 
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0370 OF WHICH: SENIOR EXPOSURES 
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0400 OF WHICH: SENIOR EXPOSURES 
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0420 OF WHICH: SENIOR EXPOSURES 
0430 RE-SECURITISATIONS 
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/104 Official Journal of the European Union 19.3.2021
 FULLY 
ADJUSTED 
EXPOSURE 
VALUE (E*) (-) NON 
REFUNDABLE 
PURCHASE 
PRICE 
DISCOUNT (-) SPECIFIC 
CREDIT RISK 
ADJUSTMENTS 
ON 
UNDERLYING 
EXPOSURES EXPOSURE 
VALUE OF WHICH: 
SUBJECT TO A 
CCF OF 0 % (-) DEDUCTED 
FROM OWN 
FUNDS SUBJECT TO 
RISK WEIGHTS  
0140 0150 0160 0170 0180 0190 0200  
0450 CQS 1 
0460 CQS 2 
0470 CQS 3 
0480 ALL OTHER CQS AND UNRATED 
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1 
0510 CQS 2 
0520 CQS 3 
0530 CQS 4 
0540 CQS 5 
0550 CQS 6 
0560 CQS 7 
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/105
 FULLY 
ADJUSTED 
EXPOSURE 
VALUE (E*) (-) NON 
REFUNDABLE 
PURCHASE 
PRICE 
DISCOUNT (-) SPECIFIC 
CREDIT RISK 
ADJUSTMENTS 
ON 
UNDERLYING 
EXPOSURES EXPOSURE 
VALUE OF WHICH: 
SUBJECT TO A 
CCF OF 0 % (-) DEDUCTED 
FROM OWN 
FUNDS SUBJECT TO 
RISK WEIGHTS  
0140 0150 0160 0170 0180 0190 0200  
0580 CQS 9 
0590 CQS 10 
0600 CQS 11 
0610 CQS 12 
0620 CQS 13 
0630 CQS 14 
0640 CQS 15 
0650 CQS 16 
0660 CQS 17 
0670 ALL OTHER CQS AND UNRATED
EN L 97/106 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-IRBA 
BREAKDOWN BY RW BANDS OF WHICH: 
CALCULATED 
UNDER ARTICLE 255 
(4) (PURCHASED 
RECEIVABLES) =< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100% TO < 
1 250% RW 1 250 % RW  
0210 0220 0230 0240 0250 0260 0270  
0010  TOTAL EXPOSURES  
0020 SECURITISATIONS 
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0040 STS EXPOSURES 
0050 SENIOR POSITION IN SMEs SECURITISATIONS 
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0070 RE-SECURITISATIONS 
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0110 OF WHICH: SENIOR EXPOSURES 
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/107
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-IRBA 
BREAKDOWN BY RW BANDS OF WHICH: 
CALCULATED 
UNDER ARTICLE 255 
(4) (PURCHASED 
RECEIVABLES) =< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100% TO < 
1 250% RW 1 250 % RW  
0210 0220 0230 0240 0250 0260 0270  
0130 OF WHICH: SENIOR EXPOSURES 
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0160 OF WHICH: SENIOR EXPOSURES 
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0180 OF WHICH: SENIOR EXPOSURES 
0190 RE-SECURITISATIONS 
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/108 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-IRBA 
BREAKDOWN BY RW BANDS OF WHICH: 
CALCULATED 
UNDER ARTICLE 255 
(4) (PURCHASED 
RECEIVABLES) =< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100% TO < 
1 250% RW 1 250 % RW  
0210 0220 0230 0240 0250 0260 0270  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0250 OF WHICH: SENIOR EXPOSURES 
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0280 OF WHICH: SENIOR EXPOSURES 
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0300 OF WHICH: SENIOR EXPOSURES 
0310 RE-SECURITISATIONS 
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/109
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-IRBA 
BREAKDOWN BY RW BANDS OF WHICH: 
CALCULATED 
UNDER ARTICLE 255 
(4) (PURCHASED 
RECEIVABLES) =< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100% TO < 
1 250% RW 1 250 % RW  
0210 0220 0230 0240 0250 0260 0270  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0350 OF WHICH: SENIOR EXPOSURES 
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0370 OF WHICH: SENIOR EXPOSURES 
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0400 OF WHICH: SENIOR EXPOSURES 
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0420 OF WHICH: SENIOR EXPOSURES 
0430 RE-SECURITISATIONS 
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/110 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-IRBA 
BREAKDOWN BY RW BANDS OF WHICH: 
CALCULATED 
UNDER ARTICLE 255 
(4) (PURCHASED 
RECEIVABLES) =< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100% TO < 
1 250% RW 1 250 % RW  
0210 0220 0230 0240 0250 0260 0270  
0450 CQS 1 
0460 CQS 2 
0470 CQS 3 
0480 ALL OTHER CQS AND UNRATED 
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1 
0510 CQS 2 
0520 CQS 3 
0530 CQS 4 
0540 CQS 5 
0550 CQS 6 
0560 CQS 7 
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/111
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-IRBA 
BREAKDOWN BY RW BANDS OF WHICH: 
CALCULATED 
UNDER ARTICLE 255 
(4) (PURCHASED 
RECEIVABLES) =< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100% TO < 
1 250% RW 1 250 % RW  
0210 0220 0230 0240 0250 0260 0270  
0580 CQS 9 
0590 CQS 10 
0600 CQS 11 
0610 CQS 12 
0620 CQS 13 
0630 CQS 14 
0640 CQS 15 
0650 CQS 16 
0660 CQS 17 
0670 ALL OTHER CQS AND UNRATED
EN L 97/112 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-SA 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW (W 
UNKNOWN) 1 250 % RW 
(OTHER)  
0280 0290 0300 0310 0320 0330 0340  
0010  TOTAL EXPOSURES  
0020 SECURITISATIONS 
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0040 STS EXPOSURES 
0050 SENIOR POSITION IN SMEs SECURITISATIONS 
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0070 RE-SECURITISATIONS 
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0110 OF WHICH: SENIOR EXPOSURES 
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/113
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-SA 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW (W 
UNKNOWN) 1 250 % RW 
(OTHER)  
0280 0290 0300 0310 0320 0330 0340  
0130 OF WHICH: SENIOR EXPOSURES 
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0160 OF WHICH: SENIOR EXPOSURES 
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0180 OF WHICH: SENIOR EXPOSURES 
0190 RE-SECURITISATIONS 
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/114 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-SA 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW (W 
UNKNOWN) 1 250 % RW 
(OTHER)  
0280 0290 0300 0310 0320 0330 0340  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0250 OF WHICH: SENIOR EXPOSURES 
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0280 OF WHICH: SENIOR EXPOSURES 
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0300 OF WHICH: SENIOR EXPOSURES 
0310 RE-SECURITISATIONS 
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/115
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-SA 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW (W 
UNKNOWN) 1 250 % RW 
(OTHER)  
0280 0290 0300 0310 0320 0330 0340  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0350 OF WHICH: SENIOR EXPOSURES 
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0370 OF WHICH: SENIOR EXPOSURES 
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0400 OF WHICH: SENIOR EXPOSURES 
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0420 OF WHICH: SENIOR EXPOSURES 
0430 RE-SECURITISATIONS 
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/116 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-SA 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW (W 
UNKNOWN) 1 250 % RW 
(OTHER)  
0280 0290 0300 0310 0320 0330 0340  
0450 CQS 1 
0460 CQS 2 
0470 CQS 3 
0480 ALL OTHER CQS AND UNRATED 
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1 
0510 CQS 2 
0520 CQS 3 
0530 CQS 4 
0540 CQS 5 
0550 CQS 6 
0560 CQS 7 
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/117
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-SA 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW (W 
UNKNOWN) 1 250 % RW 
(OTHER)  
0280 0290 0300 0310 0320 0330 0340  
0580 CQS 9 
0590 CQS 10 
0600 CQS 11 
0610 CQS 12 
0620 CQS 13 
0630 CQS 14 
0640 CQS 15 
0650 CQS 16 
0660 CQS 17 
0670 ALL OTHER CQS AND UNRATED
EN L 97/118 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
SHORT TERM CREDIT QUALITY STEPS LONG TERM CREDIT QUALITY STEPS 
CQS 1 CQS 2 CQS 3 ALL 
OTHER 
CQS CQS 1 CQS 2 CQS 3 CQS 4 CQS 5 CQS 6 CQS 7  
0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0460  
0010  TOTAL EXPOSURES  
0020 SECURITISATIONS 
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0040 STS EXPOSURES 
0050 SENIOR POSITION IN SMEs SECURITISATIONS 
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0070 RE-SECURITISATIONS 
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0110 OF WHICH: SENIOR EXPOSURES 
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/119
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
SHORT TERM CREDIT QUALITY STEPS LONG TERM CREDIT QUALITY STEPS 
CQS 1 CQS 2 CQS 3 ALL 
OTHER 
CQS CQS 1 CQS 2 CQS 3 CQS 4 CQS 5 CQS 6 CQS 7  
0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0460  
0130 OF WHICH: SENIOR EXPOSURES 
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0160 OF WHICH: SENIOR EXPOSURES 
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0180 OF WHICH: SENIOR EXPOSURES 
0190 RE-SECURITISATIONS 
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/120 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
SHORT TERM CREDIT QUALITY STEPS LONG TERM CREDIT QUALITY STEPS 
CQS 1 CQS 2 CQS 3 ALL 
OTHER 
CQS CQS 1 CQS 2 CQS 3 CQS 4 CQS 5 CQS 6 CQS 7  
0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0460  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0250 OF WHICH: SENIOR EXPOSURES 
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0280 OF WHICH: SENIOR EXPOSURES 
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0300 OF WHICH: SENIOR EXPOSURES 
0310 RE-SECURITISATIONS 
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/121
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
SHORT TERM CREDIT QUALITY STEPS LONG TERM CREDIT QUALITY STEPS 
CQS 1 CQS 2 CQS 3 ALL 
OTHER 
CQS CQS 1 CQS 2 CQS 3 CQS 4 CQS 5 CQS 6 CQS 7  
0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0460  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0350 OF WHICH: SENIOR EXPOSURES 
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0370 OF WHICH: SENIOR EXPOSURES 
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0400 OF WHICH: SENIOR EXPOSURES 
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0420 OF WHICH: SENIOR EXPOSURES 
0430 RE-SECURITISATIONS 
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/122 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
SHORT TERM CREDIT QUALITY STEPS LONG TERM CREDIT QUALITY STEPS 
CQS 1 CQS 2 CQS 3 ALL 
OTHER 
CQS CQS 1 CQS 2 CQS 3 CQS 4 CQS 5 CQS 6 CQS 7  
0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0460  
0450 CQS 1 
0460 CQS 2 
0470 CQS 3 
0480 ALL OTHER CQS AND UNRATED 
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1 
0510 CQS 2 
0520 CQS 3 
0530 CQS 4 
0540 CQS 5 
0550 CQS 6 
0560 CQS 7 
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/123
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
SHORT TERM CREDIT QUALITY STEPS LONG TERM CREDIT QUALITY STEPS 
CQS 1 CQS 2 CQS 3 ALL 
OTHER 
CQS CQS 1 CQS 2 CQS 3 CQS 4 CQS 5 CQS 6 CQS 7  
0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0460  
0580 CQS 9 
0590 CQS 10 
0600 CQS 11 
0610 CQS 12 
0620 CQS 13 
0630 CQS 14 
0640 CQS 15 
0650 CQS 16 
0660 CQS 17 
0670 ALL OTHER CQS AND UNRATED
EN L 97/124 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
LONG TERM CREDIT QUALITY STEPS 
CQS 8 CQS 9 CQS 10 CQS 11 CQS 12 CQS 13 CQS 14 CQS 15 CQS 16 CQS 17 ALL 
OTHER 
CQS  
0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570  
0010  TOTAL EXPOSURES  
0020 SECURITISATIONS 
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0040 STS EXPOSURES 
0050 SENIOR POSITION IN SMEs SECURITISATIONS 
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0070 RE-SECURITISATIONS 
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0110 OF WHICH: SENIOR EXPOSURES 
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/125
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
LONG TERM CREDIT QUALITY STEPS 
CQS 8 CQS 9 CQS 10 CQS 11 CQS 12 CQS 13 CQS 14 CQS 15 CQS 16 CQS 17 ALL 
OTHER 
CQS  
0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570  
0130 OF WHICH: SENIOR EXPOSURES 
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0160 OF WHICH: SENIOR EXPOSURES 
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0180 OF WHICH: SENIOR EXPOSURES 
0190 RE-SECURITISATIONS 
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/126 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
LONG TERM CREDIT QUALITY STEPS 
CQS 8 CQS 9 CQS 10 CQS 11 CQS 12 CQS 13 CQS 14 CQS 15 CQS 16 CQS 17 ALL 
OTHER 
CQS  
0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0250 OF WHICH: SENIOR EXPOSURES 
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0280 OF WHICH: SENIOR EXPOSURES 
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0300 OF WHICH: SENIOR EXPOSURES 
0310 RE-SECURITISATIONS 
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/127
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
LONG TERM CREDIT QUALITY STEPS 
CQS 8 CQS 9 CQS 10 CQS 11 CQS 12 CQS 13 CQS 14 CQS 15 CQS 16 CQS 17 ALL 
OTHER 
CQS  
0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0350 OF WHICH: SENIOR EXPOSURES 
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0370 OF WHICH: SENIOR EXPOSURES 
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0400 OF WHICH: SENIOR EXPOSURES 
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0420 OF WHICH: SENIOR EXPOSURES 
0430 RE-SECURITISATIONS 
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/128 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
LONG TERM CREDIT QUALITY STEPS 
CQS 8 CQS 9 CQS 10 CQS 11 CQS 12 CQS 13 CQS 14 CQS 15 CQS 16 CQS 17 ALL 
OTHER 
CQS  
0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570  
0450 CQS 1 
0460 CQS 2 
0470 CQS 3 
0480 ALL OTHER CQS AND UNRATED 
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1 
0510 CQS 2 
0520 CQS 3 
0530 CQS 4 
0540 CQS 5 
0550 CQS 6 
0560 CQS 7 
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/129
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY CREDIT QUALITY STEPS 
LONG TERM CREDIT QUALITY STEPS 
CQS 8 CQS 9 CQS 10 CQS 11 CQS 12 CQS 13 CQS 14 CQS 15 CQS 16 CQS 17 ALL 
OTHER 
CQS  
0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570  
0580 CQS 9 
0590 CQS 10 
0600 CQS 11 
0610 CQS 12 
0620 CQS 13 
0630 CQS 14 
0640 CQS 15 
0650 CQS 16 
0660 CQS 17 
0670 ALL OTHER CQS AND UNRATED
EN L 97/130 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA 
AUTO LOANS, AUTO 
LEASES AND 
EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO 
POINT (a) OF 
ARTICLE 254(2) CRR POSITIONS SUBJECT TO 
ARTICLES 254 (4) OR 
258 (2) CRR FOLLOWING THE 
HIERARCHY OF 
APPROACHES  
0580 0590 0600 0620 0630  
0010  TOTAL EXPOSURES  
0020 SECURITISATIONS 
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0040 STS EXPOSURES 
0050 SENIOR POSITION IN SMEs SECURITISATIONS 
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0070 RE-SECURITISATIONS 
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0110 OF WHICH: SENIOR EXPOSURES 
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/131
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA 
AUTO LOANS, AUTO 
LEASES AND 
EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO 
POINT (a) OF 
ARTICLE 254(2) CRR POSITIONS SUBJECT TO 
ARTICLES 254 (4) OR 
258 (2) CRR FOLLOWING THE 
HIERARCHY OF 
APPROACHES  
0580 0590 0600 0620 0630  
0130 OF WHICH: SENIOR EXPOSURES 
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0160 OF WHICH: SENIOR EXPOSURES 
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0180 OF WHICH: SENIOR EXPOSURES 
0190 RE-SECURITISATIONS 
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/132 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA 
AUTO LOANS, AUTO 
LEASES AND 
EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO 
POINT (a) OF 
ARTICLE 254(2) CRR POSITIONS SUBJECT TO 
ARTICLES 254 (4) OR 
258 (2) CRR FOLLOWING THE 
HIERARCHY OF 
APPROACHES  
0580 0590 0600 0620 0630  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0250 OF WHICH: SENIOR EXPOSURES 
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0280 OF WHICH: SENIOR EXPOSURES 
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0300 OF WHICH: SENIOR EXPOSURES 
0310 RE-SECURITISATIONS 
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/133
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA 
AUTO LOANS, AUTO 
LEASES AND 
EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO 
POINT (a) OF 
ARTICLE 254(2) CRR POSITIONS SUBJECT TO 
ARTICLES 254 (4) OR 
258 (2) CRR FOLLOWING THE 
HIERARCHY OF 
APPROACHES  
0580 0590 0600 0620 0630  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0350 OF WHICH: SENIOR EXPOSURES 
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0370 OF WHICH: SENIOR EXPOSURES 
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0400 OF WHICH: SENIOR EXPOSURES 
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0420 OF WHICH: SENIOR EXPOSURES 
0430 RE-SECURITISATIONS 
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/134 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA 
AUTO LOANS, AUTO 
LEASES AND 
EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO 
POINT (a) OF 
ARTICLE 254(2) CRR POSITIONS SUBJECT TO 
ARTICLES 254 (4) OR 
258 (2) CRR FOLLOWING THE 
HIERARCHY OF 
APPROACHES  
0580 0590 0600 0620 0630  
0450 CQS 1 
0460 CQS 2 
0470 CQS 3 
0480 ALL OTHER CQS AND UNRATED 
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1 
0510 CQS 2 
0520 CQS 3 
0530 CQS 4 
0540 CQS 5 
0550 CQS 6 
0560 CQS 7 
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/135
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
SEC-ERBA 
BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA 
AUTO LOANS, AUTO 
LEASES AND 
EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO 
POINT (a) OF 
ARTICLE 254(2) CRR POSITIONS SUBJECT TO 
ARTICLES 254 (4) OR 
258 (2) CRR FOLLOWING THE 
HIERARCHY OF 
APPROACHES  
0580 0590 0600 0620 0630  
0580 CQS 9 
0590 CQS 10 
0600 CQS 11 
0610 CQS 12 
0620 CQS 13 
0630 CQS 14 
0640 CQS 15 
0650 CQS 16 
0660 CQS 17 
0670 ALL OTHER CQS AND UNRATED
EN L 97/136 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
INTERNAL ASSESSMENT APPROACH OTHER 
(RW=1 250 %) 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW  
0640 0650 0660 0670 0680 0690 0700  
0010  TOTAL EXPOSURES  
0020 SECURITISATIONS 
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0040 STS EXPOSURES 
0050 SENIOR POSITION IN SMEs SECURITISATIONS 
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0070 RE-SECURITISATIONS 
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0110 OF WHICH: SENIOR EXPOSURES 
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/137
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
INTERNAL ASSESSMENT APPROACH OTHER 
(RW=1 250 %) 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW  
0640 0650 0660 0670 0680 0690 0700  
0130 OF WHICH: SENIOR EXPOSURES 
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0160 OF WHICH: SENIOR EXPOSURES 
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0180 OF WHICH: SENIOR EXPOSURES 
0190 RE-SECURITISATIONS 
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/138 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
INTERNAL ASSESSMENT APPROACH OTHER 
(RW=1 250 %) 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW  
0640 0650 0660 0670 0680 0690 0700  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0250 OF WHICH: SENIOR EXPOSURES 
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0280 OF WHICH: SENIOR EXPOSURES 
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0300 OF WHICH: SENIOR EXPOSURES 
0310 RE-SECURITISATIONS 
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/139
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
INTERNAL ASSESSMENT APPROACH OTHER 
(RW=1 250 %) 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW  
0640 0650 0660 0670 0680 0690 0700  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0350 OF WHICH: SENIOR EXPOSURES 
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0370 OF WHICH: SENIOR EXPOSURES 
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0400 OF WHICH: SENIOR EXPOSURES 
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0420 OF WHICH: SENIOR EXPOSURES 
0430 RE-SECURITISATIONS 
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/140 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
INTERNAL ASSESSMENT APPROACH OTHER 
(RW=1 250 %) 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW  
0640 0650 0660 0670 0680 0690 0700  
0450 CQS 1 
0460 CQS 2 
0470 CQS 3 
0480 ALL OTHER CQS AND UNRATED 
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1 
0510 CQS 2 
0520 CQS 3 
0530 CQS 4 
0540 CQS 5 
0550 CQS 6 
0560 CQS 7 
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/141
 BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 
INTERNAL ASSESSMENT APPROACH OTHER 
(RW=1 250 %) 
BREAKDOWN BY RW BANDS 
=< 20 % RW >20 % TO 50 % 
RW >50 % TO 100 % 
RW >100 % TO < 
1 250 % RW 1 250 % RW  
0640 0650 0660 0670 0680 0690 0700  
0580 CQS 9 
0590 CQS 10 
0600 CQS 11 
0610 CQS 12 
0620 CQS 13 
0630 CQS 14 
0640 CQS 15 
0650 CQS 16 
0660 CQS 17 
0670 ALL OTHER CQS AND UNRATED
EN L 97/142 Official Journal of the European Union 19.3.2021
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-IRBA SEC-SA SEC-ERBA 
OF WHICH: 
CALCULATED 
UNDER 
ARTICLE 255 (4) 
(PURCHASED 
RECEIVABLES) OF WHICH: 
RW=1 250 % 
(W 
UNKNOWN) AUTO LOANS, 
AUTO LEASES 
AND EQUIPMENT 
LEASES SEC-ERBA 
OPTION POSITIONS 
SUBJECT TO 
ART. 254(2)(a) 
CRR  
0710 0720 0730 0740 0750 0760 0770 0780 0790  
0010  TOTAL EXPOSURES  
0020 SECURITISATIONS 
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0040 STS EXPOSURES 
0050 SENIOR POSITION IN SMEs SECURITISATIONS 
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0070 RE-SECURITISATIONS 
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0110 OF WHICH: SENIOR EXPOSURES 
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/143
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-IRBA SEC-SA SEC-ERBA 
OF WHICH: 
CALCULATED 
UNDER 
ARTICLE 255 (4) 
(PURCHASED 
RECEIVABLES) OF WHICH: 
RW=1 250 % 
(W 
UNKNOWN) AUTO LOANS, 
AUTO LEASES 
AND EQUIPMENT 
LEASES SEC-ERBA 
OPTION POSITIONS 
SUBJECT TO 
ART. 254(2)(a) 
CRR  
0710 0720 0730 0740 0750 0760 0770 0780 0790  
0130 OF WHICH: SENIOR EXPOSURES 
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0160 OF WHICH: SENIOR EXPOSURES 
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0180 OF WHICH: SENIOR EXPOSURES 
0190 RE-SECURITISATIONS 
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/144 Official Journal of the European Union 19.3.2021
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-IRBA SEC-SA SEC-ERBA 
OF WHICH: 
CALCULATED 
UNDER 
ARTICLE 255 (4) 
(PURCHASED 
RECEIVABLES) OF WHICH: 
RW=1 250 % 
(W 
UNKNOWN) AUTO LOANS, 
AUTO LEASES 
AND EQUIPMENT 
LEASES SEC-ERBA 
OPTION POSITIONS 
SUBJECT TO 
ART. 254(2)(a) 
CRR  
0710 0720 0730 0740 0750 0760 0770 0780 0790  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0250 OF WHICH: SENIOR EXPOSURES 
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0280 OF WHICH: SENIOR EXPOSURES 
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0300 OF WHICH: SENIOR EXPOSURES 
0310 RE-SECURITISATIONS 
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/145
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-IRBA SEC-SA SEC-ERBA 
OF WHICH: 
CALCULATED 
UNDER 
ARTICLE 255 (4) 
(PURCHASED 
RECEIVABLES) OF WHICH: 
RW=1 250 % 
(W 
UNKNOWN) AUTO LOANS, 
AUTO LEASES 
AND EQUIPMENT 
LEASES SEC-ERBA 
OPTION POSITIONS 
SUBJECT TO 
ART. 254(2)(a) 
CRR  
0710 0720 0730 0740 0750 0760 0770 0780 0790  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0350 OF WHICH: SENIOR EXPOSURES 
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0370 OF WHICH: SENIOR EXPOSURES 
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0400 OF WHICH: SENIOR EXPOSURES 
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0420 OF WHICH: SENIOR EXPOSURES 
0430 RE-SECURITISATIONS 
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/146 Official Journal of the European Union 19.3.2021
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-IRBA SEC-SA SEC-ERBA 
OF WHICH: 
CALCULATED 
UNDER 
ARTICLE 255 (4) 
(PURCHASED 
RECEIVABLES) OF WHICH: 
RW=1 250 % 
(W 
UNKNOWN) AUTO LOANS, 
AUTO LEASES 
AND EQUIPMENT 
LEASES SEC-ERBA 
OPTION POSITIONS 
SUBJECT TO 
ART. 254(2)(a) 
CRR  
0710 0720 0730 0740 0750 0760 0770 0780 0790  
0450 CQS 1 
0460 CQS 2 
0470 CQS 3 
0480 ALL OTHER CQS AND UNRATED 
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1 
0510 CQS 2 
0520 CQS 3 
0530 CQS 4 
0540 CQS 5 
0550 CQS 6 
0560 CQS 7 
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/147
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-IRBA SEC-SA SEC-ERBA 
OF WHICH: 
CALCULATED 
UNDER 
ARTICLE 255 (4) 
(PURCHASED 
RECEIVABLES) OF WHICH: 
RW=1 250 % 
(W 
UNKNOWN) AUTO LOANS, 
AUTO LEASES 
AND EQUIPMENT 
LEASES SEC-ERBA 
OPTION POSITIONS 
SUBJECT TO 
ART. 254(2)(a) 
CRR  
0710 0720 0730 0740 0750 0760 0770 0780 0790  
0580 CQS 9 
0590 CQS 10 
0600 CQS 11 
0610 CQS 12 
0620 CQS 13 
0630 CQS 14 
0640 CQS 15 
0650 CQS 16 
0660 CQS 17 
0670 ALL OTHER CQS AND UNRATED
EN L 97/148 Official Journal of the European Union 19.3.2021
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-ERBA INTERNAL ASSESSMENT 
APPROACH OTHER 
(RW=1 250 %) OF WHICH: 
SYNTHETIC 
SECURITISA ­
TIONS  POSITIONS 
SUBJECT TO 
ART. 254(2)(b) 
CRR POSITIONS 
SUBJECT TO 
ART. 254 (4) OR 
258 (2) CRR FOLLOWING 
THE HIERARCHY 
OF 
APPROACHES AVERAGE RISK 
WEIGHT (%)  
0800 0810 0820 0830 0840 0850 0860  
0010  TOTAL EXPOSURES  
0020 SECURITISATIONS 
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0040 STS EXPOSURES 
0050 SENIOR POSITION IN SMEs SECURITISATIONS 
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0070 RE-SECURITISATIONS 
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0110 OF WHICH: SENIOR EXPOSURES 
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/149
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-ERBA INTERNAL ASSESSMENT 
APPROACH OTHER 
(RW=1 250 %) OF WHICH: 
SYNTHETIC 
SECURITISA ­
TIONS  POSITIONS 
SUBJECT TO 
ART. 254(2)(b) 
CRR POSITIONS 
SUBJECT TO 
ART. 254 (4) OR 
258 (2) CRR FOLLOWING 
THE HIERARCHY 
OF 
APPROACHES AVERAGE RISK 
WEIGHT (%)  
0800 0810 0820 0830 0840 0850 0860  
0130 OF WHICH: SENIOR EXPOSURES 
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0160 OF WHICH: SENIOR EXPOSURES 
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0180 OF WHICH: SENIOR EXPOSURES 
0190 RE-SECURITISATIONS 
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/150 Official Journal of the European Union 19.3.2021
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-ERBA INTERNAL ASSESSMENT 
APPROACH OTHER 
(RW=1 250 %) OF WHICH: 
SYNTHETIC 
SECURITISA ­
TIONS  POSITIONS 
SUBJECT TO 
ART. 254(2)(b) 
CRR POSITIONS 
SUBJECT TO 
ART. 254 (4) OR 
258 (2) CRR FOLLOWING 
THE HIERARCHY 
OF 
APPROACHES AVERAGE RISK 
WEIGHT (%)  
0800 0810 0820 0830 0840 0850 0860  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0250 OF WHICH: SENIOR EXPOSURES 
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0280 OF WHICH: SENIOR EXPOSURES 
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0300 OF WHICH: SENIOR EXPOSURES 
0310 RE-SECURITISATIONS 
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/151
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-ERBA INTERNAL ASSESSMENT 
APPROACH OTHER 
(RW=1 250 %) OF WHICH: 
SYNTHETIC 
SECURITISA ­
TIONS  POSITIONS 
SUBJECT TO 
ART. 254(2)(b) 
CRR POSITIONS 
SUBJECT TO 
ART. 254 (4) OR 
258 (2) CRR FOLLOWING 
THE HIERARCHY 
OF 
APPROACHES AVERAGE RISK 
WEIGHT (%)  
0800 0810 0820 0830 0840 0850 0860  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0350 OF WHICH: SENIOR EXPOSURES 
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0370 OF WHICH: SENIOR EXPOSURES 
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES 
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 
0400 OF WHICH: SENIOR EXPOSURES 
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT 
0420 OF WHICH: SENIOR EXPOSURES 
0430 RE-SECURITISATIONS 
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/152 Official Journal of the European Union 19.3.2021
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-ERBA INTERNAL ASSESSMENT 
APPROACH OTHER 
(RW=1 250 %) OF WHICH: 
SYNTHETIC 
SECURITISA ­
TIONS  POSITIONS 
SUBJECT TO 
ART. 254(2)(b) 
CRR POSITIONS 
SUBJECT TO 
ART. 254 (4) OR 
258 (2) CRR FOLLOWING 
THE HIERARCHY 
OF 
APPROACHES AVERAGE RISK 
WEIGHT (%)  
0800 0810 0820 0830 0840 0850 0860  
0450 CQS 1 
0460 CQS 2 
0470 CQS 3 
0480 ALL OTHER CQS AND UNRATED 
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1 
0510 CQS 2 
0520 CQS 3 
0530 CQS 4 
0540 CQS 5 
0550 CQS 6 
0560 CQS 7 
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/153
 RISK-WEIGHTED EXPOSURE AMOUNT 
SEC-ERBA INTERNAL ASSESSMENT 
APPROACH OTHER 
(RW=1 250 %) OF WHICH: 
SYNTHETIC 
SECURITISA ­
TIONS  POSITIONS 
SUBJECT TO 
ART. 254(2)(b) 
CRR POSITIONS 
SUBJECT TO 
ART. 254 (4) OR 
258 (2) CRR FOLLOWING 
THE HIERARCHY 
OF 
APPROACHES AVERAGE RISK 
WEIGHT (%)  
0800 0810 0820 0830 0840 0850 0860  
0580 CQS 9 
0590 CQS 10 
0600 CQS 11 
0610 CQS 12 
0620 CQS 13 
0630 CQS 14 
0640 CQS 15 
0650 CQS 16 
0660 CQS 17 
0670 ALL OTHER CQS AND UNRATED
EN L 97/154 Official Journal of the European Union 19.3.2021
 ADJUSTMENT TO 
THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE TO 
MATURITY 
MISMATCHES OVERALL EFFECT 
(ADJUSTMENT) 
DUE TO 
INFRINGEMENT 
OF CHAPTER 2 OF 
REGULATION (EU) 
2017/2402 BEFORE CAP (-) REDUCTION 
DUE TO RISK 
WEIGHT CAP (-) REDUCTION 
DUE TO 
OVERALL CAP TOTAL RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT MEMORANDUM ITEM: 
RISK WEIGHTED 
EXPOSURE AMOUNT 
CORRESPONDING TO 
THE OUTFLOWS FROM 
SECURITISATIONS TO 
OTHER EXPOSURE 
CLASSES  
0870 0880 0890 0900 0910 0920 0930  
0010  TOTAL EXPOSURES  Cell linked 
to CA  
0020 SECURITISATIONS  
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT  
0040 STS EXPOSURES  
0050 SENIOR POSITION IN SMEs SECURITISATIONS  
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT  
0070 RE-SECURITISATIONS  
0080  ORIGINATOR: TOTAL EXPOSURES  
0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS  
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
0110 OF WHICH: SENIOR EXPOSURES  
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT
EN 19.3.2021 Official Journal of the European Union L 97/155
 ADJUSTMENT TO 
THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE TO 
MATURITY 
MISMATCHES OVERALL EFFECT 
(ADJUSTMENT) 
DUE TO 
INFRINGEMENT 
OF CHAPTER 2 OF 
REGULATION (EU) 
2017/2402 BEFORE CAP (-) REDUCTION 
DUE TO RISK 
WEIGHT CAP (-) REDUCTION 
DUE TO 
OVERALL CAP TOTAL RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT MEMORANDUM ITEM: 
RISK WEIGHTED 
EXPOSURE AMOUNT 
CORRESPONDING TO 
THE OUTFLOWS FROM 
SECURITISATIONS TO 
OTHER EXPOSURE 
CLASSES  
0870 0880 0890 0900 0910 0920 0930  
0130 OF WHICH: SENIOR EXPOSURES  
0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES  
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
0160 OF WHICH: SENIOR EXPOSURES  
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT  
0180 OF WHICH: SENIOR EXPOSURES  
0190 RE-SECURITISATIONS  
0200  INVESTOR: TOTAL EXPOSURES  
0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS  
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
0230 OF WHICH: SENIOR EXPOSURES
EN L 97/156 Official Journal of the European Union 19.3.2021
 ADJUSTMENT TO 
THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE TO 
MATURITY 
MISMATCHES OVERALL EFFECT 
(ADJUSTMENT) 
DUE TO 
INFRINGEMENT 
OF CHAPTER 2 OF 
REGULATION (EU) 
2017/2402 BEFORE CAP (-) REDUCTION 
DUE TO RISK 
WEIGHT CAP (-) REDUCTION 
DUE TO 
OVERALL CAP TOTAL RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT MEMORANDUM ITEM: 
RISK WEIGHTED 
EXPOSURE AMOUNT 
CORRESPONDING TO 
THE OUTFLOWS FROM 
SECURITISATIONS TO 
OTHER EXPOSURE 
CLASSES  
0870 0880 0890 0900 0910 0920 0930  
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT  
0250 OF WHICH: SENIOR EXPOSURES  
0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES  
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
0280 OF WHICH: SENIOR EXPOSURES  
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT  
0300 OF WHICH: SENIOR EXPOSURES  
0310 RE-SECURITISATIONS  
0320  SPONSOR: TOTAL EXPOSURES  
0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS
EN 19.3.2021 Official Journal of the European Union L 97/157
 ADJUSTMENT TO 
THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE TO 
MATURITY 
MISMATCHES OVERALL EFFECT 
(ADJUSTMENT) 
DUE TO 
INFRINGEMENT 
OF CHAPTER 2 OF 
REGULATION (EU) 
2017/2402 BEFORE CAP (-) REDUCTION 
DUE TO RISK 
WEIGHT CAP (-) REDUCTION 
DUE TO 
OVERALL CAP TOTAL RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT MEMORANDUM ITEM: 
RISK WEIGHTED 
EXPOSURE AMOUNT 
CORRESPONDING TO 
THE OUTFLOWS FROM 
SECURITISATIONS TO 
OTHER EXPOSURE 
CLASSES  
0870 0880 0890 0900 0910 0920 0930  
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
0350 OF WHICH: SENIOR EXPOSURES  
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT  
0370 OF WHICH: SENIOR EXPOSURES  
0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERI ­
VATIVES  
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
0400 OF WHICH: SENIOR EXPOSURES  
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL 
TREATMENT  
0420 OF WHICH: SENIOR EXPOSURES  
0430 RE-SECURITISATIONS  
0440  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Short term
EN L 97/158 Official Journal of the European Union 19.3.2021
 ADJUSTMENT TO 
THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE TO 
MATURITY 
MISMATCHES OVERALL EFFECT 
(ADJUSTMENT) 
DUE TO 
INFRINGEMENT 
OF CHAPTER 2 OF 
REGULATION (EU) 
2017/2402 BEFORE CAP (-) REDUCTION 
DUE TO RISK 
WEIGHT CAP (-) REDUCTION 
DUE TO 
OVERALL CAP TOTAL RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT MEMORANDUM ITEM: 
RISK WEIGHTED 
EXPOSURE AMOUNT 
CORRESPONDING TO 
THE OUTFLOWS FROM 
SECURITISATIONS TO 
OTHER EXPOSURE 
CLASSES  
0870 0880 0890 0900 0910 0920 0930  
0450 CQS 1  
0460 CQS 2  
0470 CQS 3  
0480 ALL OTHER CQS AND UNRATED  
0490  BREAKDOWN OF OUTSTANDING POSITIONS 
ACCORDING TO CQS AT INCEPTION: Long term  
0500 CQS 1  
0510 CQS 2  
0520 CQS 3  
0530 CQS 4  
0540 CQS 5  
0550 CQS 6  
0560 CQS 7  
0570 CQS 8
EN 19.3.2021 Official Journal of the European Union L 97/159
 ADJUSTMENT TO 
THE RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT DUE TO 
MATURITY 
MISMATCHES OVERALL EFFECT 
(ADJUSTMENT) 
DUE TO 
INFRINGEMENT 
OF CHAPTER 2 OF 
REGULATION (EU) 
2017/2402 BEFORE CAP (-) REDUCTION 
DUE TO RISK 
WEIGHT CAP (-) REDUCTION 
DUE TO 
OVERALL CAP TOTAL RISK- 
WEIGHTED 
EXPOSURE 
AMOUNT MEMORANDUM ITEM: 
RISK WEIGHTED 
EXPOSURE AMOUNT 
CORRESPONDING TO 
THE OUTFLOWS FROM 
SECURITISATIONS TO 
OTHER EXPOSURE 
CLASSES  
0870 0880 0890 0900 0910 0920 0930  
0580 CQS 9  
0590 CQS 10  
0600 CQS 11  
0610 CQS 12  
0620 CQS 13  
0630 CQS 14  
0640 CQS 15  
0650 CQS 16  
0660 CQS 17  
0670 ALL OTHER CQS AND UNRATED
EN L 97/160 Official Journal of the European Union 19.3.2021
 C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)  
INTERNAL CODE IDENTIFIER OF THE 
SECURITISATION INTRA-GROUP, 
PRIVATE OR PUBLIC 
SECURITISA-TION? ROLE OF THE INSTI ­
TUTION: 
(ORIGINATOR / 
SPONSOR / ORIGINAL 
LENDER / INVESTOR) IDENTIFIER OF THE 
ORIGINATOR SECURITISATION 
TYPE: 
(TRADITIONAL / 
SYNTHETIC / ABCP 
PROGRAMME / ABCP 
TRANSACTION) ACCOUNTING 
TREATMENT: 
SECURITISED 
EXPOSURES ARE KEPT 
OR REMOVED FROM 
THE BALANCE SHEET? SOLVENCY 
TREATMENT: Securiti ­
sation positions subject 
to own funds 
requirements ? SIGNIFICANT RISK 
TRANSFER SECURITISATION OR 
RE-SECURITISATION? STS OR NON-STS 
SECURITISATION? SECURITISATION 
QUALIFYING FOR 
DIFFERENTIATED 
CAPITAL 
TREATMENT?  
0010 0020 0021 0110 0030 0040 0051 0060 0061 0070 0075 0446  
RETENTION NON ABCP PROGRAMMES SECURITISED EXPOSURES 
TYPE OF 
RETENTION 
APPLIED % OF RETENTION 
AT REPORTING 
DATE COMPLIANCE 
WITH THE 
RETENTION 
REQUIREMENT? ORIGINATION 
DATE 
(yyyy-mm-dd) DATE OF LATEST 
ISSUANCE 
(yyyy-mm-dd) TOTAL AMOUNT OF 
SECURITISED 
EXPOSURES AT 
ORIGINATION DATE TOTAL 
AMOUNT INSTITUTION'S 
SHARE 
(%) TYPE % of IRB IN 
APPROACH 
APPLIED NUMBER OF 
EXPOSURES EXPOSURES IN 
DEFAULT  W (%) COUNTRY LGD (%) EL% UL%  
0080 0090 0100 0120 0121 0130 0140 0150 0160 0171 0180 0181 0190 0201 0202 0203  
SECURITISED EXPOSURES SECURITISATION STRUCTURE  
EXPOSURE- 
WEIGHTED 
AVERAGE 
MATURITY OF 
ASSETS  (-) VALUE 
ADJUSTMENTS 
AND PROVISIONS OWN FUNDS 
REQUIREMENTS 
BEFORE SECURITI ­
SATION (%) Kirb % OF RETAIL 
EXPOSURES IN IRB 
POOLS OWN FUNDS 
REQUIREMENTS 
BEFORE SECURITI ­
SATION (%) Ksa MEMORANDUM 
ITEMS ON-BALANCE SHEET ITEMS 
CREDIT RISK 
ADJUSTMENTS 
DURING THE 
CURRENT PERIOD SENIOR MEZZANINE FIRST LOSS 
AMOUNT ATTACHMENT 
POINT (%) CQS AMOUNT NUMBER OF 
TRANCHES CQS OF THE MOST 
SUBORDINATED 
ONE AMOUNT DETACHMENT 
POINT (%) CQS  
0204 0210 0221 0222 0223 0225 0230 0231 0232 0240 0241 0242 0250 0251 0252  
SECURITISATION STRUCTURE  
OFF-BALANCE SHEET ITEMS AND DERIVATIVES MATURITY MEMORANDUM ITEMS  
SENIOR MEZZANINE FIRST LOSS FIRST FORESEEABLE 
TERMINATION DATE ORIGINATOR'S CALL 
OPTIONS INCLUDED IN 
TRANSACTION LEGAL FINAL MATURITY 
DATE ATTACHMENT POINT OF RISK 
SOLD (%) DETACHMENT POINT OF RISK 
SOLD (%) RISK TRANSFER CLAIMED BY 
ORIGINATOR INSTITUTION 
(%) 
0260 0270 0280 0290 0291 0300 0302 0303 0304
EN 19.3.2021 Official Journal of the European Union L 97/161
 C 14.01 - DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)  
Approach:  
INTERNAL 
CODE IDENTIFIER OF 
THE SECURITI ­
SATION SECURITISATION POSITIONS 
ORIGINAL EXPOSURE PRE-CONVERSION FACTORS MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND 
DERIVATIVES PRE CONVERSION FACTORS 
ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES 
DIRECT 
CREDIT 
SUBSTITUTES IRS / CRS LIQUIDITY 
FACILITIES OTHER  
SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS RW 
CORRESPONDING 
TO PROTECTION 
PROVIDER / 
INSTRUMENT RW 
CORRESPONDING 
TO PROTECTION 
PROVIDER / 
INSTRUMENT  
0010 0020 0310 0320 0330 0340 0350 0351 0360 0361 0370 0380 0390 0400  
EXPOSURE VALUE  (-) EXPOSURE VALUE 
DEDUCTED FROM 
OWN FUNDS TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEMS SECURITISATION POSITIONS - TRADING BOOK  
RISK-WEIGHTED 
EXPOSURE 
AMOUNT UNDER 
SEC-ERBA RISK WEIGHTED 
EXPOSURE 
AMOUNT UNDER 
SEC-SA CTP OR NON-CTP? NET POSITIONS  
BEFORE CAP (-) REDUCTION DUE 
TO RISK WEIGHT 
CAP (-) REDUCTION DUE 
TO OVERALL CAP AFTER CAP  
LONG SHORT  
0411 0420 0430 0431 0432 0440 0447 0448 0450 0460 0470
EN L 97/162 Official Journal of the European Union 19.3.2021
 C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS (CCR 1) 
MONTH 1 MONTH 2 MONTH 3 
QUALI­
TATIVE 
INFORMATI ­
ON LONG 
DERI­
VATIVE 
POSITIONS SHORT 
DERI­
VATIVE 
POSITIONS TOTAL LONG 
DERI­
VATIVE 
POSITIONS SHORT 
DERI­
VATIVE 
POSITIONS TOTAL LONG 
DERI­
VATIVE 
POSITIONS SHORT 
DERI­
VATIVE 
POSITIONS TOTAL  
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0010 Size of the derivative business  
0020 On- and off-balance sheet derivatives  
0030 (-) Credit derivatives that are recognised 
as internal hedges against non-trading 
book credit risk exposures  
0040 Total assets  
0050 Percentage of total assets  
DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) CRR  
0060 Are the conditions of Article 273a (4) 
CRR met, including the approval from 
the competent authority?  
0070 Method for calculating exposure values at 
consolidated level
EN 19.3.2021 Official Journal of the European Union L 97/163
 C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH (CCR 2)  
Exposures  
APPROACH NUMBER OF 
COUNTER ­
PARTIES NUMBER OF 
TRANS­
ACTIONS NOTIONAL 
AMOUNTS CURRENT 
MARKET 
VALUE (CMV), 
POSITIVE CURRENT 
MARKET 
VALUE (CMV), 
NEGATIVE VARIATION 
MARGIN (VM), 
RECEIVED VARIATION 
MARGIN (VM), 
POSTED NET INDE ­
PENDENT 
COLLATERAL 
AMOUNT 
(NICA), 
RECEIVED  
0010 0020 0030 0040 0050 0060 0070 0080  
0010 ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES) 
0020 SIMPLIFIED SA-CCR (FOR DERIVATIVES) 
0030 SA-CCR (FOR DERIVATIVES) 
0040 IMM (FOR DERIVATIVES AND SFTS) 
0050 
Securities financing transactions netting sets 
0060 
Derivatives and long settlement transactions netting 
sets 
0070 
From contractual cross-product netting sets 
0080 FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS) 
0090 FINANCIAL COLLATERAL COMPREHENSIVE METHOD 
(FOR SFTS) 
0100 VAR FOR SFTS 
0110  TOTAL  
0120 of which: SWWR positions 
0130 
Margined business 
0140 
Unmargined business
EN L 97/164 Official Journal of the European Union 19.3.2021
 APPROACH NET INDE ­
PENDENT 
COLLATERAL 
AMOUNT (NICA), 
POSTED REPLACE-MENT 
COST (RC) POTENTIAL 
FUTURE 
EXPOSURE (PFE) CURRENT 
EXPOSURE EEPE ALPHA USED FOR 
COMPUTING 
REGULATORY 
EXPOSURE VALUE EXPOSURE 
VALUE 
PRE-CRM  
0090 0100 0110 0120 0130 0140 0150  
0010 ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES) 1,4 
0020 SIMPLIFIED SA-CCR (FOR DERIVATIVES) 1,4 
0030 SA-CCR (FOR DERIVATIVES) 1,4 
0040 IMM (FOR DERIVATIVES AND SFTS) 
0050 
Securities financing transactions netting sets 
0060 
Derivatives and long settlement transactions netting 
sets 
0070 
From contractual cross-product netting sets 
0080 FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS) 
0090 FINANCIAL COLLATERAL COMPREHENSIVE METHOD 
(FOR SFTS) 
0100 VAR FOR SFTS 
0110  TOTAL  
0120 of which: SWWR positions 
0130 
Margined business 
0140 
Unmargined business
EN 19.3.2021 Official Journal of the European Union L 97/165
 APPROACH EXPOSURE 
VALUE POST- 
CRM EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNTS  
Positions treated 
with the CR Stan ­
dardised Approach Positions treated 
with the CR IRB 
Approach Positions treated 
with the CR Stan ­
dardised Approach Positions treated 
with the CR IRB 
Approach  
0160 0170 0180 0190 0200 0210 0220  
0010 ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES)  
0020 SIMPLIFIED SA-CCR (FOR DERIVATIVES)  
0030 SA-CCR (FOR DERIVATIVES)  
0040 IMM (FOR DERIVATIVES AND SFTS)  
0050 
Securities financing transactions netting sets  
0060 
Derivatives and long settlement transactions netting 
sets 
0070 
From contractual cross-product netting sets  
0080 FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)  
0090 FINANCIAL COLLATERAL COMPREHENSIVE METHOD 
(FOR SFTS)  
0100 VAR FOR SFTS  
0110  TOTAL  
0120 of which: SWWR positions  
0130 
Margined business  
0140 
Unmargined business
EN L 97/166 Official Journal of the European Union 19.3.2021
 C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR (CCR 3)  
CCR approach  
RISK CATEGORIES CURRENCY SECOND 
CURRENCY IN 
PAIR NUMBER OF 
TRANS­
ACTIONS NOTIONAL 
AMOUNTS CURRENT 
MARKET 
VALUE (CMV), 
POSITIVE CURRENT 
MARKET 
VALUE (CMV), 
NEGATIVE ADD-ON  
0010 0020 0030 0040 0050 0060 0070  
0010  TOTAL  
0020 of which: Mapped to 2 risk categories  
0030 of which: Mapped to 3 risk categories  
0040 of which: Mapped to more than 3 risk categories  
0050  INTEREST RATE RISK  
0060 of which: Mapped exclusively to Interest rate risk 
category  
0070 of which: Largest currency  
0080 of which: 2nd largest currency  
0090 of which: 3rd largest currency  
0100 of which: 4th largest currency  
0110 of which: 5th largest currency
EN 19.3.2021 Official Journal of the European Union L 97/167
 RISK CATEGORIES CURRENCY SECOND 
CURRENCY IN 
PAIR NUMBER OF 
TRANS­
ACTIONS NOTIONAL 
AMOUNTS CURRENT 
MARKET 
VALUE (CMV), 
POSITIVE CURRENT 
MARKET 
VALUE (CMV), 
NEGATIVE ADD-ON  
0010 0020 0030 0040 0050 0060 0070  
0120  FOREIGN EXCHANGE RISK  
0130 of which: Mapped exclusively to Foreign Exchange risk 
category  
0140 of which: Largest currency pair  
0150 of which: 2nd largest currency pair  
0160 of which: 3rd largest currency pair  
0170 of which: 4th largest currency pair  
0180 of which: 5th largest currency pair  
0190  CREDIT RISK  
0200 of which: Mapped exclusively to Credit risk category  
0210 Single-name transactions  
0220 Multi-names transactions  
0230  EQUITY RISK  
0240 of which: Mapped exclusively to Equity risk category  
0250 Single-name transactions  
0260 Multi-names transactions
EN L 97/168 Official Journal of the European Union 19.3.2021
 RISK CATEGORIES CURRENCY SECOND 
CURRENCY IN 
PAIR NUMBER OF 
TRANS­
ACTIONS NOTIONAL 
AMOUNTS CURRENT 
MARKET 
VALUE (CMV), 
POSITIVE CURRENT 
MARKET 
VALUE (CMV), 
NEGATIVE ADD-ON  
0010 0020 0030 0040 0050 0060 0070  
0270  COMMODITY RISK  
0280 of which: Mapped exclusively to Commodity risk 
category  
0290 Energy  
0300 Metals  
0310 Agricultural goods  
0320 Climatic conditions  
0330 Other commodities  
0340  OTHER RISKS
EN 19.3.2021 Official Journal of the European Union L 97/169
 C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) (CCR 4) 
RISK CATEGORIES NUMBER OF 
TRANSACTIONS NOTIONAL 
AMOUNTS CURRENT 
MARKET VALUE 
(CMV), POSITIVE CURRENT 
MARKET VALUE 
(CMV), NEGATIVE POTENTIAL 
FUTURE 
EXPOSURE (PFE)  
0010 0020 0030 0040 0050  
0010  TOTAL  
0020 INTEREST RATE RISK  
0030 FOREIGN EXCHANGE RISK  
0040 CREDIT RISK  
0050 EQUITY RISK  
0060 COMMODITY RISK  
0070 of which: electricity
EN L 97/170 Official Journal of the European Union 19.3.2021
 C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) (CCR 5)  
INSTRUMENTS MARGINED 
NUMBER OF 
TRANSACTIONS NOTIONAL 
AMOUNTS CURRENT 
MARKET VALUE 
(CMV), POSITIVE CURRENT 
MARKET VALUE 
(CMV), NEGATIVE CURRENT 
EXPOSURE EEPE Stress EEPE EXPOSURE VALUE  
0010 0020 0030 0040 0050 0060 0070 0080  
0010  TOTAL  
0020 of which: SWWR positions 
0030 Netting sets treated with the CR Standardised Approach 
0040 Netting sets treated with the CR IRB Approach 
0050  
OTC DERIVATIVES INTEREST RATE  
0060  FOREIGN EXCHANGE  
0070  CREDIT  
0080  EQUITY  
0090  COMMODITY  
0100  OTHER  
0110  TOTAL  
0120  
EXCHANGE TRADED 
DERIVATIVES INTEREST RATE  
0130  FOREIGN EXCHANGE  
0140  CREDIT  
0150  EQUITY  
0160  COMMODITY  
0170  OTHER  
0180  TOTAL
EN 19.3.2021 Official Journal of the European Union L 97/171
 INSTRUMENTS MARGINED 
NUMBER OF 
TRANSACTIONS NOTIONAL 
AMOUNTS CURRENT 
MARKET VALUE 
(CMV), POSITIVE CURRENT 
MARKET VALUE 
(CMV), NEGATIVE CURRENT 
EXPOSURE EEPE Stress EEPE EXPOSURE VALUE  
0010 0020 0030 0040 0050 0060 0070 0080  
0190  
SECURITIES 
FINANCING TRANS ­
ACTIONS BOND UNDERLYING  
0200  EQUITY UNDERLYING  
0210  OTHER UNDERLYING  
0220  TOTAL  
0230  CONTRACTUAL CROSS-PRODUCT NETTING SETS
EN L 97/172 Official Journal of the European Union 19.3.2021
 INSTRUMENTS UNMARGINED 
EXPOSURE 
VALUE  NUMBER OF 
TRANSACTIONS NOTIONAL 
AMOUNTS CURRENT 
MARKET 
VALUE (CMV), 
POSITIVE CURRENT 
MARKET VALUE 
(CMV), NEGATIVE CURRENT 
EXPOSURE EEPE Stress EEPE EXPOSURE 
VALUE  
0090 0100 0110 0120 0130 0140 0150 0160 0170  
0010  TOTAL  
0020 of which: SWWR positions  
0030 Netting sets treated with the CR Standardised Approach  
0040 Netting sets treated with the CR IRB Approach  
0050  
OTC DERIVATIVES INTEREST RATE  
0060  FOREIGN EXCHANGE  
0070  CREDIT  
0080  EQUITY  
0090  COMMODITY  
0100  OTHER  
0110  TOTAL  
0120  
EXCHANGE TRADED 
DERIVATIVES INTEREST RATE  
0130  FOREIGN EXCHANGE  
0140  CREDIT  
0150  EQUITY  
0160  COMMODITY  
0170  OTHER  
0180  TOTAL
EN 19.3.2021 Official Journal of the European Union L 97/173
 INSTRUMENTS UNMARGINED 
EXPOSURE 
VALUE  NUMBER OF 
TRANSACTIONS NOTIONAL 
AMOUNTS CURRENT 
MARKET 
VALUE (CMV), 
POSITIVE CURRENT 
MARKET VALUE 
(CMV), NEGATIVE CURRENT 
EXPOSURE EEPE Stress EEPE EXPOSURE 
VALUE  
0090 0100 0110 0120 0130 0140 0150 0160 0170  
0190  
SECURITIES 
FINANCING TRANS ­
ACTIONS BOND UNDERLYING  
0200  EQUITY UNDERLYING  
0210  OTHER UNDERLYING  
0220  TOTAL  
0230  CONTRACTUAL CROSS-PRODUCT NETTING SETS
EN L 97/174 Official Journal of the European Union 19.3.2021
 C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES (CCR 6)  
NAME CODE TYPE OF CODE NATIONAL 
CODE SECTOR OF 
THE COUN- 
TERPARTY COUNTERP ­
ARTY TYPE RESIDENCY 
OF THE 
COUNTERP ­
ARTY NUMBER OF 
TRANS­
ACTIONS NOTIONAL 
AMOUNTS CURRENT 
MARKET 
VALUE 
(CMV), 
POSITIVE CURRENT 
MARKET 
VALUE 
(CMV), 
NEGATIVE EXPOSURE 
VALUE 
POST-CRM EXPOSURE 
VALUE RISK 
WEIGHTED 
EXPOSURE 
AMOUNTS  
0010 0020 0030 0035 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130
EN 19.3.2021 Official Journal of the European Union L 97/175
 C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR 7)  
IRB Exposure class  
Own estimates of LGD 
and/or conversion factors:  
PD scale Exposure value Exposure 
weighted 
average PD (%) Number of 
obligors Exposure 
weighted 
average LGD 
(%) Exposure 
weighted 
average 
maturity (years) Risk weighted 
exposure 
amounts Density of risk 
weighted 
exposure 
amounts  
0010 0020 0030 0040 0050 0060 0070  
0010 0.00 to <0.15  
0020 0.00 to <0.10  
0030 0.10 to <0.15  
0040 0.15 to <0.25  
0050 0.25 to <0.50  
0060 0.50 to <0.75  
0070 0.75 to <2.50  
0080 0.75 to <1.75  
0090 1.75 to <2.5  
0100 2.50 to <10.00  
0110 2.50 to <5.00
EN L 97/176 Official Journal of the European Union 19.3.2021
 PD scale Exposure value Exposure 
weighted 
average PD (%) Number of 
obligors Exposure 
weighted 
average LGD 
(%) Exposure 
weighted 
average 
maturity (years) Risk weighted 
exposure 
amounts Density of risk 
weighted 
exposure 
amounts  
0010 0020 0030 0040 0050 0060 0070  
0120 5.00 to <10.00  
0130 10.00 to <100.00  
0140 10.00 to <20.00  
0150 20.00 to <30.00  
0160 30.00 to <100.00  
0170 100.00 (Default)  
0180 Total
EN 19.3.2021 Official Journal of the European Union L 97/177
 C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES (CCR 8)  
Collateral type Collateral used in derivative transactions 
Fair value of collateral received Fair value of posted collateral 
Segregated Unsegregated Segregated Unsegregated 
Initial margin Variation margin Initial margin Variation margin Initial margin Variation margin Initial margin Variation margin  
0010 0020 0030 0040 0050 0060 0070 0080  
0010 
Cash – domestic currency 
0020 
Cash – other currencies 
0030 
Domestic sovereign debt 
0040 
Other sovereign debt 
0050 
Government agency debt 
0060 
Corporate bonds 
0070 
Equity securities 
0080 
Other collateral 
0090  Total
EN L 97/178 Official Journal of the European Union 19.3.2021
 Collateral type Collateral used in SFTs  
Fair value of collateral received Fair value of posted collateral  
Segregated Unsegregated Segregated Unsegregated  
Initial 
margin Variation 
margin Initial 
margin Variation 
margin SFT security Initial 
margin Variation 
margin Initial 
margin Variation 
margin SFT security  
0090 0100 0110 0120 0130 0140 0150 0160 0170 0180  
0010 
Cash – domestic currency  
0020 
Cash – other currencies  
0030 
Domestic sovereign debt  
0040 
Other sovereign debt  
0050 
Government agency debt  
0060 
Corporate bonds  
0070 
Equity securities  
0080 
Other collateral  
0090  Total
EN 19.3.2021 Official Journal of the European Union L 97/179
 C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES (CCR 9) 
Product type NOTIONAL AMOUNTS FAIR VALUES  
PROTECTION 
BOUGHT PROTECTION SOLD PROTECTION 
BOUGHT PROTECTION SOLD  
0010 0020 0030 0040  
0010 Single-name credit default swaps  
0020 Index credit default swaps  
0030 Total return swaps  
0040 Credit options  
0050 Other credit derivatives  
0060  Total  
FAIR VALUE BREAKDOWN  
0070 Positive fair value (asset)  
0080 Negative fair value (liability)
 C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs (CCR 10) 
EXPOSURE VALUE RISK WEIGHTED 
EXPOSURE 
AMOUNTS  
0010 0020  
0010  Exposures to QCCPs (total)  
0020 Exposures for trades at QCCPs (excluding initial margin and default 
fund contributions); of which  
0030 (i) OTC derivatives  
0040 (ii) Exchange-traded derivatives  
0050 (iii) SFTs  
0060 (iv) Netting sets where cross-product netting has been approved  
0070 Segregated initial margin  
0080 Non-segregated initial margin  
0090 Prefunded default fund contributions  
0100 Unfunded default fund contributions  
0110  Exposures to non-QCCPs (total)  
0120 Exposures for trades at non-QCCPs (excluding initial margin and 
default fund contributions); of which  
0130 (i) OTC derivatives  
0140 (ii) Exchange-traded derivatives  
0150 (iii) SFTs  
0160 (iv) Netting sets where cross-product netting has been approved  
0170 Segregated initial margin  
0180 Non-segregated initial margin  
0190 Prefunded default fund contributions  
0200 Unfunded default fund contributionsEN L 97/180 Official Journal of the European Union 19.3.2021
 
C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM (CCR 11) 
RISK WEIGHTED EXPOSURE AMOUNTS  
QUARTERLY FLOWS ANNUAL FLOWS  
0010 0020  
0010  Risk Weighted Exposure Amounts as at the end of the previous 
reporting period  
0020 Asset size  
0030 Credit quality of counterparties  
0040 Model updates (IMM only)  
0050 Methodology and policy (IMM only)  
0060 Acquisitions and disposals  
0070 Foreign exchange movements  
0080 Other  
0090  Risk Weighted Exposure Amounts as at the end of the current 
reporting periodEN 19.3.2021 Official Journal of the European Union L 97/181
 EN L 97/182 Official Journal of the European Union 19.3.2021
 C 16.00 - OPERATIONAL RISK (OPR)  
BANKING ACTIVITIES RELEVANT INDICATOR LOANS AND ADVANCES (IN CASE OF ASA 
APPLICATION) OWN FUNDS 
REQUIREMENT Total operational risk 
exposure amount 
YEAR-3 YEAR-2 LAST YEAR YEAR-3 YEAR-2 LAST YEAR  
0010 0020 0030 0040 0050 0060 0070 0071  
0010 1.  BANKING ACTIVITIES SUBJECT TO BASIC 
INDICATOR APPROACH (BIA)  Cell linked to CA2 
0020 2.  BANKING ACTIVITIES SUBJECT TO STAN ­
DARDISED (TSA) / ALTERNATIVE STAN ­
DARDISED (ASA) APPROACHES  Cell linked to CA2  
SUBJECT TO TSA:  
0030 CORPORATE FINANCE (CF) 
0040 TRADING AND SALES (TS) 
0050 RETAIL BROKERAGE (RBr) 
0060 COMMERCIAL BANKING (CB) 
0070 RETAIL BANKING (RB) 
0080 PAYMENT AND SETTLEMENT (PS) 
0090 AGENCY SERVICES (AS)
EN 19.3.2021 Official Journal of the European Union L 97/183
 BANKING ACTIVITIES RELEVANT INDICATOR LOANS AND ADVANCES (IN CASE OF ASA 
APPLICATION) OWN FUNDS 
REQUIREMENT Total operational risk 
exposure amount 
YEAR-3 YEAR-2 LAST YEAR YEAR-3 YEAR-2 LAST YEAR  
0010 0020 0030 0040 0050 0060 0070 0071  
0100 ASSET MANAGEMENT (AM)  
SUBJECT TO ASA:  
0110 COMMERCIAL BANKING (CB) 
0120 RETAIL BANKING (RB) 
0130 3.  BANKING ACTIVITIES SUBJECT TO 
ADVANCED MEASUREMENT APPROACHES 
AMA  Cell linked to CA2
EN L 97/184 Official Journal of the European Union 19.3.2021
 BANKING ACTIVITIES AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE  
OF WHICH: 
DUE TO AN ALLO ­
CATION MECHANISM OWN FUNDS 
REQUIREMENT BEFORE 
ALLEVIATION DUE TO 
EXPECTED LOSS, DIVER ­
SIFICATION AND RISK 
MITIGATION TECH ­
NIQUES (-) ALLEVIATION OF OWN 
FUNDS REQUIREMENT 
DUE TO THE EXPECTED 
LOSS CAPTURED IN 
BUSINESS PRACTICES (-) ALLEVIATION OF OWN 
FUNDS REQUIREMENT 
DUE TO DIVERSIFI ­
CATION (-) ALLEVIATION OF OWN 
FUNDS REQUIREMENT 
DUE TO RISK MITI ­
GATION TECHNIQUES 
(INSURANCE AND OTHER 
RISK TRANSFER MECH ­
ANISMS)  
0080 0090 0100 0110 0120  
0010 1.  BANKING ACTIVITIES SUBJECT TO BASIC 
INDICATOR APPROACH (BIA)  
0020 2.  BANKING ACTIVITIES SUBJECT TO STAN ­
DARDISED (TSA) / ALTERNATIVE STAN ­
DARDISED (ASA) APPROACHES  
SUBJECT TO TSA:  
0030 CORPORATE FINANCE (CF)  
0040 TRADING AND SALES (TS)  
0050 RETAIL BROKERAGE (RBr)  
0060 COMMERCIAL BANKING (CB)  
0070 RETAIL BANKING (RB)  
0080 PAYMENT AND SETTLEMENT (PS)  
0090 AGENCY SERVICES (AS)
EN 19.3.2021 Official Journal of the European Union L 97/185
 BANKING ACTIVITIES AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE  
OF WHICH: 
DUE TO AN ALLO ­
CATION MECHANISM OWN FUNDS 
REQUIREMENT BEFORE 
ALLEVIATION DUE TO 
EXPECTED LOSS, DIVER ­
SIFICATION AND RISK 
MITIGATION TECH ­
NIQUES (-) ALLEVIATION OF OWN 
FUNDS REQUIREMENT 
DUE TO THE EXPECTED 
LOSS CAPTURED IN 
BUSINESS PRACTICES (-) ALLEVIATION OF OWN 
FUNDS REQUIREMENT 
DUE TO DIVERSIFI ­
CATION (-) ALLEVIATION OF OWN 
FUNDS REQUIREMENT 
DUE TO RISK MITI ­
GATION TECHNIQUES 
(INSURANCE AND OTHER 
RISK TRANSFER MECH ­
ANISMS)  
0080 0090 0100 0110 0120  
0100 ASSET MANAGEMENT (AM)  
SUBJECT TO ASA:  
0110 COMMERCIAL BANKING (CB)  
0120 RETAIL BANKING (RB)  
0130 3.  BANKING ACTIVITIES SUBJECT TO 
ADVANCED MEASUREMENT APPROACHES 
AMA
EN L 97/186 Official Journal of the European Union 19.3.2021
 C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)  
MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0010  
CORPORATE 
FINANCE [CF]  Number of events (new events)  
0020 Gross loss amount (new events)  
0030 Number of events subject to loss 
adjustments  
0040 Loss adjustments relating to previous 
reporting periods  
0050 Maximum single loss  
0060 Sum of the five largest losses  
0070 Total direct loss recovery  
0080 Total recovery from insurance and 
other risk transfer mechanisms
EN 19.3.2021 Official Journal of the European Union L 97/187
 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0110  
TRADING AND 
SALES [TS]  Number of events (new events)  
0120 Gross loss amount (new events)  
0130 Number of events subject to loss 
adjustments  
0140 Loss adjustments relating to previous 
reporting periods  
0150 Maximum single loss  
0160 Sum of the five largest losses  
0170 Total direct loss recovery  
0180 Total recovery from insurance and 
other risk transfer mechanisms
EN L 97/188 Official Journal of the European Union 19.3.2021
 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0210  
RETAIL 
BROKERAGE 
[RBr]  Number of events (new events)  
0220 Gross loss amount (new events)  
0230 Number of events subject to loss 
adjustments  
0240 Loss adjustments relating to previous 
reporting periods  
0250 Maximum single loss  
0260 Sum of the five largest losses  
0270 Total direct loss recovery  
0280 Total recovery from insurance and 
other risk transfer mechanisms
EN 19.3.2021 Official Journal of the European Union L 97/189
 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0310  
COMMERCIAL 
BANKING [CB]  Number of events (new events)  
0320 Gross loss amount (new events)  
0330 Number of events subject to loss 
adjustments  
0340 Loss adjustments relating to previous 
reporting periods  
0350 Maximum single loss  
0360 Sum of the five largest losses  
0370 Total direct loss recovery  
0380 Total recovery from insurance and 
other risk transfer mechanisms
EN L 97/190 Official Journal of the European Union 19.3.2021
 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0410  
RETAIL 
BANKING [RB]  Number of events (new events)  
0420 Gross loss amount (new events)  
0430 Number of events subject to loss 
adjustments  
0440 Loss adjustments relating to previous 
reporting periods  
0450 Maximum single loss  
0460 Sum of the five largest losses  
0470 Total direct loss recovery  
0480 Total recovery from insurance and 
other risk transfer mechanisms
EN 19.3.2021 Official Journal of the European Union L 97/191
 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0510  
PAYMENT AND 
SETTLEMENT 
[PS]  Number of events (new events)  
0520 Gross loss amount (new events)  
0530 Number of events subject to loss 
adjustments  
0540 Loss adjustments relating to previous 
reporting periods  
0550 Maximum single loss  
0560 Sum of the five largest losses  
0570 Total direct loss recovery  
0580 Total recovery from insurance and 
other risk transfer mechanisms
EN L 97/192 Official Journal of the European Union 19.3.2021
 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0610  
AGENCY 
SERVICES [AS]  Number of events (new events)  
0620 Gross loss amount (new events)  
0630 Number of events subject to loss 
adjustments  
0640 Loss adjustments relating to previous 
reporting periods  
0650 Maximum single loss  
0660 Sum of the five largest losses  
0670 Total direct loss recovery  
0680 Total recovery from insurance and 
other risk transfer mechanisms
EN 19.3.2021 Official Journal of the European Union L 97/193
 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0710  
ASSET 
MANAGEMENT 
[AM]  Number of events (new events)  
0720 Gross loss amount (new events)  
0730 Number of events subject to loss 
adjustments  
0740 Loss adjustments relating to previous 
reporting periods  
0750 Maximum single loss  
0760 Sum of the five largest losses  
0770 Total direct loss recovery  
0780 Total recovery from insurance and 
other risk transfer mechanisms
EN L 97/194 Official Journal of the European Union 19.3.2021
 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0810  
CORPORATE 
ITEMS [CI]  Number of events (new events)  
0820 Gross loss amount (new events)  
0830 Number of events subject to loss 
adjustments  
0840 Loss adjustments relating to previous 
reporting periods  
0850 Maximum single loss  
0860 Sum of the five largest losses  
0870 Total direct loss recovery  
0880 Total recovery from insurance and 
other risk transfer mechanisms
EN 19.3.2021 Official Journal of the European Union L 97/195
 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0910  
TOTAL 
BUSINESS LINES  Number of events (new events). Of 
which:  
0911 related to losses ≥ 10 000 and 
< 20 000  
0912 related to losses ≥ 20 000 and 
< 100 000  
0913 related to losses ≥ 100 000 
and < 1 000 000  
0914 related to losses ≥ 1 000 000  
0920 Gross loss amount (new events). Of 
which:  
0921 related to losses ≥ 10 000 and 
< 20 000  
0922 related to losses ≥ 20 000 and 
< 100 000
EN L 97/196 Official Journal of the European Union 19.3.2021
 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0923 related to losses ≥ 100 000 
and < 1 000 000  
0924 related to losses ≥ 1 000 000  
0930 Number of events subject to loss 
adjustments. Of which:  
0935 of which: number of events with a 
positive loss adjustment  
0936 of which: number of events with a 
negative loss adjustment  
0940 Loss adjustments relating to previous 
reporting periods  
0945 of which: positive loss adjustment 
amounts (+)  
0946 of which: negative loss adjustment 
amounts (-)
EN 19.3.2021 Official Journal of the European Union L 97/197
 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES 
TOTAL 
EVENT 
TYPES MEMORANDUM ITEM: 
THRESHOLD APPLIED IN 
DATA COLLECTION  
INTERNAL 
FRAUD EXTER- 
NAL 
FRAUD EMPLOYME ­
NT 
PRACTICES 
AND 
WORKPLA ­
CE SAFETY CLIENTS, 
PRODUCTS 
& 
BUSINESS 
PRACTICES DAMAGE 
TO 
PHYSICAL 
ASSETS BUSINESS 
DISRUPTIO ­
N AND 
SYSTEM 
FAILURES EXECUTIO ­
N, 
DELIVERY 
& PROCESS 
MANAGEM ­
ENT LOWEST HIGHEST  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0950 Maximum single loss  
0960 Sum of the five largest losses  
0970 Total direct loss recovery  
0980 Total recovery from insurance and 
other risk transfer mechanisms
EN L 97/198 Official Journal of the European Union 19.3.2021
 C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)  
Event ID Date of 
accounting Date of 
occurrence Date of 
discovery Event Type Gross loss Gross loss net of 
direct recoveries GROSS LOSS BY BUSINESS LINE 
Corporate 
Finance [CF] Trading and Sales 
[TS] Retail Brokerage 
[RBr] Commercial 
Banking [CB]  
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110  
… 
GROSS LOSS BY BUSINESS LINE 
Legal Entity name Code Type of code Business Unit Description  
Retail Banking [RB] Payment and 
Settlement [PS] Agency Services 
[AS] Asset Management 
[AM] Corporate Items 
[CI]  
Rows 0120 0130 0140 0150 0160 0170 0180 0185 0190 0200  
…
EN 19.3.2021 Official Journal of the European Union L 97/199
 C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)  
Currency:  
POSITIONS 
OWN FUNDS 
REQUIREME ­
NTS TOTAL RISK 
EXPOSURE 
AMOUNT  ALL POSITIONS NET POSITIONS POSITIONS 
SUBJECT TO 
CAPITAL 
CHARGE  LONG SHORT LONG SHORT  
0010 0020 0030 0040 0050 0060 0070  
0010  TRADED DEBT INSTRUMENTS IN TRADING BOOK  Cell linked to 
CA2  
0011  General risk  
0012 Derivatives  
0013 Other assets and liabilities  
0020 Maturity-based approach  
0030 Zone 1  
0040 0 ≤ 1 month  
0050 > 1 ≤ 3 months  
0060 > 3 ≤ 6 months  
0070 > 6 ≤ 12 months
EN L 97/200 Official Journal of the European Union 19.3.2021
 POSITIONS 
OWN FUNDS 
REQUIREME ­
NTS TOTAL RISK 
EXPOSURE 
AMOUNT  ALL POSITIONS NET POSITIONS POSITIONS 
SUBJECT TO 
CAPITAL 
CHARGE  LONG SHORT LONG SHORT  
0010 0020 0030 0040 0050 0060 0070  
0080 Zone 2  
0090 > 1 ≤ 2 (1,9 for cupon of less than 3%) years  
0100 > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years  
0110 > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years  
0120 Zone 3  
0130 > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years  
0140 > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years  
0150 > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years  
0160 > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years  
0170 > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years  
0180 > 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years  
0190 (> 12,0 ≤ 20,0 for cupon of less than 3%) years  
0200 (> 20 for cupon of less than 3%) years
EN 19.3.2021 Official Journal of the European Union L 97/201
 POSITIONS 
OWN FUNDS 
REQUIREME ­
NTS TOTAL RISK 
EXPOSURE 
AMOUNT  ALL POSITIONS NET POSITIONS POSITIONS 
SUBJECT TO 
CAPITAL 
CHARGE  LONG SHORT LONG SHORT  
0010 0020 0030 0040 0050 0060 0070  
0210 Duration-based approach  
0220 Zone 1  
0230 Zone 2  
0240 Zone 3  
0250  Specific risk  
0251 Own funds requirement for non-securitisation debt 
instruments  
0260 Debt securities under the first category in Table 1  
0270 Debt securities under the second category in Table 1  
0280 With residual term ≤ 6 months  
0290 With a residual term > 6 months and ≤ 24 months  
0300 With a residual term > 24 months  
0310 Debt securities under the third category in Table 1  
0320 Debt securities under the fourth category in Table 1
EN L 97/202 Official Journal of the European Union 19.3.2021
 POSITIONS 
OWN FUNDS 
REQUIREME ­
NTS TOTAL RISK 
EXPOSURE 
AMOUNT  ALL POSITIONS NET POSITIONS POSITIONS 
SUBJECT TO 
CAPITAL 
CHARGE  LONG SHORT LONG SHORT  
0010 0020 0030 0040 0050 0060 0070  
0321 Rated nth-to default credit derivatives  
0325 Own funds requirement for securitisation instruments  
0330 Own funds requirement for the correlation trading portfolio  
0350 Additional requirements for options (non-delta risks)  
0360 Simplified method  
0370 Delta plus approach - additional requirements for gamma risk  
0380 Delta plus approach - additional requirements for vega risk  
0385 Delta plus approach - non-continuous options and warrants  
0390 Scenario matrix approach
EN 19.3.2021 Official Journal of the European Union L 97/203
 C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)  
ALL POSITIONS  (-) POSITIONS DEDUCTED FROM OWN 
FUNDS  NET POSITIONS 
LONG SHORT (-) LONG (-) SHORT LONG SHORT  
0010 0020 0030 0040 0050 0060  
0010  TOTAL EXPOSURES  
0020 Of which: RE-SECURITISATIONS 
0030  ORIGINATOR: TOTAL EXPOSURES  
0040 SECURITISATIONS 
0041 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT 
0050 RE-SECURITISATIONS 
0060  INVESTOR: TOTAL EXPOSURES  
0070 SECURITISATIONS 
0071 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT 
0080 RE-SECURITISATIONS 
0090  SPONSOR: TOTAL EXPOSURES  
0100 SECURITISATIONS 
0101 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT 
0110 RE-SECURITISATIONS
EN L 97/204 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS 
[0 – 
10 %] [10 – 
12 %] [12 – 
20 %] [20 – 
40 %] [40 – 
100 %] [100 – 
150 %] [150 – 
200 %] [200 – 
225 %] [225 – 
250 %] [250 – 
300 %] [300 – 
350 %] [350 – 
425 %] [425 – 
500 %] [500 – 
650 %] [650 – 
750 %] [750 – 
850 %] [850 – 
1 250 %] 1 250 %  
0061 0062 0063 0064 0065 0066 0071 0072 0073 0074 0075 0076 0077 0078 0079 0081 0082 0083  
0010  TOTAL EXPOSURES  
0020 Of which: RE-SECURITISATIONS 
0030  ORIGINATOR: TOTAL EXPOSURES  
0040 SECURITISATIONS 
0041 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT 
0050 RE-SECURITISATIONS 
0060  INVESTOR: TOTAL EXPOSURES  
0070 SECURITISATIONS 
0071 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT 
0080 RE-SECURITISATIONS 
0090  SPONSOR: TOTAL EXPOSURES  
0100 SECURITISATIONS 
0101 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT 
0110 RE-SECURITISATIONS
EN 19.3.2021 Official Journal of the European Union L 97/205
 BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS 
[0 – 
10 %] [10 – 
12 %] [12 – 
20 %] [20 – 
40 %] [40 – 
100 %] [100 – 
150 %] [150 – 
200 %] [200 – 
225 %] [225 – 
250 %] [250 – 
300 %] [300 – 
350 %] [350 – 
425 %] [425 – 
500 %] [500 – 
650 %] [650 – 
750 %] [750 – 
850 %] [850 – 
1 250 %] 1 250 %  
0085 0086 0087 0088 0089 0091 0092 0093 0094 0095 0096 0097 0098 0099 0101 0102 0103 0104  
0010  TOTAL EXPOSURES  
0020 Of which: RE-SECURITISATIONS 
0030  ORIGINATOR: TOTAL EXPOSURES  
0040 SECURITISATIONS 
0041 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT 
0050 RE-SECURITISATIONS 
0060  INVESTOR: TOTAL EXPOSURES  
0070 SECURITISATIONS 
0071 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT 
0080 RE-SECURITISATIONS 
0090  SPONSOR: TOTAL EXPOSURES  
0100 SECURITISATIONS 
0101 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT 
0110 RE-SECURITISATIONS
EN L 97/206 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES OVERALL EFFECT (ADJUSTMENT) 
DUE TO INFRINGEMENT OF 
CHAPTER 2 OF REGULATION 
(EU) 2017/2402 BEFORE CAP AFTER CAP / 
TOTAL OWN 
FUND REQUIRE ­
MENTS  
SEC-IRBA SEC-SA SEC-ERBA INTERNAL 
ASSESSMENT 
APPROACH OTHER 
(RW=1 250 %) WEIGHTED 
NET LONG 
POSITIONS WEIGHTED 
NET SHORT 
POSITIONS  
0402 0403 0404 0405 0406 0530 0540 0570 0601  
0010  TOTAL EXPOSURES  Cell linked to 
MKR SA TDI 
{325:060}  
0020 Of which: RE-SECURITISATIONS  
0030  ORIGINATOR: TOTAL EXPOSURES  
0040 SECURITISATIONS  
0041 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT  
0050 RE-SECURITISATIONS  
0060  INVESTOR: TOTAL EXPOSURES  
0070 SECURITISATIONS  
0071 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT  
0080 RE-SECURITISATIONS  
0090  SPONSOR: TOTAL EXPOSURES  
0100 SECURITISATIONS  
0101 OF WHICH: QUALIFYING FOR DIFFERENTIATED 
CAPITAL TREATMENT  
0110 RE-SECURITISATIONS
EN 19.3.2021 Official Journal of the European Union L 97/207
 C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)  
ALL POSITIONS  (-) POSITIONS DEDUCTED FROM OWN 
FUNDS  NET POSITIONS 
LONG SHORT (-) LONG (-) SHORT LONG SHORT  
0010 0020 0030 0040 0050 0060  
0010  TOTAL EXPOSURES 
SECURITISATION POSITIONS:  
0020  ORIGINATOR: TOTAL EXPOSURES  
0030 SECURITISATIONS 
0040 OTHER CTP POSITIONS 
0050  INVESTOR: TOTAL EXPOSURES  
0060 SECURITISATIONS 
0070 OTHER CTP POSITIONS 
0080  SPONSOR: TOTAL EXPOSURES  
0090 SECURITISATIONS 
0100 OTHER CTP POSITIONS  
N-TH-TO-DEFAULT CREDIT DERIVATIVES:  
0110 N-TH-TO-DEFAULT CREDIT DERIVATIVES 
0120 OTHER CTP POSITIONS
EN L 97/208 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS 
[0 – 10 %] [10 – 12 %] [12 – 20 %] [20 – 40 %] [40 – 100 %] [100 – 250 %] [250 – 350 %] [350 – 425 %] [425 – 650 %] [650 – 1 250 
%] 1 250 %  
0071 0072 0073 0074 0075 0076 0077 0078 0079 0081 0082  
0010  TOTAL EXPOSURES 
SECURITISATION POSITIONS:  
0020  ORIGINATOR: TOTAL EXPOSURES  
0030 SECURITISATIONS 
0040 OTHER CTP POSITIONS 
0050  INVESTOR: TOTAL EXPOSURES  
0060 SECURITISATIONS 
0070 OTHER CTP POSITIONS 
0080  SPONSOR: TOTAL EXPOSURES  
0090 SECURITISATIONS 
0100 OTHER CTP POSITIONS  
N-TH-TO-DEFAULT CREDIT DERIVATIVES:  
0110 N-TH-TO-DEFAULT CREDIT DERIVATIVES 
0120 OTHER CTP POSITIONS
EN 19.3.2021 Official Journal of the European Union L 97/209
 BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS 
[0 – 10 %] [10 – 12 %] [12 – 20 %] [20 – 40 %] [40 – 100 %] [100 – 250 %] [250 – 350 %] [350 – 425 %] [425 – 650 %] [650 – 1 250 
%] 1 250 %  
0086 0087 0088 0089 0091 0092 0093 0094 0095 0096 0097  
0010  TOTAL EXPOSURES 
SECURITISATION POSITIONS:  
0020  ORIGINATOR: TOTAL EXPOSURES  
0030 SECURITISATIONS 
0040 OTHER CTP POSITIONS 
0050  INVESTOR: TOTAL EXPOSURES  
0060 SECURITISATIONS 
0070 OTHER CTP POSITIONS 
0080  SPONSOR: TOTAL EXPOSURES  
0090 SECURITISATIONS 
0100 OTHER CTP POSITIONS  
N-TH-TO-DEFAULT CREDIT DERIVATIVES:  
0110 N-TH-TO-DEFAULT CREDIT DERIVATIVES 
0120 OTHER CTP POSITIONS
EN L 97/210 Official Journal of the European Union 19.3.2021
 BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BEFORE CAP AFTER CAP 
TOTAL OWN 
FUNDS 
REQUIREMENTS  SEC-IRBA SEC-SA SEC-ERBA INTERNAL 
ASSESSMENT 
APPROACH OTHER 
(RW=1 250 %) WEIGHTED 
NET LONG 
POSITIONS WEIGHTED 
NET SHORT 
POSITIONS WEIGHTED 
NET LONG 
POSITIONS WEIGHTED 
NET SHORT 
POSITIONS  
0402 0403 0404 0405 0406 0410 0420 0430 0440 0450  
0010  TOTAL EXPOSURES  Cell linked to 
MKR SA TDI 
{330:060}  
SECURITISATION POSITIONS:  
0020  ORIGINATOR: TOTAL EXPOSURES  
0030 SECURITISATIONS  
0040 OTHER CTP POSITIONS  
0050  INVESTOR: TOTAL EXPOSURES  
0060 SECURITISATIONS  
0070 OTHER CTP POSITIONS  
0080  SPONSOR: TOTAL EXPOSURES  
0090 SECURITISATIONS  
0100 OTHER CTP POSITIONS  
N-TH-TO-DEFAULT CREDIT DERIVATIVES:  
0110 N-TH-TO-DEFAULT CREDIT DERIVATIVES  
0120 OTHER CTP POSITIONS
EN 19.3.2021 Official Journal of the European Union L 97/211
 C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)  
National market:  
POSITIONS 
OWN FUNDS 
REQUIREMENTS TOTAL RISK 
EXPOSURE 
AMOUNT  ALL POSITIONS NET POSITIONS POSITIONS 
SUBJECT TO 
CAPITAL 
CHARGE  LONG SHORT  LONG SHORT  
0010 0020 0030 0040 0050 0060 0070  
0010  EQUITIES IN TRADING BOOK  Cell linked to 
CA 
0020 General risk  
0021 Derivatives  
0022 Other assets and liabilities  
0030 Exchange traded stock-index futures broadly 
diversified subject to particular approach  
0040 Other equities than exchange traded stock- 
index futures broadly diversified  
0050 Specific risk  
0090 Additional requirements for options (non-delta 
risks)  
0100 Simplified method  
0110 Delta plus approach - additional 
requirements for gamma risk  
0120 Delta plus approach - additional 
requirements for vega risk
EN L 97/212 Official Journal of the European Union 19.3.2021
 POSITIONS 
OWN FUNDS 
REQUIREMENTS TOTAL RISK 
EXPOSURE 
AMOUNT  ALL POSITIONS NET POSITIONS POSITIONS 
SUBJECT TO 
CAPITAL 
CHARGE  LONG SHORT  LONG SHORT  
0010 0020 0030 0040 0050 0060 0070  
0125 Delta plus approach - non-continuous 
options and warrants  
0130 Scenario matrix approach
EN 19.3.2021 Official Journal of the European Union L 97/213
 C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) 
ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL 
CHARGE (Including redistribution of 
unmatched positions in non-reporting 
currencies subject to special treatment for 
matched positions) OWN FUNDS 
REQUIREME ­
NTS TOTAL RISK 
EXPOSURE 
AMOUNT  
LONG SHORT LONG SHORT LONG SHORT MATCHED  
0020 0030 0040 0050 0060 0070 0080 0090 0100  
0010  TOTAL POSITIONS  Cell linked to 
CA 
0020 Currencies closely correlated  
0025 of which: reporting currency  
0030 All other currencies (including CIUs 
treated as different currencies)  
0040 Gold  
0050 Additional requirements for options 
(non-delta risks)  
0060 Simplified method  
0070 Delta plus approach - additional 
requirements for gamma risk  
0080 Delta plus approach - additional 
requirements for vega risk
EN L 97/214 Official Journal of the European Union 19.3.2021
 ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL 
CHARGE (Including redistribution of 
unmatched positions in non-reporting 
currencies subject to special treatment for 
matched positions) OWN FUNDS 
REQUIREME ­
NTS TOTAL RISK 
EXPOSURE 
AMOUNT  
LONG SHORT LONG SHORT LONG SHORT MATCHED  
0020 0030 0040 0050 0060 0070 0080 0090 0100  
0085 Delta plus approach - non- 
continuous options and warrants  
0090 Scenario matrix approach  
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES  
0100 Other assets and liabilities other than off- 
balance sheet items and derivatives  
0110 Off-balance sheet items  
0120 Derivatives  
Memorandum items: CURRENCY POSITIONS  
0130 Euro  
0140 Lek 
0150 Argentine Peso  
0160 Australian Dollar  
0170 Brazilian Real
EN 19.3.2021 Official Journal of the European Union L 97/215
 ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL 
CHARGE (Including redistribution of 
unmatched positions in non-reporting 
currencies subject to special treatment for 
matched positions) OWN FUNDS 
REQUIREME ­
NTS TOTAL RISK 
EXPOSURE 
AMOUNT  
LONG SHORT LONG SHORT LONG SHORT MATCHED  
0020 0030 0040 0050 0060 0070 0080 0090 0100  
0180 Bulgarian Lev  
0190 Canadian Dollar  
0200 Czech Koruna  
0210 Danish Krone  
0220 Egyptian Pound  
0230 Pound Sterling  
0240 Forint  
0250 Yen  
0270 Lithuanian Litas  
0280 Denar  
0290 Mexican Peso  
0300 Zloty
EN L 97/216 Official Journal of the European Union 19.3.2021
 ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL 
CHARGE (Including redistribution of 
unmatched positions in non-reporting 
currencies subject to special treatment for 
matched positions) OWN FUNDS 
REQUIREME ­
NTS TOTAL RISK 
EXPOSURE 
AMOUNT  
LONG SHORT LONG SHORT LONG SHORT MATCHED  
0020 0030 0040 0050 0060 0070 0080 0090 0100  
0310 Rumanian Leu  
0320 Russian Ruble  
0330 Serbian Dinar  
0340 Swedish Krona  
0350 Swiss Franc  
0360 Turkish Lira  
0370 Hryvnia  
0380 US Dollar  
0390 Iceland Krona  
0400 Norwegian Krone
EN 19.3.2021 Official Journal of the European Union L 97/217
 ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL 
CHARGE (Including redistribution of 
unmatched positions in non-reporting 
currencies subject to special treatment for 
matched positions) OWN FUNDS 
REQUIREME ­
NTS TOTAL RISK 
EXPOSURE 
AMOUNT  
LONG SHORT LONG SHORT LONG SHORT MATCHED  
0020 0030 0040 0050 0060 0070 0080 0090 0100  
0410 Hong Kong Dollar  
0420 New Taiwan Dollar  
0430 New Zealand Dollar  
0440 Singapore Dollar  
0450 Won  
0460 Yuan Renminbi  
0470 Other  
0480 Croatian Kuna
EN L 97/218 Official Journal of the European Union 19.3.2021
 C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) 
ALL POSITIONS NET POSITIONS POSITIONS 
SUBJECT TO 
CAPITAL 
CHARGE OWN FUNDS 
REQUIREMENTS TOTAL RISK 
EXPOSURE 
AMOUNT  LONG SHORT  LONG SHORT  
0010 0020 0030 0040 0050 0060 0070  
0010  TOTAL POSITIONS IN 
COMMODITIES  Cell linked to CA  
0020 Precious metals (except gold)  
0030 Base metals  
0040 Agricultural products (softs)  
0050 Others  
0060 Of which energy products 
(oil, gas)  
0070 Maturity ladder approach  
0080 Extended maturity ladder approach  
0090 Simplified approach: All positions
EN 19.3.2021 Official Journal of the European Union L 97/219
 ALL POSITIONS NET POSITIONS POSITIONS 
SUBJECT TO 
CAPITAL 
CHARGE OWN FUNDS 
REQUIREMENTS TOTAL RISK 
EXPOSURE 
AMOUNT  LONG SHORT  LONG SHORT  
0010 0020 0030 0040 0050 0060 0070  
0100 Additional requirements for options 
(non-delta risks)  
0110 Simplified method  
0120 Delta plus approach - additional 
requirements for gamma risk  
0130 Delta plus approach - additional 
requirements for vega risk  
0135 Delta plus approach - non- 
continuous options and warrants  
0140 Scenario matrix approach
EN L 97/220 Official Journal of the European Union 19.3.2021
 C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)  
VaR STRESSED VaR INCREMENTAL DEFAULT AND 
MIGRATION RISK CAPITAL 
CHARGE ALL PRICE RISKS CAPITAL CHARGE FOR CTP 
MULTIPLICATION 
FACTOR (m  c) x 
AVERAGE OF 
PREVIOUS 60 
WORKING DAYS 
(VaR  avg) PREVIOUS 
DAY (VaR  t-1) MULTIPLI ­
CATION FACTOR 
(m  s) x AVERAGE 
OF PREVIOUS 60 
WORKING DAYS 
(SVaR  avg) LATEST 
AVAILABLE 
(SVaR  t-1) 12 WEEKS 
AVERAGE 
MEASURE LAST 
MEASURE FLOOR 12 WEEKS 
AVERAGE 
MEASURE LAST 
MEASURE  
0030 0040 0050 0060 0070 0080 0090 0100 0110  
0010  TOTAL POSITIONS 
Memorandum items: BREAKDOWN OF MARKET RISK  
0020  
Traded debt instruments  
0030  TDI - General risk  
0040  TDI - Specific Risk  
0050  Equities  
0060  Equities - General risk  
0070  Equities - Specific Risk  
0080  Foreign Exchange risk  
0090  Commodities risk  
0100  Total amount for general risk  
0110  Total amount for specific risk
EN 19.3.2021 Official Journal of the European Union L 97/221
 OWN FUNDS 
REQUIREMENTS TOTAL RISK 
EXPOSURE 
AMOUNT Number Of Over ­
shootings During 
Previous 250 
Working Days VaR Multiplication 
Factor (m  c) SVaR Multiplication 
Factor (m  s) ASSUMED CHARGE 
FOR CTP FLOOR - 
WEIGHTED NET 
LONG POSITIONS 
AFTER CAP ASSUMED CHARGE 
FOR CTP FLOOR - 
WEIGHTED NET 
SHORT POSITIONS 
AFTER CAP  
0120 0130 0140 0150 0160 0170 0180  
0010  TOTAL POSITIONS  Cell linked to CA  
Memorandum items: BREAKDOWN OF MARKET RISK  
0020  
Traded debt instruments  
0030  TDI - General risk  
0040  TDI - Specific Risk  
0050  Equities  
0060  Equities - General risk  
0070  Equities - Specific Risk  
0080  Foreign Exchange risk  
0090  Commodities risk  
0100  Total amount for general risk  
0110  Total amount for specific risk
EN L 97/222 Official Journal of the European Union 19.3.2021
 C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)  
EXPOSURE VALUE VaR STRESSED VaR 
of which: OTC 
Derivatives of which: SFT MULTIPLICATION 
FACTOR (m  c) x AVERAGE 
OF PREVIOUS 60 
WORKING DAYS (VaR  avg) PREVIOUS DAY 
(VaR  t-1) MULTIPLICATION 
FACTOR (m  s) x 
AVERAGE OF PREVIOUS 
60 WORKING DAYS 
(SVaR  avg) LATEST 
AVAILABLE 
(SVaR  t-1) 
0010 0020 0030 0040 0050 0060 0070  
0010  CVA risk total  
0020  According to Advanced method  
0030  According to Standardised method  
0040  Based on OEM  
OWN FUNDS 
REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT MEMORANDUM ITEMS CVA RISK HEDGE NOTIONALS  
Number of 
counterparties of which: proxy 
was used to 
determine credit 
spread INCURRED CVA SINGLE NAME 
CDS INDEX CDS  
0080 0090 0100 0110 0120 0130 0140  
0010  CVA risk total  Link to {CA2;r640;c010}  
0020  According to Advanced method  Link to {CA2;r650;c010}  
0030  According to Standardised method  Link to {CA2;r660;c010}  
0040  Based on OEM  Link to {CA2;r670;c010}
EN 19.3.2021 Official Journal of the European Union L 97/223
 C 32.01 - Prudent Valuation: Fair-Valued Assets and Liabilities (PRUVAL 1)  
FAIR- 
VALUED 
ASSETS 
AND 
LIABILITIES FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF 
PARTIAL IMPACT ON CET1 FAIR-VALUED 
ASSETS AND 
LIABILITIES 
INCLUDED IN 
ART. 4(1) 
THRE- 
SHOLD  OF WHICH: 
TRADING 
BOOK EXACTLY 
MATC- 
HING HEDGE 
ACCOUN- 
TING PRUDENTI ­
AL FILTERS OTHER COMMENTS 
FOR OTHER OF WHICH: 
TRADING 
BOOK  
0010 0020 0030 0040 0050 0060 0070 0080 0090  
0010  1 TOTAL FAIR-VALUED ASSETS AND 
LIABILITIES  
0020  1.1 TOTAL FAIR-VALUED ASSETS  
0030 1.1.1 FINANCIAL ASSETS HELD FOR TRADING  
0040 1.1.2 TRADING FINANCIAL ASSETS  
0050 1.1.3 NON-TRADING FINANCIAL ASSETS MANDA ­
TORILY AT FAIR VALUE THROUGH PROFIT 
OR LOSS  
0060 1.1.4 FINANCIAL ASSETS DESIGNATED AT FAIR 
VALUE THROUGH PROFIT OR LOSS  
0070 1.1.5 FINANCIAL ASSETS AT FAIR VALUE THROUGH 
OTHER COMPREHENSIVE INCOME  
0080 1.1.6 NON-TRADING NON-DERIVATIVE FINANCIAL 
ASSETS MEASURED AT FAIR VALUE 
THROUGH PROFIT OR LOSS  
0090 1.1.7 NON-TRADING NON-DERIVATIVE FINANCIAL 
ASSETS MEASURED AT FAIR VALUE TO 
EQUITY  
0100 1.1.8 OTHER NON-TRADING NON-DERIVATIVE 
FINANCIAL ASSETS
EN L 97/224 Official Journal of the European Union 19.3.2021
 FAIR- 
VALUED 
ASSETS 
AND 
LIABILITIES FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF 
PARTIAL IMPACT ON CET1 FAIR-VALUED 
ASSETS AND 
LIABILITIES 
INCLUDED IN 
ART. 4(1) 
THRE- 
SHOLD  OF WHICH: 
TRADING 
BOOK EXACTLY 
MATC- 
HING HEDGE 
ACCOUN- 
TING PRUDENTI ­
AL FILTERS OTHER COMMENTS 
FOR OTHER OF WHICH: 
TRADING 
BOOK  
0010 0020 0030 0040 0050 0060 0070 0080 0090  
0110 1.1.9 DERIVATIVES - HEDGE ACCOUNTING  
0120 1.1.10 FAIR VALUE CHANGES OF THE HEDGED ITEMS 
IN PORTFOLIO HEDGE OF INTEREST RATE RISK  
0130 1.1.11 ÍNVESTMENTS IN SUBSIDIARIES, JOINT 
VENTURES AND ASSOCIATES  
0140 1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR 
VALUE  
0150  1.2 TOTAL FAIR-VALUED LIABILITIES  
0160 1.2.1 FINANCIAL LIABILITIES HELD FOR TRADING  
0170 1.2.2 TRADING FINANCIAL LIABILITIES  
0180 1.2.3 FINANCIAL LIABILITIES DESIGNATED AT FAIR 
VALUE THROUGH PROFIT OR LOSS  
0190 1.2.4 DERIVATIVES - HEDGE ACCOUNTING  
0200 1.2.5 FAIR VALUE CHANGES OF THE HEDGED ITEMS 
IN PORTFOLIO HEDGE OF INTEREST RATE RISK  
0210 1.2.6 HAIRCUTS FOR TRADING LIABILITIES AT FAIR 
VALUE
EN 19.3.2021 Official Journal of the European Union L 97/225
 C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)  
CATEGORY LEVEL AVA 
MARKET 
PRICE 
UNCER­
TAINTY CLOSE-OUT 
COSTS MODEL RISK CONCEN ­
TRATED 
POSITIONS FUTURE 
ADMINIS ­
TRATIVE 
COSTS EARLY 
TERMI­
NATION OPER­
ATIONAL 
RISK OF WHICH: 
CALCULATE ­
D USING 
THE EXPERT 
BASED 
APPROACH OF WHICH: 
CALCULATE ­
D USING 
THE EXPERT 
BASED 
APPROACH OF WHICH: 
CALCULATE ­
D USING 
THE EXPERT 
BASED 
APPROACH  
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0010  1 TOTAL CORE APPROACH  
0020  OF WHICH: TRADING BOOK  
0030  1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 - 
TOTAL CATEGORY LEVEL POST-DIVER ­
SIFICATION  
0040  1.1.1 TOTAL CATEGORY LEVEL PRE-DIVER ­
SIFICATION  
0050 1.1.1*  OF WHICH: UNEARNED CREDIT 
SPREADS AVA  
0060 1.1.1**  OF WHICH: INVESTMENT AND 
FUNDING COSTS AVA  
0070 1.1.1***  OF WHICH: AVA ASSESSED TO HAVE 
ZERO VALUE UNDER ARTICLE 9(2) OF 
DELEGATED REGULATION (EU) 
2016/101  
0080 1.1.1****  OF WHICH: AVA ASSESSED TO HAVE 
ZERO VALUE UNDER PARAGRAPHS 2 
AND 3 OF ARTICLE 10 OF 
DELEGATED REGULATION (EU) 
2016/101
EN L 97/226 Official Journal of the European Union 19.3.2021
 CATEGORY LEVEL AVA 
MARKET 
PRICE 
UNCER­
TAINTY CLOSE-OUT 
COSTS MODEL RISK CONCEN ­
TRATED 
POSITIONS FUTURE 
ADMINIS ­
TRATIVE 
COSTS EARLY 
TERMI­
NATION OPER­
ATIONAL 
RISK OF WHICH: 
CALCULATE ­
D USING 
THE EXPERT 
BASED 
APPROACH OF WHICH: 
CALCULATE ­
D USING 
THE EXPERT 
BASED 
APPROACH OF WHICH: 
CALCULATE ­
D USING 
THE EXPERT 
BASED 
APPROACH  
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0090 1.1.1.1 INTEREST RATES 
0100 1.1.1.2 FOREIGN EXCHANGE 
0110 1.1.1.3 CREDIT 
0120 1.1.1.4 EQUITIES 
0130 1.1.1.5 COMMODITIES 
0140  1.1.2 (-) DIVERSIFICATION BENEFITS  
0150 1.1.2.1 (-) DIVERSIFICATION BENEFIT 
CALCULATED USING METHOD 1 
0160 1.1.2.2 (-) DIVERSIFICATION BENEFIT 
CALCULATED USING METHOD 2 
0170 1.1.2.2* MEMORANDUM ITEM: PRE-DIVERSIFI ­
CATION AVAS REDUCED BY MORE 
THAN 90% BY DIVERSIFICATION 
UNDER METHOD 2
EN 19.3.2021 Official Journal of the European Union L 97/227
 CATEGORY LEVEL AVA 
MARKET 
PRICE 
UNCER­
TAINTY CLOSE-OUT 
COSTS MODEL RISK CONCEN ­
TRATED 
POSITIONS FUTURE 
ADMINIS ­
TRATIVE 
COSTS EARLY 
TERMI­
NATION OPER­
ATIONAL 
RISK OF WHICH: 
CALCULATE ­
D USING 
THE EXPERT 
BASED 
APPROACH OF WHICH: 
CALCULATE ­
D USING 
THE EXPERT 
BASED 
APPROACH OF WHICH: 
CALCULATE ­
D USING 
THE EXPERT 
BASED 
APPROACH  
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100  
0180  1.2 PORTFOLIOS UNDER THE FALL-BACK 
APPROACH  
0190 1.2.1 100% OF NET UNREALISED PROFIT 
0200 1.2.2 10% OF NOTIONAL VALUE 
0210 1.2.3 25% OF INCEPTION VALUE
EN L 97/228 Official Journal of the European Union 19.3.2021
 TOTAL AVA UPSIDE UNCER ­
TAINTY FAIR-VALUED ASSETS AND LIABILITIES 
QTD 
REVENUE IPV 
DIFFERENCE FAIR-VALUED ASSETS FAIR-VALUED 
LIABILITIES  
0110 0120 0130 0140 0150 0160  
0010  1 TOTAL CORE APPROACH  
0020  OF WHICH: TRADING BOOK  
0030  1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 - 
TOTAL CATEGORY LEVEL POST-DIVER ­
SIFICATION  
0040  1.1.1 TOTAL CATEGORY LEVEL PRE-DIVER ­
SIFICATION  
0050 1.1.1*  OF WHICH: UNEARNED CREDIT 
SPREADS AVA  
0060 1.1.1**  OF WHICH: INVESTMENT AND 
FUNDING COSTS AVA  
0070 1.1.1***  OF WHICH: AVA ASSESSED TO HAVE 
ZERO VALUE UNDER ARTICLE 9(2) OF 
DELEGATED REGULATION (EU) 
2016/101  
0080 1.1.1****  OF WHICH: AVA ASSESSED TO HAVE 
ZERO VALUE UNDER PARAGRAPHS 2 
AND 3 OF ARTICLE 10 OF 
DELEGATED REGULATION (EU) 
2016/101
EN 19.3.2021 Official Journal of the European Union L 97/229
 TOTAL AVA UPSIDE UNCER ­
TAINTY FAIR-VALUED ASSETS AND LIABILITIES 
QTD 
REVENUE IPV 
DIFFERENCE FAIR-VALUED ASSETS FAIR-VALUED 
LIABILITIES  
0110 0120 0130 0140 0150 0160  
0090 1.1.1.1 INTEREST RATES 
0100 1.1.1.2 FOREIGN EXCHANGE 
0110 1.1.1.3 CREDIT 
0120 1.1.1.4 EQUITIES 
0130 1.1.1.5 COMMODITIES 
0140  1.1.2 (-) DIVERSIFICATION BENEFITS  
0150 1.1.2.1 (-) DIVERSIFICATION BENEFIT 
CALCULATED USING METHOD 1 
0160 1.1.2.2 (-) DIVERSIFICATION BENEFIT 
CALCULATED USING METHOD 2 
0170 1.1.2.2* MEMORANDUM ITEM: PRE-DIVERSIFI ­
CATION AVAS REDUCED BY MORE 
THAN 90% BY DIVERSIFICATION 
UNDER METHOD 2
EN L 97/230 Official Journal of the European Union 19.3.2021
 TOTAL AVA UPSIDE UNCER ­
TAINTY FAIR-VALUED ASSETS AND LIABILITIES 
QTD 
REVENUE IPV 
DIFFERENCE FAIR-VALUED ASSETS FAIR-VALUED 
LIABILITIES  
0110 0120 0130 0140 0150 0160  
0180  1.2 PORTFOLIOS UNDER THE FALL-BACK 
APPROACH  
0190 1.2.1 100% OF NET UNREALISED PROFIT 
0200 1.2.2 10% OF NOTIONAL VALUE 
0210 1.2.3 25% OF INCEPTION VALUE
EN 19.3.2021 Official Journal of the European Union L 97/231
 FAIR VALUE ADJUSTMENTS 
DAY 1 P&L EXPLA­
NATION 
DESCRIPTI ­
ON MARKET 
PRICE 
UNCER­
TAINTY CLOSE- 
OUT 
COSTS MODEL 
RISK CONCEN ­
TRATED 
POSITIONS UNEARNE ­
D CREDIT 
SPREADS INVESTING 
AND 
FUNDING 
COSTS FUTURE 
ADMINIS- 
TRATIVE 
COSTS EARLY 
TERMI­
NATION OPERA- 
TIONAL 
RISK  
0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270  
0010  1 TOTAL CORE APPROACH  
0020  OF WHICH: TRADING BOOK  
0030  1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 - 
TOTAL CATEGORY LEVEL POST-DIVER ­
SIFICATION  
0040  1.1.1 TOTAL CATEGORY LEVEL PRE-DIVER ­
SIFICATION  
0050 1.1.1*  OF WHICH: UNEARNED CREDIT 
SPREADS AVA  
0060 1.1.1**  OF WHICH: INVESTMENT AND 
FUNDING COSTS AVA  
0070 1.1.1***  OF WHICH: AVA ASSESSED TO HAVE 
ZERO VALUE UNDER ARTICLE 9(2) OF 
DELEGATED REGULATION (EU) 
2016/101  
0080 1.1.1****  OF WHICH: AVA ASSESSED TO HAVE 
ZERO VALUE UNDER PARAGRAPHS 2 
AND 3 OF ARTICLE 10 OF 
DELEGATED REGULATION (EU) 
2016/101
EN L 97/232 Official Journal of the European Union 19.3.2021
 FAIR VALUE ADJUSTMENTS 
DAY 1 P&L EXPLA­
NATION 
DESCRIPTI ­
ON MARKET 
PRICE 
UNCER­
TAINTY CLOSE- 
OUT 
COSTS MODEL 
RISK CONCEN ­
TRATED 
POSITIONS UNEARNE ­
D CREDIT 
SPREADS INVESTING 
AND 
FUNDING 
COSTS FUTURE 
ADMINIS- 
TRATIVE 
COSTS EARLY 
TERMI­
NATION OPERA- 
TIONAL 
RISK  
0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270  
0090 1.1.1.1 INTEREST RATES  
0100 1.1.1.2 FOREIGN EXCHANGE  
0110 1.1.1.3 CREDIT  
0120 1.1.1.4 EQUITIES  
0130 1.1.1.5 COMMODITIES  
0140  1.1.2 (-) DIVERSIFICATION BENEFITS  
0150 1.1.2.1 (-) DIVERSIFICATION BENEFIT 
CALCULATED USING METHOD 1  
0160 1.1.2.2 (-) DIVERSIFICATION BENEFIT 
CALCULATED USING METHOD 2  
0170 1.1.2.2* MEMORANDUM ITEM: PRE-DIVERSIFI ­
CATION AVAS REDUCED BY MORE 
THAN 90% BY DIVERSIFICATION 
UNDER METHOD 2
EN 19.3.2021 Official Journal of the European Union L 97/233
 FAIR VALUE ADJUSTMENTS 
DAY 1 P&L EXPLA­
NATION 
DESCRIPTI ­
ON MARKET 
PRICE 
UNCER­
TAINTY CLOSE- 
OUT 
COSTS MODEL 
RISK CONCEN ­
TRATED 
POSITIONS UNEARNE ­
D CREDIT 
SPREADS INVESTING 
AND 
FUNDING 
COSTS FUTURE 
ADMINIS- 
TRATIVE 
COSTS EARLY 
TERMI­
NATION OPERA- 
TIONAL 
RISK  
0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270  
0180  1.2 PORTFOLIOS UNDER THE FALL-BACK 
APPROACH  
0190 1.2.1 100% OF NET UNREALISED PROFIT  
0200 1.2.2 10% OF NOTIONAL VALUE  
0210 1.2.3 25% OF INCEPTION VALUE
EN L 97/234 Official Journal of the European Union 19.3.2021
 C 32.03 - Prudent Valuation: Model Risk AVA (PRUVAL 3)  
RANK MODEL RISK 
CATEG­
ORY PRO- 
DUCT OBSER- 
VABILITY MODEL 
RISK AVA AGGREGA ­
TED AVA 
CALCULAT ­
ED UNDER 
METHOD 2 FAIR-VALUED ASSETS 
AND LIABILITIES 
IPV 
DIFFERENCE 
(OUTPUT 
TESTING) IPV COVER- 
AGE 
(OUTPUT 
TESTING) FAIR VALUE 
ADJUSTMENTS 
DAY1 P&L  OF WHICH: 
USING THE 
EXPERT 
BASED 
APP- 
ROACH OF WHICH: 
AGGRE- 
GATED 
USING 
METHOD 2 FAIR 
VALUED 
ASSETS FAIR 
VALUED 
LIABILITIES MODEL 
RISK EARLY 
TERMI­
NATION  
0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150
EN 19.3.2021 Official Journal of the European Union L 97/235
 C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4)  
RANK RISK CATEGORY PRODUCT UNDERLYING CONCEN- 
TRATED 
POSITION SIZE SIZE MEASURE MARKET VALUE PRUDENT EXIT 
PERIOD CONCEN- 
TRATED 
POSITIONS AVA CONCEN- 
TRATED 
POSITION FAIR 
VALUE 
ADJUSTMENT IPV DIFFERENCE  
0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100
EN L 97/236 Official Journal of the European Union 19.3.2021
 C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)  
Country:  
Direct exposures 
On-balance sheet exposures 
Total gross carrying 
amount of non-deri ­
vative financial assets Total carrying 
amount of 
non-derivative 
financial assets 
(net of short posi ­
tions) Non-derivative financial assets by accounting portfolios 
Financial assets held 
for trading Trading financial 
assets Non-trading financial 
assets mandatorily at 
fair value through 
profit or loss Financial assets 
designated at fair 
value through profit 
or loss Non-trading non- 
derivative financial 
assets measured at 
fair value through 
profit or loss  
0010 0020 0030 0040 0050 0060 0070  
0010 Total exposures  
BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:  
0020 Exposures under the credit risk framework 
0030 Standardised Approach 
0040 Central governments 
0050 Regional governments or local authorities 
0060 Public sector entities 
0070 International Organisations 
0075 Other general government exposures subject to Standardised 
Approach 
0080 IRB Approach 
0090 Central governments 
0100 Regional governments or local authorities [Central governments] 
0110 Regional governments or local authorities [Institutions] 
0120 Public sector entities [Central governments]
EN 19.3.2021 Official Journal of the European Union L 97/237
 Direct exposures 
On-balance sheet exposures 
Total gross carrying 
amount of non-deri ­
vative financial assets Total carrying 
amount of 
non-derivative 
financial assets 
(net of short posi ­
tions) Non-derivative financial assets by accounting portfolios 
Financial assets held 
for trading Trading financial 
assets Non-trading financial 
assets mandatorily at 
fair value through 
profit or loss Financial assets 
designated at fair 
value through profit 
or loss Non-trading non- 
derivative financial 
assets measured at 
fair value through 
profit or loss  
0010 0020 0030 0040 0050 0060 0070  
0130 Public sector entities [Institutions] 
0140 International Organisations [Central governments] 
0155 Other general government exposures subject to IRB approach 
0160 Exposures under the market risk framework  
BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:  
0170 [ 0 - 3M [ 
0180 [ 3M - 1Y [ 
0190 [ 1Y - 2Y [ 
0200 [ 2Y - 3Y [ 
0210 [3Y - 5Y [ 
0220 [5Y - 10Y [ 
0230 [10Y - more
EN L 97/238 Official Journal of the European Union 19.3.2021
 Direct exposures 
On-balance sheet exposures 
Non-derivative financial assets by accounting portfolios 
Short positions Financial assets at fair 
value through other 
comprehensive 
income Non-trading non- 
derivative financial 
assets measured at 
fair value to equity Financial assets at 
amortised cost Non-trading non- 
derivative financial 
assets measured at a 
cost-based method Other non-trading 
non-derivative 
financial assets Of which: Short 
positions from 
reverse repurchased 
loans classified as 
held for trading or 
trading financial 
assets  
0080 0090 0100 0110 0120 0130 0140  
0010 Total exposures  
BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:  
0020 Exposures under the credit risk framework 
0030 Standardised Approach 
0040 Central governments 
0050 Regional governments or local authorities 
0060 Public sector entities 
0070 International Organisations 
0075 Other general government exposures subject to Standardised 
Approach 
0080 IRB Approach 
0090 Central governments 
0100 Regional governments or local authorities [Central governments] 
0110 Regional governments or local authorities [Institutions] 
0120 Public sector entities [Central governments]
EN 19.3.2021 Official Journal of the European Union L 97/239
 Direct exposures 
On-balance sheet exposures 
Non-derivative financial assets by accounting portfolios 
Short positions Financial assets at fair 
value through other 
comprehensive 
income Non-trading non- 
derivative financial 
assets measured at 
fair value to equity Financial assets at 
amortised cost Non-trading non- 
derivative financial 
assets measured at a 
cost-based method Other non-trading 
non-derivative 
financial assets Of which: Short 
positions from 
reverse repurchased 
loans classified as 
held for trading or 
trading financial 
assets  
0080 0090 0100 0110 0120 0130 0140  
0130 Public sector entities [Institutions] 
0140 International Organisations [Central governments] 
0155 Other general government exposures subject to IRB approach 
0160 Exposures under the market risk framework  
BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:  
0170 [ 0 - 3M [ 
0180 [ 3M - 1Y [ 
0190 [ 1Y - 2Y [ 
0200 [ 2Y - 3Y [ 
0210 [3Y - 5Y [ 
0220 [5Y - 10Y [ 
0230 [10Y - more
EN L 97/240 Official Journal of the European Union 19.3.2021
 Direct exposures 
Accumulated 
impairment Accumulated 
negative 
changes in fair 
value due to 
credit risk Derivatives 
Derivatives with 
positive fair value Derivatives with 
negative fair value 
of which: from 
financial assets at fair 
value through other 
comprehensive 
income or from non- 
trading non-derivative 
financial assets 
measured at fair value 
to equity of which: from non- 
trading financial assets 
mandatorily at fair value 
through profit or loss, 
financial assets designated 
at fair value through profit 
or loss or from non- 
trading financial assets 
measured at fair value 
through profit or loss of which: from 
financial assets at fair 
value through other 
comprehensive 
income or from non- 
trading non-derivative 
financial assets 
measured at fair value 
to equity Carrying 
amount Notional 
amount Carrying 
amount Notional 
amount  
0150 0160 0170 0180 0190 0200 0210 0220 0230  
0010 Total exposures  
BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:  
0020 Exposures under the credit risk framework 
0030 Standardised Approach 
0040 Central governments 
0050 Regional governments or local authorities 
0060 Public sector entities 
0070 International Organisations 
0075 Other general government exposures subject to Standardised 
Approach 
0080 IRB Approach 
0090 Central governments 
0100 Regional governments or local authorities [Central governments] 
0110 Regional governments or local authorities [Institutions] 
0120 Public sector entities [Central governments]
EN 19.3.2021 Official Journal of the European Union L 97/241
 Direct exposures 
Accumulated 
impairment Accumulated 
negative 
changes in fair 
value due to 
credit risk Derivatives 
Derivatives with 
positive fair value Derivatives with 
negative fair value 
of which: from 
financial assets at fair 
value through other 
comprehensive 
income or from non- 
trading non-derivative 
financial assets 
measured at fair value 
to equity of which: from non- 
trading financial assets 
mandatorily at fair value 
through profit or loss, 
financial assets designated 
at fair value through profit 
or loss or from non- 
trading financial assets 
measured at fair value 
through profit or loss of which: from 
financial assets at fair 
value through other 
comprehensive 
income or from non- 
trading non-derivative 
financial assets 
measured at fair value 
to equity Carrying 
amount Notional 
amount Carrying 
amount Notional 
amount  
0150 0160 0170 0180 0190 0200 0210 0220 0230  
0130 Public sector entities [Institutions] 
0140 International Organisations [Central governments] 
0155 Other general government exposures subject to IRB approach 
0160 Exposures under the market risk framework  
BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:  
0170 [ 0 - 3M [ 
0180 [ 3M - 1Y [ 
0190 [ 1Y - 2Y [ 
0200 [ 2Y - 3Y [ 
0210 [3Y - 5Y [ 
0220 [5Y - 10Y [ 
0230 [10Y - more
EN L 97/242 Official Journal of the European Union 19.3.2021
 Direct exposures Memorandum item: credit derivatives sold 
on general government exposures 
Exposure value Risk weighted 
exposure amount  Off-balance sheet exposures  
Nominal amount Provisions Accumulated 
negative changes in 
fair value due to 
credit risk Derivatives with 
positive fair value - 
Carrying amount Derivatives with 
negative fair value - 
Carrying amount  
0240 0250 0260 0270 0280 0290 0300  
0010 Total exposures  
BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:  
0020 Exposures under the credit risk framework  
0030 Standardised Approach  
0040 Central governments  
0050 Regional governments or local authorities  
0060 Public sector entities  
0070 International Organisations  
0075 Other general government exposures subject to Standardised 
Approach  
0080 IRB Approach  
0090 Central governments  
0100 Regional governments or local authorities [Central governments]  
0110 Regional governments or local authorities [Institutions]  
0120 Public sector entities [Central governments]
EN 19.3.2021 Official Journal of the European Union L 97/243
 Direct exposures Memorandum item: credit derivatives sold 
on general government exposures 
Exposure value Risk weighted 
exposure amount  Off-balance sheet exposures  
Nominal amount Provisions Accumulated 
negative changes in 
fair value due to 
credit risk Derivatives with 
positive fair value - 
Carrying amount Derivatives with 
negative fair value - 
Carrying amount  
0240 0250 0260 0270 0280 0290 0300  
0130 Public sector entities [Institutions]  
0140 International Organisations [Central governments]  
0155 Other general government exposures subject to IRB approach  
0160 Exposures under the market risk framework  
BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:  
0170 [ 0 - 3M [  
0180 [ 3M - 1Y [  
0190 [ 1Y - 2Y [  
0200 [ 2Y - 3Y [  
0210 [3Y - 5Y [  
0220 [5Y - 10Y [  
0230 [10Y - more
EN L 97/244 Official Journal of the European Union 19.3.2021
 C 35.01 - NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)  
Time passed since exposures classified as non-performing 
Total  
<= 1 year > 1 year 
<= 2 years > 2 years 
<= 3 years > 3 years 
<= 4 years > 4 years 
<= 5 years > 5 years 
<= 6 years > 6 years 
<= 7 years > 7 years 
<= 8 years > 8 years 
<= 9 years > 9 years  
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110  
0010  Applicable amount of insufficient coverage  
MINIMUM COVERAGE REQUIREMENT  
0020  Total minimum coverage requirement  
0030 Unsecured part of NPEs  
0040 Secured part of NPEs  
0050  Exposure value  
0060 Unsecured part of NPEs  
0070 Secured part of NPEs  
AVAILABLE COVERAGE  
0080  Total provisions and adjustments or deductions 
(capped)  
0090  Total provisions and adjustments or deductions 
(uncapped)  
0100 Specific credit risk adjustments
EN 19.3.2021 Official Journal of the European Union L 97/245
 Time passed since exposures classified as non-performing 
Total  
<= 1 year > 1 year 
<= 2 years > 2 years 
<= 3 years > 3 years 
<= 4 years > 4 years 
<= 5 years > 5 years 
<= 6 years > 6 years 
<= 7 years > 7 years 
<= 8 years > 8 years 
<= 9 years > 9 years  
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110  
0110 Additional valuation adjustments  
0120 Other own funds reductions  
0130 IRB shortfall  
0140 Difference between the purchase price and the 
amount owed by the debtor  
0150 Amounts written-off by the institution since the 
exposure was classified as non-performing
EN L 97/246 Official Journal of the European Union 19.3.2021
 C 35.02 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE E XPOSURES THAT 
FALL UNDER ARTICLE 47C (6) CRR (NPE LC2)  
Time passed since exposures classified as non-performing 
Total  
<= 1 year > 1 year 
<= 2 years > 2 years 
<= 3 years > 3 years 
<= 4 years > 4 years 
<= 5 years > 5 years 
<= 6 years > 6 years 
<= 7 years > 7 years 
<= 8 years > 8 years 
<= 9 years > 9 years  
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110  
0010  TOTAL MINIMUM COVERAGE REQUIREMENT  
0020 Unsecured part of NPEs  
0030 Part of NPEs secured by immovable property or 
residential loan guaranteed by an eligible protection 
provider  
0040 Part of NPEs secured by other funded or unfunded 
credit protection  
0050 Part of NPEs guaranteed or insured by an official 
export credit agency  
0060  EXPOSURE VALUE  
0070 Unsecured part of NPEs  
Factor  0,35 1 1 1 1 1 1 1
EN 19.3.2021 Official Journal of the European Union L 97/247
 Time passed since exposures classified as non-performing 
Total  
<= 1 year > 1 year 
<= 2 years > 2 years 
<= 3 years > 3 years 
<= 4 years > 4 years 
<= 5 years > 5 years 
<= 6 years > 6 years 
<= 7 years > 7 years 
<= 8 years > 8 years 
<= 9 years > 9 years  
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110  
0080 Part of NPEs secured by immovable property or 
residential loan guaranteed by an eligible protection 
provider  
Factor  0,25 0,35 0,55 0,7 0,8 0,85 1  
0090 Part of NPEs secured by other funded or unfunded 
credit protection  
Factor  0,25 0,35 0,55 0,8 1 1 1  
0100 Part of NPEs guaranteed or insured by an official 
export credit agency  
Factor  1 1 1
EN L 97/248 Official Journal of the European Union 19.3.2021
 C 35.03 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL U NDER ARTICLE 47C 
(6) CRR (NPE LC3)  
Time passed since exposures classified as non-performing 
TOTAL  
<= 1 year > 1 year 
<= 2 years > 2 years 
<= 3 years > 3 years 
<= 4 years > 4 years 
<= 5 years > 5 years 
<= 6 years > 6 years 
<= 7 years > 7 years 
<= 8 years > 8 years 
<= 9 years > 9 years  
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110  
0010  TOTAL MINIMUM COVERAGE REQUIREMENT  
0020  Unsecured part of NPEs  
0030  Part of NPEs secured by immovable property 
or residential loan guaranteed by an eligible 
protection provider  
0040  Part of NPEs secured by other funded or 
unfunded credit protection  
0050  EXPOSURE VALUE  
0060  Unsecured part of NPEs  
First forbearance measure applied between 1 year 
and 2 years after classification as non-performing 
(>1 year; <=2 years)  
Factor  0 0 1 1 1 1 1 1 1  
0070  Part of NPEs secured by immovable property 
or residential loan guaranteed by an eligible 
protection provider  
Breakdown by point in time of granting the first 
forbearance measure  
0080 > 2 and <= 3 years after classification as NPE  
Factor  0 0 0,35 0,55 0,7 0,8 0,85 1
EN 19.3.2021 Official Journal of the European Union L 97/249
 Time passed since exposures classified as non-performing 
TOTAL  
<= 1 year > 1 year 
<= 2 years > 2 years 
<= 3 years > 3 years 
<= 4 years > 4 years 
<= 5 years > 5 years 
<= 6 years > 6 years 
<= 7 years > 7 years 
<= 8 years > 8 years 
<= 9 years > 9 years  
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110  
0090 > 3 and <= 4 years after classification as NPE  
Factor  0,25 0,25 0,55 0,7 0,8 0,85 1  
0100 > 4 and <= 5 years after classification as NPE  
Factor  0,35 0,35 0,7 0,8 0,85 1  
0110 > 5 and <= 6 years after classification as NPE  
Factor  0,55 0,55 0,8 0,85 1  
0120  Part of NPEs secured by other funded or 
unfunded credit protection  
Breakdown by point in time of granting the first 
forbearance measure  
0130 > 2 and <= 3 years after classification as NPE  
Factor  0 0 0,35 0,55 0,8 1 1 1  
0140 > 3 and <= 4 years after classification as NPE  
Factor  0,25 0,25 0,55 0,8 1 1 1  
0150 > 4 and <= 5 years after classification as NPE  
Factor  0,35 0,35 0,8 1 1 1  
0160 > 5 and <= 6 years after classification as NPE  
Factor  0,55 0,55 1 1 1
 ANNEX II  
INSTRUCTIONS FOR REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS  
Table of Contents  
PART I: GENERAL INSTRUCTIONS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258  
1. STRUCTURE AND CONVENTIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  258  
1.1.  STRUCTURE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  258  
1.2.  NUMBERING CONVENTION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . .  258  
1.3.  SIGN CONVENTION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  258  
1.4.  ABBREVIATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  259  
PART II: TEMPLATE RELATED INSTRUCTIONS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  259  
1. CAPITAL ADEQUACY OVERVIEW (‘CA’) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . .  259  
1.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  259  
1.2.  C 01.00 – OWN FUNDS (CA1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  260  
1.2.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  260  
1.3.  C 02.00 – OWN FUNDS REQUIREMENTS (CA2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . .  273  
1.3.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  273  
1.4.  C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  279  
1.4.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  279  
1.5.  C 04.00 – MEMORANDUM ITEMS (CA4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . .  282  
1.5.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  282  
1.6.  TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING 
STATE AID (CA5) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . . . .  296  
1.6.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  296  
1.6.2.  C 05.01 – TRANSITIONAL PROVISIONS (CA5.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  297  
1.6.2.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  297  
1.6.3.  C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) . . . . . . . .  301EN L 97/250 Official Journal of the European Union 19.3.2021
 
1.6.3.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  301  
2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . 303  
2.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  303  
2.2.  DETAILED GROUP SOLVENCY INFORMATION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  303  
2.3.  INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY . . . . . . . . . . . . . .  303  
2.4.  C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL) . . . . . . . . . . . . . . . . . . . .  304  
2.5.  C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  304  
3. CREDIT RISK TEMPLATES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  312  
3.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  312  
3.1.1.  REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  312  
3.1.2.  REPORTING OF COUNTERPARTY CREDIT RISK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  312  
3.2.  C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO 
CAPITAL REQUIREMENTS (CR SA) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  312  
3.2.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  312  
3.2.2.  SCOPE OF THE CR SA TEMPLATE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  312  
3.2.3.  ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH . . . . . . . . . . .  314  
3.2.4.  CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 CRR  317  
3.2.4.1.  EXPOSURE CLASS ‘INSTITUTIONS’ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  317  
3.2.4.2.  EXPOSURE CLASS ‘COVERED BONDS’ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . .  317  
3.2.4.3.  EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  318  
3.2.5.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  318  
3.3.  CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS 
REQUIREMENTS (CR IRB) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . .  326  
3.3.1.  SCOPE OF THE CR IRB TEMPLATE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . .  326  
3.3.2.  BREAKDOWN OF THE CR IRB TEMPLATE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . .  327EN 19.3.2021 Official Journal of the European Union L 97/251
 
3.3.3.  C 08.01 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL 
REQUIREMENTS (CR IRB 1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . .  328  
3.3.3.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  328  
3.3.4.  C 08.02 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL 
REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2 TEMPLATE) . . . . . . . . . . . . . . . . .  337  
3.3.1.  C 08.03 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY 
PD RANGES (CR IRB 3)) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . .  337  
3.3.1.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  337  
3.3.1.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  337  
3.3.2.  C 08.04 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (RWEA FLOW 
STATEMENTS (CR IRB 4)) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  339  
3.3.2.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  339  
3.3.2.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  340  
3.3.3.  C 08.05 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BACK-TESTING OF 
PD (CR IRB 5)) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  341  
3.3.3.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  341  
3.3.3.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  341  
3.3.4.  C 08.05.1 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING 
OF PD (CR IRB 5B) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . . . .  342  
3.3.4.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  342  
3.3.5.  C 08.06 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SPECIALISED 
LENDING SLOTTING APPROACH (CR IRB 6)) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . .  343  
3.3.5.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  343  
3.3.5.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  343  
3.3.6.  C 08.07 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SCOPE OF USE OF 
IRB AND SA APPROACHES (CR IRB 7)) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . .  344  
3.3.6.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  344  
3.3.6.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  344EN L 97/252 Official Journal of the European Union 19.3.2021
 
3.4.  CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL 
BREAKDOWN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . . . .  345  
3.4.1.  C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR 
GB 1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . . . . . . . .  346  
3.4.1.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  346  
3.4.2.  C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR 
GB 2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . . . . . . . .  349  
3.4.2.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  349  
3.4.3.  C 09.04 – BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTER ­
CYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB) . . . . . .  352  
3.4.3.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  352  
3.4.3.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  352  
3.5.  C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 
AND CR EQU IRB 2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . .  356  
3.5.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  356  
3.5.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2)  357  
3.6.  C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . .  359  
3.6.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  359  
3.6.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  360  
3.7.  C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  362  
3.7.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  362  
3.7.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  362  
3.8.  DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  371  
3.8.1.  SCOPE OF THE SEC DETAILS TEMPLATE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  371  
3.8.2.  BREAKDOWN OF THE SEC DETAILS TEMPLATE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  371  
3.8.3.  C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) . . . . . . . . . . . . . . . . . . . . . . . . . . . .  372EN 19.3.2021 Official Journal of the European Union L 97/253
 
3.8.4.  C 14.01 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS 2) . . . . . . . . . . . . . . . . . . . . . . . . . .  383  
3.9.  COUNTERPARTY CREDIT RISK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . .  385  
3.9.1.  SCOPE OF THE COUNTERPARTY CREDIT RISK TEMPLATES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 385  
3.9.2.  C 34.01 – SIZE OF THE DERIVATIVE BUSINESS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  386  
3.9.2.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  386  
3.9.2.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  386  
3.9.3.  C 34.02 – CCR EXPOSURES BY APPROACH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  387  
3.9.3.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  387  
3.9.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 87 
3.9.4.  C 34.03 – CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR AND SIMPLIFIED SA-CCR  393  
3.9.4.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  393  
3.9.4.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  393  
3.9.5.  C 34.04 – CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) . . . . . . . . . . . . . . . . .  395  
3.9.5.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  395  
3.9.6.  C 34.05 – CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) . . . . . . . . . . . . . . . . . . . .  396  
3.9.6.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  396  
3.9.7.  C 34.06 – TOP TWENTY COUNTERPARTIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  397  
3.9.7.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  397  
3.9.7.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  397  
3.9.8.  C 34.07 – IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE . . . . . . . . . . . . . . . . . . . .  399  
3.9.8.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  399  
3.9.8.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  399  
3.9.9.  C 34.08 – COMPOSITION OF COLLATERAL FOR CCR EXPOSURES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  401  
3.9.9.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  401EN L 97/254 Official Journal of the European Union 19.3.2021
 
3.9.9.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  401  
3.9.10.  C 34.09 – CREDIT DERIVATIVES EXPOSURES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . .  402  
3.9.10.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  402  
3.9.11.  C 34.10 – EXPOSURES TO CCPS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  403  
3.9.11.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  403  
3.9.11.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  403  
3.9.12.  C 34.11 – RISK WEIGHTED EXPOSURE AMOUNTS (RWEA) FLOW STATEMENTS OF CCR EXPOSURES UNDER THE 
IMM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . . . . . . . .  404  
3.9.12.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  404  
3.9.12.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  404  
4. OPERATIONAL RISK TEMPLATES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . .  405  
4.1.  C 16.00 – OPERATIONAL RISK (OPR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . .  405  
4.1.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  405  
4.1.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  406  
4.2.  OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS) . . . . . . . . . . . .  408  
4.2.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  408  
4.2.2.  C 17.01: OPERATIONAL RISK LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE 
LAST YEAR (OPR DETAILS 1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . .  409  
4.2.2.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  409  
4.2.2.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  410  
4.2.3.  C 17.02: OPERATIONAL RISK: DETAILED INFORMATION ON THE LARGEST LOSS EVENTS IN THE LAST YEAR 
(OPR DETAILS 2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . . . .  415  
4.2.3.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  415  
4.2.3.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  416  
5. MARKET RISK TEMPLATES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  417  
5.1.  C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS 
(MKR SA TDI) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  417EN 19.3.2021 Official Journal of the European Union L 97/255
 
5.1.1. GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 417  
5.1.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  418  
5.2.  C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)  419  
5.2.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  420  
5.2.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  420  
5.3.  C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE 
CORRELATION TRADING PORTFOLIO (MKR SA CTP) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 421  
5.3.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  422  
5.3.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  422  
5.4.  C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) . . . . .  424  
5.4.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  424  
5.4.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  424  
5.5.  C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) . . . . . .  426  
5.5.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  426  
5.5.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  426  
5.6.  C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) . . . . . . . . . . . . .  428  
5.6.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  428  
5.6.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  428  
5.7.  C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  429  
5.7.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  429  
5.7.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  429  
5.8.  C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . 432  
5.8.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  432  
6. PRUDENT VALUATION (PRUVAL) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . .  434EN L 97/256 Official Journal of the European Union 19.3.2021
 
6.1.  C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1) . . . . . . . . . . . . . . . . . .  434  
6.1.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  434  
6.1.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  435  
6.2.  C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  439  
6.2.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  439  
6.2.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  439  
6.3.  C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  447  
6.3.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  447  
6.3.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  448  
6.4.  C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4) . . . . . . . . . . . . . . . . . . . . . . .  450  
6.4.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  450  
6.4.2.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  450  
7. C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . 452  
7.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  452  
7.2.  SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’ . . . . . . . . . . . . . . . . . . . . . . . . . . . .  453  
7.3.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  453  
8. NPE LOSS COVERAGE (NPE LC) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . .  462  
8.1.  GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  462  
8.2.  C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1) . . . . . . . . . . .  463  
8.2.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  463  
8.3.  C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES 
EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2) . . . . . . . . . . . . . . . .  466  
8.3.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  466  
8.4.  C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE 
EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  467  
8.4.1.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . .  467EN 19.3.2021 Official Journal of the European Union L 97/257
 
PART I: GENERAL INSTRUCTIONS  
1. STRUCTURE AND CONVENTIONS  
1.1.  STRUCTURE  
1. Overall, the framework covers six topics:  
(a) capital adequacy, an overview of regulatory capital; total risk exposure amount; prudent valuation; NPE 
loss coverage;  
(b) group solvency, an overview of the fulfilment of the solvency requirements by all individual entities 
included in the scope of consolidation of the reporting entity;  
(c) credit risk (including counterparty, dilution and settlement risks);  
(d) market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA 
risk);  
(e) operational risk;  
(f) general governments exposures  
2. For each template legal references are provided. Further detailed information regarding more general 
aspects of the reporting of each block of templates, instructions concerning specific positions as well as 
validation rules are included in this part of this Implementing Regulation.  
3. Institutions shall report only those templates that are relevant depending on the approach used for 
determining own funds requirements.  
1.2.  NUMBERING CONVENTION  
4. The document follows the labelling convention set in points 5 to 8, when referring to the columns, rows 
and cells of the templates. Those numerical codes are extensively used in the validation rules.  
5. The following general notation is followed in the instructions: {Template; Row; Column}.  
6. In the case of validations inside a template, in which only data points of that template are used, notations 
do not refer to a template: {Row; Column}.  
7. In the case of templates with only one column, only rows are referred to. {Template; Row}  
8. An asterisk sign is used to express that the validation is done for the rows or columns specified before.  
1.3.  SIGN CONVENTION  
9. Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. 
On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported 
as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is 
expected to be reported for that item.EN L 97/258 Official Journal of the European Union 19.3.2021
 
1.4.  ABBREVIATIONS  
10. For the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the 
Council (  1 ) is referred to as ‘CRR’, Directive 2013/36/EU of the European Parliament and of the Council (  2 ) 
is referred to as ‘CRD’, Directive 2013/34/EU of the European Parliament and of the Council (  3 ) is referred 
to as ‘AD’, Council Directive 86/635/EEC (  4 ) is referred to as ‘BAD’ and Directive 2014/59/EU of the 
European Parliament and of the Council (  5 ) is reffered to as ‘BRRD’.  
PART II: TEMPLATE RELATED INSTRUCTIONS  
1. CAPITAL ADEQUACY OVERVIEW (‘CA’)  
1.1.  GENERAL REMARKS  
11. The CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 
1), denominator (own funds requirements), and the application of CRR and CRD transitional provisions 
and is structured in five templates:  
(a) Template CA1 contains the amount of own funds of the institutions, disaggregated in the items needed 
to get to that amount. The amount of own funds obtained includes the aggregate effect of the 
application of CRR and CRD transitional provisions per type of capital;  
(b) Template CA2 summarises the total risk exposures amounts as defined in Article 92(3) CRR;  
(c) Template CA3 contains the ratios for which CRR states a minimum level, Pillar 2 ratios and some 
other related data;  
(d) Template CA4 contains memorandums items needed, among others, for calculating items in CA1 as 
well as information with regard to CRD capital buffers;  
(e) Template CA5 contains the data needed for calculating the effect of the application of CRR transitional 
provisions in own funds. CA5 will cease to exist once those transitional provisions expire.  
12. The templates shall be used by all reporting entities, irrespective of the accounting standards followed, 
although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. 
Generally, the information in the denominator is linked to the final results reported in the correspondent 
templates for the calculation of the total risk exposure amount.  
13. The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common 
Equity Tier 1 capital (CET1) and Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).  
14. The application of CRR and CRD transitional provisions is treated as follows in CA templates:  
(a) The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items 
are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), 
with the exception of items summarizing the effect of those transitional provisions. For each type of 
capital (i.e. CET1; AT1 and T2), there are three different items in which all the adjustments due to 
those transitional provisions are included.EN 19.3.2021 Official Journal of the European Union L 97/259  
( 1 ) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for cred it 
institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).  
( 2 ) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit instit utions 
and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directi ves 
2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338).  
( 3 ) Directive 2013/34/EU of the European Parliament and of the Council on the annual financial statements, consolidated financial  
statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and o f 
the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).  
( 4 ) Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial  
institutions (OJ L 372, 31.12.1986, p. 1).  
( 5 ) Directive 2014/59/EU of the European Parliament and of the Council of 15 May 2014 establishing a framework for the recovery a nd 
resolution of credit institutions and investment firms and amending Council Directive 82/891/EEC, and Directives 2001/24/EC, 
2002/47/EC, 2004/25/EC, 2005/56/EC, 2007/36/EC, 2011/35/EU, 2012/30/EU and 2013/36/EU, and Regulations (EU) 
No 1093/2010 and (EU) No 648/2012, of the European Parliament and of the Council (OJ L 173, 12.6.2014, p. 190–348)
 (b) Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of 
deduction, regulated in point (j) of Article 36(1) and point (e) of Article 56 CRR respectively), and thus 
the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.  
(c) Template CA5 is exclusively used for reporting the effect due to the application of the CRR transitional 
provisions.  
15. The treatment of Pillar II requirements can be different within the Union (Article 104a(1) CRD has to be 
transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the 
target ratio shall be included in the solvency reporting required under CRR.  
a) The templates CA1, CA2 or CA5 only contain data on Pillar I issues.  
b) The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an 
aggregated basis. It mainly focuses on the target ratios themselves. There is no further link to the 
templates CA1, CA2 or CA5.  
c) The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. 
That cell has no link via validation rules to the capital ratios of the CA3 template and reflects 
Article 104a(1) CRD which explicitly mentions additional own funds requirements as one possibility 
for Pillar II decisions.  
1.2.  C 01.00 – OWN FUNDS (CA1)  
1.2.1. Instructions concerning specific positions  
Row  Legal references and instructions  
0010  1.  Own funds  
Point (118) of Article 4(1) and Article 72 CRR 
The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.  
0015  1.1.  Tier 1 capital  
Article 25 CRR 
The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital  
0020  1.1.1.  Common Equity Tier 1 capital  
Article 50 CRR  
0030  1.1.1.1.  Capital instruments eligible as CET1 capital  
Points (a) and (b) of Articles 26(1), Articles 27 to 30, point (f) of Article 36(1) and Article 42 
CRR  
0040  1.1.1.1.1.  Fully paid up capital instruments  
Point (a) of Article 26(1) and Articles 27 to 31 CRR 
Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 
CRR) shall be included. 
The share premium related to the instruments shall not be included. 
Capital instruments subscribed by public authorities in emergency situations shall be included if 
all conditions of Article 31 CRR are fulfilled.  
0045  1.1.1.1.1*  Of which: Capital instruments subscribed by public authorities in emergency 
situations  
Article 31 CRR 
Capital instruments subscribed by public authorities in emergency situations shall be included in 
CET1 capital if all conditions of Article 31 CRR are fulfilled.EN L 97/260 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0050  1.1.1.1.2*  Memorandum item: Capital instruments not eligible  
Points (b), (l) and (m) of Article 28(1) CRR 
Conditions in those points reflect different situations of the capital which are reversible, and 
thus the amount reported here can be eligible in subsequent periods. 
The amount to be reported shall not include the share premium related to the instruments  
0060  1.1.1.1.3.  Share premium  
Point (124) of Article 4(1), point (b) of Article 26(1) CRR 
Share premium has the same meaning as under the applicable accounting standard. 
The amount to be reported in this item shall be the part related to the ‘Fully paid up capital 
instruments’.  
0070  1.1.1.1.4.  (-) Own CET1 instruments  
Point (f) of Article 36(1) and Article 42 CRR 
Own CET1 held by the reporting institution or group at the reporting date. Subject to 
exceptions in Article 42 CRR. 
Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this 
row. 
The amount to be reported shall include the share premium related to the own shares. 
Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own 
CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are 
reported separately in item 1.1.1.1.5.  
0080  1.1.1.1.4.1.  (-) Direct holdings of CET1 instruments  
Point (f) of Article 36(1) and Article 42 CRR 
Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the 
consolidated group. 
The amount to be reported shall include holdings in the trading book calculated on the basis of 
the net long position, as stated in point (a) of Article 42 CRR.  
0090  1.1.1.1.4.2.  (-) Indirect holdings of CET1 instruments  
Point (114) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR  
0091  1.1.1.1.4.3.  (-) Synthetic holdings of CET1 instruments  
Point (126) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR  
0092  1.1.1.1.5.  (-) Actual or contingent obligations to purchase own CET1 instruments  
Point (f) of Article 36(1) and Article 42 CRR 
According to point (f) of Article 36(1) CRR, ‘own Common Equity Tier 1 instruments that an 
institution is under an actual or contingent obligation to purchase by virtue of an existing 
contractual obligation’ shall be deducted.  
0130  1.1.1.2.  Retained earnings  
Point (c) of Article 26(1) and Article 26(2) CRR 
Retained earnings includes the previous year retained earnings plus the eligible interim or year- 
end profitsEN 19.3.2021 Official Journal of the European Union L 97/261
 
Row  Legal references and instructions  
0140  1.1.1.2.1.  Previous years retained earnings  
Point (123) of Article 4(1) and point (c) of Article 26(1) CRR 
Point (123) of Article 4(1) CRR defines retained earnings as ‘Profit and losses brought forward 
as a result of the final application of profit or loss under the applicable accounting framework’.  
0150  1.1.1.2.2.  Profit or loss eligible  
Point (121) of Article 4(1), Article 26(2) and point (a) of Article 36(1) CRR 
Article 26(2) CRR allows including as retained earnings interim or year-end profits, with the 
prior consent of the competent authorities, if some conditions are met. 
On the other hand, losses shall be deducted from CET1, as stated in point (a) of Article 36(1) 
CRR.  
0160  1.1.1.2.2.1.  Profit or loss attributable to owners of the parent  
Article 26(2) and point (a) of Article 36(1) CRR 
The amount to be reported shall be the profit or loss reported in the accounting income 
statement.  
0170  1.1.1.2.2.2.  (-) Part of interim or year-end profit not eligible  
Article 26(2) CRR 
This row shall not present any figure if, for the reference period, the institution has reported 
losses, because the losses shall be completely deducted from CET1. 
If the institution reports profits, the part, which is not eligible according to Article 26(2) CRR 
(i.e. profits not audited and foreseeable charges or dividends), shall be reported. 
Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.  
0180  1.1.1.3.  Accumulated other comprehensive income  
Point (100) of Article 4(1) and point (d) of Article 26(1) CRR 
The amount to be reported shall be net of any tax charge foreseeable at the moment of the 
calculation, and prior to the application of prudential filters. The amount to be reported shall be 
determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) 
No 241/2014 (  6 ). 
0200  1.1.1.4.  Other reserves  
Point (117) of Article 4(1) and point (e) of Article 26(1) CRR 
Other reserves are defined in CRR as ‘Reserves within the meaning of the applicable accounting 
framework that are required to be disclosed under that applicable accounting standard, 
excluding any amounts already included in accumulated other comprehensive income or 
retained earnings’. 
The amount to be reported shall be net of any tax charge foreseeable at the moment of the 
calculation.  
0210  1.1.1.5.  Funds for general banking risk  
Point (112) of Article 4(1) and point (f) of Article 26(1) CRR 
Funds for general banking risk are defined in Article 38 BAD as ‘Amounts which a credit 
institution decides to put aside to cover such risks where that is required by the particular risks 
associated with banking’. 
The amount to be reported shall be net of any tax charge foreseeable at the moment of the 
calculation.EN L 97/262 Official Journal of the European Union 19.3.2021  
( 6 ) Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the 
European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institution s 
(OJ L 74, 14.3.2014, p. 8).
 Row  Legal references and instructions  
0220  1.1.1.6.  Transitional adjustments due to grandfathered CET1 Capital instruments  
Paragraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 CRR 
Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported 
is directly obtained from CA5.  
0230  1.1.1.7.  Minority interest given recognition in CET1 capital  
Point (120) of Article 4(1) and Article 84 CRR 
Sum of all the amounts of minority interests of subsidiaries that is included in consolidated 
CET1.  
0240  1.1.1.8.  Transitional adjustments due to additional minority interests  
Articles 479 and 480 CRR 
Adjustments to the minority interests due to transitional provisions. This item is obtained 
directly from CA5.  
0250  1.1.1.9.  Adjustments to CET1 due to prudential filters  
Articles 32 to 35 CRR  
0260  1.1.1.9.1.  (-) Increases in equity resulting from securitised assets  
Article 32(1) CRR 
The amount to be reported is the increase in the equity of the institution resulting from 
securitised assets, in accordance with the applicable accounting standard. 
For example, this item includes the future margin income that results in a gain on sale for the 
institution, or, for originators, the net gains that arise from the capitalisation of future income 
from the securitised assets that provide credit enhancement to positions in the securitisation.  
0270  1.1.1.9.2.  Cash flow hedge reserve  
Point (a) of Article 33(1) CRR 
The amount to be reported can be positive or negative. It shall be positive if cash flow hedges 
result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be 
contrary to the one used in accounting statements. 
The amount shall be net of any tax charge to be expected at the moment of the calculation.  
0280  1.1.1.9.3.  Cumulative gains and losses due to changes in own credit risk on fair valued 
liabilities  
Point (b) of Article 33(1) CRR 
The amount to be reported can be positive or negative. It shall be positive if there is a loss due 
to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign 
shall be contrary to the one used in accounting statements. 
Unaudited profit shall not be included in this item.  
0285  1.1.1.9.4.  Fair value gains and losses arising from the institution's own credit risk related 
to derivative liabilities  
Point (c) of Article 33(1) and Article 33(2) CRR 
The amount to be reported can be positive or negative. It shall be positive if there is a loss due 
to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in 
accounting statements. 
Unaudited profit shall not be included in this item.EN 19.3.2021 Official Journal of the European Union L 97/263
 
Row  Legal references and instructions  
0290  1.1.1.9.5.  (-) Value adjustments due to the requirements for prudent valuation  
Articles 34 and 105 CRR 
Adjustments to the fair value of exposures included in the trading book or non-trading book 
due to stricter standards for prudent valuation set in Article 105 CRR  
0300  1.1.1.10.  (-) Goodwill  
Point (113) of Article 4(1), point (b) of Article 36(1) and Article 37 CRR  
0310  1.1.1.10.1.  (-) Goodwill accounted for as intangible asset  
Point (113) of Article 4(1) and point (b) of Article 36(1) CRR 
Goodwill has the same meaning as under the applicable accounting standard. 
The amount to be reported here shall be the same as the amount that is reported in the balance 
sheet.  
0320  1.1.1.10.2.  (-) Goodwill included in the valuation of significant investments  
Point (b) of Article 37 and Article 43 CRR  
0330  1.1.1.10.3.  Deferred tax liabilities associated to goodwill  
Point (a) of Article 37 CRR 
Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired 
or was derecognised under the relevant accounting standard.  
0335  1.1.1.10.4.  Accounting revaluation of subsidiaries’ goodwill derived from the consoli ­
dation of subsidiaries attributable to third persons  
Point (c) of Article 37 CRR 
The amount of the accounting revaluation of the subsidiaries’ goodwill derived from the 
consolidation of subsidiaries attributable to persons other than the undertakings included in 
the consolidation pursuant to Chapter 2 of Title II of Part One.  
0340  1.1.1.11.  (-) Other intangible assets  
Point (115) of Article 4(1), point (b) of Article 36(1) and point (a) and (c) of Article 37 CRR 
Other intangible assets are the intangibles assets under the applicable accounting standard, 
minus the goodwill, also according to the applicable accounting standard.  
0350  1.1.1.11.1.  (-) Other intangible assets before deduction of deferred tax liabilities  
Point (115) of Article 4(1) and point (b) of Article 36(1) CRR 
Other intangible assets are the intangibles assets under the applicable accounting standard, 
minus the goodwill, also according to the applicable accounting standard. 
The amount to be reported here shall correspond to the amount reported in the balance sheet 
of intangible assets, other than goodwill.  
0360  1.1.1.11.2.  Deferred tax liabilities associated to other intangible assets  
Point (a) of Article 37 CRR 
Amount of deferred tax liabilities that would be extinguished if the intangibles assets, other than 
goodwill, became impaired or was derecognised under the relevant accounting standard.EN L 97/264 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0365  1.1.1.11.3.  Accounting revaluation of subsidiaries’ other intangible assets derived from 
the consolidation of subsidiaries attributable to third persons  
Point (c) of Article 37 CRR 
The amount of the accounting revaluation of the subsidiaries’ intangibles assets other than 
goodwill derived from the consolidation of subsidiaries attributable to persons other than the 
undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One.  
0370  1.1.1.12.  (-) Deferred tax assets that rely on future profitability and do not arise from 
temporary differences net of associated tax liabilities  
Point (c) of Article 36(1) and Article 38 CRR  
0380  1.1.1.13.  (-) IRB shortfall of credit risk adjustments to expected losses  
Point (d) of Article 36(1), Articles 40, 158 and 159 CRR 
The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that 
rely on future profitability, or other additional tax effect, that could occur if provisions were to 
rise to the level of expected losses " (Article 40 CRR).  
0390  1.1.1.14.  (-)Defined benefit pension fund assets  
Point (109) of Article 4(1), point (e) of Article 36(1) and Article 41 CRR  
0400  1.1.1.14.1.  (-)Defined benefit pension fund assets  
Point (109) of Article 4(1) and point (e) of Article 36(1) CRR 
Defined benefit pension fund assets are defined as ‘the assets of a defined pension fund or plan, 
as applicable, calculated after they have been reduced by the amount of obligations under the 
same fund or plan’. 
The amount to be reported here shall correspond to the amount reported in the balance sheet 
(if reported separately).  
0410  1.1.1.14.2.  Deferred tax liabilities associated to defined benefit pension fund assets  
Points (108) and (109) of Article 4(1) and point (a) of Article 41(1) CRR 
Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund 
assets became impaired or were derecognised under the relevant accounting standard.  
0420  1.1.1.14.3.  Defined benefit pension fund assets which the institution has an unrestricted 
ability to use  
Point (109) of Article 4(1) and point (b) of Article 41(1) CRR 
This item shall only present any amount if there is a prior consent of the competent authority 
to reduce the amount of defined benefit pension fund assets to be deducted. 
The assets included in this row shall receive a risk weight for credit risk requirements.  
0430  1.1.1.15.  (-) Reciprocal cross holdings in CET1 Capital  
Point (122) of Article 4(1), point (g) of Article 36(1) and Article 44 CRR 
Holdings in CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 
CRR) where there is a reciprocal cross holding that the competent authority considers to have 
been designed to inflate artificially the own funds of the institution. 
The amount to be reported shall be calculated on the basis of the gross long positions, and shall 
include Tier 1 own-fund insurance items.EN 19.3.2021 Official Journal of the European Union L 97/265
 
Row  Legal references and instructions  
0440  1.1.1.16.  (-) Excess of deduction from AT1 items over AT1 Capital  
Point (j) of Article 36(1) CRR 
The amount to be reported is directly taken from CA1 item ‘Excess of deduction from AT1 
items over AT1 Capital’. The amount has to be deducted from CET1.  
0450  1.1.1.17.  (-) Qualifying holdings outside the financial sector which can alternatively be 
subject to a 1 250 % risk weight  
Point (36) of Article 4(1), point (k)(i) of Article 36(1) and Articles 89 to 91 CRR 
Qualifying holdings are defined as ‘direct or indirect holding in an undertaking which represents 
10 % or more of the capital or of the voting rights or which makes it possible to exercise a 
significant influence over the management of that undertaking’. 
According to point (k)(i) of Article 36(1) CRR qualifying holdings can, alternatively, be 
deducted from CET1 (using this item), or be subject to a risk weight of 1 250 %.  
0460  1.1.1.18.  (-) Securitisation positions which can alternatively be subject to a 1 250 % risk 
weight  
Point (b) of Articles 244(1), point (b) of Article 245(1) and Article 253(1) CRR. 
Securitisation positions, which are subject to a 1 250 % risk weight, but alternatively are allowed 
to be deducted from CET1 (point (k)(ii) of Article 36(1) CRR), shall be reported in this item.  
0470  1.1.1.19.  (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight  
Point (k)(iii) of Article 36(1) and Article 379(3) CRR 
Free deliveries are subject to a 1 250 % risk weight after 5 days post second contractual 
payment or delivery leg until the extinction of the transaction, according to the own funds 
requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 
(point (k)(iii) of Article 36(1) CRR). In the latter case, they shall be reported in this item.  
0471  1.1.1.20.  (-) Positions in a basket for which an institution cannot determine the risk 
weight under the IRB Approach, and can alternatively be subject to a 1 250 % risk 
weight  
Point (k)(iv) of Articles 36(1) and Article 153(8) CRR 
According to point (k)(iv) of Article 36(1) CRR, positions in a basket for which an institution 
cannot determine the risk weight under the IRB Approach can, alternatively, be deducted from 
CET1 (using this item), or subject to a risk weight of 1 250 %.  
0472  1.1.1.21.  (-) Equity exposures under an internal models approach which can alternatively 
be subject to a 1 250 % risk weight  
Point (k)(v) of Article 36(1) and Article 155(4) CRR 
According to point (k)(v) of Article 36(1) CRR, equity exposures under an internal models 
approach can, alternatively, be deducted from CET1 (using this item), or be subject to a risk 
weight of 1 250 %.  
0480  1.1.1.22.  (-) CET1 instruments of financial sector entities where the institution does not 
have a significant investment  
Point (27) of Article 4(1), point (h) of Article 36(1), Articles 43 to 46, paragraphs 2 and 3 of 
Article 49 and Article 79 CRR 
Part of holdings by the institution of instruments of financial sector entities (as defined in point 
(27) of Article 4(1) CRR) where the institution does not have a significant investment that has 
to be deducted from CET1. 
See alternatives to deduction when consolidation is applied (paragraphs 2 and 3 of Article 49).EN L 97/266 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0490  1.1.1.23.  (-) Deductible deferred tax assets that rely on future profitability and arise from 
temporary differences  
Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR 
Part of deferred tax assets that rely in future profitability and arise from temporary differences 
(net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise 
from temporary differences), which according to point (b) of Article 38(5) CRR has to be 
deducted applying the 10 % threshold referred to in point (a) of Article 48(1) CRR.  
0500  1.1.1.24.  (-) CET1 instruments of financial sector entities where the institution has a 
significant investment  
Point (27) of Article 4(1), point (i) of Article 36(1); Articles 43, 45, 47, point (b) of 
Article 48(2), paragraphs 1, 2 and 3 of Article 49 and Article 79 CRR 
Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in 
point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be 
deducted, applying the 10 % threshold referred to in point (b) of Article 48(1) CRR. 
See alternatives to deduction when consolidation is applied (paragraphs 1, 2 and 3 of Article 49 
CRR).  
0510  1.1.1.25.  (-) Amount exceeding the 17,65 % threshold  
Article 48(2) CRR 
Part of deferred tax assets that rely in future profitability and arise from temporary differences, 
and direct, indirect and synthetic holdings by the institution of the CET1 instruments of 
financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution 
has a significant investment that has to be deducted, applying the 17,65 % threshold in 
Article 48(2) CRR.  
0511  1.1.1.25.1.  (-) Amount exceeding the 17,65 % threshold related to CET1 instruments of 
financial sector entities where the institution has a significant investment  
0512  1.1.1.25.2.  (-) Amount exceeding the 17,65 % threshold related to deferred tax assets 
arising from temporary differences  
0513  1.1.1.25 A  (-) Insufficient coverage for non-performing exposures  
Point (m) of Article 36(1) and Article 47c CRR  
0514  1.1.1.25B  (-) Minimum value commitment shortfalls  
Point (n) of Article 36(1) and Article 132c(2) CRR  
0515  1.1.1.25C  (-) Other foreseeable tax charges  
Point (l) of Article 36(1) CRR 
Tax charges relating to CET1 items foreseeable at the moment of the calculation other than tax 
charges that have been considered already in any of the other rows reflecting CET1 items by 
reducing the amount of the CET1 item in question.  
0520  1.1.1.26.  Other transitional adjustments to CET1 Capital  
Articles 469 to 478 and 481 CRR 
Adjustments to deductions due to transitional provisions. The amount to be reported is directly 
obtained from CA5.  
0524  1.1.1.27.  (-) Additional deductions of CET1 Capital due to Article 3 CRR  
Article 3 CRREN 19.3.2021 Official Journal of the European Union L 97/267
 
Row  Legal references and instructions  
0529  1.1.1.28.  CET1 capital elements or deductions – other  
This row is intended to provide flexibility solely for reporting purposes. It shall only be 
populated in the rare cases that there is no final decision on the reporting of specific capital 
items/deductions in the current CA1 template. As a consequence, this row shall only be 
populated if a CET1 capital element or a deduction from a CET1 element cannot be 
assigned to one of the rows 020 to 524. 
This row shall not be used to assign capital items/deductions which are not covered by CRR 
into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions 
which are outside the scope of the CRR).  
0530  1.1.2.  ADDITIONAL TIER 1 CAPITAL  
Article 61 CRR  
0540  1.1.2.1.  Capital instruments eligible as AT1 Capital  
Point (a) of Article 51, Articles 52, 53 and 54, point (a) of Article 56 and Article 57 CRR  
0551  1.1.2.1.1.  Fully paid up, directly issued capital instruments  
Point (a) of Article 51 and Articles 52, 53 and 54 CRR 
The amount to be reported shall not include the share premium related to the instruments  
0560  1.1.2.1.2  (*) Memorandum item: Capital instruments not eligible  
Points (c), (e) and (f) of Article 52(1) CRR 
Conditions in those points reflect different situations of the capital which are reversible, and 
thus the amount reported here can be eligible in subsequent periods. 
The amount to be reported shall not include the share premium related to the instruments  
0571  1.1.2.1.3.  Share premium  
Point (b) of Article 51 CRR 
Share premium has the same meaning as under the applicable accounting standard. 
The amount to be reported in this item shall be the part related to the ‘fully paid up and directly 
issued capital instruments’.  
0580  1.1.2.1.4.  (-) Own AT1 instruments  
Point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR 
Own AT1 instruments held by the reporting institution or group at the reporting date. Subject 
to exceptions in Article 57 CRR. 
Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this 
row. 
The amount to be reported shall include the share premium related to the own shares. 
Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own 
CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are 
reported separately in item 1.1.2.1.5.  
0590  1.1.2.1.4.1.  (-) Direct holdings of AT1 instruments  
Point (144) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 
CRR 
Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated 
group.EN L 97/268 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0620  1.1.2.1.4.2.  (-) Indirect holdings of AT1 instruments  
Point (b)(ii) of Article 52(1), point (a) of Article 56 and Article 57 CRR  
0621  1.1.2.1.4.3.  (-) Synthetic holdings of AT1 instruments  
Point (126) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 
CRR  
0622  1.1.2.1.5.  (-) Actual or contingent obligations to purchase own AT1 instruments  
Point (a) of Article 56 and Article 57 CRR 
According to point (a) of Article 56 CRR, ‘own Additional Tier 1 instruments that an insti ­
tution could be obliged to purchase as a result of existing contractual obligations’ shall be 
deducted.  
0660  1.1.2.2.  Transitional adjustments due to grandfathered AT1 Capital instruments  
Paragraphs 4 and 5 of Article 483, Articles 484 to 487, Articles 489 and 491 CRR 
Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported 
is directly obtained from CA5.  
0670  1.1.2.3.  Instruments issued by subsidiaries that are given recognition in AT1 Capital  
Articles 83, 85 and 86 CRR 
Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated 
AT1. 
Qualifying AT1 capital issued by a special purpose entity (Article 83 CRR) shall be included.  
0680  1.1.2.4.  Transitional adjustments due to additional recognition in AT1 Capital of 
instruments issued by subsidiaries  
Article 480 CRR 
Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional 
provisions. This item is obtained directly from CA5.  
0690  1.1.2.5.  (-) Reciprocal cross holdings in AT1 Capital  
Point (122) of Article 4(1), point (b) of Article 56 and Article 58 CRR 
Holdings in AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 
CRR) where there is a reciprocal cross holding that the competent authority considers to have 
been designed to inflate artificially the own funds of the institution. 
The amount to be reported shall be calculated on the basis of the gross long positions, and shall 
include Additional Tier 1 own-fund insurance items.  
0700  1.1.2.6.  (-) AT1 instruments of financial sector entities where the institution does not 
have a significant investment  
Point (27) of Article 4(1), point (c) of Article 56; Articles 59, 60 and 79 CRR 
Part of holdings by the institution of instruments of financial sector entities (as defined in point 
(27) of Article 4(1) CRR) where the institution does not have a significant investment that has 
to be deducted from AT1.EN 19.3.2021 Official Journal of the European Union L 97/269
 
Row  Legal references and instructions  
0710  1.1.2.7.  (-) AT1 instruments of financial sector entities where the institution has a 
significant investment  
Point (27) of Article 4(1), point (d) of Article 56, Articles 59 and 79 CRR 
Holdings by the institution of AT1 instruments of financial sector entities (as defined in point 
(27) of Article 4(1) CRR) where the institution has a significant investment are completely 
deducted  
0720  1.1.2.8.  (-) Excess of deduction from T2 items over T2 Capital  
Point (e) of Article 56 CRR 
The amount to be reported is directly taken from CA1 item “Excess of deduction from T2 items 
over T2 Capital (deducted in AT1).  
0730  1.1.2.9.  Other transitional adjustments to AT1 Capital  
Articles 472, 473a, 474, 475, 478 and 481 CRR 
Adjustments due to transitional provisions. The amount to be reported is directly obtained from 
CA5.  
0740  1.1.2.10.  Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)  
Point (j) of Article 36(1) CRR 
Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than 
AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and 
the excess of AT1 deductions has to be deducted from CET1. 
With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. 
Where this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.  
0744  1.1.2.11.  (-) Additional deductions of AT1 Capital due to Article 3 CRR  
Article 3 CRR  
0748  1.1.2.12.  AT1 capital elements or deductions – other  
This row is intended to provide flexibility solely for reporting purposes. It shall only be 
populated in the rare cases that there is no final decision on the reporting of specific capital 
items/deductions in the current CA1 template. As a consequence, this row shall only be 
populated if an AT1 capital element or a deduction from an AT1 element cannot be 
assigned to one of the rows 530 to 744. 
This row shall not be used to assign capital items/deductions which are not covered by CRR 
into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions 
which are outside the scope CRR).  
0750  1.2.  TIER 2 CAPITAL  
Article 71 CRR  
0760  1.2.1.  Capital instruments eligible as T2 Capital  
Point (a) of Article 62, Articles 63 to 65, point (a) of Article 66 and Article 67 CRR  
0771  1.2.1.1.  Fully paid up, directly issued capital instruments  
Point (a) of Article 62, Articles 63 and 65 CRR 
The amount to be reported shall not include the share premium related to the instruments. 
The capital instruments may consist of equity or liabilities, including subordinated loans that 
fulfil the eligibility criteria.EN L 97/270 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0780  1.2.1.2  (*) Memorandum item: Capital instruments not eligible  
Points (c), (e) and (f) of Article 63 and Article 64 CRR 
Conditions in those points reflect different situations of the capital which are reversible, and 
thus the amount reported here can be eligible in subsequent periods. 
The amount to be reported shall not include the share premium related to the instruments. 
The capital instruments may consist of equity or liabilities, including subordinated loans.  
0791  1.2.1.3.  Share premium  
Point (b) of Article 62 and Article 65 CRR 
Share premium has the same meaning as under the applicable accounting standard. 
The amount to be reported in this item shall be the part related to the ‘fully paid up and directly 
issued capital instruments’.  
0800  1.2.1.4.  (-) Own T2 instruments  
Point (b)(i) of Article 63, point (a) of Article 66, and Article 67 CRR 
Own T2 instruments held by the reporting institution or group at the reporting date. Subject to 
exceptions in Article 67 CRR. 
Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this 
row. 
The amount to be reported shall include the share premium related to the own shares. 
Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 
instruments. Actual or contingent obligations to purchase own T2 instruments are reported 
separately in item 1.2.1.5.  
0810  1.2.1.4.1.  (-) Direct holdings of T2 instruments  
Point (b) of Article 63, point (a) of Article 66 and Article 67 CRR 
Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.  
0840  1.2.1.4.2.  (-) Indirect holdings of T2 instruments  
Point (114) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR  
0841  1.2.1.4.3.  (-) Synthetic holdings of T2 instruments  
Point (126) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR  
0842  1.2.1.5.  (-) Actual or contingent obligations to purchase own T2 instruments  
Point (a) of Article 66 and Article 67 CRR 
According to point (a) of Article 66 CRR, ‘own Tier 2 instruments that an institution could be 
obliged to purchase as a result of existing contractual obligations’ shall be deducted.  
0880  1.2.2.  Transitional adjustments due to grandfathered T2 Capital instruments  
Paragraphs 6 and 7 of Article 483, Articles 484, 486, 488, 490 and 491 CRR 
Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is 
directly obtained from CA5.EN 19.3.2021 Official Journal of the European Union L 97/271
 
Row  Legal references and instructions  
0890  1.2.3.  Instruments issued by subsidiaries that are given recognition in T2 Capital  
Articles 83, 87 and 88 CRR 
Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated 
T2. 
Qualifying Tier 2 capital issued by a special purpose entity (Article 83 CRR) shall be included.  
0900  1.2.4.  Transitional adjustments due to additional recognition in T2 Capital of instruments 
issued by subsidiaries  
Article 480 CRR 
Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional 
provisions. This item is obtained directly from CA5.  
0910  1.2.5.  IRB Excess of provisions over expected losses eligible  
Point (d) of Article 62 CRR 
For institutions calculating risk-weighted exposure amounts in accordance with IRB Approach, 
this item shall contain the positive amounts resulting from comparing the provisions and 
expected losses which are eligible as T2 capital.  
0920  1.2.6.  SA General credit risk adjustments  
Point (c) of Article 62 CRR 
For institutions calculating risk-weighted exposure amounts in accordance with standard 
approach, this item shall contain the general credit risk adjustments eligible as T2 capital.  
0930  1.2.7.  (-) Reciprocal cross holdings in T2 Capital  
Point (122) of Article 4(1), point (b) of Article 66 and Article 68 CRR 
Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) CRR) 
where there is a reciprocal cross holding that the competent authority considers to have been 
designed to inflate the own funds of the institution artificially. 
The amount to be reported shall be calculated on the basis of the gross long positions, and shall 
include Tier 2 and Tier 3 own-fund insurance items.  
0940  1.2.8.  (-) T2 instruments of financial sector entities where the institution does not have a 
significant investment  
Point (27) of Article 4(1), point (c) of Article 66, Articles 68 to 70 and Article 79 CRR 
Part of holdings by the institution of instruments of financial sector entities (as defined in point 
(27) of Article 4(1) CRR) where the institution does not have a significant investment that has 
to be deducted from T2.  
0950  1.2.9.  (-) T2 instruments of financial sector entities where the institution has a significant 
investment  
Point (27) of Article 4(1), point (d) of Article 66, Articles 68, 69 and Article 79 CRR 
Holdings by the institution of T2 instruments of financial sector entities (as defined in point 
(27) of Article 4(1) CRR) where the institution has a significant investment shall be completely 
deducted.  
0955  1.2.9 A  (-) Excess of deductions from eligible liabilities over eligible liabilities  
Article 66 (e) CRR.EN L 97/272 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0960  1.2.10.  Other transitional adjustments to T2 Capital  
Articles 472, 473a, 476, 477, 478 and 481 CRR 
Adjustments due to transitional provisions. The amount to be reported shall be directly 
obtained from CA5.  
0970  1.2.11.  Excess of deduction from T2 items over T2 Capital (deducted in AT1)  
Point (e) of Article 56 CRR 
Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus 
related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 
deductions shall be deducted from AT1. 
With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. Where this item 
shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.  
0974  1.2.12.  (-) Additional deductions of T2 Capital due to Article 3 CRR  
Article 3 CRR  
0978  1.2.13.  T2 capital elements or deductions – other  
This row provides flexibility solely for reporting purposes. It shall only be populated in the rare 
cases that there is no final decision on the reporting of specific capital items/deductions in the 
current CA1 template. As a consequence, this row shall only be populated if a T2 capital 
element or a deduction from a T2 element cannot be assigned to one of the rows 750 to 974. 
This row shall not be used to assign capital items/deductions which are not covered by CRR 
into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions 
which are outside the scope CRR).  
1.3.  C 02.00 – OWN FUNDS REQUIREMENTS (CA2)  
1.3.1. Instructions concerning specific positions  
Row  Legal references and instructions  
0010  1.  TOTAL RISK EXPOSURE AMOUNT  
Article 92(3) and Articles 95, 96 and 98 CRR  
0020  1*  Of which: Investment firms under Article 95 paragraph 2 and Article 98 CRR  
For investment firms under Article 95(2) and Article 98 CRR  
0030  1**  Of which: Investment firms under Article 96 paragraph 2 and Article 97 CRR  
For investment firms under Article 96(2) and Article 97 CRR  
0040  1.1.  RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY 
CREDIT AND DILUTION RISKS AND FREE DELIVERIES  
Points (a) and (f) of Article 92(3) CRR  
0050  1.1.1.  Standardised Approach (SA)  
CR SA and SEC SA templates at the level of total exposuresEN 19.3.2021 Official Journal of the European Union L 97/273
 
Row  Legal references and instructions  
0051  1.1.1*  Of which: Additional stricter prudential requirements based on Article 124 CRR  
Institutions shall report the additional risk exposure amounts needed to comply with the stricter 
prudential requirements as communicated to the institutions after having been consulted with 
EBA, in accordance with paragraphs 2 and 5 of Article 124CRR.  
0060  1.1.1.1.  SA exposure classes excluding securitisations positions  
CR SA template at the level of total exposures. The SA exposure classes are those mentioned in 
Article 112 CRR, excluding securitisation positions.  
0070  1.1.1.1.01.  Central governments or central banks  
See CR SA template  
0080  1.1.1.1.02.  Regional governments or local authorities  
See CR SA template  
0090  1.1.1.1.03.  Public sector entities  
See CR SA template  
0100  1.1.1.1.04.  Multilateral Development Banks  
See CR SA template  
0110  1.1.1.1.05.  International Organisations  
See CR SA template  
0120  1.1.1.1.06.  Institutions  
See CR SA template  
0130  1.1.1.1.07.  Corporates  
See CR SA template  
0140  1.1.1.1.08.  Retail  
See CR SA template  
0150  1.1.1.1.09.  Secured by mortgages on immovable property  
See CR SA template  
0160  1.1.1.1.10.  Exposures in default  
See CR SA template  
0170  1.1.1.1.11.  Items associated with particular high risk  
See CR SA template  
0180  1.1.1.1.12.  Covered bonds  
See CR SA template  
0190  1.1.1.1.13.  Claims on institutions and corporate with a short-term credit assessment  
See CR SA template  
0200  1.1.1.1.14.  Collective investments undertakings (CIU)  
See CR SA templateEN L 97/274 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0210  1.1.1.1.15.  Equity  
See CR SA template  
0211  1.1.1.1.16.  Other items  
See CR SA template  
0240  1.1.2.  Internal ratings based Approach (IRB)  
0241  1.1.2*  Of which: Additional stricter prudential requirements based on Article 164 CRR  
Institutions shall report the additional risk exposure amounts needed to comply with the stricter 
prudential requirements as communicated to the institutions after having been notified to EBA, 
in accordance with paragraphs 5 and 7 of Article 164 CRR.  
0242  1.1.2**  Of which: Additional stricter prudential requirements based on Article 124 CRR  
Institutions shall report the additional risk exposure amounts needed to comply with the stricter 
prudential requirements set by the competent authorities after having consulted EBA, as laid 
down in paragraphs 2 and 5 of Article 124 CRR and which are related to limits on the eligible 
market value of the collateral as laid down in point (d) of Article 125(2) and point (d) of 
Article 126(2) CRR.  
0250  1.1.2.1.  IRB Approaches when neither own estimates of LGD nor Conversion Factors 
are used  
CR IRB template at the level of total exposures (when own estimates of LGD or CCF are not 
used)  
0260  1.1.2.1.01.  Central governments and central banks  
See CR IRB template  
0270  1.1.2.1.02.  Institutions  
See CR IRB template  
0280  1.1.2.1.03.  Corporates – SME  
See CR IRB template  
0290  1.1.2.1.04.  Corporates – Specialised Lending  
See CR IRB template  
0300  1.1.2.1.05.  Corporates – Other  
See CR IRB template  
0310  1.1.2.2.  IRB Approaches when own estimates of LGD and/or Conversion Factor are used  
CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are 
used)  
0320  1.1.2.2.01.  Central governments and central banks  
See CR IRB template  
0330  1.1.2.2.02.  Institutions  
See CR IRB template  
0340  1.1.2.2.03.  Corporates – SME  
See CR IRB templateEN 19.3.2021 Official Journal of the European Union L 97/275
 
Row  Legal references and instructions  
0350  1.1.2.2.04.  Corporates – Specialised Lending  
See CR IRB template  
0360  1.1.2.2.05.  Corporates – Other  
See CR IRB template  
0370  1.1.2.2.06.  Retail – secure by real estate SME  
See CR IRB template  
0380  1.1.2.2.07.  Retail – secure by real estate non-SME  
See CR IRB template  
0390  1.1.2.2.08.  Retail – Qualifying revolving  
See CR IRB template  
0400  1.1.2.2.09.  Retail – Other SME  
See CR IRB template  
0410  1.1.2.2.10.  Retail – Other non-SME  
See CR IRB template  
0420  1.1.2.3.  Equity IRB  
See CR EQU IRB template  
0450  1.1.2.5.  Other non credit-obligation assets  
The amount to be reported is the risk weighted exposure amount as calculated in accordance 
with Article 156 CRR.  
0460  1.1.3.  Risk exposure amount for contributions to the default fund of a CCP  
Articles 307, 308 and 309 CRR  
0470  1.1.4  Securitisation positions  
See CR SEC template  
0490  1.2.  TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY  
Point (c)(ii) of Article 92(3) and point (b) of Article 92(4) CRR  
0500  1.2.1.  Settlement/delivery risk in the non-Trading book  
See CR SETT template  
0510  1.2.2.  Settlement/delivery risk in the Trading book  
See CR SETT template  
0520  1.3.  TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND 
COMMODITIES RISKS  
Points (b)(i), (c)(i) and (c)(iii) of Article 92(3) and point (b) of Article 92(4) CRR  
0530  1.3.1.  Risk exposure amount for position, foreign exchange and commodities risks under 
Standardised Approaches (SA)EN L 97/276 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0540  1.3.1.1.  Traded debt instruments  
MKR SA TDI template at the level of total currencies.  
0550  1.3.1.2.  Equity  
MKR SA EQU template at the level of total national markets.  
0555  1.3.1.3.  Particular approach for position risk in CIUs  
Article 348(1), point (c) of Article 350(3) and point (a) of Article 364(2) CRR 
Total risk exposure amount for positions in CIUs if capital requirements are calculated in 
accordance with Article 348(1) CRR either immediately or as a consequence of the cap laid 
down in point (c) of Article 350(3) CRR. CRR does not explicitly assign those positions to 
either the interest rate risk or the equity risk. 
Where the particular approach laid down in the first sentence of Article 348(1) CRR is applied, 
the amount to be reported shall be 32 % of the net position of the CIU exposure in question, 
multiplied by 12,5. 
Where the particular approach laid down in the second sentence of Article 348(1) CRR is 
applied, the amount to be reported shall be the lower of 32 % of the net position of the relevant 
CIU exposure and the difference between 40 % of this net position and the own funds 
requirements that arise from the foreign exchange risk associated with this CIU exposure, 
multiplied by 12,5 respectively.  
0556  1.3.1.3.*  Memo item: CIUs exclusively invested in traded debt instruments  
Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in 
instruments subject to interest rate risk.  
0557  1.3.1.3.**  CIUs invested exclusively in equity instruments or in mixed instruments  
Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in 
instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are 
unknown.  
0560  1.3.1.4.  Foreign Exchange  
See MKR SA FX template  
0570  1.3.1.5.  Commodities  
See MKR SA COM template  
0580  1.3.2.  Risk exposure amount for positions, foreign exchange and commodity risks under 
internal models (IM)  
See MKR IM template  
0590  1.4.  TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)  
Point (e) of Article 92(3) and point (b) of Article 92(4) CRR 
For investment firms under Articles 95(2) and 96(2) and Article 98 CRR, this element shall be 
zero.  
0600  1.4.1.  OpR Basic Indicator approach (BIA)  
See OPR template  
0610  1.4.2.  OpR Standardised (TSA)/Alternative Standardised (ASA) approaches  
See OPR templateEN 19.3.2021 Official Journal of the European Union L 97/277
 
Row  Legal references and instructions  
0620  1.4.3.  OpR Advanced measurement approaches (AMA)  
See OPR template  
0630  1.5.  ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS  
Articles 95(2) and 96(2), Article 97 and point (a) of Article 98(1) CRR 
Only for investment firms under Article 95(2), Article 96(2) and Article 98 CRR. See also 
Article 97 CRR. 
Investment firms under Article 96 CRR shall report the amount referred to in Article 97 
multiplied by 12.5. 
Investment firms under Article 95 CRR shall report as follows: 
— Where the amount referred to in point (a) of Article 95(2) CRR is greater than the amount 
referred to in point (b) of Article 95(2) CRR, the amount to be reported is zero. 
— Where the amount referred to in point (b) of Article 95(2) CRR is greater than the amount 
referred to in point (a) of Article 95(2) CRR, the amount to be reported is the result of 
subtracting the latter amount from the former.  
0640  1.6.  TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT  
Point (d) of Article 92(3) CRR 
See CVA template.  
0650  1.6.1.  Advanced method  
Own funds requirements for credit valuation adjustment risk in accordance with Article 383 
CRR. 
See CVA template.  
0660  1.6.2.  Standardised method  
Own funds requirements for credit valuation adjustment risk in accordance with Article 384 
CRR. 
See CVA template.  
0670  1.6.3.  Based on OEM  
Own funds requirements for credit valuation adjustment risk in accordance with Article 385 
CRR. 
See CVA template.  
0680  1.7.  TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE 
TRADING BOOK  
Point (b)(ii) of Article 92(3) and Articles 395 to 401 CRR  
0690  1.8.  OTHER RISK EXPOSURE AMOUNTS  
Articles 3, 458 and 459 CRR and risk exposure amounts which cannot be assigned to one of 
the items from 1.1 to 1.7. 
Institutions shall report the amounts needed to comply with the following: 
Stricter prudential requirements imposed by the Commission, in accordance with Articles 458 
and 459 CRR. 
Additional risk exposure amounts due to Article 3 CRR. 
This item does not have a link to a details template.EN L 97/278 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0710  1.8.2.  Of which: Additional stricter prudential requirements based on Article 458 CRR  
Article 458 CRR  
0720  1.8.2*  Of which: requirements for large exposures  
Article 458 CRR  
0730  1.8.2**  Of which: due to modified risk weights for targeting asset bubbles in the resi ­
dential and commercial property  
Article 458 CRR  
0740  1.8.2***  Of which: due to intra financial sector exposures  
Article 458 CRR  
0750  1.8.3.  Of which: Additional stricter prudential requirements based on Article 459 CRR  
Article 459 CRR  
0760  1.8.4.  Of which: Additional risk exposure amount due to Article 3 CRR  
Article 3 CRR 
The additional risk exposure amount has to be reported. It shall only include the additional 
amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk 
weight of 50 % based on Article 3 CRR, the amount to be reported is 30).  
1.4.  C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)  
1.4.1. Instructions concerning specific positions  
Rows  
0010  1  CET1 Capital ratio  
Point (a) of Article 92(2) CRR 
The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the 
total risk exposure amount.  
0020  2  Surplus(+)/Deficit(-) of CET1 capital  
This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to 
the requirement set in point (a) of Article 92(1) CRR (4,5 %), i.e. without taking into account 
the capital buffers and transitional provisions on the ratio.  
0030  3  T1 Capital ratio  
Point (b) of Article 92(2) CRR 
The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk 
exposure amount.  
0040  4  Surplus(+)/Deficit(-) of T1 capital  
This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the 
requirement set in point (b) of Article 92(1) CRR (6 %), i.e. without taking into account the 
capital buffers and transitional provisions on the ratio.  
0050  5  Total capital ratio  
Point (c) of Article 92(2) CRR 
The total capital ratio is the own funds of the institution expressed as a percentage of the total 
risk exposure amount.EN 19.3.2021 Official Journal of the European Union L 97/279
 
Rows  
0060  6  Surplus(+)/Deficit(-) of total capital  
This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the 
requirement set in point (c) of Article 92(1) CRR (8 %), i.e. without taking into account the 
capital buffers and transitional provisions on the ratio.  
0130  13  Total SREP capital requirement (TSCR) ratio  
The sum of (i) and (ii) as follows: 
(i) the total capital ratio (8 %) as specified in point (c) of Article 92(1) CRR; 
(ii) the additional own funds requirements (Pillar 2 Requirements – P2R) as referred to in point 
(a) of Article 104(1) CRD, presented as ratio. They shall be determined in accordance with 
the criteria specified in the  EBA Guidelines on common procedures and methodologies for the 
supervisory review and evaluation process and supervisory stress testing  (EBA SREP GL). 
This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the 
institution by the competent authority. The TSCR is defined in Section 7.4 and 7.5 of the EBA 
SREP GL. 
Where no additional own funds requirements were communicated by the competent authority, 
only point (i) shall be reported.  
0140  13*  TSCR: to be made up of CET1 capital  
The sum of (i) and (ii) as follows: 
(i) the CET1 capital ratio (4,5 %) as per point (a) of Article 92(1) CRR; 
(ii) the part of the P2R ratio, referred to in point (ii) of row 0130, which is required by the 
competent authority to be held in the form of CET1 capital. 
Where no additional own funds requirements, to be held in the form of CET1 capital, were 
communicated by the competent authority, only point (i) shall be reported.  
0150  13**  TSCR: to be made up of Tier 1 capital  
The sum of (i) and (ii) as follows: 
(i) the Tier 1 capital ratio (6 %) as per point (b) of Article 92(1) CRR; 
(ii) the part of P2R ratio, referred to in point (ii) of row 0130, which is required by the 
competent authority to be held in the form of Tier 1 capital. 
Where no additional own funds requirements, to be held in the form of Tier 1 capital, were 
communicated by the competent authority, then only point (i) shall be reported.  
0160  14  Overall capital requirement (OCR) ratio  
The sum of (i) and (ii) as follows: 
(i) the TSCR ratio referred to in row 0130; 
(ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in 
point (6) of Article 128 CRD. 
This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 7.5 of 
the EBA SREP GL. 
Where no buffer requirement is applicable, only point (i) shall be reported.EN L 97/280 Official Journal of the European Union 19.3.2021
 
Rows  
0170  14*  OCR: to be made up of CET1 capital  
The sum of (i) and (ii) as follows: 
(i) the TSCR ratio to be made up of CET1 capital referred to in row 0140; 
(ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in 
point (6) of Article 128 CRD. 
Where no buffer requirement is applicable, only point (i) shall be reported.  
0180  14**  OCR: to be made up of Tier 1 capital  
The sum of (i) and (ii) as follows: 
(i) the TSCR ratio to be made up of Tier 1 capital referred to in row 0150; 
(ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in 
point (6) of Article 128 CRD. 
Where no buffer requirement is applicable, only point (i) shall be reported.  
0190  15  Overall capital requirement (OCR) and Pillar 2 Guidance (P2G) ratio  
The sum of (i) and (ii) as follows: 
(i) the OCR ratio referred to in row 160; 
(ii) where applicable, the guidance on additional own funds communicated by the competent 
authority (Pillar 2 Guidance – P2G) as referred to in Article 104b(3) CRD, presented as 
ratio. They shall be defined in accordance with section 7.7.1 of the EBA SREP GL. P2G shall 
be included only if communicated to the institution by the competent authority. 
Where no P2G is communicated by the competent authority, only point (i) shall be reported.  
0200  15*  OCR and P2G: to be made up of CET1 capital  
The sum of (i) and (ii) as follows: 
(i) the OCR ratio to be made up of CET1 capital referred to in row 0170; 
(ii) where applicable, the part of P2G, referred to in point (ii) in row 0190, which is required by 
the competent authority to be held in the form of CET1 capital. P2G shall be included only 
if communicated to the institution by the competent authority. 
Where no P2G is communicated by the competent authority, only point (i) shall be reported.  
0210  15**  OCR and P2G: to be made up of Tier 1 capital  
The sum of (i) and (ii) as follows: 
(i) the OCR ratio to be made up of Tier 1 capital referred to in row 0180; 
(ii) where applicable, the part of P2G, referred to in point (ii) in row 0190, which is required by 
the competent authority to be held in the form of Tier 1 capital. P2G shall be included only 
if communicated to the institution by the competent authority. 
Where no P2G is communicated by the competent authority, only point (i) shall be reported.EN 19.3.2021 Official Journal of the European Union L 97/281
 
Rows  
0220  Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 
104a CRD  
This item shows, in absolute figures, the amount of CET1 capital surplus or defi-cit relating to 
the requirements set in point (a) of Article 92(1) CRR (4,5 %) and Article 104a CRD, to the 
extent that the requirement of Article 104a CRD has to be met with CET1 capital. Where an 
institution has to use its CET1 to meet its requirements of Article 92(1) point (b) and/or (c) 
CRR and/or Article 104a CRD beyond the extent to which the latter has to be met with CET1 
capital, the reported surplus or deficit shall take this into account. 
This amount reflects the CET1 capital available to meet the combined buffer requirement and 
other requirements.  
0300  CET1 Capital ratio without application of the transitional provisions on IFRS 9  
Point (a) of Article 92(2) CRR, Article 473a(8) CRR  
0310  T1 Capital ratio without application of the transitional provisions on IFRS 9  
Point (b) of Article 92(2) CRR, Article 473a(8) CRR  
0320  Total capital ratio without application of the transitional provisions on IFRS 9  
Point (c) of Article 92(2) CRR, Article 473a(8) CRR  
1.5.  C 04.00 – MEMORANDUM ITEMS (CA4)  
1.5.1. Instructions concerning specific positions  
Rows  
0010  1.  Total deferred tax assets  
The amount reported in this item shall be equal to the amount reported in the most recent 
verified/audited accounting balance sheet.  
0020  1.1.  Deferred tax assets that do not rely on future profitability  
Article 39(2) CRR 
Deferred tax assets that were created before 23 November 2016 and do not rely on future 
profitability, and thus are subject to the application of a risk weight.  
0030  1.2.  Deferred tax assets that rely on future profitability and do not arise from temporary 
differences  
Point (c) of Article 36(1) and Article 38 CRR 
Deferred tax assets that rely on future profitability, but do not arise from temporary differences, 
and thus are not subject to any threshold (i.e. are completely deducted from CET1).  
0040  1.3.  Deferred tax assets that rely on future profitability and arise from temporary 
differences  
Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR 
Deferred tax assets that rely on future profitability and arise from temporary differences, and 
thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 CRR.  
0050  2.  Total deferred tax liabilities  
The amount reported in this item shall be equal to the amount reported in the latest verified/ 
audited accounting balance sheet.EN L 97/282 Official Journal of the European Union 19.3.2021
 
Rows  
0060  2.1.  Deferred tax liabilities non deductible from deferred tax assets that rely on future 
profitability  
Paragraphs 3 and 4 of Article 38 CRR 
Deferred tax liabilities for which conditions in paragraphs 3 and 4 of Article 38 CRR are not 
met. Hence, this item shall include the deferred tax liabilities that reduce the amount of 
goodwill, other intangible assets or defined benefit pension fund assets required to be 
deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.  
0070  2.2.  Deferred tax liabilities deductible from deferred tax assets that rely on future profit ­
ability  
Article 38 CRR  
0080  2.2.1.  Deductible deferred tax liabilities associated with deferred tax assets that rely on 
future profitability and do not arise from temporary differences  
Paragraphs 3, 4 and 5 of Article 38 CRR 
Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future 
profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are not allocated to 
deferred tax assets that rely on future profitability and arise from temporary differences, as laid 
down in Article 38(5) CRR  
0090  2.2.2.  Deductible deferred tax liabilities associated with deferred tax assets that rely on 
future profitability and arise from temporary differences  
Paragraphs 3, 4 and 5 of Article 38 CRR 
Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future 
profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are allocated to 
deferred tax assets that rely on future profitability and arise from temporary differences, as laid 
down in Article 38(5) CRR  
0093  2A  Tax overpayments and tax loss carry backs  
Article 39(1) CRR 
The amount of tax overpayments and tax loss carry backs which is not deducted from own 
funds in accordance with Article 39(1) CRR; the amount reported shall be the amount before 
the application of risk weights.  
0096  2B  Deferred Tax Assets subject to a risk weight of 250 %  
Article 48(4) CRR 
The amount of deferred tax assets that are dependent on future profitability and arise from 
temporary differences that are not deducted pursuant to Article 48(1) CRR, but subject to a risk 
weight of 250 % in accordance with Article 48(4) CRR, taking into account the effect of 
Article 470, Article 478(2) and point (a) of Article 473a(7) CRR. The amount reported 
shall be the amount of DTAs before the application of the risk weight.  
0097  2C  Deferred Tax Assets subject to a risk weight of 0 %  
Point (d) of Article 469(1), Article 470, Article 472(5) and Article 478 CRR 
The amount of deferred tax assets that are dependent on future profitability and arise from 
temporary differences that are not deducted pursuant to point (d) of Article 469(1), Article 470 
CRR, Article 478(2) and point a of Article 473a(7) CRR, but subject to a risk weight of 0 % in 
accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before 
the application of the risk weight.EN 19.3.2021 Official Journal of the European Union L 97/283
 
Rows  
0901  2W  Exception from deduction of intangible assets from CET1  
Point (b) of Article 36(1) CRR 
Institutions shall report the amount of prudently valued software assets exempted from the 
deduction.  
0905  2Y  AT1 Capital instruments and the related share premium accounts classified as equity 
under applicable accounting standards  
The amount of AT1 instruments including their related share premium accounts that are 
classified as equity under the applicable accounting standard  
0906  2Z  AT1 Capital instruments and the related share premium accounts classified as 
liabilities under applicable accounting standards  
The amount of AT1 instruments including their related share premium accounts that are 
classified as liabilities under the applicable accounting standard  
0100  3.  IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments 
and other own funds reductions to expected losses for non defaulted exposures  
Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR 
This item shall only be reported by IRB institutions.  
0110  3.1.  Total credit risk adjustments, additional value adjustments and other own funds 
reductions eligible for inclusion in the calculation of the expected loss amount  
Article 159 CRR 
This item shall only be reported by IRB institutions.  
0120  3.1.1.  General credit risk adjustments  
Article 159 CRR 
This item shall only be reported by IRB institutions.  
0130  3.1.2.  Specific credit risk adjustments  
Article 159 CRR 
This item shall only be reported by IRB institutions.  
0131  3.1.3.  Additional value adjustments and other own funds reductions  
Articles 34, 110 and 159 CRR 
This item shall only be reported by IRB institutions.  
0140  3.2.  Total expected losses eligible  
Paragraphs 5, 6 and 10 of Article 158 and Article 159 CRR 
This item shall only be reported by IRB institutions. Only the expected loss related to non- 
defaulted exposures shall be reported.  
0145  4.  IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for 
defaulted exposures  
Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR 
This item shall only be reported by IRB institutions.EN L 97/284 Official Journal of the European Union 19.3.2021
 
Rows  
0150  4.1.  Specific credit risk adjustments and positions treated similarly  
Article 159 CRR 
This item shall only be reported by IRB institutions.  
0155  4.2.  Total expected losses eligible  
Paragraphs 5, 6 and 10 of Article 158, and Article 159 CRR 
This item shall only be reported by IRB institutions. Only the expected loss related to defaulted 
exposures shall be reported.  
0160  5.  Risk weighted exposure amounts for calculating the cap to the excess of provision 
eligible as T2  
Point (d) of Article 62 CRR 
For IRB institutions, the excess amount of provisions (to expected losses) eligible for inclusion in 
Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB 
Approach, in accordance with point (d) of Article 62 CRR. 
The amount to be reported in this item is the risk weighted exposure amounts (i.e. not 
multiplied by 0,6 %) which is the base for calculating the cap.  
0170  6.  Total gross provisions eligible for inclusion in T2 capital  
Point (c) of Article 62 CRR 
This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, 
before cap. 
The amount to be reported shall be gross of tax effects.  
0180  7.  Risk weighted exposure amounts for calculating the cap to the provision eligible as T2  
Point (c) of Article 62 CRR 
According to point (c) of Article 62 CRR, the credit risk adjustments eligible for inclusion in 
Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts. 
The amount to be reported in this item is the risk weighted exposure amounts (i.e. not 
multiplied by 1,25 %) which is the base for calculating the cap.  
0190  8.  Threshold non deductible of holdings in financial sector entities where an institution 
does not have a significant investment  
Point (a) of Article 46(1) CRR 
This item contains the threshold up to which holdings in a financial sector entity where an 
institution does not have a significant investment are not deducted. The amount results from 
adding up all items which are the base of the threshold and multiplying the sum thus obtained 
by 10 %.  
0200  9.  10 % CET1 threshold  
Points (a) and (b) of Article 48(1) CRR 
This item contains the 10 % threshold for holdings in financial sector entities where an insti ­
tution has a significant investment, and for deferred tax assets that are dependent on future 
profitability and arise from temporary differences. 
The amount results from adding up all items which are the base of the threshold and multi ­
plying the sum thus obtained by 10 %.EN 19.3.2021 Official Journal of the European Union L 97/285
 
Rows  
0210  10.  17,65 % CET1 threshold  
Article 48(1) CRR 
This item contains the 17,65 % threshold for holdings in financial sector entities where an 
institution has a significant investment, and for deferred tax assets that are dependent on future 
profitability and arise from temporary differences, to be applied after the 10 % threshold. 
The threshold is to be calculated in such a way that the amount of the two items that is 
recognised does not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 
capital calculated after all deductions, not including any adjustment due to transitional provi ­
sions.  
0225  11.  Eligible capital for the purposes of qualifying holdings outside the financial sector  
Point (a) of point (71) of Article 4(1) CRR  
0230  12.  Holdings of CET1 capital of financial sector entities where the institution does not 
have a significant investment, net of short positions  
Articles 44, 45, 46 and 49 CRR  
0240  12.1.  Direct holdings of CET1 capital of financial sector entities where the institution 
does not have a significant investment  
Articles 44, 45, 46 and 49 CRR  
0250  12.1.1.  Gross direct holdings of CET1 capital of financial sector entities where the 
institution does not have a significant investment  
Articles 44, 46 and 49 CRR 
Direct holdings of CET1 capital of financial sector entities where the institution does not have a 
significant investment, excluding: 
a) Underwriting positions held for 5 working days or fewer; 
b) The amounts relating to the investments for which any alternative in Article 49 is applied; 
and 
c) Holdings which are treated as reciprocal cross holdings in accordance with point (g) of 
Article 36(1) CRR  
0260  12.1.2.  (-) Permitted offsetting short positions in relation to the direct gross holdings 
included above  
Article 45 CRR 
Point a of Article 45 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0270  12.2.  Indirect holdings of CET1 capital of financial sector entities where the institution 
does not have a significant investment  
Point (114) of Article 4(1) and Articles 44 and 45 CRREN L 97/286 Official Journal of the European Union 19.3.2021
 
Rows  
0280  12.2.1.  Gross indirect holdings of CET1 capital of financial sector entities where the 
institution does not have a significant investment  
Point (114) of Article 4(1) and Articles 44 and 45 CRR 
The amount to be reported is the indirect holdings in the trading book of the capital 
instruments of financial sector entities that take the form of holdings of index securities. It is 
obtained by calculating the underlying exposure to the capital instruments of the financial sector 
entities in the indices. 
Holdings which are treated as reciprocal cross holdings in accordance with point (g) of 
Article 36(1) CRR shall not be included  
0290  12.2.2.  (-) Permitted offsetting short positions in relation to the indirect gross holdings 
included above  
Point (114) of Article 4(1) and Article 45 CRR 
Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0291  12.3.1.  Synthetic holdings of CET1 capital of financial sector entities where the insti ­
tution does not have a significant investment  
Point (126) of Article 4(1) and Articles 44 and 45 CRR  
0292  12.3.2.  Gross synthetic holdings of CET1 capital of financial sector entities where the 
institution does not have a significant investment  
Point (126) of Article 4(1) and Articles 44 and 45 CRR  
0293  12.3.3.  (-) Permitted offsetting short positions in relation to the synthetic gross holdings 
included above  
Point (126) of Article 4(1) and Article 45 CRR. 
Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short position is either the same or later than the maturity 
date of the long position or the residual maturity of the short position is at least one year.  
0300  13.  Holdings of AT1 capital of financial sector entities where the institution does not 
have a significant investment, net of short positions  
Articles 58, 59 and 60 CRR  
0310  13.1.  Direct holdings of AT1 capital of financial sector entities where the institution 
does not have a significant investment  
Articles 58, 59 and Article 60(2) CRR  
0320  13.1.1.  Gross direct holdings of AT1 capital of financial sector entities where the insti ­
tution does not have a significant investment  
Article 58 and Article 60(2) CRR 
Direct holdings of AT1 capital of financial sector entities where the institution does not have a 
significant investment, excluding: 
a) Underwriting positions held for 5 working days or fewer; and 
b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of 
Article 56 CRREN 19.3.2021 Official Journal of the European Union L 97/287
 
Rows  
0330  13.1.2.  (-) Permitted offsetting short positions in relation to the direct gross holdings 
included above  
Article 59 CRR 
Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0340  13.2.  Indirect holdings of AT1 capital of financial sector entities where the institution 
does not have a significant investment  
Point (114) of Article 4(1) and Articles 58 and 59 CRR  
0350  13.2.1.  Gross indirect holdings of AT1 capital of financial sector entities where the 
institution does not have a significant investment  
Point (114) of Article 4(1) and Articles 58 and 59 CRR 
The amount to be reported is the indirect holdings in the trading book of the capital 
instruments of financial sector entities that take the form of holdings of index securities. It is 
obtained by calculating the underlying exposure to the capital instruments of the financial sector 
entities in the indices. 
Holdings which are treated as reciprocal cross holdings according to point (b) of Article 56 
CRR shall not be included.  
0360  13.2.2.  (-) Permitted offsetting short positions in relation to the indirect gross holdings 
included above  
Point (114) of Article 4(1) and Article 59 CRR 
Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0361  13.3.  Synthetic holdings of AT1 capital of financial sector entities where the institution 
does not have a significant investment  
Point (126) of Article 4(1) and Articles 58 and 59 CRR  
0362  13.3.1.  Gross synthetic holdings of AT1 capital of financial sector entities where the 
institution does not have a significant investment  
Point (126) of Article 4(1) and Articles 58 and 59 CRR  
0363  13.3.2.  (-) Permitted offsetting short positions in relation to the synthetic gross holdings 
included above  
Point (126) of Article 4(1) and Article 59 CRR. 
Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short position is either the same or later than the maturity 
date of the long position or the residual maturity of the short position is at least one year.  
0370  14.  Holdings of T2 capital of financial sector entities where the institution does not have 
a significant investment, net of short positions  
Articles 68, 69 and 70 CRR  
0380  14.1.  Direct holdings of T2 capital of financial sector entities where the institution does 
not have a significant investment  
Articles 68 and 69 and Article 70(2) CRREN L 97/288 Official Journal of the European Union 19.3.2021
 
Rows  
0390  14.1.1.  Gross direct holdings of T2 capital of financial sector entities where the insti ­
tution does not have a significant investment  
Article 68 and Article 70(2) CRR 
Direct holdings of T2 capital of financial sector entities where the institution does not have a 
significant investment, excluding: 
a) Underwriting positions held for 5 working days or fewer; and 
b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of 
Article 66 CRR  
0400  14.1.2.  (-) Permitted offsetting short positions in relation to the direct gross holdings 
included above  
Article 69 CRR 
Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0410  14.2.  Indirect holdings of T2 capital of financial sector entities where the institution does 
not have a significant investment  
Point (114) of Article 4(1) and Articles 68 and 69 CRR  
0420  14.2.1.  Gross indirect holdings of T2 capital of financial sector entities where the insti ­
tution does not have a significant investment  
Point (114) of Article 4(1) and Articles 68 and 69 CRR 
The amount to be reported is the indirect holdings in the trading book of the capital 
instruments of financial sector entities that take the form of holdings of index securities. It is 
obtained by calculating the underlying exposure to the capital instruments of the financial sector 
entities in the indices. 
Holdings which are treated as reciprocal cross holdings in accordance with Article 66 point (b) 
CRR shall not be included  
0430  14.2.2.  (-) Permitted offsetting short positions in relation to the indirect gross holdings 
included above  
Point (114) of Article 4(1) and Article 69 CRR 
Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0431  14.3.  Synthetic holdings of T2 capital of financial sector entities where the institution 
does not have a significant investment  
Point (126) of Article 4(1) and Articles 68 and 69 CRR  
0432  14.3.1.  Gross synthetic holdings of T2 capital of financial sector entities where the 
institution does not have a significant investment  
Point (126) of Article 4(1) and Articles 68 and 69 CRR  
0433  14.3.2.  (-) Permitted offsetting short positions in relation to the synthetic gross holdings 
included above  
Point (126) of Article 4(1) and Article 69 CRR. 
Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short position is either the same or later than the maturity 
date of the long position or the residual maturity of the short position is at least one year.EN 19.3.2021 Official Journal of the European Union L 97/289
 
Rows  
0440  15.  Holdings of CET1 capital of financial sector entities where the institution has a 
significant investment, net of short positions  
Articles 44, 45, 47 and 49 CRR  
0450  15.1.  Direct holdings of CET1 capital of financial sector entities where the institution has 
a significant investment  
Articles 44, 45, 47 and 49 CRR  
0460  15.1.1.  Gross direct holdings of CET1 capital of financial sector entities where the 
institution has a significant investment  
Articles 44, 45, 47 and 49 CRR 
Direct holdings of CET1 capital of financial sector entities where the institution has a significant 
investment, excluding: 
a) Underwriting positions held for 5 working days or fewer; 
b) The amounts relating to the investments for which any alternative in Article 49 is applied; 
and 
c) Holdings which are treated as reciprocal cross holdings in accordance with point (g) of 
Article 36(1) CRR  
0470  15.1.2.  (-) Permitted offsetting short positions in relation to the direct gross holdings 
included above  
Article 45 CRR 
Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0480  15.2.  Indirect holdings of CET1 capital of financial sector entities where the institution 
has a significant investment  
Point (114) of Article 4(1) and Articles 44 and 45 CRR  
0490  15.2.1.  Gross indirect holdings of CET1 capital of financial sector entities where the 
institution has a significant investment  
Point (114) of Article 4(1) and Articles 44 and 45 CRR 
The amount to be reported shall be the indirect holdings in the trading book of the capital 
instruments of financial sector entities that take the form of holdings of index securities. It shall 
be obtained by calculating the underlying exposure to the capital instruments of the financial 
sector entities in the indices. 
Holdings which are treated as reciprocal cross holdings in accordance with point (g) of 
Article 36(1) CRR shall not be included.  
0500  15.2.2.  (-) Permitted offsetting short positions in relation to the indirect gross holdings 
included above  
Point (114) of Article 4(1) and Article 45 CRR 
Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0501  15.3.  Synthetic holdings of CET1 capital of financial sector entities where the institution 
has a significant investment  
Point (126) of Article 4(1) and Articles 44 and 45 CRREN L 97/290 Official Journal of the European Union 19.3.2021
 
Rows  
0502  15.3.1.  Gross synthetic holdings of CET1 capital of financial sector entities where the 
institution has a significant investment  
Point (126) of Article 4(1) and Articles 44 and 45 CRR  
0503  15.3.2.  (-) Permitted offsetting short positions in relation to the synthetic gross holdings 
included above  
Point (126) of Article 4(1) and Article 45 CRR. 
Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short position is either the same or later than the maturity 
date of the long position or the residual maturity of the short position is at least one year.  
0504  Investments in CET1 capital of financial sector entities where the institution has a 
significant investment – subject to a risk weight of 250 %  
Article 48(4) CRR 
The amount of significant investments in CET1 capital of financial sector entities that are not 
deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance 
with Article 48(4) CRR. 
The amount reported shall be the amount of significant investments before the application of 
the risk weight.  
0510  16.  Holdings of AT1 capital of financial sector entities where the institution has a 
significant investment, net of short positions  
Articles 58 and 59 CRR  
0520  16.1.  Direct holdings of AT1 capital of financial sector entities where the institution has 
a significant investment  
Articles 58 and 59 CRR  
0530  16.1.1.  Gross direct holdings of AT1 capital of financial sector entities where the insti ­
tution has a significant investment  
Article 58 CRR 
Direct holdings of AT1 capital of financial sector entities where the institution has a significant 
investment, excluding: 
a) Underwriting positions held for 5 working days or fewer (point (d) of Article 56 CRR); and 
b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of 
Article 56 CRR.  
0540  16.1.2.  (-) Permitted offsetting short positions in relation to the direct gross holdings 
included above  
Article 59 CRR 
Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0550  16.2.  Indirect holdings of AT1 capital of financial sector entities where the institution 
has a significant investment  
Point (114) of Article 4(1) and Articles 58 and 59 CRREN 19.3.2021 Official Journal of the European Union L 97/291
 
Rows  
0560  16.2.1.  Gross indirect holdings of AT1 capital of financial sector entities where the 
institution has a significant investment  
Point (114) of Article 4(1) and Articles 58 and 59 CRR 
The amount to be reported shall be the indirect holdings in the trading book of the capital 
instruments of financial sector entities that take the form of holdings of index securities. It shall 
be obtained by calculating the underlying exposure to the capital instruments of the financial 
sector entities in the indices. 
Holdings which are treated as reciprocal cross holdings in accordance with point (b) of 
Article 56 CRR shall not be included.  
0570  16.2.2.  (-) Permitted offsetting short positions in relation to the indirect gross holdings 
included above  
Point (114) of Article 4(1) and Article 59 CRR 
Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0571  16.3.  Synthetic holdings of AT1 capital of financial sector entities where the institution 
has a significant investment  
Point (126) of Article 4(1) and Articles 58 and 59 CRR  
0572  16.3.1.  Gross synthetic holdings of AT1 capital of financial sector entities where the 
institution has a significant investment  
Point (126) of Article 4(1) and Articles 58 and 59 CRR  
0573  16.3.2.  (-) Permitted offsetting short positions in relation to the synthetic gross holdings 
included above  
Point (126) of Article 4(1) and Article 59 CRR. 
Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short position is either the same or later than the maturity 
date of the long position or the residual maturity of the short position is at least one year.  
0580  17.  Holdings of T2 capital of financial sector entities where the institution has a 
significant investment, net of short positions  
Articles 68 and 69 CRR  
0590  17.1.  Direct holdings of T2 capital of financial sector entities where the institution has a 
significant investment  
Articles 68 and 69 CRR  
0600  17.1.1.  Gross direct holdings of T2 capital of financial sector entities where the insti ­
tution has a significant investment  
Article 68 CRR 
Direct holdings of T2 capital of financial sector entities where the institution has a significant 
investment, excluding: 
a) Underwriting positions held for 5 working days or fewer (point (d) of Article 66 CRR); and 
b) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of 
Article 66 CRREN L 97/292 Official Journal of the European Union 19.3.2021
 
Rows  
0610  17.1.2.  (-) Permitted offsetting short positions in relation to the direct gross holdings 
included above  
Article 69 CRR 
Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0620  17.2.  Indirect holdings of T2 capital of financial sector entities where the institution has 
a significant investment  
Point (114) of Article 4(1) and Articles 68 and 69 CRR  
0630  17.2.1.  Gross indirect holdings of T2 capital of financial sector entities where the insti ­
tution has a significant investment  
Point (114) of Article 4(1) and Articles 68 and 69 CRR 
The amount to be reported shall be the indirect holdings in the trading book of the capital 
instruments of financial sector entities that take the form of holdings of index securities. It shall 
be obtained by calculating the underlying exposure to the capital instruments of the financial 
sector entities in the indices. 
Holdings which are treated as reciprocal cross holdings in accordance with point (b) of 
Article 66 CRR shall not be included  
0640  17.2.2.  (-) Permitted offsetting short positions in relation to the indirect gross holdings 
included above  
Point (114) of Article 4(1) and Article 69 CRR 
Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short is either the same or later than the maturity date of the 
long position or the residual maturity of the short position is at least one year.  
0641  17.3.  Synthetic holdings of T2 capital of financial sector entities where the institution 
has a significant investment  
Point (126) of Article 4(1) and Articles 68 and 69 CRR  
0642  17.3.1.  Gross synthetic holdings of T2 capital of financial sector entities where the 
institution has a significant investment  
Point (126) of Article 4(1) and Articles 68 and 69 CRR  
0643  17.3.2.  (-) Permitted offsetting short positions in relation to the synthetic gross holdings 
included above  
Point (126) of Article 4(1) and Article 69 CRR. 
Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure 
provided the maturity date of the short position is either the same or later than the maturity 
date of the long position or the residual maturity of the short position is at least one year.  
0650  18.  Risk weighted exposures of CET1 holdings in financial sector entities which are not 
deducted from the institution’s CET1 capital  
Articles 46(4), 48(4) and 49(4) CRR  
0660  19.  Risk weighted exposures of AT1 holdings in financial sector entities which are not 
deducted from the institution’s AT1 capital  
Article 60(4) CRREN 19.3.2021 Official Journal of the European Union L 97/293
 
Rows  
0670  20.  Risk weighted exposures of T2 holdings in financial sector entities which are not 
deducted from the institution’s T2 capital  
Article 70(4) CRR  
0680  21.  Holdings on CET1 Capital Instruments of financial sector entities where the insti ­
tution does not have a significant investment temporary waived  
Article 79 CRR 
A competent authority may waive on a temporary basis the provisions on deductions from 
CET1 due to holdings on instruments of a specific financial sector entity, where it deems those 
holdings to be for the purposes of a financial assistance operation designed to reorganise and 
save that entity. 
Note that those instruments shall also be reported on item 12.1.  
0690  22.  Holdings on CET1 Capital Instruments of financial sector entities where the insti ­
tution has a significant investment temporary waived  
Article 79 CRR 
A competent authority may waive the provisions on deductions from CET1 due to holdings on 
instruments of a specific financial sector entity, when it deems those holdings to be for the 
purposes of a financial assistance operation designed to reorganise and save that entity. 
Note that those instruments shall also be reported on item 15.1.  
0700  23.  Holdings on AT1 Capital Instruments of financial sector entities where the insti ­
tution does not have a significant investment temporary waived  
Article 79 CRR 
A competent authority may waive on a temporary basis the provisions on deductions from AT1 
due to holdings on instruments of a specific financial sector entity, when it deems those 
holdings to be for the purposes of a financial assistance operation designed to reorganise 
and save that entity. 
Note that these instruments shall also be reported on item 13.1.  
0710  24.  Holdings on AT1 Capital Instruments of financial sector entities where the insti ­
tution has a significant investment temporary waived  
Article 79 CRR 
A competent authority may waive on a temporary basis the provisions on deductions from AT1 
due to holdings on instruments of a specific financial sector entity, when it deems those 
holdings to be for the purposes of a financial assistance operation designed to reorganise 
and save that entity. 
Note that these instruments shall also be reported on item 16.1.  
0720  25.  Holdings on T2 Capital Instruments of financial sector entities where the institution 
does not have a significant investment temporary waived  
Article 79 CRR 
A competent authority may waive the provisions on deductions from T2 due to holdings on 
instruments of a specific financial sector entity, when it deems those holdings to be for the 
purposes of a financial assistance operation designed to reorganise and save that entity. 
Note that those instruments shall also be reported on item 14.1.EN L 97/294 Official Journal of the European Union 19.3.2021
 
Rows  
0730  26.  Holdings on T2 Capital Instruments of financial sector entities where the institution 
has a significant investment temporary waived  
Article 79 CRR 
A competent authority may waive the provisions on deductions from T2 due to holdings on 
instruments of a specific financial sector entity, when it deems those holdings to be for the 
purposes of a financial assistance operation designed to reorganise and save that entity. 
Note that those instruments shall also be reported on item 17.1.  
0740  27.  Combined buffer requirement  
Point (6) of Article 128 CRD  
0750  Capital conservation buffer  
Point (1) of Article 128 and Article 129 CRD 
In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount 
of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 
2,5 % is stable, an amount shall be reported in this row.  
0760  Conservation buffer due to macro-prudential or systemic risk identified at the level of a 
Member State  
Point (d)(iv) of Article 458(2) CRR 
In this row, the amount of the conservation buffer due to macro-prudential or systemic risk 
identified at the level of a Member State, which can be requested in accordance with Article 458 
CRR in addition to the capital conservation buffer, shall be reported. 
The amount reported shall represent the amount of own funds needed to fulfil the respective 
capital buffer requirements at the reporting date.  
0770  Institution specific countercyclical capital buffer  
Point (2) of Article 128 and Articles 130, 135 to 140 CRD 
The amount reported shall represent the amount of own funds needed to fulfil the respective 
capital buffer requirements at the reporting date.  
0780  Systemic risk buffer  
Point (5) of Article 128, Articles 133 and 134 CRD 
The amount reported shall represent the amount of own funds needed to fulfil the respective 
capital buffer requirements at the reporting date.  
0800  Global Systemically Important Institution buffer  
Point (3) of Article 128 and Article 131 CRD 
The amount reported shall represent the amount of own funds needed to fulfil the respective 
capital buffer requirements at the reporting date.  
0810  Other Systemically Important Institution buffer  
Point (4) Article 128 and Article 131 CRD 
The amount reported shall represent the amount of own funds needed to fulfil the respective 
capital buffer requirements at the reporting date.EN 19.3.2021 Official Journal of the European Union L 97/295
 
Rows  
0820  28.  Own funds requirements related to Pillar II adjustments  
Article 104a(1) CRD. 
If a competent authority decides that an institution has to calculate additional own funds 
requirements for Pillar II reasons, those additional own funds requirements shall be reported 
in this row.  
0830  29.  Initial capital  
Articles 12 and 28 to 31 CRD and Article 93 CRR  
0840  30.  Own funds based on Fixed Overheads  
Point (b) of Article 96(2), Article 97 and point (a) of Article 98(1) CRR  
0850  31.  Non-domestic original exposures  
Information necessary to calculate the threshold for reporting of the CR GB template in 
accordance with Article 5(5) of this Implementing Regulation. The calculation of the 
threshold shall be done at the basis of the original exposure pre-conversion factor. 
Exposures shall be deemed to be domestic where they are exposures to counterparties located in 
the Member State where the institution is located.  
0860  32.  Total original exposures  
Information necessary to calculate the threshold for reporting of the CR GB template in 
accordance with Article 5(5) of this Implementing Regulation. The calculation of the 
threshold shall be done at the basis of the original exposure pre-conversion factor 
Exposures shall be deemed to be domestic where they are exposures to counterparties located in 
the Member State where the institution is located.  
1.6.  TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID 
(CA5)  
1.6.1. General remarks  
16. CA5 summarises the calculation of own funds elements and deductions subject to the transitional 
provisions laid down in Articles 465 to 491, 494a and 494b CRR.  
17. CA5 is structured as follows:  
(a) Template CA5.1 summarises the total adjustments which need to be made to the different components 
of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the 
application of the transitional provisions. The elements of this template are presented as ‘adjustments’ 
to the different capital components in CA1, in order to reflect in own funds components the effects of 
the transitional provisions.  
(b) Template 5.2 provides further details on the calculation of those grandfathered instruments which do 
not constitute state aid.  
18. Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, 
Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. 
Institutions are also required to report the applicable percentage in column 0050 and the eligible amount 
without the recognition of transitional provisions in column 0060.EN L 97/296 Official Journal of the European Union 19.3.2021
 
19. Institutions shall only report elements in CA5 during the period where transitional provisions laid down in 
Part Ten CRR apply.  
20. Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount 
of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then 
the excess shall be deducted from CET1.  
1.6.2. C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)  
21. Institutions shall report in CA5.1 template the transitional provisions to own funds components as laid 
down in Articles 465 to 491, 494a and 494b CRR, compared to applying the final provisions laid down 
in Title II of Part Two CRR.  
22. Institutions shall report in rows 0060 to 0065 information about the transitional provisions of grand ­
fathered instruments. The figures to be reported in row 0060 of CA5.1 reflect the transitional provisions 
included in the CRR in the version applicable until 26 June 2019 and can be derived from the respective 
sections of CA5.2. Rows 0061 to 0065 capture the effect of the transitional provisions of Articles 494a 
and 494b CRR.  
23. Institutions shall report in rows 0070 to 0092 information about the transitional provisions of minority 
interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 
479 and 480 CRR).  
24. In rows 0100 onwards institutions shall report information about the effect of the transitional provisions 
regarding unrealised gains and losses, deductions, additional filters and deductions and IFRS 9.  
25. There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 
or T2 capital of an institution. That effect – if it results from transitional provisions – shall be shown in the 
CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 
template shall not include any spill-over effects in the case of insufficient capital available.  
1.6.2.1. Instructions concerning specific positions  
Columns  
0010  Adjustments to CET1  
0020  Adjustments to AT1  
0030  Adjustments to T2  
0040  Adjustments included in RWAs  
Column 0040 includes the relevant amounts adjusting the total risk exposure amount of 
Article 92(3) CRR due to transitional provisions. The amounts reported shall consider the 
application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three 
in accordance with Article 92(4) CRR. That means that transitional amounts subject to 
Chapter 2 or 3 of Title II of Part Three shall be reported as risk weighted exposure 
amounts, whereas transitional amounts subject to Title IV of Part Three shall represent the 
own funds requirements multiplied by 12,5. 
Whereas columns 0010 to 0030 have a direct link to the CA1 template, the adjustments to 
the total risk exposure amount do not have a direct link to the relevant templates for credit 
risk. If there are adjustments stemming from the transitional provisions to the total risk 
exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR 
EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be 
reported in column 0040 of CA5.1. As a consequence, those amounts shall be memorandum 
items only.  
0050  Applicable percentageEN 19.3.2021 Official Journal of the European Union L 97/297
 
0060  Eligible amount without transitional provisions  
This column includes the amount of each instrument prior the application of transitional 
provisions, i.e. the basis amount relevant to calculate the adjustments.  
Rows  
0010  1.  Total adjustments  
This row reflects the overall effect of transitional adjustments in the different types of capital, 
plus the risk weighted amounts arising from those adjustments  
0020  1.1.  Grandfathered instruments  
Articles 483 to 491 CRR 
This row reflects the overall effect of instruments transitionally grandfathered in the different 
types of capital.  
0060  1.1.2.  Instruments not constituting state aid  
The amounts to be reported shall be obtained from column 060 of CA5.2 template  
0061  1.1.3.  Instruments issued through special purpose vehicles  
Article 494a CRR  
0062  1.1.4.  Instruments issued before 27 June 2019 that do not meet the eligibility criteria 
related to write-down and conversion powers pursuant to Article 59 BRRD or are 
subject to set-off or netting arrangements  
Article 494b CRR 
Institutions shall report the amount of instruments within the scope of Article 494b CRR that 
do not meet one or several eligibility criteria of points (p), (q) and (r) of Article 52(1) CRR or 
points (n), (o) and (p) of Article 63 CRR, as applicable. 
In case of Tier 2 instruments eligible in accordance with Article 494b(2) CRR, the amorti ­
sation provisions of Article 64 CRR shall be observed.  
0063  1.1.4.1*  of which: Instruments without legally or contractually mandatory write-down 
or conversion upon exercise of Article 59 BRRD powers  
Article 494b, point (p) of Article 52(1) and point (n) of Article 63 CRR 
Institutions shall report the amount of instruments within the scope of Article 494b CRR that 
do not meet the eligibility criteria of point (p) of Article 52(1) or point (n) of Article 63 CRR, 
as applicable. 
This shall also include instruments that additionally do not meet the eligibility criteria of 
points (q) or (r) of Article 52(1) CRR or points (o) or (p) of Article 63 CRR, as applicable.  
0064  1.1.4.2*  of which: Instruments governed by third-country law without effective and 
enforceable exercise of Article 59 BRRD powers  
Article 494b, point (q) of Article 52(1) and point (o) of Article 63 CRR 
Institutions shall report the amount of instruments within the scope of Article 494b CRR that 
do not meet the eligibility criteria of point (q) of Article 52(1) or point (o) of Article 63 CRR, 
as applicable. 
This shall include also instruments that additionally do not meet the eligibility criteria of 
points (p) or (r) of Article 52(1) CRR or points (n) or (p) of Article 63 CRR, as applicable.EN L 97/298 Official Journal of the European Union 19.3.2021
 
Rows  
0065  1.1.4.3*  of which: Instruments subject to set-off or netting arrangements  
Article 494b, point (r) of Article 52(1) and point (p) of Article 63 CRR 
Institutions shall report the amount of instruments within the scope of Article 494b CRR that 
do not meet the eligibility criteria of point (r) of Article 52(1) CRR or point (p) of Article 63 
CRR, as applicable. 
This shall also include instruments that additionally do not meet the eligibility criteria of point 
(p) or (q) of Article 52(1) CRR or points (n) or (o) of Article 63 CRR, as applicable.  
0070  1.2.  Minority interests and equivalents  
Articles 479 and 480 CRR 
This row reflects the effects of transitional provisions in the minority interests eligible as CET1; 
the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds 
eligible as consolidated T2.  
0080  1.2.1.  Capital instruments and items that do not qualify as minority interests  
Articles 479 CRR 
The amount to be reported in column 060 of this row shall be the amount qualifying as 
consolidated reserves in accordance with prior regulation.  
0090  1.2.2.  Transitional recognition in consolidated own funds of minority interests  
Articles 84 and 480 CRR 
The amount to be reported in column 0060 of this row shall be the eligible amount without 
transitional provisions.  
0091  1.2.3.  Transitional recognition in consolidated own funds of qualifying Additional Tier 
1 capital  
Articles 85 and 480 CRR 
The amount to be reported in column 0060 of this row shall be the eligible amount without 
transitional provisions.  
0092  1.2.4.  Transitional recognition in consolidated own funds of qualifying Tier 2 capital  
Articles 87 and 480 CRR 
The amount to be reported in column 0060 of this row shall be the eligible amount without 
transitional provisions.  
0100  1.3.  Other transitional adjustments  
Articles 468 to 478 and Article 481 CRR 
This row reflects the overall effect of transitional adjustments in the deduction to different 
types of capital, unrealised gains and losses, additional filters and deductions plus the risk 
weighted amounts arising from these adjustments.  
0111  1.3.1.6.  Unrealised gains and losses from certain debt exposures to central govern ­
ments, regional governments, local authorities and PSEs  
Article 468 CRR  
0112  1.3.1.6.1.  of which: amount A  
The amount A, as calculated in accordance with the formula referred to in Article 468(1) 
CRREN 19.3.2021 Official Journal of the European Union L 97/299
 
Rows  
0140  1.3.2.  Deductions  
Article 36(1) and Articles 469 to 478 CRR 
This row reflects the overall effect of transitional provisions on deductions.  
0170  1.3.2.3.  Deferred tax assets that rely on future profitability and do not arise from 
temporary differences  
Point (c) of Article 36(1), Articles 469(1) and 472(5) and Article 478 CRR 
When determining the amount of the above-mentioned deferred tax assets (DTA) to be 
deducted, institutions shall take into account the provisions of Article 38 CRR relating to 
the reduction of DTA by deferred tax liabilities. 
The amount to be reported in column 0060 of this row: Total amount in accordance with 
Article 469(1) CRR.  
0380  1.3.2.9.  Deferred tax assets that are dependent on future profitability and arise from 
temporary differences and CET1 instruments of financial sector entities where the 
institution has a significant investment  
Paragraphs 2 and 3 of Article 470 CRR 
The amount to be reported in column 0060 of this row: Article 470(1) CRR  
0385  Deferred tax assets that are dependent on future profitability and arise from temporary 
differences  
Point (c) of Article 469(1), Article 472(5) and Article 478 CRR 
Part of deferred tax assets that rely in future profitability and arise from temporary differences 
which exceeds the 10 % threshold in point (a) of Article 470(2) CRR.  
0425  1.3.2.11.  Exemption from deduction of Equity Holdings in Insurance Companies from 
CET 1 Items  
Article 471 CRR  
0430  1.3.3.  Additional filters and deductions  
Article 481 CRR 
This row reflects the overall effect of transitional provisions on additional filters and deduc ­
tions. 
In accordance with Article 481 CRR, institutions shall report in item 1.3.3 information 
relating to the filters and deductions required under the national transposition measures for 
Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 
2006/49/EC, and which are not required in accordance with Part Two.  
0440  1.3.4.  Adjustments due to IFRS 9 transitional arrangements  
Article 473a CRR 
Institutions shall report information in relation with the transitional arrangements due to IFRS 
9 in accordance with the applicable legal provisions.  
0441  Memorandum item: ECL impact of the static component  
The sum of A  2,SA and A  2, IRB  as referred to in Article 473a(1) CRR 
In case of A  2, IRB  the amount reported is the amount net of expected lossess as required by 
point (a) of Article 473a(5) CRR.EN L 97/300 Official Journal of the European Union 19.3.2021
 
Rows  
0442  Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 
– 31/12/2019  
The sum of  A  old 
SA and A  old 
IRB as referred to in Article 473a(1) CRR  
0443  Memorandum item: ECL impact of the dynamic component for the period starting on 
01/01/2020  
The sum of A  4,SA and A  4, IRB  as referred to in Article 473a(1) CRR 
In case of A  4, IRB  the amount reported is the amount net of expected losses as required by 
points (b) and (c) of Article 473a(5) CRR.  
1.6.3. C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)  
26. Institutions shall report information in relation with the transitional provisions of grandfathered 
instruments not constituting state aid (Articles 484 to 491 CRR).  
1.6.3.1. Instructions concerning specific positions  
Columns  
0010  Amount of instruments plus related share premium  
Paragraphs 3, 4 and 5 of Article 484 CRR 
Instruments which are eligible for each respective row, including their related share premiums.  
0020  Base for calculating the limit  
Paragraphs 2, 3 and 4 of Article 486 CRR  
0030  Applicable percentage  
Article 486(5) CRR  
0040  Limit  
Paragraphs 2 to 5 of Article 486 CRR  
0050  (-) Amount that exceeds the limits for grandfathering  
Paragraphs 2 to 5 of Article 486 CRR  
0060  Total grandfathered amount  
The amount to be reported shall be equal to the amounts reported in the respective columns 
in row 060 of CA5.1.  
Rows  
0010  1.  Instruments that qualified for point (a) of Article 57 of 2006/48/EC  
Article 484(3) CRR 
The amount to be reported shall include the related share premium accounts.  
0020  2.  Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of 
Directive 2006/48/EC, subject to the limit of Article 489 CRR  
Article 484(4) CRREN 19.3.2021 Official Journal of the European Union L 97/301
 
Rows  
0030  2.1.  Total instruments without a call or an incentive to redeem  
Article 484(4) and Article 489 CRR 
The amount to be reported shall include the related share premium accounts.  
0040  2.2.  Grandfathered instruments with a call and incentive to redeem  
Article 489 CRR  
0050  2.2.1.  Instruments with a call exercisable after the reporting date, and which meet the 
conditions in Article 52 CRR after the date of effective maturity  
Article 489(3) and point (a) of Article 491 CRR 
The amount to be reported shall include the related share premium accounts.  
0060  2.2.2.  Instruments with a call exercisable after the reporting date, and which do not 
meet the conditions in Article 52 CRR after the date of effective maturity  
Article 489(5) and point (a) of Article 491 CRR 
The amount to be reported shall include the related share premium accounts.  
0070  2.2.3.  
Instruments with a call exercisable prior to or on 20 July 2011, and which do not 
meet the conditions in Article 52 CRR after the date of effective maturity  
Article 489(6) and point (c) of Article 491 CRR 
The amount to be reported shall include the related share premium accounts  
0080  2.3.  Excess on the limit of CET1 grandfathered instruments  
Article 487(1) CRR 
The excess on the limit of CET1 grandfathered instruments may be treated as instruments 
which can be grandfathered as AT1 instruments.  
0090  3.  Items that qualified for points (e), (f), (g) or (h) of Article 57 of Directive 
2006/48/EC, subject to the limit of Article 490 CRR  
Article 484(5) CRR  
0100  3.1.  Total items without an incentive to redeem  
Article 490 CRR  
0110  3.2.  Grandfathered items with an incentive to redeem  
Article 490 CRR  
0120  3.2.1.  Items with a call exercisable after the reporting date, and which meet the 
conditions in Article 63 CRR after the date of effective maturity  
Article 490(3) and point (a) of Article 491 CRR 
The amount to be reported shall include the related share premium accounts.  
0130  3.2.2.  Items with a call exercisable after the reporting date, and which do not meet the 
conditions in Article 63 CRR after the date of effective maturity  
Article 490(5) and point (a) of Article 491 CRR 
The amount to be reported shall include the related share premium accounts.EN L 97/302 Official Journal of the European Union 19.3.2021
 
Rows  
0140  3.2.3.  Items with a call exercisable prior to or on 20 July 2011, and which do not meet 
the conditions in Article 63 CRR after the date of effective maturity  
Article 490(6) and point (c) of Article 491 CRR 
The amount to be reported shall include the related share premium accounts.  
0150  3.3.  Excess on the limit of AT1 grandfathered instruments  
Article 487(2) CRR 
The excess on the limit of AT1 grandfathered instruments may be treated as instruments 
which can be grandfathered as T2 instruments.  
2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)  
2.1.  GENERAL REMARKS  
27. Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a 
consolidated basis. Template C 06.02 consists of four parts in order to gather different information on 
all individual entities (including the reporting institution) included in the scope of consolidation.  
(a) Entities within the scope of consolidation;  
(b) Detailed group solvency information;  
(c) Information on the contribution of individual entities to group solvency;  
(d) Information on capital buffers;  
28. Institutions that obtained a waiver in accordance with Article 7 CRR shall only report the columns 0010 to 
0060 and 0250 to 0400.  
29. The figures reported take into account all applicable transitional provisions CRR which are applicable at 
the respective reporting date.  
2.2.  DETAILED GROUP SOLVENCY INFORMATION  
30. The second part of template C 06.02 (detailed group solvency information) in columns 0070 to 0210 is 
designed to gather information on credit and other regulated financial institutions which are effectively 
subject to particular solvency requirements on individual basis. It provides, for each of those entities within 
the scope of the reporting, the own funds requirements for each risk category and the own funds for 
solvency purposes.  
31. In the case of proportional consolidation of participations, the figures related to own funds requirements 
and own funds shall reflect the respective proportional amounts.  
2.3.  INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY  
32. The objective of the third part of template C 06.02 and template C 06.01 (information on the 
contributions of all entities within CRR scope of consolidation to group solvency), including those that 
are not subject to particular solvency requirements on an individual basis, in columns 0250 to 0400, is to 
identify which entities within the group generate the risks and raise own funds from the market, based on 
data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio 
on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to 
the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared 
to each other.  
33. The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in 
the consolidated own funds.EN 19.3.2021 Official Journal of the European Union L 97/303
 
34. As this third part of the template refers to ‘contributions’, the figures to be reported herein shall defer, 
when applicable, from the figures reported in the columns referring to detailed group solvency 
information.  
35. The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms 
of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by 
adding the amounts reported for each entity in ‘Group Solvency’ template. A direct link to the CA template 
is not possible where the 1 % threshold is not exceeded.  
36. The institutions shall define the most appropriate breakdown method between the entities to take into 
account the possible diversification effects for market risk and operational risk.  
37. It is possible for one consolidated group to be included within another consolidated group. That means 
that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if 
the sub-group itself is subject to reporting requirements. A subgroup that is subject to reporting 
requirements shall also report the GS template on an entity-by-entity basis, although those details are 
included in the GS template of a higher consolidated group.  
38. An institution shall report data of the contribution of an entity when its contribution to the total risk 
exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to 
the total own funds exceeds 1 % of the total own funds of the group. That threshold does not apply in the 
case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying 
AT1 or T2 instruments included in own funds) to the group.  
2.4.  C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL) 
Columns  Instructions  
0250-0400  ENTITIES WITHIN SCOPE OF CONSOLIDATION  
See instructions for C 06.02  
0410-0480  CAPITAL BUFFERS  
See instructions for C 06.02  
Rows  Instructions  
0010  TOTAL  
The Total shall represent the sum of the values reported in all rows of template C 06.02.  
2.5.  C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 
Columns  Instructions  
0010-0060  ENTITIES WITHIN SCOPE OF CONSOLIDATION  
This template is designed to gather information on all entities on an entity-by-entity-basis 
within the scope of consolidation in accordance with Chapter 2 of Title II of Part One CRR.  
0011  NAME  
Name of the entity within the scope of consolidation.  
0021  CODE  
The code as part of a row identifier must be unique for each reported entity. For institutions 
and insurance undertakings the code shall be the LEI code. For other entities the code shall be 
the LEI code, or if not available, a national code. The code shall be unique and used consistently 
across the templates and across time. The code shall always have a value.EN L 97/304 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0026  TYPE OF CODE  
The institutions shall identify the type of code reported in column 0021 as a ‘LEI code’ or ‘Non- 
LEI code’. The type of code shall always be reported.  
0027  NATIONAL CODE  
Institutions may additionally report the national code when they report LEI code as identifier in 
the ‘Code’ column.  
0030  INSTITUTION OR EQUIVALENT (YES/NO)  
‘YES’ shall be reported where the entity is subject to own funds requirements pursuant to CRR 
and CRD or provisions at least equivalent to Basel provisions. 
‘NO’ shall be reported otherwise.
  
Minority interests: 
Point (a)(ii) of Article 81(1) and point (a)(ii) of Article 82(1) CRR 
To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the 
subsidiaries whose instruments can be eligible shall be institutions or undertakings subject to 
the requirements CRR by virtue of applicable national law.  
0035  TYPE OF ENTITY  
THE TYPE OF ENTITY SHALL BE REPORTED BASED ON THE FOLLOWING CATEGORIES:  
(a) credit institution 
Point (1) of Article 4(1)CRR; 
(b) investment firm 
Point (2) of Article 4(1) CRR; 
(c) financial institution (other) 
Points (20), (21) and (26) of Article 4(1) CRR 
Financial institutions within the meaning of point (26) of Article 4(1) CRR which are not 
included in any of the categories (d), (f) or (g); 
(d) (mixed) financial holding company 
Points (20) and (21) of Article 4(1)CRR; 
(e) ancillary services undertaking 
Point (18) of Article 4(1) CRR; 
(f) securitisation special purpose entity (SSPE), 
Point (66) of Article 4(1)CRR; 
(g) covered bond company 
Entity set up to issue covered bonds or to hold the collateral securing a covered bond, if not 
included in any of the categories (a), (b) or (d) to (f) above; 
(h) other type of entity 
Entity other than those referred to in points (a) to (g). 
Where an entity is not subject to CRR and CRD, but subject to provisions at least equivalent to 
Basel provisions, the relevant category shall be determined on a best effort basis.EN 19.3.2021 Official Journal of the European Union L 97/305
 
Columns  Instructions  
0040  SCOPE OF DATA: solo fully consolidated (SF) OR solo partially consolidated (SP)  
‘SF’ shall be reported for individual subsidiaries fully consolidated. 
‘SP’ shall be reported for individual subsidiaries partially consolidated.  
0050  COUNTRY CODE  
Institutions shall report the two-letter country code referred to in ISO 3166-2.  
0060  SHARE OF HOLDING (%)  
This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. 
In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance 
with point (16) of Article 4(1) CRR, the share of holding of a subsidiary to be reported results 
from a multiplication of the shares between the subsidiaries concerned.  
0070-0240  INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT  
The section of detailed information (i.e. columns 0070 to 0240) shall gather information only 
on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of 
Title II of Part One CRR), are effectively subject to solvency requirements laid down in CRR or 
provisions at least equivalent to Basel provisions (i.e, reported yes in column 0030). 
Information shall be included about all individual institutions of a consolidated group that are 
subject to own funds requirements, regardless where they are located. 
The information reported in this part shall reflect the local solvency rules of the jurisdiction in 
which the institution is operating (therefore, for this template, it is not necessary to do a double 
calculation on an individual basis on the basis of the parent institution’s rules). When local 
solvency rules differ from CRR and a comparable breakdown is not given, the information shall 
be completed where data are available in the respective granularity. Therefore, this part is a 
factual template that summarises the calculations that the individual institutions of a group shall 
carry out, bearing in mind that some of those institutions may be subject to different solvency 
rules.  
Reporting of fixed overheads of investment firms:  
Investment firms shall include own funds requirements related to fixed overheads in their 
calculation of capital ratio pursuant to Articles 95, 96, 97 and 98 CRR. 
The part of the total risk exposure amount related to fixed overheads shall be reported in 
column 0100 of this template.  
0070  TOTAL RISK EXPOSURE AMOUNT  
The sum of the columns 0080 to 0110 shall be reported.  
0080  CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/ 
DELIVERY RISK  
The amount to be reported in this column shall correspond to the sum of risk weighted 
exposure amounts that are equal or equivalent to the ones that must be reported in row 
0040 ‘RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT 
AND DILUTION RISKS AND FREE DELIVERIES’ and the amounts of own funds requirements 
that are equal or equivalent to the ones that must be reported in row 0490 ‘TOTAL RISK 
EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of template CA2.EN L 97/306 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0090  POSITION, FX AND COMMODITY RISKS  
The amount to be reported in this column shall correspond to the amount of own funds 
requirements that are equal or equivalent to the ones that must be reported in row 0520 
‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND 
COMMODITIES RISKS’ of template CA2.  
0100  OPERATIONAL RISK  
The amount to be reported in this column shall correspond to the risk exposure amount that is 
equal or equivalent to the one that shall be reported in row 0590 ‘TOTAL RISK EXPOSURE 
AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2. 
Fixed overheads shall be included in this column including the row 0630 ‘ADDITIONAL RISK 
EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of template CA2.  
0110  OTHER RISK EXPOSURE AMOUNTS  
The amount to be reported in this column shall correspond to the risk exposure amount not 
especially listed above. It shall be the sum of the amounts of rows 0640, 0680 and 0690 of 
template CA2.  
0120-0240  DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS  
The information reported in the following columns shall reflect the local solvency rules of the 
Member State in which the entity or subgroup is operating.  
0120  OWN FUNDS  
The amount to be reported in this column corresponds to the amount of own funds that are 
equal or equivalent to the ones that must be reported in row 0010 ‘OWN FUNDS’ of the 
template CA1.  
0130  OF WHICH: QUALIFYING OWN FUNDS  
Article 82 CRR 
This column shall only be provided for the subsidiaries reported on an individual basis that are 
fully consolidated and that are institutions. 
Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related 
retained earnings, share premium accounts and other reserves) owned by persons other than 
the undertakings and included in the CRR consolidation. 
The amount to be reported shall include the effects of any transitional provisions. It shall be the 
eligible amount on the date of reporting.  
0140  RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM 
ACCOUNTS AND OTHER RESERVES  
Point (b) of Article 87(1)CRR  
0150  TOTAL TIER 1 CAPITAL  
Article 25 CRREN 19.3.2021 Official Journal of the European Union L 97/307
 
Columns  Instructions  
0160  OF WHICH: QUALIFYING TIER 1 CAPITAL  
Article 82 CRR 
This column shall only be provided for the subsidiaries reported on an individual basis that are 
fully consolidated and that are institutions. 
Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related 
retained earnings and share premium accounts) owned by persons other than the undertakings 
included in the CRR consolidation. 
The amount to be reported shall include the effects of any transitional provision. It shall be the 
eligible amount on the date of reporting.  
0170  RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM 
ACCOUNTS  
Point (b) of Article 85(1) CRR  
0180  COMMON EQUITY TIER 1 CAPITAL  
Article 50 CRR  
0190  OF WHICH: MINORITY INTERESTS  
Article 81 CRR 
This column shall only be reported for subsidiaries that are fully consolidated and that are 
institutions, except for the subsidiaries referred to in Article 84(3) CRR. Each subsidiary shall be 
considered on a sub-consolidated basis for all the calculations required by Article 84 CRR, 
where relevant, in accordance with Article 84(2), otherwise on a solo basis. 
Minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related 
retained earnings and share premium accounts) owned by persons other than the undertakings 
included in the CRR consolidation. 
The amount to be reported shall include the effects of any transitional provisions. It shall be the 
eligible amount on the date of reporting.  
0200  RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM 
ACCOUNTS AND OTHER RESERVES  
Point (b) of Article 84(1) CRR  
0210  ADDITIONAL TIER 1 CAPITAL  
Article 61 CRR  
0220  OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL  
Articles 82 and 83 CRR 
This column shall only be provided for the subsidiaries that are fully consolidated and that are 
institutions, except for the subsidiaries referred to in Article 85(2) CRR. Each subsidiary shall be 
considered on a sub-consolidated basis for all the calculations required in Article 85 CRR, 
where relevant, in accordance with Article 85(2), otherwise on a solo basis. 
Minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related 
retained earnings and share premium accounts) owned by persons other than the undertakings 
included in the CRR consolidation. 
The amount to be reported shall include the effects of any transitional provisions. It shall be the 
eligible amount on the date of reporting.  
0230  TIER 2 CAPITAL  
Article 71 CRREN L 97/308 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0240  OF WHICH: QUALIFYING TIER 2 CAPITAL  
Articles 82 and 83 CRR 
This column shall only be provided for the subsidiaries that are fully consolidated and that are 
institutions, except for subsidiaries referred to in Article 87(2) CRR. Each subsidiary shall be 
considered on a sub-consolidated basis for the purpose of all the calculations required in 
Article 87 CRR, if relevant, in accordance with Article 87(2) CRR, otherwise on a solo basis. 
Minority interests are, for the subsidiaries specified above, the T2 instruments (plus related 
retained earnings and share premium accounts) owned by persons other than the undertakings 
included in the CRR consolidation. 
The amount to be reported shall include the effects of any transitional provisions. It shall be the 
eligible amount on the reference date.  
0250-0400  INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP  
0250-0290  CONTRIBUTION TO RISKS  
The information reported in the following columns shall be in accordance with the solvency 
rules applicable to the reporting institution.  
0250  TOTAL RISK EXPOSURE AMOUNT  
The sum of the columns 0260 to 0290 shall be reported.  
0260  CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/ 
DELIVERY RISK  
The amount to be reported shall be the risk weighted exposure amounts for credit risk and own 
funds requirements of settlement/delivery risk in accordance with the CRR, excluding any 
amount related to transactions with other entities included in the group consolidated 
solvency ratio computation.  
0270  POSITION, FX AND COMMODITY RISKS  
Risk exposure amounts for market risks are to be computed at each entity level in accordance 
with the CRR. Entities shall report the contribution to the total risk exposure amounts for 
position, FX and commodity risk of the group. The sum of amounts reported here shall 
correspond to the amount reported in row 0520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR 
POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report.  
0280  OPERATIONAL RISK  
In case of AMA, the reported risk exposure amounts for operational risk shall include the effect 
of diversification. 
Fixed overheads shall be included in this column.  
0290  OTHER RISK EXPOSURE AMOUNTS  
The amount to be reported in this column shall correspond to the risk exposure amount for 
risks other than listed above.EN 19.3.2021 Official Journal of the European Union L 97/309
 
Columns  Instructions  
0300-0400  CONTRIBUTION TO OWN FUNDS  
This part of the template is not intended to impose on institutions a full computation of the 
total capital ratio at the level of each entity. 
Columns 0300 to 0350 shall be reported for those consolidated entities which contribute to 
own funds by minority interest, qualifying Tier 1 capital or qualifying own funds. Subject to the 
threshold referred to in the last paragraph of chapter 2.3 of Part II above, columns 0360 to 
0400 shall be reported for all consolidated entities which contribute to the consolidated own 
funds. 
Own funds brought to an entity by the rest of entities included within the scope of the 
reporting entity shall not to be taken into account, only the net contribution to the group 
own funds shall be reported in this column (mainly the own funds raised from third parties and 
accumulated reserves). 
The information reported in the following columns shall be in accordance with the solvency 
rules applicable to the reporting institution.  
0300-0350  QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS  
The amount to be reported as ‘QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED 
OWN FUNDS’ shall be the amount as derived from Title II of Part Two CRR, excluding any 
fund brought in by other group entities.  
0300  QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS  
Article 87 CRR  
0310  QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL  
Article 85 CRR  
0320  MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL  
Article 84 CRR 
The amount to be reported shall the amount of minority interests of a subsidiary that is 
included in consolidated CET1 in accordance with the CRR.  
0330  QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 
CAPITAL  
Article 86 CRR 
The amount to be reported shall the amount of qualifying T1 capital of a subsidiary that is 
included in consolidated AT1 in accordance with the CRR.  
0340  QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL  
Article 88 CRR 
The amount to be reported shall the amount of qualifying own funds of a subsidiary that is 
included in consolidated T2 in accordance with the CRR.  
0350  MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL  
0360-0400  CONSOLIDATED OWN FUNDS  
Article 18 CRR 
The amount to be reported as ‘CONSOLIDATED OWN FUNDS’ shall be the amount as derived 
from the balance sheet, excluding any fund brought in by other group entities.EN L 97/310 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0360  CONSOLIDATED OWN FUNDS  
0370  OF WHICH: COMMON EQUITY TIER 1  
0380  OF WHICH: ADDITIONAL TIER 1  
0390  OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT  
The contribution of each entity to the consolidated result (profit or loss (-)) shall be reported. 
That includes the results attributable to minority interests.  
0400  OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL  
Goodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here.  
0410-0480  CAPITAL BUFFERS  
The structure of the reporting of capital buffers for the GS template shall follow the general 
structure of the template CA4, using the same reporting concepts. When reporting the capital 
buffers for the GS template, the relevant amounts shall be reported in accordance with the 
provisions applicable to determine the buffer requirement for the consolidated situation of a 
group. Therefore, the reported amounts of capital buffers shall represent the contributions of 
each entity to group capital buffers. The amounts reported shall be based on the national 
provisions transposing CRD and on CRR, including any transitional provisions provided for 
therein.  
0410  COMBINED BUFFER REQUIREMENT  
Point (6) of Article 128 CRD  
0420  CAPITAL CONSERVATION BUFFER  
Point (1) of Article 128 and Article 129 CRD 
In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount 
of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 
2,5 % is stable, an amount shall be reported in this cell.  
0430  INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER  
Point (2) of Article 128, Article 130 and Articles 135 to 140 CRD 
The concrete amount of the countercyclical buffer shall be reported in this cell.  
0440  CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT 
THE LEVEL OF A MEMBER STATE  
Point (d)(iv) of Article 458(2) CRR 
The amount of the conservation buffer due to macro-prudential or systemic risk identified at 
the level of a Member State, which can be requested in accordance with Article 458 CRR in 
addition to the capital conservation buffer, shall be reported in this cell.  
0450  SYSTEMIC RISK BUFFER  
Point (5) of Article 128, Articles 133 and 134 CRD 
The amount of the systemic risk buffer shall be reported in this cell.EN 19.3.2021 Official Journal of the European Union L 97/311
 
Columns  Instructions  
0470  GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER  
Point (3) of Article 128 and Article 131 CRD 
The amount of the Global Systemically Important Institution buffer shall be reported in this 
cell.  
0480  OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER  
Point (4) of Article 128 and Article 131 CRD 
The amount of the Other Systemically Important Institution buffer shall be reported in this cell.  
3. CREDIT RISK TEMPLATES  
3.1.  GENERAL REMARKS  
39. There are different sets of templates for the Standardised approach and the IRB approach for credit risk. 
Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be 
reported if the relevant threshold set out in Article 5(5) of this Implementing Regulation is exceeded.  
3.1.1. Reporting of CRM techniques with substitution effect  
40. Exposures to obligors (immediate counterparties) and guarantors which are assigned to the same exposure 
class shall be reported as an inflow as well as an outflow to the same exposure class.  
41. The exposure type shall not change because of unfunded credit protection.  
42. If an exposure is secured by an unfunded credit protection, the secured part shall be assigned as an outflow 
e.g. in the exposure class of the obligor and as an inflow in the exposure class of the guarantor. However, 
the type of the exposure shall not change due to the change of the exposure class.  
43. The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment 
effectively applicable to the covered part of the exposure. As such, the covered part of the exposure 
shall be risk weighted in accordance with the Standardised approach and shall be reported in the CR 
SA template.  
3.1.2. Reporting of Counterparty Credit Risk  
44. Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR 
IRB independent from whether they are Banking Book items or Trading Book items.  
3.2.  C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO 
CAPITAL REQUIREMENTS (CR SA)  
3.2.1. General remarks  
45. The CR SA templates provide the necessary information on the calculation of own funds requirements for 
credit risk in accordance with the Standardised approach. In particular, they provide detailed information 
on: 
a) the distribution of the exposure values according to the different, exposure types, risk weights and 
exposure classes;  
b) the amount and type of credit risk mitigation techniques used for mitigating the risks.  
3.2.2. Scope of the CR SA template  
46. In accordance with Article 112 CRR each SA exposure shall be assigned to one of the 16 SA exposure 
classes to calculate the own funds requirements.EN L 97/312 Official Journal of the European Union 19.3.2021
 
47. The information in CR SA is required for the total exposure classes and individually for each of the 
exposure classes under the Standardised approach. The total figures as well as the information of each 
exposure class are reported in a separate dimension.  
48. However the following positions are not within the scope of CR SA:  
(a) Exposures assigned to exposure class ‘items representing securitisation positions’ as referred to in point 
(m) of Article 112 CRR, which shall be reported in the CR SEC templates.  
(b) Exposures deducted from own funds.  
49. The scope of the CR SA template shall cover the following own funds requirements:  
(a) Credit risk in accordance with Chapter 2 (Standardised approach) of Title II of Part Three CRR in the 
banking book, among which Counterparty credit risk in accordance with Chapters 4 and 6 
(Counterparty credit risk) of Title II of Part Three CRR in the banking book;  
(b) Counterparty credit risk in accordance with Chapters 4 and 6 (Counterparty credit risk) of Title II of 
Part Three CRR in the trading book;  
(c) Settlement risk arising from free deliveries in accordance with Article 379 CRR in respect of all the 
business activities.  
50. The template shall include all exposures for which the own funds requirements are calculated in 
accordance with Chapter 2 of Title II of Part Three CRR in conjunction with Chapters 4 and 6 of Title 
II of Part Three CRR. Institutions that apply Article 94(1) CRR also need to report their trading book 
positions referred to in point (b) of Article 92(3) CRR in this template when they apply Chapter 2 of Title 
II of Part Three CRR to calculate the own funds requirements thereof (Chapters 2 and 6 of Title II of Part 
Three and Title V of Part Three CRR). Therefore the template shall not only provide detailed information 
on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the 
allocation of risk weights within the respective exposure class.  
51. In addition, CR SA includes memorandum items in rows 0290 to 0320 to collect further information 
about exposures secured by mortgages on immovable property and exposures in default.  
52. Those memorandum items shall only be reported for the following exposure classes:  
(a) Central governments or central banks (point (a) of Article 112 CRR);  
(b) Regional governments or local authorities (point (b) of Article 112 CRR);  
(c) Public sector entities (point (c) of Article 112 CRR);  
(d) Institutions (point (f) of Article 112 CRR);  
(e) Corporates (point (g) of Article 112 CRR);  
(f) Retail (point (h) of Article 112 CRR).  
53. The reporting of the memorandum items shall affect neither the calculation of the risk weighted exposure 
amounts of the exposure classes referred to in points (a) to (c) and (f) to (h) of Article 112 CRR nor of the 
exposure classes referred to in points (i) and (j) of Article 112 CRR reported in template CR SA.  
54. The memorandum rows provide additional information about the obligor structure of the exposure classes 
‘in default’ or ‘secured by immovable property’. Exposures shall be reported in these rows where the 
obligors would have been reported in the exposure classes ‘Central governments or central banks’, 
‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’, ‘Corporates’ and ‘Retail’ 
of CR SA, if those exposures were not assigned to the exposure classes ‘in default’ or ‘secured by 
immovable property’. The figures reported, however, are the same as used to calculate the risk weighted 
exposure amounts in the exposure classes ‘in default’ or ‘secured by immovable property’.EN 19.3.2021 Official Journal of the European Union L 97/313
 
55. E.g. if an exposure, the risk exposure amounts of which are calculated in accordance with Article 127 CRR 
and the value adjustments are less than 20 %, then that information shall be reported in CR SA, row 0320 
in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an 
institution, then that information shall also be reported in row 0320 of exposure class ‘institutions’.  
3.2.3. Assignment of exposures to exposure classes under the Standardised approach  
56. In order to ensure a consistent categorisation of exposures into the different exposure classes referred to in 
Article 112 CRR the following sequential approach shall be applied:  
(a) In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding 
(original) exposure class referred to in Article 112 CRR, without prejudice to the specific treatment (risk 
weight) that each specific exposure shall receive within the assigned exposure class.  
(b) In a second step the exposures may be redistributed to other exposure classes due to the application of 
credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit 
derivatives, financial collateral simple method) via inflows and outflows.  
57. The following criteria shall apply to for the classification of the Original exposure pre-conversion factors 
into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by 
the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that 
each specific exposure shall receive within the assigned exposure class.  
58. For the purpose of classifying the original exposure pre-conversion factor in the first step, the CRM 
techniques associated to the exposure shall not be considered (note that they shall be considered explicitly 
in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as 
it is the case in the exposure class referred to in point (i) of Article 112 CRR (exposures secured by 
mortgages on immovable property).  
59. Article 112 CRR does not provide criteria for disjoining the exposure classes. This might imply that one 
exposure could potentially be classified in different exposure classes if no prioritisation in the assessment 
criteria for the classification is provided. The most obvious case arises between exposures to institutions 
and corporate with a short-term credit assessment (point (n) of Article 112 CRR) and exposures to 
institutions (point (f) of Article 112 CRR)/exposures to corporates (point (g) of Article 112 CRR). In 
that case, it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a 
certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only 
afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. 
Otherwise it is obvious that the exposure class referred to in point (n) of Article 112 CRR shall never be 
assigned an exposure. The example provided is one of the most obvious examples but is not the only one. 
It is worth noting that the criteria used for establishing the exposure classes under the Standardised 
approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is 
the underlying reason for non-disjoint groupings.  
60. For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for 
the assignment of the Original exposure pre-conversion factor by exposure classes, without prejudice to the 
specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. 
The prioritisation criteria presented below, using a decision tree scheme, are based on the assessment of the 
conditions explicitly laid down in CRR for an exposure to fit in a certain exposure class and, if that is the 
case, on any decision on the part of the reporting institutions or the supervisor on the applicability of 
certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes 
shall be in line with CRR provisions. That does not prohibit institutions from applying other internal 
assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations 
issued by the appropriate fora.EN L 97/314 Official Journal of the European Union 19.3.2021
 
61. An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it 
shall be first assessed if an exposure can be assigned to an exposure class, without prejudice to the 
outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be 
the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, 
the criteria graphically depicted in the following decision tree would work on a sequential process.  
62. With this background the assessment ranking in the decision tree mentioned below shall follow the 
following order:  
1. Securitisation positions;  
2. Items associated with particular high risk;  
3. Equity exposures  
4. Exposures in default;  
5. Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/Exposures in the 
form of covered bonds (disjoint exposure classes);  
6. Exposures secured by mortgages on immovable property;  
7. Other items;  
8. Exposures to institutions and corporates with a short-term credit assessment;  
9. All other exposure classes (disjoint exposure classes) which include Exposures to central governments or 
central banks; Exposures to regional governments or local authorities; Exposures to public sector 
entities; Exposures to multilateral development banks; Exposures to international organisations; 
Exposures to institutions; Exposures to corporate and Retail exposures.  
63. In the case of exposures in the form of units or shares in collective investment undertakings and where the 
look through approach or the mandate-based approach (points (1) and (2) of Article 132a CRR) is used, 
the underlying individual (in the case of the look through approach) and individual group of (in the case of 
the mandate-based approach) exposures shall be considered and classified into their corresponding risk 
weight line according to their treatment. However, all the individual exposures shall be classified within the 
exposure class of Exposures in the form of units or shares in collective investment undertakings (‘CIU’).  
64. ‘nth’ to default credit derivatives, as specified in Article 134(6) CRR that are rated shall be directly classified 
as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. 
In that latter case, the nominal amount of the contract shall be reported as the Original exposure pre- 
conversion factors in the line for ‘Other risk weights’ (the risk weight used shall be that specified by the 
sum indicated under Article 134(6) CRR.  
65. In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures 
shall be reallocated to the exposure class of the protection provider.  
DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE-CONVERSION FACTORS TO THE EXPOSURE CLASSES OF 
THE STANDARDISED APPROACH IN ACCORDANCE WITH THE CRR 
Original exposure pre-conversion factors  
Does it fit for being assigned to the exposure 
class of point (m) of Article 112 CRR?  YES
  Securitisation positions  
NO
EN 19.3.2021 Official Journal of the European Union L 97/315
 
Original exposure pre-conversion factors  
Does it fit for being assigned to the exposure 
class of point (k) of Article 112 CRR?  YES
  Items associated with particular high risk (see 
also Article 128 CRR)  
NO
 
Does it fit for being assigned to the exposure 
class of point (p) of Article 112 CRR?  YES
  Equity exposures (see also Article 133 CRR)  
NO
 
Does it fit for being assigned to the exposure 
class of point (j) of Article 112 CRR?  YES
  Exposures in default  
NO
 
Does it fit for being assigned to the exposure 
classes of points (l) and (o) of Article 112 
CRR?  YES
  Exposures in the form of units or shares in 
collective investment undertakings (CIU) 
Exposures in the form of covered bonds (see 
also Article 129 CRR) 
These two exposure classes are disjoint among 
themselves (see comments on the look- 
through approach in the answer above). 
Therefore the assignment to one of them is 
straightforward.  
NO
 
Does it fit for being assigned to the exposure 
class of point (i) of Article 112 CRR?  YES
  Exposures secured by mortgages on 
immovable property (see also Article 124 
CRR)  
NO
 
Does it fit for being assigned to the exposure 
class of point (q) of Article 112 CRR?  YES
  Other items  
NO
EN L 97/316 Official Journal of the European Union 19.3.2021
 
Original exposure pre-conversion factors  
Does it fit for being assigned to the exposure 
class of point (n) of Article 112 CRR?  YES
  Exposures to institutions and corporates with 
a short-term credit assessment  
NO
 
The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. 
Exposures to central governments or central banks 
Exposures to regional governments or local authorities 
Exposures to public sector entities 
Exposures to multilateral development banks 
Exposures to international organisations 
Exposures to institutions 
Exposures to corporates 
Retail exposures  
3.2.4. Clarifications on the scope of some specific exposure classes referred to in Article 112 CRR  
3.2.4.1. Exposure Class ‘Institutions’  
66. Intra-group exposures referred to in paragraphs 6 and 7 of Article 113 CRR shall be reported as follows:  
67. Exposures which fulfil the requirements of Article 113(7) CRR shall be reported in the respective exposure 
classes where they would be reported if they were not intra-group exposures.  
68. According to paragraphs 6 and 7 of Article 113 CRR an institution may, subject to the prior approval of 
the competent authorities, decide not to apply the requirements of paragraph 1 of that Article to the 
exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary 
of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of 
Directive 83/349/EEC. That means that intra-group counterparties are not necessarily institutions but also 
undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or under ­
takings within the meaning of Article 12(1) of Council Directive 83/349/EEC (  7 ). Therefore intra-group 
exposures shall be reported in the corresponding exposure class.  
3.2.4.2. Exposure Class ‘Covered Bonds’  
69. SA exposures shall be assigned to the exposure class ‘covered bonds’ as follows:  
70. Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the 
Council (  8 ) shall fulfil the requirements of paragraphs 1 and 2 of Article 129 CRR to be classified in 
the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. 
Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 
2007 shall also be assigned to the exposure class ‘Covered Bonds’ pursuant to Article 129(6) CRR.EN 19.3.2021 Official Journal of the European Union L 97/317  
( 7 ) Seventh Council Directive 83/349/EEC of 13 June 1983 based on the Article 54(3)(g) of the Treaty on consolidated accounts 
(OJ L 193, 18.7.1983, p. 1).  
( 8 ) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations a nd 
administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.1 1.2009, 
p. 32).
 3.2.4.3. Exposure class ‘Collective Investment Undertakings’  
71. Where the possibility referred to in Article 132a(2) CRR is used, exposures in the form of units or shares in 
CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) 
CRR.  
3.2.5. Instructions concerning specific positions  
Columns  
0010  ORIGINAL EXPOSURE PRE-CONVERSION FACTORS  
Exposure value calculated in accordance with Article 111 CRR without taking into account 
value adjustments and provisions, deductions, conversion factors and the effect of credit risk 
mitigation techniques with the following qualifications stemming from Article 111(2) CRR: 
1. For Derivative instruments, repurchase transactions, securities or commodities lending or 
borrowing transactions, long settlement transactions and margin lending transactions 
subject to counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three 
CRR) the original exposure shall correspond to the Exposure Value for Counterparty 
Credit Risk (see instructions to column 0210). 
2. Exposure values for leases shall be subject to Article 134(7) CRR. In particular, the residual 
value shall be included at its accounting value (i.e. the discounted estimated residual value 
at the end of the lease term). 
3. In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure 
values shall be reported taking into account the amount of the received cash collateral. 
Where institutions make use of the derogation of Article 473a(7a) CRR, they shall report the 
amount AB  SA that is risk weighted at 100 % in the exposure class ‘other items’ in this column.  
0030  (-) Value adjustments and provisions associated with the original exposure 
Article 24 and 111 CRR  
Value adjustments and provisions for credit losses (credit risk adjustments in accordance with 
Article 110) made in accordance with the accounting framework to which the reporting 
entity is subject, as well as prudential value adjustments (additional value adjustments in 
accordance with Article 34 and 105, amounts deducted in accordance with point (m) 
Article 36(1) and other own funds reductions related to the asset item).  
0040  Exposure net of value adjustments and provisions  
Sum of columns 0010 and 0030  
0050 – 0100  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE 
EXPOSURE  
Credit risk mitigation techniques as defined in point (57) of Article 4(1) CRR that reduce the 
credit risk of an exposure or exposures via the substitution of exposures as described below in 
‘Substitution of the exposure due to CRM’. 
Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation 
techniques with substitution effects on the exposure) shall be capped at the exposure value. 
Items to be reported here: 
— collateral, incorporated in accordance with the Financial Collateral Simple Method; 
— eligible unfunded credit protection. 
Please also see instructions of point 3.1.1.EN L 97/318 Official Journal of the European Union 19.3.2021
 
Columns  
0050 – 0060  Unfunded credit protection: adjusted values (G  A) 
Article 235 CRR 
Article 239(3) CRR contains the formula for the calculation of the adjusted value G  A of an 
unfunded credit protection.  
0050  Guarantees  
Article 203 CRR 
Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not 
include Credit Derivatives.  
0060  Credit derivatives  
Article 204 CRR  
0070 – 0080  Funded credit protection  
These columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR 
and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not 
include master netting agreements (already included in Original Exposure pre-conversion 
factors). 
Investments in credit linked notes as referred to in Article 218 CRR and on-balance sheet 
netting positions resulting from eligible on-balance sheet netting agreements as referred to in 
Article 219 CRR shall be treated as cash collateral.  
0070  Financial collateral: simple method  
Paragraphs 1 and 2 of Article 222 CRR.  
0080  Other funded credit protection  
Article 232 CRR.  
0090 – 0100  SUBSTITUTION OF THE EXPOSURE DUE TO CRM  
Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR 
Outflows shall correspond to the covered part of the Original Exposure pre-conversion factors 
that is deducted from the obligor’s exposure class and subsequently assigned to the protection 
provider’s exposure class. That amount shall be considered as an inflow into the protection 
provider’s exposure class. 
Inflows and outflows within the same exposure classes shall also be reported. 
Exposures stemming from possible in- and outflows from and to other templates shall be 
taken into account.EN 19.3.2021 Official Journal of the European Union L 97/319
 
Columns  
0110  NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS  
Amount of the exposure net of value adjustments after taking into account outflows and 
inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION 
EFFECTS ON THE EXPOSURE  
0120-0140  CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED 
CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD  
Articles 223 to 228 CRR. They also include credit linked notes (Article 218 CRR) 
Credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions 
resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR 
shall be treated as cash collateral. 
The effect of the collateralization of the Financial Collateral Comprehensive Method applied to 
an exposure, which is secured by eligible financial collateral, shall be calculated in accordance 
with Articles 223 to 228 CRR.  
0120  Volatility adjustment to the exposure  
Paragraphs 2 and 3 of Article 223 CRR. 
The amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) 
= E*He  
0130  (-) Financial collateral adjusted value (Cvam)  
Article 239(2) CRR. 
For trading book operations, financial collateral and commodities eligible for trading book 
exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. 
The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition 
of C, Hc, Hfx, t, T and t* see Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR.  
0140  (-) Of which: Volatility and maturity adjustments  
Article 223(1) CRR and Article 239(2) CRR. 
The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) 
= C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1- 
Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)- 
1] 
0150  Fully adjusted exposure value (E*)  
Article 220(4), Article 223(2) to (5) and Article 228(1) CRR.EN L 97/320 Official Journal of the European Union 19.3.2021
 
Columns  
0160 – 0190  Breakdown of the fully adjusted exposure value of off-balance sheet items by 
conversion factors  
Article 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR. 
The figures reported shall be the fully adjusted exposure values before application of the 
conversion factor.  
0200  Exposure value  
Article 111 CRR and Section 4 of Chapter 4 of Title II of Part Three CRR. 
Exposure value after taking into account value adjustments, all credit risk mitigants and credit 
conversion factors that is to be assigned to risk weights in accordance with Article 113 and 
Section 2 of Chapter 2 of Title II of Part Three CRR. 
Exposure values for leases are subject to Article 134(7) CRR. In particular, the residual value 
shall be included at its discounted residual value after taking into account value adjustments, 
all credit risk mitigants and credit conversion factors. 
Exposure values for CCR business shall be the same as reported in column 0210.  
0210  Of which: Arising from Counterparty Credit Risk  
Exposure value for CCR business calculated in accordance with the methods laid down in 
Chapter 4 and Chapter 6 of Title II of Part Three CRR, which is the relevant amount for the 
calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as 
applicable in accordance with Chapter 4 and Chapter 6 of Title II of Part Three CRR and 
considering the deduction of the incurred CVA loss as referred to in Article 273(6) CRR. 
The exposure value for transactions where specific wrong way risk has been identified must be 
determined in accordance with Article 291 CRR. 
For cases in which more than one CCR approach is used for a single counterparty, the 
incurred CVA loss, which is deducted at counterparty level, shall be assigned to the 
exposure value of the different netting sets in rows 0090 – 0130 reflecting the proportion 
of the exposure value post-CRM of the respective netting sets to the total exposure value post- 
CRM of the counterparty. For this purpose, the exposure value post-CRM as per the 
instructions to column 0160 of template C 34.02 shall be used.  
0211  Of which: Arising from Counterparty Credit Risk excluding exposures cleared through 
a CCP  
Exposures reported in column 0210 excluding those arising from contracts and transactions 
listed in Article 301(1) CRR as long as they are outstanding with a central counterparty (CCP), 
including CCP-related transactions defined in point (2) of Article 300 CRR.  
0215  Risk weighted exposure amount pre supporting factors  
Paragraphs 1 to 5 of Article 113 CRR, without taking into account the SME and infra ­
structure supporting factors laid down in Article 501 and Article 501a CRR 
The risk weighted exposure amount of the residual value of leasing assets shall be subject to 
sentence 5 of Article 134(7) and shall be calculated according to the formula ‘1/t * 100 % * 
residual value’. In particular, residual value is undiscounted estimated residual value at the end 
of the lease term which is reassessed periodically to ensure continued appropriateness.EN 19.3.2021 Official Journal of the European Union L 97/321
 
Columns  
0216  (-) Adjustment to the risk-weighted exposure amount due to SME supporting factor  
Deduction of the difference of the risk-weighted exposure amounts for non-defaulted 
exposures to an SME (RWEA), which are calculated in accordance with Chapter 2 of Title 
II of Part Three CRR, as applicable and RWEA* in accordance with point (1) of Article 501 
CRR  
0217  (-) Adjustment to the risk-weighted exposure amount due to the infrastructure 
supporting factor  
Deduction of the difference of the risk weighted exposure amounts calculated in accordance 
with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities 
that operate or finance physical structures or facilities, systems and networks that provide or 
support essential public services in accordance with Article 501a CRR.  
0220  Risk weighted exposure amount after supporting factors  
Paragraphs 1 to 5 of Article 113 CRR, taking into account the SME and infrastructure 
supporting factors laid down in Article 501 and Article 501a CRR 
The risk weighted exposure amount of the residual value of leasing assets is subject to 
sentence 5 of Article 134(7) and shall be calculated according to the formula ‘1/t * 100 % 
* residual value’. In particular, residual value is undiscounted estimated residual value at the 
end of the lease term which is reassessed periodically to ensure continued appropriateness.  
0230  Of which: with a credit assessment by a nominated ECAI  
Points (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR  
0240  Of which: with a credit assessment derived from central government  
Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR  
Rows  Instructions  
0010  Total exposures  
0015  of which: Defaulted exposures in exposure classes ‘items associated with a particular 
high risk’ and ‘equity exposures’  
Article 127 CRR 
This row shall only be reported in exposure classes ‘Items associated with a particular high 
risk’ and ‘Equity exposures’. 
An exposure that is either listed in Article 128(2) CRR or meets the criteria set in 
Article 128(3) or Article 133 CRR shall be assigned to the exposure class ‘Items associated 
with particular high risk’ or ‘Equity exposures’. Consequently, there shall be no other allo ­
cation, even in case of an exposure in default as referred to in Article 127 CRR.  
0020  of which: SME  
All exposures to SME shall be reported here.  
0030  of which: Exposures subject to the SME supporting factor  
Only exposures which meet the requirements of Article 501 CRR shall be reported here.EN L 97/322 Official Journal of the European Union 19.3.2021
 
Rows  Instructions  
0035  of which: Exposures subject to the infrastructure supporting factor  
Only exposures which meet the requirements of Article 501a CRR shall be reported here.  
0040  of which: Secured by mortgages on immovable property – Residential property  
Article 125 CRR 
Only reported in exposure class ‘Secured by mortgages on immovable property’  
0050  of which: Exposures under the permanent partial use of the Standardised approach  
Exposures to which the Standardised approach has been applied in accordance with 
Article 150(1) CRR  
0060  of which: Exposures under the Standardised Approach with prior supervisory 
permission to carry out a sequential IRB implementation  
Article 148(1) CRR  
0070-0130  BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES  
Reporting institution's ‘banking book’ positions shall be broken-down, following the criteria 
provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet 
exposures subject to credit risk and exposures subject to counterparty credit risk. 
Exposures to counterparty credit risk arising from the trading book business of the institution 
as referred to in point (f) of Article 92(3) and Article 299(2) CRR shall be assigned to the 
exposures subject to counterparty credit risk. Institutions that apply Article 94(1) CRR also 
break down their ‘trading book’ positions referred to in point (b) of Article 92(3) CRR 
following the criteria provided below, into on-balance sheet exposures subject to credit risk, 
off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit 
risk.  
0070  On balance sheet exposures subject to credit risk  
Assets referred to in Article 24 CRR not included in any other category. 
Exposures that are subject to counterparty credit risk shall be reported in rows 0090-0130-, 
and therefore shall not be reported in this row. 
Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on- 
balance sheet item, but nevertheless shall be reported in this row.  
0080  Off balance sheet exposures subject to credit risk  
Off-balance sheet positions comprise the items listed in Annex I CRR. 
Exposures that are subject to counterparty credit risk shall be reported in rows 0090 – 0130 
and therefore shall not be reported in this row.  
0090-0130  Exposures/Transactions subject to counterparty credit risk  
Transactions subject to counterparty credit risk, i.e. derivative instruments, repurchase trans ­
actions, securities or commodities lending or borrowing transactions, long settlement trans ­
actions and margin lending transactions.EN 19.3.2021 Official Journal of the European Union L 97/323
 
Rows  Instructions  
0090  Securities Financing Transactions netting sets  
Netting sets containing only SFTs, as defined in point (139) of Article 4(1) CRR. 
SFTs that are included in a contractual cross product netting set and therefore reported in row 
0130 shall not be reported in this row.  
0100  Of which: centrally cleared through a QCCP  
Contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a 
qualifying central counterparty (QCCP) as defined in point (88) of Article 4(1) CRR, including 
QCCP-related transactions, for which the risk weighted exposure amounts are calculated in 
accordance with Section 9 of Chapter 6 of Title II of Part Three CRR. QCCP-related trans ­
action has the same meaning as CCP-related transaction in Article 300(2) CRR, when the CCP 
is a QCCP.  
0110  Derivatives and Long Settlement Transactions netting sets  
Netting sets containing only derivatives listed in Annex II CRR and long settlement trans ­
actions as defined in Article 272(2) CRR. 
Derivatives and Long Settlement Transactions that are included in a contractual Cross Product 
Netting set and therefore reported in row 0130, shall not be reported in this row.  
0120  Of which: centrally cleared through a QCCP  
See instructions to row 0100.  
0130  From Contractual Cross Product netting sets  
Netting sets containing transactions of different product categories (Article 272(11) CRR), i.e. 
derivatives and SFTs, for which a contractual cross product netting agreement as defined in 
Article 272(25) CRR exists.  
0140-0280  BREAKDOWN OF EXPOSURES BY RISK WEIGHTS  
0140  0 %  
0150  2 %  
Article 306(1) CRR  
0160  4 %  
Article 305(3) CRR  
0170  10 %  
0180  20 %  
0190  35 %  
0200  50 %  
0210  70 %  
Point (c) of Article 232(3) CRR.EN L 97/324 Official Journal of the European Union 19.3.2021
 
Rows  Instructions  
0220  75 %  
0230  100 %  
0240  150 %  
0250  250 %  
Articles 133(2) and 48(4) CRR  
0260  370 %  
Article 471 CRR  
0270  1 250 %  
Article 133(2) and Article 379 CRR  
0280  Other risk weights  
This row is not available for exposure classes Government, Corporates, Institutions and Retail. 
For reporting those exposures not subject to the risk weights listed in the template. 
Paragraphs 1 to 5 of Article 113 CRR. 
Unrated nth-to-default credit derivatives under the Standardised approach (Article 134(6) 
CRR) shall be reported in this row under the exposure class ‘Other items’. 
See also Article 124(2) and point (b) of Article 152(2) CRR.  
0281-0284  BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU)  
These rows shall only be reported for the exposure class Collective investments undertakings 
(CIU), in line with Articles 132, 132a, 132b and 132c CRR.  
0281  Look-through approach  
Article 132a(1) CRR.  
0282  Mandate-based approach  
Article 132a(2) CRR.  
0283  Fall-back approach  
Article 132(2) CRR.  
0290-0320  Memorandum Items  
For rows 0290 to 0320, see also the explanation of the purpose of the memorandum items in 
the general section of the CR SA.EN 19.3.2021 Official Journal of the European Union L 97/325
 
Rows  Instructions  
0290  Exposures secured by mortgages on commercial immovable property  
Point (i) of Article 112 CRR 
This is a memorandum item only. Independent from the calculation of risk exposure amounts 
of exposures secured by commercial immovable property as referred to in Article 124 and 
126 CRR the exposures shall be broken down and reported in this row if the exposures are 
secured by commercial real estate.  
0300  Exposures in default subject to a risk weight of 100 %  
Point (j) of Article 112 CRR 
Exposures included in the exposure class ‘exposures in default’ which shall be included in this 
exposure class if they were not in default.  
0310  Exposures secured by mortgages on residential property  
Point (i) of Article 112 CRR 
This is a memorandum item only. Independent from the calculation of risk exposure amounts 
of exposures secured by mortgages on residential property in accordance with Article 124 
and 125 CRR the exposures shall be broken down and reported in this row if the exposures 
are secured by real estate property.  
0320  Exposures in default subject to a risk weight of 150 %  
Point (j) of Article 112 CRR 
Exposures included in the exposure class ‘exposures in default’ which shall be included in this 
exposure class if they were not in default.  
3.3.  CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS 
REQUIREMENTS (CR IRB)  
3.3.1. Scope of the CR IRB template  
72. The scope of the CR IRB template covers:  
i. Credit risk in the banking book, among which:  
— Counterparty credit risk in the banking book;  
— Dilution risk for purchased receivables;  
ii. Counterparty credit risk in the trading book;  
iii. Free deliveries resulting from all business activities.  
73. The scope of the template refers to the exposures for which the risk weighted exposure amounts are 
calculated in accordance with Articles 151 to 157 of Chapter 3 of Title II of Part Three CRR (IRB 
approach).  
74. The CR IRB template does not cover the following data:  
i. Equity exposures, which are reported in the CR EQU IRB template;  
ii. Securitisation positions, which are reported in the CR SEC and/or CR SEC Details templates;  
iii. ‘Other non credit-obligation assets’, as referred to in point (g) of Article 147(2) CRR. The risk weight 
for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items 
and exposures that are residual values of leased assets, in accordance with Article 156 CRR. The risk 
weighted exposure amounts for this exposure class shall be reported directly in the CA-Template;  
iv. Credit valuation adjustment risk, which is reported on the CVA Risk template;  
The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the 
counterparty. This breakdown shall be reported in the template CR GB.EN L 97/326 Official Journal of the European Union 19.3.2021
 
Items i) and iii) do not apply to template CR IRB 7.  
75. In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors, 
the following information shall be provided for each reported exposure class:  
‘NO’ = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)  
‘YES’ = in case own estimates of LGD and credit conversion factors are used (Advanced IRB). This includes 
all retail portfolios.  
In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part 
of its IRB exposures as well as supervisory LGDs to calculate risk weighted exposure amounts for the other 
part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions 
has to be reported.  
3.3.2. Breakdown of the CR IRB template  
76. The CR IRB consists of seven templates. CR IRB 1 provides a general overview of IRB exposures and the 
different methods to calculate risk weighted exposure amounts as well as a breakdown of total exposures 
by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools 
(exposures reported under row 0070 of CR IRB 1). CR IRB 3 provides all relevant parameters used for the 
calculation of credit risk capital requirements for IRB models. CR IRB 4 presents a flow statement 
explaining changes in risk weighted exposure amounts determined under the IRB approach for credit 
risk. CR IRB 5 provides information on the results of backtesting of PDs for the models reported. CR 
IRB 6 provides all relevant parameters used for the calculation of credit risk capital requirements under the 
slotting criteria for specialised lending. CR IRB 7 provides an overview of percentage of exposure value 
subject to SA or IRB approaches for each relevant exposure class. The templates CR IRB 1, CR IRB 2, CR 
IRB 3 and CR IRB 5 shall be reported separately for the following exposure and sub-exposure classes:  
1. Total  
(The Total template must be reported for the Foundation IRB approach and, separately for the 
Advanced IRB approach.)  
2. Central banks and central governments  
(point (a) of Article 147(2) CRR)  
3. Institutions  
(point (b) of Article 147(2) CRR)  
4.1) Corporate – SME  
(point (c) of Article 147(2) CRR). For the purpose of classification to this sub-exposure class the 
reporting entities shall use their internal definition of SME as applied in internal risk management 
processes.  
4.2) Corporate – Specialised lending  
(Article 147(8) CRR)  
4.3) Corporate – Other  
(All exposures to corporates as referred to in point (c) of Article 147(2) CRR, not reported under 4.1 
and 4.2).  
5.1) Retail – Secured by immovable property SME  
(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(3) 
CRR which are secured by immovable property). For the purpose of classification to this sub- 
exposure class the reporting entities shall use their internal definition of SME as applied in 
internal risk management processes.EN 19.3.2021 Official Journal of the European Union L 97/327
 
5.2) Retail – Secured by immovable property non-SME  
(Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by immovable 
property and not reported under 5.1).  
Under 5.1 and 5.2, retail exposures secured by immovable property shall be considered any retail 
exposures secured by immovable property recognised as collateral, regardless of the ratio of the 
value of collateral to the exposure or of the purpose of the loan.  
5.3) Retail – Qualifying revolving  
(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(4) 
CRR).  
5.4) Retail – Other SME  
(Retail exposures as referred to in point (d) of Article 147(2) CRR not reported under 5.1 and 5.3). 
For the purpose of classification to this sub-exposure class the reporting entities shall use their 
internal definition of SME as applied in internal risk management processes.  
5.5) Retail – Other non – SME  
(Retail exposures as referred to in point (d) of Article 147(2) CRR which were not reported under 
5.2 and 5.3).  
3.3.3. C 08.01 – Credit and counterparty credit risks and free deliveries: IRB approach to Capital Requirements (CR 
IRB 1)  
3.3.3.1. Instructions concerning specific positions  
Columns  Instructions  
0010  INTERNAL RATING SCALE/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)  
The PD assigned to the obligor grade or pool to be reported shall be based on the provisions 
laid down in Article 180 CRR. For each individual grade or pool, the PD assigned to the 
specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of 
obligor grades or pools (e.g. total exposures), the exposure weighted average of the PDs 
assigned to the obligor grades or pools included in the aggregation shall be provided. The 
exposure value (column 0110) shall be used for the calculation of the exposure-weighted 
average PD. 
For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall 
be reported. All reported risk parameters shall be derived from the risk parameters used in the 
internal rating scale approved by the respective competent authority. 
It is neither intended nor desirable to have a supervisory master scale. If the reporting 
institution applies a unique rating scale or is able to report in accordance with an internal 
master scale, that scale shall be used. 
Otherwise, the different rating scales shall be merged and ordered in accordance with the 
following criteria: Obligor grades of the different rating scales shall be pooled and ordered 
from the lower PD assigned to each obligor grade to the higher. Where the institution uses a 
large number of grades or pools, a reduced number of grades or pools to be reported may be 
agreed with the competent authorities. The same applies for continuous rating scales: a 
reduced number of grades to be reported shall be agreed with the competent authorities. 
Institutions shall contact their competent authority in advance if they want to report a 
different number of grades in comparison with the internal number of grades. 
The last rating grade or grades shall be dedicated for defaulted exposures with PD of 100 %. 
For the purposes of weighting the average PD, the exposure value reported in column 110 
shall be used. The exposure weighted average PD shall be computed taking into account all 
exposures reported in a given row. In the row where only defaulted exposures are reported the 
average PD shall be of 100 %.EN L 97/328 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0020  ORIGINAL EXPOSURE PRE-CONVERSION FACTORS  
Institutions shall report the exposure value before taking into account any value adjustments, 
provisions, effects due to credit risk mitigation techniques or credit conversion factors. 
The original exposure value shall be reported in accordance with Article 24 CRR and para ­
graphs 1, 2, 4, 5, 6 and 7 of Article 166 CRR. 
The effect resulting from Article 166(3) CRR (effect of on balance sheet netting of loans and 
deposits) shall be reported separately as Funded Credit Protection and shall therefore not 
reduce the Original Exposure. 
For derivative instruments, repurchase transactions, securities or commodities lending or 
borrowing transactions, long settlement transactions and margin lending transactions 
subject to counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR), 
the original exposure shall correspond to the exposure value arising from counterparty credit 
risk (see instructions to column 0130).  
0030  OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL 
ENTITIES  
Breakdown of the original exposure pre-conversion factor for all exposures of entities referred 
to in points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation 
determined in accordance with Article 153(2) CRR.  
0040-0080  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE 
EXPOSURE  
Credit risk mitigation as defined in point (57) of Article 4(1) CRR that reduce the credit risk 
of an exposure or exposures via the substitution of exposures as defined below in ‘SUB ­
STITUTION OF THE EXPOSURE DUE TO CRM’.  
0040-0050  UNFUNDED CREDIT PROTECTION  
Unfunded credit protection as defined in point (59) of Article 4(1) CRR. 
Unfunded credit protection that has an effect on the exposure (e.g. used for credit risk 
mitigation techniques with substitution effects on the exposure) shall be capped at the 
exposure value.  
0040  GUARANTEES:  
Where own estimates of LGD are not used, the Adjusted Value (G  A ) as defined in 
Article 236(3) CRR shall be provided. 
When own estimates of LGD are used in accordance with Article 183 CRR (except for 
paragraph 3), the relevant value used in the internal model shall be reported. 
Guarantees shall be reported in column 0040 where the adjustment is not made in the LGD. 
Where the adjustment is made in the LGD, the amount of the guarantee shall be reported in 
column 0150. 
Regarding exposures subject to the double default treatment, the value of unfunded credit 
protection shall be reported in column 0220.EN 19.3.2021 Official Journal of the European Union L 97/329
 
Columns  Instructions  
0050  CREDIT DERIVATIVES:  
Where own estimates of LGD are not used, the Adjusted Value (G  A ) as defined in 
Article 236(3) CRR shall be provided. 
Where own estimates of LGD are used in accordance with paragraph 3 of Article 183 CRR, 
the relevant value used in the internal modelling shall be reported. 
Where the adjustment is made in the LGD, the amount of the credit derivatives shall be 
reported in column 0160. 
Regarding exposures subject to the double default treatment, the value of unfunded credit 
protection shall be reported in column 0220.  
0060  OTHER FUNDED CREDIT PROTECTION  
Collateral that has an effect on the PD of the exposure shall be capped at the value of the 
original exposure pre conversion factors. 
Where own estimates of LGD are not used, Article 232(1) CRR applies. 
Where own estimates of LGD are used, those credit risk mitigation techniques that have effects 
on PD shall be reported. The relevant nominal or market value shall be reported. 
Where an adjustment is made in the LGD, that amount shall be reported in column 170.  
0070-0080  SUBSTITUTION OF THE EXPOSURE DUE TO CRM  
Outflows shall correspond to the covered part of the original exposure pre-conversion factors, 
that is deducted from the obligor’s exposure class and, where relevant, obligor grade or pool, 
and subsequently assigned to the guarantor’s exposure class and, where relevant, obligor grade 
or pool. That amount shall be considered as an inflow into the guarantor’s exposure class and, 
where relevant, obligor grades or pools. 
Inflows and outflows within the same exposure classes and, where relevant, obligor grades or 
pools, shall also be considered. 
Exposures stemming from possible in- and outflows from and to other templates shall be 
taken into account. 
These columns shall only be used where institutions have obtained permission from their 
competent authority to treat these secured exposures under the permanent partial use of the 
Standardised approach in accordance with Article 150 CRR or to classify the exposures to 
exposure classes in accordance with the characteristic of the guarantor.  
0090  EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS  
Exposure assigned in the corresponding obligor grade or pool and exposure class after taking 
into account outflows and inflows due to CRM techniques with substitution effects on the 
exposure.  
0100, 0120  Of which: Off Balance Sheet Items  
See CR-SA instructions  
0110  EXPOSURE VALUE  
The exposure values determined in accordance with Article 166 CRR and the second sentence 
of Article 230(1) CRR shall be reported. 
For the instruments referred to in Annex I, credit conversion factors and percentages in 
accordance with paragraphs 8, 9 and 10 of Article 166 CRR are applied, irrespective of 
the approach chosen by the institution. 
Exposure values for CCR business shall be the same as reported in column 0130.EN L 97/330 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0130  Of which: Arising from counterparty Credit Risk  
See the corresponding CR SA instructions in column 0210.  
0140  OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL 
ENTITIES  
Breakdown of the exposure value for all exposures to entities referred to in points (4) and (5) 
of Article 142(1) CRR subject to the higher coefficient of correlation determined in 
accordance with Article 153(2) CRR.  
0150-0210  CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES 
EXCLUDING DOUBLE DEFAULT TREATMENT  
CRM techniques that have an impact on LGD estimates as a result of the application of the 
substitution effect of CRM techniques shall not be included in these columns. 
Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and 
Article 231 CRR shall be taken into account. 
Where own estimates of LGD are used: 
— Regarding unfunded credit protection, for exposures to central governments and central 
banks, institutions and corporates, Article 161(3) CRR shall be taken into account. For 
retail exposures, Article 164(2) CRR shall be taken into account. 
— Regarding funded credit protection, the collateral shall be taken into account in the LGD 
estimates in accordance with points (e) and (f) of Article 181(1) CRR.  
0150  GUARANTEES  
See instructions to column 0040.  
0160  CREDIT DERIVATIVES  
See instructions to column 0050.  
0170  OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION  
The relevant value used in the internal modelling of the institution. 
Those credit risk mitigants that comply with the criteria in Article 212 CRR.  
0171  CASH ON DEPOSIT  
Point (a) of Article 200 CRR 
Cash on deposit with, or cash assimilated instruments held by third party institution in a non- 
custodial arrangement and pledged to the lending institution. The value of collateral reported 
shall be limited to the value of the exposure at the level of an individual exposure.  
0172  LIFE INSURANCE POLICIES  
Point (b) of Article 200 CRR 
The value of collateral reported shall be limited to the value of the exposure at the level of an 
individual exposure.EN 19.3.2021 Official Journal of the European Union L 97/331
 
Columns  Instructions  
0173  INSTRUMENTS HELD BY A THIRD PARTY  
Point (c) of Article 200 CRR 
This includes instruments issued by a third party institution, which will be repurchased by that 
institution on request. The value of collateral reported shall be limited to the value of the 
exposure at the level of an individual exposure. This column shall exclude those exposures 
covered by instruments held by a third party where, in accordance with Article 232(4) CRR, 
institutions treat instruments repurchased on request that are eligible under point (c) of 
Article 200 CRR as a guarantee by the issuing institution.  
0180  ELIGIBLE FINANCIAL COLLATERAL  
For trading book operations, financial instruments and commodities eligible for trading book 
exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. Credit 
linked notes and on -balance sheet netting in accordance with Section 4 of Chapter 4 of Title 
II of Part Three CRR shall be treated as cash collateral. 
Where own estimates of LGD are not used, for eligible financial collateral in accordance with 
Article 197 CRR,the adjusted value (Cvam) as set out in Article 223(2) CRR shall be 
reported. 
Where own estimates of LGD are used, the financial collateral shall be taken into account in 
the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. The amount to 
be reported shall be the estimated market value of the collateral.  
0190-0210  OTHER ELIGIBLE COLLATERAL  
Where own estimates of LGD are not used, values shall be determined in accordance with 
paragraphs 1 to 8 of Article 199 CRR and Article 229 CRR. 
Where own estimates of LGD are used, other collateral shall be taken into account in the LGD 
estimates in accordance with points (e) and (f) of Article 181(1) CRR.  
0190  REAL ESTATE  
Where own estimates of LGD are not used, values shall be determined in accordance with 
paragraphs 2, 3 and 4 of Article 199 CRR and shall be reported in this column. Leasing of 
real estate property shall also be included (see Article 199(7) CRR). See also Article 229 CRR. 
Where own estimates of LGD are used, the amount to be reported shall be the estimated 
market value.  
0200  OTHER PHYSICAL COLLATERAL  
Where own estimates of LGD are not used, values shall be determined in accordance with 
paragraphs 6 and 8 of Article 199 CRR and shall be reported in this column. Leasing of 
property different from real estate shall also be included (see Article 199(7) CRR). See also 
Article 229(3) CRR. 
Where own estimates of LGD are used, the amount to be reported shall be the estimated 
market value of collateral.  
0210  RECEIVABLES  
Where own estimates of LGD are not used, values shall be determined in accordance with 
Articles 199(5) and 229(2) CRR and shall be reported in this column. 
Where own estimates of LGD are used, the amount to be reported shall be the estimated 
market value of collateral.EN L 97/332 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0220  SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION  
Guarantees and credit derivatives covering exposures subject to the double default treatment in 
accordance with Article 153(3) CRR and taking into account Article 202 and Article 217(1) 
CRR. 
The values to be reported shall not exceed the value of the corresponding exposures.  
0230  EXPOSURE WEIGHTED AVERAGE LGD (%)  
All the impact of CRM techniques on LGD values as specified in Chapters 3 and 4 of Title II 
of Part Three CRR shall be considered. In case of exposures subject to the double default 
treatment, the LGD to be reported shall correspond to the LGD selected in accordance with 
Article 161(4) CRR. 
For defaulted exposures, point (h) of Article 181(1) CRR shall be taken into account. 
The exposure value referred to in column 0110 shall be used for the calculation of the 
exposure-weighted averages. 
All effects shall be considered (so the effects of the floor applicable to exposures secured by 
immovable property in accordance with Article 164(4) CRR shall be included in the repor ­
ting). 
For institutions applying the IRB approach but not using their own estimates of LGD, the risk 
mitigation effects of financial collateral shall be reflected in E*, the fully adjusted value of the 
exposure, and then reflected in LGD* as referred to in Article 228(2) CRR. 
The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result 
from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, 
weighted by the respective exposure value of column 0110. 
Where own estimates of LGD are applied, Article 175 and paragraphs 1 and 2 of Article 181 
CRR shall be taken into account. 
In case of exposures subject to the double default treatment, the LGD to be reported shall 
correspond to the LGD selected in accordance with Article 161(4) CRR. 
The calculation of the exposure weighted average LGD shall be derived from the risk 
parameters really used in the internal rating scale approved by the respective competent 
authority. 
Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR. 
Where PD is estimated for specialised lending exposures, data shall be reported based on own 
estimates of LGDs or regulatory LGDs. 
Exposures and the respective LGDs for large regulated financial sector entities and unregulated 
financial entities shall not be included in the calculation of column 0230, but only be included 
in the calculation of column 0240.  
0240  EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND 
UNREGULATED FINANCIAL ENTITIES  
Exposure weighted average LGD (%) for all exposures to large financial sector entities as 
defined in point (4) of Article 142(1) CRR and to unregulated financial sector entities as 
defined in point (5) of Article 142(1) CRR subject to the higher coefficient of correlation 
determined in accordance with Article 153(2) CRREN 19.3.2021 Official Journal of the European Union L 97/333
 
Columns  Instructions  
0250  EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)  
The value reported shall be determined in accordance with Article 162 CRR. The exposure 
value (column 0110) shall be used for the calculation of the exposure-weighted averages. The 
average maturity shall be reported in days. 
This data shall not be reported for the exposure values for which the maturity is not an 
element in the calculation of risk weighted exposure amounts. That means that this column 
shall not be filled in for the exposure class ‘retail’.  
0255  RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS  
For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 
and 4 of Article 153 CRR; For retail, see Article 154(1) CRR 
The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall 
not be taken into account.  
0256  (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING 
FACTOR  
Deduction of the difference of the risk-weighted exposure amounts for non-defaulted 
exposures to an SME (RWEA), which are calculated in accordance with Chapter 3 of Title 
II of Part Three CRR, as applicable and RWEA* in accordance with Article 501 CRR.  
0257  (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRA ­
STRUCTURE SUPPORTING FACTOR  
Deduction of the difference of the risk weighted exposure amounts calculated in accordance 
with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities 
that operate or finance physical structures or facilities, systems and networks that provide or 
support essential public services in accordance with Article 501a CRR  
0260  RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS  
For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 
and 4 of Article 153 CRR. For retail, see Article 154(1) CRR. 
The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall 
be taken into account.  
0270  OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL 
ENTITIES  
Breakdown of the risk weighted exposure amount after SME supporting factor for all 
exposures to large financial sectors entities as defined in point (4) of Article 142(1) CRR 
and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR, 
subject to the higher coefficient of correlation determined in accordance with Article 153(2) 
CRR.  
0280  EXPECTED LOSS AMOUNT  
For the definition of Expected Loss, see Article 5(3) CRR and, for the calculation of expected 
loss amounts, see Article 158 CRR. For defaulted exposures, see point (h) of Article 181(1) 
CRR. The expected loss amount to be reported shall be based on the risk parameters really 
used in the internal rating scale approved by the respective competent authority.EN L 97/334 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0290  (-) VALUE ADJUSTMENTS AND PROVISIONS  
Value Adjustments as well as specific and general credit risk adjustments in accordance with 
Article 159 CRR shall be reported. General credit risk adjustments shall be reported by 
assigning the amount pro rata on the basis of the expected loss of the different obligor grades.  
0300  NUMBER OF OBLIGORS  
Paragraphs 1 and 2 of Article 172 CRR. 
For all exposure classes, with the exception of the exposure class retail and the cases 
mentioned in the second sentence of point (e) of Article 172(1) CRR, the institution shall 
report the number of legal entities/obligors which were separately rated, regardless of the 
number of different loans or exposures granted. 
Within the exposure class retail, or if separate exposures to the same obligor are assigned to 
different obligor grades in accordance with the second sentence of point (e) of Article 172(1) 
CRR in other exposure classes, the institution shall report the number of exposures which 
were separately assigned to a certain rating grade or pool. In case Article 172(2) CRR applies, 
an obligor may be considered in more than one grade. 
As this column deals with an element of the structure of the rating scales, it relates to the 
original exposures pre-conversion factor assigned to each obligor grade or pool without taking 
into account the effect of CRM techniques (in particular redistribution effects).  
0310  PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT  
Institutions shall report hypothetical risk weighted exposure amount to be calculated as the 
RWEA without the recognition of the eligible credit derivative as a CRM technique as specified 
in Article 204 CRR. The amounts shall be presented in the exposure classes relevant for the 
exposures to the original obligor.  
Rows  Instructions  
0010  TOTAL EXPOSURES  
0015  of which: Exposures subject to the SME supporting factor  
Only exposures which meet the requirements of Article 501 CRR shall be reported here.  
0016  of which: Exposures subject to the infrastructure supporting factor  
Only exposures which meet the requirements of Article 501a CRR shall be reported here.  
0020-0060  BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:  
0020  On balance sheet items subject to credit risk  
Assets referred to in Article 24 CRR shall not be included in any other category. 
Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 
and, therefore, shall not be reported in this row. 
Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on- 
balance sheet item, but nevertheless shall be reported in this row.EN 19.3.2021 Official Journal of the European Union L 97/335
 
Rows  Instructions  
0030  Off balance sheet items subject to credit risk  
Off-balance sheet items shall comprise items in accordance with Article 166(8) CRR, as well 
as those items that are listed in Annex I CRR. 
Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 
and, therefore, shall not be in this row.  
0040-0060  Exposures/Transactions subject to counterparty credit risk  
See the corresponding CR SA instructions in rows 0090-0130.  
0040  Securities Financing Transactions netting sets  
See the corresponding CR SA instructions in row 0090.  
0050  Derivatives and Long Settlement Transactions netting sets  
See the corresponding CR SA instructions in row 0110.  
0060  From Contractual Cross Product netting sets  
See the corresponding CR SA instructions in row 0130.  
0070  EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL  
For exposures to corporates, institutions and central governments and central banks, see point 
(6) of Article 142(1) and point (c) of Article 170(1) CRR. 
For retail exposures see point (b) of Article 170(3) CRR. For exposures arising from purchased 
receivables, see Article 166(6) CRR. 
Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or 
pools and shall be reported in row 0180. 
Where the institution uses a large number of grades or pools, a reduced number of grades or 
pools to be reported may be agreed with the competent authorities. 
A supervisory master scale is not used. Instead, institutions shall determine the scale to be 
used themselves.  
0080  SPECIALISED LENDING SLOTTING APPROACH: TOTAL  
Article 153(5) CRR. This shall only apply to the exposure classe corporate – specialised 
lending.  
0160  ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE  
Paragraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) 
CRR. 
This alternative is available only for institutions using Foundation-IRB approach.  
0170  EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE 
TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS  
Exposures arising from free deliveries for which the alternative treatment referred to in the last 
sentence of the first subparagraph of Article 379(2) CRR is used, or for which a 100 % risk 
weight is applied in accordance with the last subparagraph of Article 379(2) CRR. Unrated 
nth-to-default credit derivatives in accordance with Article 153(8) CRR and any other 
exposure subject to risk weights not included in any other row shall be reported in this row.EN L 97/336 Official Journal of the European Union 19.3.2021
 
Rows  Instructions  
0180  DILUTION RISK: TOTAL PURCHASED RECEIVABLES  
See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk 
weighted exposure amounts for dilution risk see Article 157 CRR. Dilution risk shall be 
reported for corporate and retail purchased receivables.  
3.3.4. C 08.02 – Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: 
breakdown by obligor grades or pools (CR IRB 2 template)  
Column  Instructions  
0005  Obligor grade (row identifier)  
This is a row identifier and shall be unique for each row on a particular sheet of the template. 
It shall follow the numerical order 1, 2, 3, etc. 
The first grade (or pool) to be reported is the best, then the second-best and so on. The last 
reported grade or grades (or pool) shall be that of exposures in default.  
0010-0300  Instructions for each of these columns are the same as for the corresponding numbered 
columns in CR IRB 1 template.  
Row  Instructions  
0010-0001 – 
0010-NNNN  Values reported in these rows must be filled in in the order corresponding to the PD assigned 
to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to 
the alternative treatment for real estate collateral (only available when not using own estimates 
for the LGD) shall not be assigned in accordance with the PD of the obligor and shall not be 
reported in this template.  
3.3.1. C 08.03 – Credit risk and free deliveries: IRB approach to Capital Requirements (breakdown by PD ranges (CR 
IRB 3))  
3.3.1.1. General remarks  
77. Institutions shall report the information included in this template in application of points (i) to (v) of 
Article 452(g) CRR, in order to provide information on the main parameters used for the calculation of 
capital requirements for IRB approach. Information reported in this template shall not include data on 
specialised lending referred to in article 153(5) CRR, which is included in template C 08.06. This template 
excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).  
3.3.1.2. Instructions concerning specific positions  
Columns  Instructions  
0010  ON-BALANCE SHEET EXPOSURES  
Exposure value calculated in accordance with Article 166(1) to (7) CRR without taking into 
account any credit risk adjustmentsEN 19.3.2021 Official Journal of the European Union L 97/337
 
Columns  Instructions  
0020  OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS  
Exposure value in accordance with paragraphs (1) to (7) of Article 166 CRR, without taking 
into account any credit risk adjustments and any conversion factors, neither own estimates 
nor conversion factors specified in Article 166(8) CRR, or any percentages specified in 
Article 166(10) CRR 
Off balance sheet exposures shall comprise all committed but undrawn amounts and all off- 
balance sheet items, as listed in Annex I CRR.  
0030  EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS  
For all exposures included in each bucket of the fixed PD range, the average conversion factor 
used by institutions in their calculation of risk-weighted exposure amounts, weighted by the 
off-balance sheet exposure pre-CCF as reported in column 0020  
0040  EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM  
Exposure value in accordance with Article 166 CRR 
This column shall include the sum of exposure value of on-balance sheet exposures and off- 
balance sheet exposures post conversion factors in accordance with paragraphs (8) to (10) of 
Article 166 CRR and after CRM techniques.  
0050  EXPOSURE WEIGHTED AVERAGE PD (%)  
For all exposures included in each bucket of the fixed PD range, the average PD estimate of 
each obligor, weighted by the exposure value post-CCF and CRM as reported in column 0040  
0060  NUMBER OF OBLIGORS  
The number of legal entities or obligors allocated to each bucket of the fixed PD range 
The number of obligors shall be counted in accordance with the instructions in column 0300 
of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD 
calibration.  
0070  EXPOSURE WEIGHTED AVERAGE LGD (%)  
For all exposures included in each bucket of the fixed PD range, the average of the LGD 
estimates for each exposure, weighted by the exposure value post-CCF and post-CRM as 
reported in column 0040 
The LGD reported shall correspond to the final LGD estimate used in the calculation of risk 
weighted amounts obtained after considering any CRM effects and downturn conditions where 
relevant. For retail exposures secured by immovable properties the LGD reported shall take 
into account the floors specified in Article 164(4) CRR. 
In the case of exposures subject to the double default treatment the LGD to be reported shall 
correspond to the one selected in accordance with Article 161(4) CRR. 
For defaulted exposures under A-IRB approach, provisions laid down in point (h) of 
Article 181(1) CRR shall be considered. The LGD reported shall correspond to the 
estimate of LGD in-default in accordance with the applicable estimation methodologies.EN L 97/338 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0080  EXPOSURE-WEIGHTED AVERAGE MATURITY (YEARS)  
For all exposures included in each bucket of the fixed PD range, the average maturity of each 
exposure, weighted by the exposure value post-CCF as reported in column 0040 
The maturity value reported shall be determined in accordance with Article 162 CRR. 
The average maturity shall be reported in years. 
This data shall not be reported for the exposure values for which the maturity is not an 
element in the calculation of risk weighted exposure amounts in accordance with Chapter 3 of 
Title II of Part Three CRR. This means that this column shall not be filled in for the exposure 
class ‘retail’.  
0090  RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS  
For exposures to central governments and central banks, institutions and corporates, the risk 
weighted exposure amount calculated in accordance with paragraphs (1) to (4) of Article 153; 
for retail exposures, the risk weighted exposure amount calculated in accordance with 
Article 154 CRR 
The SME and infrastructure supporting factors laid down in Articles 501 and Article 501a 
CRR shall be taken into account.  
0100  EXPECTED LOSS AMOUNT  
The expected loss amount calculated in accordance with Article 158 CRR 
The expected loss amount to be reported shall be based on the actual risk parameters used in 
the internal rating scale approved by the respective competent authority.  
0110  VALUE ADJUSTMENTS AND PROVISIONS  
Specific and general credit risk adjustments in accordance with the Commission Delegated 
Regulation (EU) No 183/2014, additional value adjustments in accordance with Articles 34 
and 110 CRR, as well as other own funds reductions related to the exposures allocated to each 
bucket on the fixed PD range 
These value adjustments and provisions shall be those considered for the implementation of 
Article 159 CRR. 
General provisions shall be reported by assigning the amount pro rata – in accordance with 
the expected loss of different obligor grades.  
Rows  Instructions  
PD RANGE  Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD 
estimated for each obligor assigned to this exposure class (without considering any substi ­
tution effects due to CRM). Institutions shall map exposure by exposure to the PD range 
provided in the template, also taking into account continuous scales. All defaulted exposures 
shall be included in the bucket representing PD of 100 %.  
3.3.2. C 08.04 – Credit risk and free deliveries: IRB approach to Capital Requirements (RWEA flow statements (CR 
IRB 4))  
3.3.2.1. General remarks  
78. Institutions shall report the information included in this template in application of point (h) of Article 438 
CRR. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three 
CRR).EN 19.3.2021 Official Journal of the European Union L 97/339
 
79. Institutions shall report the flows of RWEA as the changes between the risk-weighted exposure amounts at 
the reference date and the risk-weighted exposure amounts at the prior reference date. In the case of 
quarterly reporting, end-of-quarter prior to the quarter of the reporting reference date shall be reported.  
3.3.2.2. Instructions concerning specific positions  
Column  Instructions  
0010  RISK WEIGHTED EXPOSURE AMOUNT  
Total risk weighted exposure amount for credit risk calculated under the IRB approach, taking 
into account supporting factors in accordance with Article 501 and 501a CRR.  
Rows  Instructions  
0010  RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING 
PERIOD  
Risk weighted exposure amount at the end of the previous reporting period after the appli ­
cation of the SME and infrastructure supporting factors laid down in Articles 501 and 501a 
CRR  
0020  ASSET SIZE (+/-)  
Change in the risk weighted exposure amount between the end of the previous reporting 
period and the end of the current reporting period, due to asset size, i.e. organic changes in 
book size and composition (including the origination of new businesses and maturing loans) 
but excluding changes in book size due to acquisitions and disposal of entities 
Increases in risk weighted exposure amounts shall be reported as a positive amount and 
decreases in risk weighted exposure amounts shall be reported as a negative amount.  
0030  ASSET QUALITY (+/-)  
Change in the risk weighted exposure amount between the end of the previous reporting 
period and the end of the current reporting period, due to asset quality, i.e. changes in the 
assessed quality of the institution’s assets due to changes in borrower risk, such as rating grade 
migration or similar effects 
Increases in risk weighted exposure amounts shall be reported as a positive amount and 
decreases in risk weighted exposure amounts shall be reported as a negative amount.  
0040  MODEL UPDATES (+/-)  
Change in the risk weighted exposure amount between the end of the previous reporting 
period and the end of the current reporting period, due to model updates, i.e changes due to 
implementation of new models, changes in the models, changes in model scope, or any other 
changes intended to address model weaknesses 
Increases in risk weighted exposure amounts shall be reported as a positive amount and 
decreases in risk weighted exposure amounts shall be reported as a negative amount.  
0050  METHODOLOGY AND POLICY (+/-)  
Change in the risk weighted exposure amount between the end of the previous reporting 
period and the end of the current reporting period, due to methodology and policy i.e. 
changes due to methodological changes in calculations driven by regulatory policy changes, 
including both revisions to existing regulations and new regulations, excluding changes in 
models, which are included in row 0040 
Increases in risk weighted exposure amounts shall be reported as a positive amount and 
decreases in risk weighted exposure amounts shall be reported as a negative amount.EN L 97/340 Official Journal of the European Union 19.3.2021
 
Rows  Instructions  
0060  ACQUISITIONS AND DISPOSALS (+/-)  
Change in the risk weighted exposure amount between the end of the previous reporting 
period and the end of the current reporting period, due to acquisitions and disposals, i.e. 
changes in book sizes due to acquisitions and disposal of entities 
Increases in risk weighted exposure amounts shall be reported as a positive amount and 
decreases in risk weighted exposure amounts shall be reported as a negative amount.  
0070  FOREIGN EXCHANGE MOVEMENTS (+/-)  
Change in the risk weighted exposure amount between the end of the previous reporting 
period and the end of the current reporting period, due to foreign exchange movements, i.e. 
changes arising from foreign currency translation movements 
Increases in risk weighted exposure amounts shall be reported as a positive amount and 
decreases in risk weighted exposure amounts shall be reported as a negative amount.  
0080  OTHER (+/-)  
Change in the risk weighted exposure amount between the end of the previous reporting 
period and the end of the current reporting period, due to other drivers 
This category shall be used to capture changes that cannot be attributed to any other category. 
Increases in risk weighted exposure amounts shall be reported as a positive amount and 
decreases in risk weighted exposure amounts shall be reported as a negative amount.  
0090  RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD  
Risk weighted exposure amount in the reporting period after the application of the SME and 
infrastructure supporting factors laid down in Articles 501 and 501a CRR  
3.3.3. C 08.05 – Credit risk and free deliveries: IRB approach to Capital Requirements (Back-testing of PD (CR IRB 5))  
3.3.3.1. General remarks  
80. Institutions shall report the information included in this template in application of point (h) of Article 452 
CRR. Institution shall consider the models used within each exposure class and they shall explain the 
percentage of risk weighted exposure amount of the relevant exposure class covered by the models for 
which back-testing results are reported here. This template excludes counterparty credit risk (CCR) 
exposures (Chapter 6 of Title II of Part Three CRR).  
3.3.3.2. Instructions concerning specific positions  
Columns  Instructions  
0010  ARITHMETIC AVERAGE PD (%)  
Arithmetic average of PD at the beginning of the reporting period of the obligors that fall 
within the bucket of the fixed PD range and counted in column 0020 (average weighted by 
the number of obligors)  
0020  NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR  
Number of obligors at the end of the previous year subject to reporting 
All obligors carrying a credit obligation at the relevant point in time shall be included. 
The number of obligors shall be counted in accordance with the instructions in column 0300 
of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD 
calibration.EN 19.3.2021 Official Journal of the European Union L 97/341
 
Columns  Instructions  
0030  OF WHICH: DEFAULTED DURING THE YEAR  
Number of obligors which defaulted during the year (i.e. the observation period of the default 
rate calculation) 
Defaults shall be determined in accordance with Article 178 CRR. 
Each defaulted obligor is counted only once in the numerator and denominator of the one- 
year default rate calculation, even if the obligor defaulted more than once during the relevant 
one-year period.  
0040  OBSERVED AVERAGE DEFAULT RATE (%)  
One-year default rate referred to in point (78) Article 4(1) CRR 
Institutions shall ensure: 
(a) that the denominator consists of the number of non-defaulted obligors with any credit 
obligation observed at the beginning of the one-year observation period (i.e. beginning of 
the year prior to the reporting reference date); in this context a credit obligation refers to 
both of the following: (i) any on-balance sheet item, including any amount of principal, 
interest and fees; (ii) any off-balance sheet items, including guarantees issued by the 
institution as a guarantor. 
(b) that the numerator includes all those obligors considered in the denominator that had at 
least one default event during the one-year observation period (year prior to the reporting 
reference date). 
Regarding the calculation of the number of obligors see column 0300 of template C 08.01.  
0050  AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)  
The simple average of the annual default rate of the five most recent years (obligors at the 
beginning of each year that are defaulted during that year/total obligors at the beginning of 
the year) is a minimum. The institution may use a longer historical period that is consistent 
with the institution’s actual risk management practices.  
Rows  Instructions  
PD RANGE  Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD 
estimated at the beginning of the reporting period for each obligor assigned to this exposure 
class (without considering any substitution effects due to CRM). Institutions shall map 
exposure by exposure to the PD range provided in the template, also taking into account 
continuous scales. All defaulted exposures shall be included in the bucket representing PD of 
100 %.  
3.3.4. C 08.05.1 – Credit risk and free deliveries: IRB approach to Capital Requirements: Back-testing of PD (CR IRB 
5B) 
3.3.4.1. Instructions concerning specific positions  
81. In addition to template C 08.05, institutions shall report information included in template C 08.05.1 in 
case that they apply point (f) of Article 180(1) CRR for PD estimation and only for PD estimates in 
accordance with the same Article. Instructions are the same than for template C 08.05, with the following 
exceptions:  
Columns  Instructions  
0005  PD RANGE  
Institutions shall report the PD ranges in accordance with their internal grades that they map 
to the scale used by the external ECAI, instead of a fixed external PD range.EN L 97/342 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0006  EXTERNAL RATING EQUIVALENT  
Institutions shall report one column for each ECAI considered following point (f) of 
Article 180(1) CRR. Institutions shall include in these columns the external rating to 
which their internal PD ranges are mapped.  
3.3.5. C 08.06 – Credit risk and free deliveries: IRB approach to Capital Requirements (Specialised lending slotting 
approach (CR IRB 6))  
3.3.5.1. General remarks  
82. Institutions shall report the information included in this template in application of point (e) of Article 438 
CRR. Institutions shall report information on the following types of specialised lending exposures referred 
to in Table 1 of Article 153(5):  
(a) Project finance  
(b) Income-producing real estate and high volatility commercial real estate  
(c) Object finance  
(d) Commodities finance  
3.3.5.2. Instructions concerning specific positions  
Columns  Instructions  
0010  ORIGINAL EXPOSURE PRE CONVERSION FACTORS  
See CR-IRB instructions.  
0020  EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS  
See CR-IRB instructions.  
0030, 0050  OF WHICH: OFF-BALANCE SHEET ITEMS  
See CR-SA instructions.  
0040  EXPOSURE VALUE  
See CR-IRB instructions.  
0060  OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK  
See CR SA instructions.  
0070  RISK WEIGHT  
Article 153(5) CRR 
This is a fixed column for information purposes. It shall not be altered.  
0080  RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS  
See CR-IRB instructions.  
0090  EXPECTED LOSS AMOUNT  
See CR-IRB instructions.EN 19.3.2021 Official Journal of the European Union L 97/343
 
Columns  Instructions  
0100  (-) VALUE ADJUSTMENTS AND PROVISIONS  
See CR-IRB instructions.  
Rows  Instructions  
0010-0120  Exposures shall be allocated to the appropriate category and maturity in accordance with table 1 
of Article 153(5) CRR.  
3.3.6. C 08.07 – Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA 
approaches (CR IRB 7))  
3.3.6.1. General remarks  
83. For the purpose of this template, institutions calculating the risk-weighted exposure amounts under the IRB 
approach to credit risk shall allocate their exposures subject to Standardised approach laid down in Chapter 
2 of Title II of Part Three CRR or to the IRB approach laid down in Chapter 3 of Title II of Part Three 
CRR, as well as the part of each exposure class subject to a roll-out plan. Institutions shall include the 
information in this template by exposure classes, in accordance with the breakdown of exposure classes 
included in the rows of the template.  
84. Columns 0020 to 0040 should cover the full spectrum of exposures, so the sum of each row for those 
three columns should be 100 % of all exposure classes except of securitisation positions and deducted 
positions.  
3.3.6.2. Instructions concerning specific positions  
Columns  Instructions  
0010  TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR  
Institutions shall use the exposure value before CRM in accordance with Article 166 CRR.  
0020  TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB  
Institutions shall use the exposure value before CRM in accordance with Article 429(4) CRR 
to report the total exposure value, including both the exposures under the standardized 
approach and the exposures under the IRB approach.  
0030  PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA 
(%) 
Part of exposure for each exposure class subject to the Standardised approach (exposure 
subject to the Standardised approach before CRM over the total exposure in that exposure 
class in column 0020), respecting the scope of permission for permanent partial use of the 
Standardised approach received from a competent authority in accordance with Article 150 
CRR.EN L 97/344 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0040  PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%)  
Part of exposure for each exposure class subject to the sequential implementation of IRB 
approach pursuant to Article 148 CRR. This shall include: 
— both exposures where institutions plan to apply IRB approach with or without their own 
estimation of LGD and conversion factors (F-IRB and A-IRB); 
— immaterial equity exposures not included in columns 0020 or 0040; 
— exposures already under F-IRB where an institution is planning to apply A-IRB in the 
future; 
— specialised lending exposures under the supervisory slotting approach not included in 
column 0040.  
0050  PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)  
Part of exposure for each exposure class subject to the IRB approach (exposure subject to the 
IRB approach before CRM over the total exposure in that exposure class), respecting the scope 
of permission received from a competent authority to use the IRB Approach in accordance 
with Article 143 CRR. This shall include both exposures where institutions have the 
permission to use their own estimation of LGD and conversion factors or not (F-IRB and 
A-IRB), including supervisory slotting approach for specialised lending exposures and equity 
exposures under the simple risk weight approach, as well as those exposures reported in row 
0170 of template C 08.01.  
Rows  Instructions  
EXPOSURE 
CLASSES  Institutions shall include the information in this template by exposure classes, in accordance 
with the breakdown of exposure classes included in the rows of the template.  
3.4.  CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL 
BREAKDOWN  
85. All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the 
threshold set in Article 5(5) of this Implementing Regulation shall submit information broken down by 
country regarding the domestic country as well as any non-domestic country. The threshold shall be 
considered only in relation to the CR GB 1 and CR GB 2 templates. Exposures to supranational organ ­
isations shall be assigned to the geographical area ‘other countries’.  
86. The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can 
be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with 
substitution effects can change the allocation of an exposure to a country. Exposures to supranational 
organisations shall not be assigned to the country of residence of the institution but to the geographical 
area ‘Other countries’, irrespective of the exposure class where the exposure to supranational organisations 
is assigned.  
87. Data regarding ‘original exposure pre-conversion factors’ shall be reported referring to the country of 
residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure 
amounts’ shall be reported as of the country of residence of the ultimate obligor.EN 19.3.2021 Official Journal of the European Union L 97/345
 
3.4.1. C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)  
3.4.1.1. Instructions concerning specific positions  
Columns  
0010  ORIGINAL EXPOSURE PRE-CONVERSION FACTORS  
Same definition as for column 0010 of CR SA template  
0020  Defaulted exposures  
Original exposure pre-conversion factors for those exposures which have been classified as 
‘exposures in default’ and for defaulted exposures assigned to the exposure classes ‘exposures 
associated with particularly high risk’ or ‘equity exposures’. 
This ‘memorandum item’ shall provide additional information about the obligor structure of 
defaulted exposures. Exposures classified as ‘exposures in default’ as referred to in point (j) of 
Article 112 CRR shall be reported where the obligors would have been reported if those 
exposures were not assigned to the exposure classes ‘exposures in default’. 
This information is a ‘memorandum item’ – hence does not affect the calculation of risk 
weighted exposure amounts of exposure classes ‘exposures in default’, ‘exposures associated 
with particularly high risk’ or ‘equity exposures’ as referred to in points (j), (k) and (p) of 
Article 112 CRR.  
0040  Observed new defaults for the period  
The amount of original exposures which have moved into exposure class ‘Exposures in default’ 
during the 3-month period since the last reporting reference date shall be reported against the 
exposure class to which the obligor originally belonged.  
0050  General credit risk adjustments  
Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 
183/2014. 
This item shall include the general credit risk adjustments that are eligible for inclusion in T2 
capital, before the application of the cap referred to in point (c) of Article 62 CRR. 
The amount to be reported shall be gross of tax effects.  
0055  Specific credit risk adjustments  
Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 
183/2014.  
0060  Write-offs  
Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9.  
0061  Additional value adjustments and other own funds reductions  
In line with Article 111 CRR.  
0070  Credit risk adjustments/write-offs for observed new defaults  
Sum of credit risk adjustments and write-offs for those exposures which were classified as 
‘defaulted exposures’ during the 3-month period since the last data submission.EN L 97/346 Official Journal of the European Union 19.3.2021
 
Columns  
0075  Exposure value  
Same definition as for column 0200 of CR SA template  
0080  RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS  
Same definition as for column 0215 of CR SA template  
0081  (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE SME 
SUPPORTING FACTOR  
Same definition as for column 0216 of CR SA template  
0082  (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRA ­
STRUCTURE SUPPORTING FACTOR  
Same definition as for column 0217 of CR SA template  
0090  RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS  
Same definition as for column 0220 of CR SA template  
Rows  
0010  Central governments or central banks  
Point (a) of Article 112 CRR  
0020  Regional governments or local authorities  
Point (b) of Article 112 CRR  
0030  Public sector entities  
Point (c) of Article 112 CRR  
0040  Multilateral developments banks  
Point (d) of Article 112 CRR  
0050  International organisations  
Point (e) of Article 112 CRR  
0060  Institutions  
Point (f) of Article 112 CRR  
0070  Corporates  
Point (g) of Article 112 CRR  
0075  of which: SME  
Same definition as for row 0020 of CR SA templateEN 19.3.2021 Official Journal of the European Union L 97/347
 
Rows  
0080  Retail  
Point (h) of Article 112 CRR  
0085  of which: SME  
Same definition as for row 0020 of CR SA template  
0090  Secured by mortgages on immovable property  
Point (i) of Article 112 CRR  
0095  of which: SME  
Same definition as for row 0020 of CR SA template  
0100  Exposures in default  
Point (j) of Article 112 CRR  
0110  Items associated with particularly high risk  
Point (k) of Article 112 CRR  
0120  Covered bonds  
Point (l) of Article 112 CRR  
0130  Claims on institutions and corporates with a short-term credit assessment  
Point (n) of Article 112 CRR  
0140  Collective investments undertakings (CIU)  
Point (o) of Article 112 CRR 
Sum of rows 0141 to 0143  
0141  Look-through approach  
Same definition as for row 0281 of CR SA template  
0142  Mandate-based approach  
Same definition as for row 0282 of CR SA template  
0143  Fall-back approach  
Same definition as for row 0283 of CR SA template  
0150  Equity exposures  
Point (p) of Article 112 CRREN L 97/348 Official Journal of the European Union 19.3.2021
 
Rows  
0160  Other exposures  
Point (q) of Article 112 CRR  
0170  Total exposures  
3.4.2. C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)  
3.4.2.1. Instructions concerning specific positions  
Columns  
0010  ORIGINAL EXPOSURE PRE-CONVERSION FACTORS  
Same definition as for column 0020 of CR IRB template  
0030  Of which defaulted  
Original exposure value for those exposures which have been classified as defaulted exposures 
in accordance with Article 178 CRR  
0040  Observed new defaults for the period  
Original exposure value for those exposures, which have been classified as defaulted defaulted 
exposures in accordance with Article 178 CRR during the 3-month period since the last 
reporting reference date, shall be reported against the exposure class to which the obligor 
belongs.  
0050  General credit risk adjustments  
Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 
183/2014  
0055  Specific credit risk adjustments  
Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 
183/2014  
0060  Write-offs  
Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9  
0070  Credit risk adjustments/write-offs for observed new defaults  
Sum of credit risk adjustments and write-offs for those exposures which were classified as 
‘defaulted exposures’ during the 3-month period since the last data submission  
0080  INTERNAL RATING SCALE/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)  
Same definition as for column 0010 of CR IRB template  
0090  EXPOSURE WEIGHTED AVERAGE LGD (%)  
Same definition as for columns 0230 and 0240 of CR IRB template: the exposure weighted 
average LGD (%) shall refer to all exposures, including exposures to large financial sector 
entities and unregulated financial entities. Point (h) of Article 181(1) CRR shall apply. 
For specialised lending exposures where the PD is estimated, the reported value should be 
either the estimated or the regulatory LGD. For specialised lending exposures referred to in 
Article 153(5) CRR, data cannot be reported as it is not available.EN 19.3.2021 Official Journal of the European Union L 97/349
 
Columns  
0100  Of which: defaulted  
Exposure weighted LGD for those exposures which have been classified as defaulted exposures 
in accordance with Article 178 CRR  
0105  Exposure value  
Same definition as for column 0110 of CR IRB template  
0110  RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS  
Same definition as for column 0255 of CR IRB template  
0120  Of which defaulted  
Risk weighted exposure amount for those exposures which have been classified as defaulted 
exposures in accordance with Article 178(1) CRR  
0121  (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING 
FACTOR  
Same definition as for column 0256 of CR IRB template  
0122  (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRA ­
STRUCTURE SUPPORTING FACTOR  
Same definition as for column 0257 of CR IRB template  
0125  RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS  
Same definition as for column 0260 of CR IRB template  
0130  EXPECTED LOSS AMOUNT  
Same definition as for column 0280 of CR IRB template  
Rows  
0010  Central banks and central governments  
Point (a) of Article 147(2) CRR  
0020  Institutions  
Point (b) of Article 147(2) CRR  
0030  Corporates  
All exposures to corporates as referred to in point (c) of Article 147(2) CRR  
0042  Of which: Specialised lending (excl. SL subject under the slotting approach)  
Point (a) of Article 147(8) CRR 
Data shall not be reported for specialised lending exposures as referred to in Article 153(5) 
CRR.EN L 97/350 Official Journal of the European Union 19.3.2021
 
Rows  
0045  Of which: Specialised lending under the slotting approach  
Point (a) of Article 147(8) and Article 153(5) CRR  
0050  Of which: SME  
Point (c) of Article 147(2) CRR 
Under the IRB approach, the reporting entities shall use their internal definition of SME, as 
applied in internal risk management processes.  
0060  Retail  
All retail exposures as referred to in point (d) of Article 147(2) CRR  
0070  Retail – Secured by immovable property  
Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real 
estate 
Retail exposures secured by immovable property will be considered any retail exposures 
secured by immovable property recognised as collateral, regardless of the ratio of the value 
of collateral to the exposure or of the purpose of the loan.  
0080  SME  
Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which 
are secured by real estate  
0090  non-SME  
Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real 
estate  
0100  Retail – Qualifying revolving  
Retail exposures as referred to in point (d) of Article 147(2) in conjunction with 
Article 154(4) CRR  
0110  Other Retail  
Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not 
reported in rows 0070 – 0100  
0120  SME  
Other retail exposures to SMEs as referred to in point (d) of Article 147(2) CRR  
0130  non-SME  
Other retail exposures to individuals as referred to in point (d) of Article 147(2) CRR  
0140  Equity  
Equity exposures as referred to in point (e) of Article 147(2) CRR  
0150  Total exposuresEN 19.3.2021 Official Journal of the European Union L 97/351
 
3.4.3. C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country 
and institution-specific countercyclical buffer rate (CCB)  
3.4.3.1. General remarks  
88. This template aims at receiving more information regarding the elements of the institution-specific 
countercyclical capital buffer. The information required refers to the own funds requirements determined 
in accordance with Title II and Title IV of Part Three CRR and the geographical location for credit 
exposures, securitisation exposures and trading book exposures relevant for the calculation of the insti ­
tution-specific countercyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit 
exposures).  
89. Information in template C 09.04 shall be reported for the ‘Total’ of relevant credit exposures across all 
jurisdictions where those exposures are located and individually for each of the jurisdictions in which 
relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall 
be reported in a separate dimension.  
90. The threshold set in Article 5(5) of this Implementing Regulation shall not apply for the reporting of this 
breakdown.  
91. In order to determine the geographical location, the exposures shall be allocated on an immediate obligor 
basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 (  9 ). Therefore, CRM tech ­
niques shall not change the allocation of an exposure to its geographical location for the purpose of 
reporting information set out in this template.  
3.4.3.2. Instructions concerning specific positions  
Columns  
0010  Amount  
The value of the relevant credit exposures and their associated own-funds requirements 
determined in accordance with the instructions for the respective row.  
0020  Percentage  
0030  Qualitative Information  
This information shall only be reported for the country of residence of the institution (the 
jurisdiction corresponding to its home Member State) and the ‘Total’ of all countries. 
Institutions shall report either {y} or {n} in accordance with the instructions for the relevant 
row.  
Rows  
0010-0020  Relevant credit exposures – Credit risk  
Relevant credit exposures as referred to in point (a) of Article 140(4) CRD.  
0010  Exposure value under the Standardised approach  
Exposure value calculated in accordance with Article 111 CRR for relevant credit exposures as 
referred to in point (a) of Article 140(4) CRD. 
The exposure value of securitisation positions in the banking book shall be excluded from this 
row and reported in row 0055.  
0020  Exposure value under the IRB approach  
Exposure value calculated in accordance with Article 166 CRR for relevant credit exposures as 
referred to in point (a) of Article 140(4) CRD. 
The exposure value of securitisation positions in the banking book shall be excluded from this 
row and reported in row 0055.EN L 97/352 Official Journal of the European Union 19.3.2021  
( 9 ) Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European 
Parliament and of the Council with regard to regulatory technical standards on the identification of the geographical location of 
the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates (OJ L 309, 30.10.2014, p. 5).
 Rows  
0030-0040  Relevant credit exposures – Market risk  
Relevant credit exposures as referred to in point (b) of Article 140(4) CRD.  
0030  Sum of long and short positions of trading book exposures for Standardised approach  
Sum of net long and net short positions in accordance with Article 327 CRR of relevant 
credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds 
requirements under Chapter 2 of Title IV of Part Three CRR: 
— exposures to debt instruments other than securitisation; 
— exposures to securitisation positions in the trading book; 
— exposures to correlation trading portfolios; 
— exposures to equity securities; 
— exposures to CIUs where capital requirements are calculated in accordance with 
Article 348 CRR.  
0040  Value of trading book exposures under internal models  
For relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own 
funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the 
following shall be reported: 
— Fair value of non-derivative positions, that represent relevant credit exposures as referred 
to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR. 
— Notional value of derivatives, that represent relevant credit exposures as referred to in 
point (b) of Article 140(4) CRD.  
0055  Relevant credit exposures – Securitisation positions in the banking book  
Exposure value calculated in accordance with Article 248 CRR for relevant credit exposures as 
referred to in point (c) of Article 140(4) CRD.  
0070-0110  Own funds requirements and weights  
0070  Total own funds requirements for CCB  
The sum of rows 0080, 0090 and 0100.  
0080  Own funds requirements for relevant credit exposures – Credit risk  
Own funds requirements calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title 
II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) 
CRD, in the country in question. 
Own fund requirements for securitisation positions in the banking book shall be excluded 
from this row and reported in row 0100. 
The own-funds requirements are 8 % of the risk-weighted exposure amount determined in 
accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR.EN 19.3.2021 Official Journal of the European Union L 97/353
 
Rows  
0090  Own funds requirements for relevant credit exposures – Market risk  
Own funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three 
CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for 
incremental default and migration risk for relevant credit exposures as referred to in point (b) 
of Article 140(4) CRD, in the country in question. 
The own funds requirements for relevant credit exposures under the market risk framework 
shall include, among others, the own fund requirements for securitisation positions calculated 
in accordance with Chapter 2 of Title IV of Part Three, CRR and the own funds requirements 
for exposures to Collective Investment Undertakings determined in accordance with 
Article 348 CRR.  
0100  Own funds requirements for relevant credit exposures – Securitisation positions in the 
banking book  
Own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR 
for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country 
in question. 
The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in 
accordance with Chapter 5 of Title II of Part Three, CRR.  
0110  Own funds requirements weights  
The weight applied to the countercyclical buffer rate in each country shall be calculated as a 
ratio of own fund requirements, determined as follows: 
1. Numerator: The total own funds requirements that relate to the relevant credit exposures in 
the country in question [r0070; c0010; country sheet], 
2. Denominator: The total own funds requirements that relate to all credit exposures relevant 
for the calculation of the countercyclical buffer as referred to in Article 140(4) CRD 
[r0070; c0010; ‘Total’]. 
Information on the Own fund requirements weights shall not be reported for the ‘Total’ of all 
countries.  
0120-0140  Countercyclical buffer rates  
0120  Countercyclical capital buffer rate set by the Designated Authority  
Countercyclical capital buffer rate set for the country in question by the Designated Authority 
of that country in accordance with Articles 136, 137, 139, points (a) and (c) of Article 140(2) 
and point (b) of Article 140(3) CRD. 
This row shall be left empty when no countercyclical buffer rate was set for the country in 
question by the Designated Authority of that country. 
Countercyclical capital buffer rates that were set by the Designated Authority but are not yet 
applicable in the country in question at the reporting reference date shall not be reported. 
Information on the Countercyclical capital buffer rate set by the Designated Authority shall 
not be reported for the ‘Total’ of all countries.EN L 97/354 Official Journal of the European Union 19.3.2021
 
Rows  
0130  Countercyclical capital buffer rate applicable for the country of the institution  
Countercyclical capital buffer rate applicable for the country in question which was set by the 
Designated Authority of the country of residence of the institution, in accordance with Articles 
137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(3) CRD. Counter ­
cyclical capital buffer rates that are not yet applicable at the reporting reference date shall not 
be reported. 
Information on the Countercyclical capital buffer rate applicable in the country of the insti ­
tution shall not be reported for the ‘Total’ of all countries.  
0140  Institution-specific countercyclical capital buffer rate  
Institution-specific countercyclical capital buffer rate, calculated in accordance with 
Article 140(1) CRD. 
The institution-specific countercyclical capital buffer rate shall be calculated as the weighted 
average of the countercyclical buffer rates that apply in the jurisdictions where the relevant 
credit exposures of the institution are located or are applied for the purposes of Article 140 
by virtue of paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate 
shall reported in [r0120; c0020; country sheet], or [r0130; c0020; country sheet], as 
applicable. 
The weight applied to the countercyclical buffer rate in each country shall be the share of own 
funds requirements in total own funds requirements, and shall be reported in [r0110; c0020; 
country sheet]. 
Information on the institution-specific countercyclical capital buffer rate shall only be reported 
for the ‘Total’ of all countries and not for each country separately.  
0150 – 0160  Use of the 2 % threshold  
0150  Use of 2 % threshold for general credit exposure  
In accordance with point (b) of Article 2(5) of Commission Delegated Regulation (EU) No 
1152/2014, foreign general credit risk exposures, the aggregate of which does not exceed 2 % 
of the aggregate of the general credit, trading book and securitisation exposures of that 
institution, may be allocated to the institutions’ home Member State. The aggregate of the 
general credit, trading book and securitisation exposures shall be calculated by excluding the 
general credit exposures located in accordance with point (a) of Article 2(5) and Article 2(4) 
of Commission Delegated Regulation (EU) No 1152/2014. 
If the institution makes use of this derogation, it shall indicate ‘y’ in the template for the 
jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. 
If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.  
0160  Use of 2 % threshold for trading book exposure  
In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, 
institutions may allocate trading book exposures to their home Member State where the total 
trading book exposures do not exceed 2 % of their total general credit, trading book and 
securitisation exposures. 
If the institution makes use of this derogation, it shall indicate ‘y’ in the template for the 
jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. 
If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.EN 19.3.2021 Official Journal of the European Union L 97/355
 
3.5.  C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND 
CR EQU IRB 2)  
3.5.1. General remarks  
92. The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB 
exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. 
CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the 
PD/LGD approach. ‘CR EQU IRB’ refers to both ‘CR EQU IRB 1’ and ‘CR EQU IRB 2’ templates, as 
applicable, in the following instructions.  
93. The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for 
credit risk (point (a) of Article 92(3) CRR) in accordance with Chapter 3 of Title II of Part Three CRR for 
equity exposures as referred to in point (e) of Article 147(2) CRR.  
94. In accordance with Article 147(6) CRR, the following exposures shall be assigned to the equity exposure 
class:  
(a) non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer;  
(b) debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance 
of which is similar to the exposures specified in point (a).  
95. Collective investment undertakings treated in accordance with the simple risk weight approach as referred 
to in Article 152 CRR shall also be reported in the CR EQU IRB template.  
96. In accordance with Article 151(1) CRR, institutions shall provide the CR EQU IRB template when applying 
one of the three approaches referred to in Article 155 CRR:  
— the Simple Risk Weight approach;  
— the PD/LGD approach;  
— the Internal Models approach.  
Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template risk- 
weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without 
however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or 
permanent) partial use of the Standardised approach for credit risk), e.g. equity exposures attracting a risk- 
weight of 250 % in accordance with Article 48(4) CRR, respectively a risk-weight of 370 % in accordance 
with Article 471(2) CRR.  
97. The following equity claims shall not be reported in the CR EQU IRB template:  
— Equity exposures in the trading book (where institutions are not exempted from calculating own funds 
requirements for trading book positions (Article 94 CRR)).  
— Equity exposures subject to the partial use of the Standardised approach (Article 150 CRR), including:  
— Equity exposures grandfathered in accordance with Article 495(1) CRR;  
— Equity exposures to entities the credit obligations of which are assigned a 0 % risk weight under the 
Standardised approach, including those publicly sponsored entities where a 0 % risk weight can be 
applied (point (g) of Article 150(1) CRR),  
— Equity exposures incurred under legislated programmes to promote specified sectors of the economy 
that provide significant subsidies for the investment to the institution and involve some form of 
government oversight and restrictions on the equity investments (point (h) of Article 150(1) CRR),  
— Equity exposures to ancillary services undertakings the risk weighted exposure amounts of which may 
be calculated in accordance with the treatment of ‘other non credit-obligation assets’ (Article 155(1) 
CRR),EN L 97/356 Official Journal of the European Union 19.3.2021
 
— Equity claims deducted from own funds in accordance with Articles 46 and 48 CRR.  
3.5.2. Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)  
Columns  
0005  OBLIGOR GRADE (ROW IDENTIFIER)  
The obligor grade shall be a row identifier and shall be unique for each row in the template. It 
shall follow the numerical order 1, 2, 3, etc.  
0010  INTERNAL RATING SCALE 
PD ASSIGNED TO THE OBLIGOR GRADE (%)  
Institutions applying the PD/LGD approach shall report in column 0010 the probability of 
default (PD) calculated in accordance with Article 165(1) CRR. 
The PD assigned to the obligor grade or pool to be reported shall be in line with the 
minimum requirements laid down in Section 6 of Chapter 3 of Title II of Part Three CRR. 
For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall 
be reported. All reported risk parameters shall be derived from the risk parameters used in the 
internal rating scale approved by the respective competent authority. 
For figures corresponding to an aggregation of obligor grades or pools (e.g. ‘total exposures’), 
the exposure weighted average of the PDs assigned to the obligor grades or pools included in 
the aggregation shall be provided. All exposures, including defaulted exposures, are to be 
considered for the purpose of the calculation of the exposure weighted average PD. For the 
calculation of the exposure-weighted average PD, the exposure value taking into account 
unfunded credit protection (column 0060) shall be used for weighting purposes.  
0020  ORIGINAL EXPOSURE PRE-CONVERSION FACTORS  
Institutions report in column 0020 the original exposure value (pre-conversion factors). In 
accordance with Article 167 CRR, the exposure value for equity exposures shall be the 
accounting value remaining after specific credit risk adjustments. The exposure value of off- 
balance sheet equity exposures shall be its nominal value after specific credit risk adjustments. 
Institutions shall also include in column 0020 the off balance sheet items referred to in Annex 
I CRR assigned to the equity exposure class (e.g. ‘the unpaid portion of partly-paid shares’). 
Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred 
to in Article 165(1) CRR) shall also take into account the offsetting referred to in the second 
subparagraph of Article 155(2) CRR.  
0030-0040  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE 
EXPOSURE 
UNFUNDED CREDIT PROTECTION 
GUARANTEES 
CREDIT DERIVATIVES  
Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for 
equity exposures, institutions may recognise unfunded credit protection obtained on equity 
exposures (Paragraphs 2, 3 and 4 of Article 155 CRR). Institutions applying the Simple Risk 
Weight approach or the PD/LGD approach shall report in columns 0030 and 0040 the 
amount of unfunded credit protection under the form of guarantees (column 0030) or 
credit derivatives (column 0040) recognised in accordance with the methods set out in 
Chapter 4 of Title II of Part Three CRR.EN 19.3.2021 Official Journal of the European Union L 97/357
 
Columns  
0050  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE 
EXPOSURE 
SUBSTITUTION OF THE EXPOSURE DUE TO CRM 
(-) TOTAL OUTFLOWS  
Institutions shall report in column 0050 the part of the original exposure pre-conversion 
factors covered by unfunded credit protection recognised in accordance with the methods set 
out in Chapter 4 of Title II of Part Three CRR.  
0060  EXPOSURE VALUE  
Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report 
in column 0060 the exposure value, taking into account substitution effects stemming from 
unfunded credit protection (Paragraphs 2 and 3 of Article 155 and Article 167 CRR). 
In the case of equity off-balance sheet exposures, the exposure value shall be the nominal 
value after specific credit risk adjustments (Article 167 CRR).  
0061  OF WHICH: OFF BALANCE SHEET ITEMS  
See CR-SA instructions  
0070  EXPOSURE WEIGHTED AVERAGE LGD (%)  
Institutions applying the PD/LGD approach shall report the exposure weighted average of the 
LGDs assigned to the obligor grades or pools included in the aggregation 
The exposure value taking into account unfunded credit protection (column 0060) shall be 
used for the calculation of the exposure-weighted average LGD. 
Institutions shall take into account Article 165(2) CRR.  
0080  RISK WEIGHTED EXPOSURE AMOUNT  
Institutions shall report risk-weighted exposure amounts for equity exposures calculated in 
accordance with Article 155 CRR. 
Where institutions applying the PD/LGD approach do not have sufficient information to use 
the definition of default set out in Article 178 CRR, a scaling factor of 1,5 shall be assigned 
to the risk weights when calculating risk weighted exposure amounts (Article 155(3) CRR). 
With regard to the input parameter M (Maturity) to the risk-weight function, the maturity 
assigned to equity exposures equals 5 years (Article 165(3) CRR).  
0090  MEMORANDUM ITEM: EXPECTED LOSS AMOUNT  
Institutions shall report in column 0090 the expected loss amount for equity exposures 
calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR.  
98. In accordance with Article 155 CRR, institutions may employ different approaches (Simple Risk Weight 
approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these 
different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted 
exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however 
being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or 
permanent) partial use of the credit risk Standardised approach).EN L 97/358 Official Journal of the European Union 19.3.2021
 
Rows  
CR EQU IRB 1 
– row 0020,  PD/LGD APRROACH: TOTAL  
Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required 
information in row 0020 of the CR EQU IRB 1 template.  
CR EQU IRB 1 
– rows 0050- 
0090  SIMPLE RISK WEIGHT APPROACH: TOTAL 
BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APPROACH BY 
RISK WEIGHTS:  
Institutions applying the Simple Risk Weight approach (Article 155(2) CRR) shall report the 
required information in accordance with the characteristics of the underlying exposures in 
rows 0050 to 0090.  
CR EQU IRB 1 
– row 0100  INTERNAL MODELS APPROACH  
Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the 
required information in row 0100.  
CR EQU IRB 1 
– row 0110  EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS  
Institutions applying the IRB Approach shall report risk weighted exposure amounts for those 
equity exposures which attract a fixed risk weight treatment (without however being explicitly 
treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) 
partial use of the credit risk Standardised approach). As an example: 
— the risk weighted exposure amount of equity positions in financial sector entities treated in 
accordance with Article 48(4) CRR, as well as 
— equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR shall be 
reported in row 0110.  
CR EQU IRB 2  BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR 
GRADES:  
Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required 
information in the CR EQU IRB 2 template. 
Institutions using the PD/LGD approach that apply a unique rating scale or that are able to 
report in accordance with an internal master scale shall report in CR EQU IRB 2 the rating 
grades or pools associated to this unique rating scale/master scale. In any other case, the 
different rating scales shall be merged and ordered in accordance with the following criteria: 
Obligor grades or pools of the different rating scales shall be pooled together and ordered 
from the lower PD assigned to each obligor grade or pool to the higher.  
3.6.  C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)  
3.6.1. General remarks  
99. This template requests information on both trading and non-trading book transactions which are 
unsettled after their due delivery dates, and their corresponding own funds requirements for settlement 
risk as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR.  
100. Institutions shall report in the CR SETT template information on the settlement/delivery risk in 
connection with debt instruments, equities, foreign currencies and commodities held in their trading 
or non-trading book.EN 19.3.2021 Official Journal of the European Union L 97/359
 
101. In accordance with Article 378 CRR, repurchase transactions, securities or commodities lending and 
securities or commodities borrowing in connection with debt instruments, equities, foreign currencies 
and commodities are not subject to own funds requirements for settlement/delivery risk. Note however 
that, derivatives and long settlement transactions unsettled after their due delivery dates shall nevertheless 
be subject to own funds requirements for settlement/delivery risk as determined in Article 378 CRR.  
102. In case of unsettled transactions after the due delivery date, institutions shall calculate the price difference 
to which they are exposed. That is the difference between the agreed settlement price for the debt 
instrument, equity, foreign currency or commodity in question and its current market value, where the 
difference could involve a loss for the institution.  
103. Institutions shall multiply that difference by the appropriate factor of Table 1 of Article 378 CRR to 
determine the corresponding own funds requirements.  
104. In accordance with point (b) of Article 92(4) CRR, the own funds requirements for settlement/delivery 
risk shall be multiplied by 12,5 to calculate the risk exposure amount.  
105. Note that own funds requirements for free deliveries as laid down in Article 379 CRR are not within the 
scope of the CR SETT template. Those own funds requirements shall be reported in the credit risk 
templates (CR SA, CR IRB).  
3.6.2. Instructions concerning specific positions  
Columns  
0010  UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE  
Institutions shall report the unsettled transactions after their due delivery date at the respective 
agreed settlement prices as referred to in Article 378 CRR. 
All unsettled transactions shall be included in this column, irrespective of whether or not they 
are at a gain or at a loss after the due settlement date.  
0020  PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS  
Institutions shall report the price difference between the agreed settlement price and its current 
market value for the debt instrument, equity, foreign currency or commodity in question, 
where the difference could involve a loss for the institution, as referred to in Article 378 CRR. 
Only unsettled transactions at a loss after the due settlement date shall be reported in this 
column.  
0030  OWN FUNDS REQUIREMENTS  
Institutions shall report the own funds requirements calculated in accordance with Article 378 
CRR.  
0040  TOTAL SETTLEMENT RISK EXPOSURE AMOUNT  
In accordance with point (b) of Article 92(4) CRR, institutions shall multiply their own funds 
requirements reported in column 0030 by 12.5 in order to obtain the settlement risk 
exposure amount.EN L 97/360 Official Journal of the European Union 19.3.2021
 
Rows  
0010  Total unsettled transactions in the Non-trading Book  
Institutions shall report aggregated information about settlement/delivery risk for non-trading 
book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR). 
Institutions shall report in {r0010;c0010} the aggregated sum of unsettled transactions after 
their due delivery dates at the respective agreed settlement prices. 
Institutions shall report in {r0010;c0020} the aggregated information for price difference 
exposure due to unsettled transactions at a loss. 
Institutions shall report in {r0010;c0030] the aggregated own funds requirements derived 
from summing the own funds requirements for unsettled transactions by multiplying the 
‘price difference’ reported in column 0020 by the appropriate factor based on the number 
of working days after due settlement date (categories referred to in Table 1 of Article 378 
CRR).  
0020 to 0060  Transactions unsettled up to 4 days (Factor 0 %) 
Transactions unsettled between 5 and 15 days (Factor 8 %) 
Transactions unsettled between 16 and 30 days (Factor 50 %) 
Transactions unsettled between 31 and 45 days (Factor 75 %) 
Transactions unsettled for 46 days or more (Factor 100 %)  
Institutions shall report in rows 0020 to 0060 the information about settlement/delivery risk 
for non-trading book positions in accordance with the categories referred to in Table 1 of 
Article 378 CRR. 
No own funds requirements for settlement/delivery risk are required for transactions unsettled 
less than 5 working days after the due settlement date.  
0070  Total unsettled transactions in the Trading Book  
Institutions shall report aggregated information about settlement/delivery risk for trading book 
positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR). 
Institutions shall report in {r0070;c0010} the aggregated sum of unsettled transactions after 
their due delivery dates at the respective agreed settlement prices. 
Institutions shall report in {r0070;c0020} the aggregated information for price difference 
exposure due to unsettled transactions at a loss. 
Institutions shall report in {r0070;c0030} the aggregated own funds requirements derived 
from summing the own funds requirements for unsettled transactions by multiplying the 
‘price difference’ reported in column 0020 by an appropriate factor based on the number 
of working days after due settlement date (categories referred to in Table 1 of Article 378 
CRR).  
0080 to 0120  Transactions unsettled up to 4 days (Factor 0 %) 
Transactions unsettled between 5 and 15 days (Factor 8 %) 
Transactions unsettled between 16 and 30 days (Factor 50 %) 
Transactions unsettled between 31 and 45 days (Factor 75 %) 
Transactions unsettled for 46 days or more (Factor 100 %)  
Institutions shall report in rows 0080 to 0120 the information about settlement/delivery risk 
for trading book positions in accordance with the categories referred to in Table 1 of 
Article 378 CRR. 
No own funds requirements for settlement/delivery risk are required for transactions unsettled 
less than 5 working days after the due settlement date.EN 19.3.2021 Official Journal of the European Union L 97/361
 
3.7.  C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)  
3.7.1. General remarks  
106. Where institution acts as originator, the information in this template shall be required for all securiti ­
sations for which a significant risk transfer is recognised. Where the institution acts as investor, all 
exposures shall be reported.  
107. The information to be reported shall be contingent on the role of the institution in the securitisation 
process. As such, specific reporting items shall be applicable for originators, sponsors and investors.  
108. This template shall gather joint information on both traditional and synthetic securitisations held in the 
banking book.  
3.7.2. Instructions concerning specific positions  
Columns  
0010  TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED  
Originator institutions shall report the outstanding amount at the reporting date of all current 
securitisation exposures originated in the securitisation transaction, irrespective of who holds 
the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated 
loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, 
liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in 
the securitisation shall be reported. 
In case of traditional securitisations where the originator does not hold any position, the 
originator shall not consider that securitisation in the reporting of this template. For that 
purpose, securitisation positions held by the originator shall include early amortisation provi ­
sions, as defined in Article 242(16) CRR, in a securitisation of revolving exposures.  
0020-0040  SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES  
Articles 251 and 252 CRR. 
Maturity mismatches shall not be taken into account in the adjusted value of the credit risk 
mitigation techniques involved in the securitisation structure.  
0020  (-) FUNDED CREDIT PROTECTION (C  VA) 
The detailed calculation procedure of the volatility-adjusted value of the collateral (C  VA ) which 
shall be reported in this column is laid down in Article 223(2) CRR.  
0030  (-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)  
Following the general rule for ‘inflows’ and ‘outflows’, the amounts reported under this 
column shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR 
IRB) and exposure class to which the reporting entity allocates the protection provider (i.e. the 
third party to which the tranche is transferred by means of unfunded credit protection). 
The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the 
credit protection (G*) is laid down in Article 233(3) CRR.EN L 97/362 Official Journal of the European Union 19.3.2021
 
Columns  
0040  NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION  
All tranches which have been retained or bought back, e.g. retained first loss positions, shall 
be reported with their nominal amount. 
The effect of supervisory haircuts in the credit protection shall not be taken into account 
when computing the retained or repurchased amount of credit protection.  
0050  SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS  
This column shall include the exposure values of securitisation positions held by the reporting 
institution, calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, without 
applying credit conversion factors, gross of value adjustments and provisions, and any non- 
refundable purchase price discounts on the securitised exposures as referred to in point (d) of 
Article 248(1) CRR, and gross of value adjustments and provisions on the securitisation 
position. 
Netting shall only be relevant with respect to multiple derivative contracts provided to the 
same SSPE, covered by an eligible netting agreement. 
In synthetic securitisations, the positions held by the originator in the form of on-balance 
sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 
0040.  
0060  (-) VALUE ADJUSTMENTS AND PROVISIONS  
Article 248 CRR. Value adjustments and provisions to be reported in this column shall only 
refer to securitisation positions. Value adjustments of securitised exposures shall not be 
considered.  
0070  EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS  
This column shall include the exposure values of securitisation positions calculated in 
accordance with paragraphs 1 and 2 of Article 248 CRR, net of value adjustments and 
provisions, without applying conversion factors and gross of any non-refundable purchase 
price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, 
and net of value adjustments and provisions on the securitisation position.  
0080-0110  CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE 
EXPOSURE  
Point (57) of Article 4(1) CRR, Chapter 4 of Title II of Part Three CRR and Article 249 CRR 
Institutions shall report in these columns information on credit risk mitigation techniques that 
reduce the credit risk of an exposure or exposures via the substitution of exposures (as 
indicated below for Inflows and Outflows). 
Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation 
techniques with substitution effects on the exposure) shall be capped at the exposure value. 
Items to be reported here: 
1. collateral, incorporated in accordance with Article 222 CRR (Financial Collateral Simple 
Method); 
2. eligible unfunded credit protection.  
0080  (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (G  A) 
Unfunded credit protection as defined in Article 4(1)(59), Articles 234 to 236 CRR.EN 19.3.2021 Official Journal of the European Union L 97/363
 
Columns  
0090  (-) FUNDED CREDIT PROTECTION  
Funded credit protection as defined in Article 4(1)(58) CRR, as referred to in the first 
subparagraph of Article 249(2) CRR and as regulated in Articles 195, 197 and 200 CRR. 
Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 CRR 
shall be treated as cash collateral.  
0100-0110  SUBSTITUTION OF THE EXPOSURE DUE TO CRM:  
Inflows and outflows within the same exposure classes and, when relevant, risk weights or 
obligor grades shall be reported.  
0100  (-) TOTAL OUTFLOWS  
Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR. 
Outflows shall correspond to the covered part of the ‘Exposure net of value adjustments and 
provisions’ that is deducted from the obligor’s exposure class and, where relevant, risk weight 
or obligor grade, and subsequently assigned to the protection provider’s exposure class and, 
where relevant, risk weight or obligor grade. 
That amount shall be considered as an Inflow into the protection provider’s exposure class 
and, where relevant, risk weights or obligor grades.  
0110  TOTAL INFLOWS  
Securitisation positions which are debt securities and are used as eligible financial collateral in 
accordance with Article 197(1) CRR and where the Financial Collateral Simple Method is 
used, shall be reported as inflows in this column.  
0120  NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS  
This column shall include the exposures assigned in the corresponding risk weight and 
exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation 
(CRM) techniques with substitution effects on the exposure’.  
0130  (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: 
FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD 
ADJUSTED VALUE (CVAM)  
Articles 223 to 228 CRR 
The reported amount shall also include credit linked notes (Article 218 CRR).  
0140  FULLY ADJUSTED EXPOSURE VALUE (E*)  
The exposure value of securitisation positions calculated in accordance with Article 248 CRR, 
but without applying the conversion factors laid down in point (b) of Article 248(1) CRREN L 97/364 Official Journal of the European Union 19.3.2021
 
Columns  
0150  OF WHICH: SUBJECT TO A CCF OF 0 %  
Point (b) of Article 248(1) CRR 
In this respect, point (56) of Article 4(1) CRR defines a conversion factor. 
For reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % 
conversion factor.  
0160  (-)NON REFUNDABLE PURCHASE PRICE DISCOUNT  
In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from 
the exposure value of a securitisation position which is assigned a 1 250 % risk weight any 
non-refundable purchase price discounts connected with such underlying exposures to the 
extent that such discounts have caused the reduction of own funds.  
0170  (-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES  
In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from 
the exposure value of a securitisation position, which is assigned a 1 250 % risk weight or is 
deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on 
the underlying exposures as determined in accordance with Article 110 CRR.  
0180  EXPOSURE VALUE  
The exposure value of securitisation positions calculated in accordance with Article 248 CRR  
0190  (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS  
In accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) 
CRR, in case of a securitisation position to which a 1 250 % risk weight applies, institutions 
may, as an alternative to including the position in their calculation of risk-weighted exposure 
amounts, deduct from own funds the exposure value of the position.  
0200  EXPOSURE VALUE SUBJECT TO RISK WEIGHTS  
Exposure value minus the exposure value deducted from own funds.  
0210  SEC-IRBA  
Point (a) of Article 254(1) CRR  
0220-0260  BREAKDOWN BY RW BANDS  
SEC-IRBA exposures broken down by risk-weight bands.  
0270  OF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES)  
Article 255(4) CRR 
For the purpose of this column, retail exposures shall be treated as purchased retail receivables 
and non-retail exposures as purchased corporate receivables.  
0280  SEC-SA  
Point (b) of Article 254(1) CRREN 19.3.2021 Official Journal of the European Union L 97/365
 
Columns  
0290-0340  BREAKDOWN BY RW BANDS  
SEC-SA exposures broken down by risk-weight bands. 
For the RW = 1 250 % (W unknown), the fourth paragraph of point (b) of Article 261(2) 
CRR stipulates that the position in the securitisation shall be risk-weighted at 1 250 % where 
the institution does not know the delinquency status for more than 5 % of underlying 
exposures in the pool.  
0350  SEC-ERBA  
Point (c) of Article 254(1) CRR  
0360-0570  BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS)  
Article 263 CRR 
SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) CRR 
shall be reported as positions with a rating. 
Exposure values subject to risk weights shall be broken down by short and long-term and 
credit quality steps (CQS) as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 
of Article 264 CRR.  
0580-0630  BREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBA  
For each securitisation position, institutions shall consider one of the following options in 
columns 0580-0620.  
0580  AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES  
Point (c) of Article 254(2) CRR 
All auto loans, auto leases and equipment leases shall be reported in this column, even if they 
qualify for point (a) or (b) of Article 254(2) CRR.  
0590  SEC-ERBA OPTION  
Article 254(3) CRR  
0600  POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR  
Point (a) of Article 254(2) CRR  
0610  POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR  
Point (b) of Article 254(2) CRR  
0620  POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) CRR  
Securitisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA 
has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) 
CRR  
0630  FOLLOWING THE HIERARCHY OF APPROACHES  
Securitisation positions where SEC-ERBA is applied by following the hierarchy of approaches 
laid down in Article 254(1) CRREN L 97/366 Official Journal of the European Union 19.3.2021
 
Columns  
0640  INTERNAL ASSESSMENT APPROACH  
Article 254(5) CRR on the ‘Internal Assessment Approach’ (IAA) for positions in ABCP 
programmes  
0650-0690  BREAKDOWN BY RW BANDS  
Internal Assessment Approach exposures broken down by risk-weight bands  
0700  OTHER (RW = 1 250 %)  
Where none of the previous approaches is applied, a risk weight of 1 250 % shall be assigned 
to securitisation positions in accordance with Article 254(7) CRR.  
0710-0860  RISK-WEIGHTED EXPOSURE AMOUNT  
Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of 
Title II of Part Three CRR, prior to adjustments due to maturity mismatches or infringement 
of due diligence provisions, and excluding any risk weighted exposure amount corresponding 
to exposures redistributed via outflows to another template.  
0840  IAA: AVERAGE RISK WEIGHT (%)  
The exposure-weighted average risk weights of the securitisation positions shall be reported in 
this column.  
0860  RWEA OF WHICH: SYNTHETIC SECURITISATIONS  
For synthetic securitisations with maturity mismatches, the amount to be reported in this 
column shall ignore any maturity mismatch.  
0870  ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY 
MISMATCHES  
Maturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with 
Article 252 CRR, shall be included, except in the case of tranches subject to a risk weighting 
of 1 250 % where the amount to be reported shall be zero. RW(SP) shall not only include the 
risk weighted exposure amounts reported under column 0650, but also the risk weighted 
exposure amounts corresponding to exposures redistributed via outflows to other templates.  
0880  OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION 
(EU) 2017/2402  ( 10 ) 
In accordance with Article 270a CRR, whenever certain requirements are not met by the 
institution, competent authorities shall impose a proportionate additional risk weight of no 
less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant 
securitisation positions under Section 3 of Chapter 5 of Title II of Part Three CRR.  
0890  BEFORE CAP  
Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of 
Title II of Part Three CRR, before applying the limits specified in Articles 267 and 268 CRR.EN 19.3.2021 Official Journal of the European Union L 97/367  
( 10 ) Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework 
for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Dire ctives 
2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, 
p. 35).
 Columns  
0900  (-) REDUCTION DUE TO RISK WEIGHT CAP  
In accordance with Article 267 CRR, an institution which has knowledge at all times of the 
composition of the underlying exposures may assign the senior securitisation position a 
maximum risk weight equal to the exposure-weighted-average risk weight that would be 
applicable to the underlying exposures as if the underlying exposures had not been securitised.  
0910  (-) REDUCTION DUE TO OVERALL CAP  
In accordance with Article 268 CRR, an originator institution, a sponsor institution or other 
institution using the SEC-IRBA or an originator institution or sponsor institution using the 
SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation 
position it holds equal to the capital requirements that would be calculated under Chapter 2 or 
3 of Title II of Part Three CRR in respect of the underlying exposures had they not been 
securitised.  
0920  TOTAL RISK-WEIGHTED EXPOSURE AMOUNT  
Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of 
Title II of Part Three CRR, considering the total risk weight as specified in Article 247(6) CRR.  
0930  MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE 
OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES  
Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant 
provider, and therefore computed in the corresponding template, that are considered in the 
computation of the cap for securitisation positions.  
109. The template is divided into three major blocks of rows which gather data on the originated/sponsored/ 
retained or purchased exposures by originators, investors and sponsors. For each of them, the information 
shall be broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as if 
it is subject to differentiated capital treatment or not.  
110. Positions treated in accordance with the SEC-ERBA and unrated positions (exposures at reporting date) 
shall be broken down in accordance with the credit quality steps applied at inception (last block of rows). 
Originators, sponsors as well as investors shall report this information.  
Rows  
0010  TOTAL EXPOSURES  
Total exposures refer to the total amount of outstanding securitisations and re-securitisations. 
This row summarises all the information reported by originators, sponsors and investors in 
subsequent rows.  
0020  SECURITISATION POSITIONS  
Total amount of outstanding securitisation positions, as defined in point (62) of Article 4(1) 
CRR, which are not re-securitisations as defined in point (63) of Article 4(1) CRR.  
0030  QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
Total amount of securitisation positions which fulfil the criteria of Article 243 or 270 CRR 
and therefore qualify for differentiated capital treatment.EN L 97/368 Official Journal of the European Union 19.3.2021
 
Rows  
0040  STS EXPOSURES  
Total amount of STS securitisation positions that meet the requirements set out in Article 243 
CRR.  
0050  SENIOR POSITION IN SMEs SECURITISATIONS  
Total amount of senior securitisation positions in SMEs which meet the conditions set out in 
Article 270 CRR.  
0060, 0120, 
0170, 0240, 
0290, 0360 
and 0410  NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
Paragraphs 1, 4, 5 and 6 of Article 254 and Articles 259, 261, 263, 265, 266 and 269 CRR 
Total amount of securitisation positions which do not qualify for differentiated capital treat ­
ment.  
0070, 0190, 
0310 and 
0430  RE-SECURITISATION POSITIONS  
Total amount of outstanding re-securitisations positions as defined in point (64) of Article 4(1) 
CRR.  
0080  ORIGINATOR: TOTAL EXPOSURES  
This row summarises information on on-balance items and off-balance sheet items and 
derivatives of those securitisation and re-securitisation positions for which the institution 
plays the role of originator, as defined in point (13) of Article 4(1) CRR.  
0090-0130, 
0210-0250 
and 0330- 
0370  SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS  
In accordance with point (a) of Article 248(1) CRR, the exposure value of an on-balance sheet 
securitisation position shall be its accounting value remaining after any relevant specific credit 
risk adjustments on the securitisation position have been applied in accordance with 
Article 110 CRR. 
On-balance sheet items shall be broken down to capture information regarding application of 
differentiated capital treatment, as referred to in Article 243 CRR, in rows 0100 and 0120 
and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, 
in rows 0110 and 0130.  
0100, 0220 
and 0340  QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
Total amount of securitisation positions which fulfil the criteria of Article 243 CRR and 
therefore qualify for differentiated capital treatment.EN 19.3.2021 Official Journal of the European Union L 97/369
 
Rows  
0110, 0130, 
0160, 0180, 
0230, 0250, 
0280, 0300, 
0350, 0370, 
400 and 420  OF WHICH: SENIOR EXPOSURES  
Total amount of senior securitisation positions as defined in Article 242(6) CRR.  
0140-0180, 
0260-0300 
and 0380- 
0420  SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES  
These rows shall gather information on off-balance sheet items and derivatives securitisation 
positions subject to a conversion factor under the securitisation framework. The exposure 
value of an off-balance sheet securitisation position shall be its nominal value, less any specific 
credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor 
unless otherwise specified. 
Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex 
II to the CRR, shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. 
The exposure value for the counterparty credit risk of a derivative instrument listed in Annex 
II to the CRR shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. 
For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the 
undrawn amount. 
For interest rate and currency swaps, the exposure value (calculated in accordance with 
Article 248(1) CRR) shall be provided. 
Off-balance sheet items and derivatives shall be broken down to capture information regarding 
the application of differentiated capital treatment, as referred to in Article 270 CRR, in rows 
0150 and 0170 and on the total amount of senior securitisation positions, as defined in 
Article 242(6) CRR, in rows 0160 and 0180. The same legal references as for rows 0100 to 
0130 shall apply.  
0150, 0270 
and 0390  QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
Total amount of securitisation positions which fulfil the criteria of Article 243 or Article 270 
CRR and therefore qualify for differentiated capital treatment.  
0200  INVESTOR: TOTAL EXPOSURES  
This row summarises information on on-balance and off-balance sheet items and derivatives 
of those securitisation and re-securitisation positions for which the institution plays the role of 
an investor. 
For the purposes of this template, an investor shall be understood as an institution that holds 
a securitisation position in a securitisation transaction for which it is neither originator nor 
sponsor.  
0320  SPONSOR: TOTAL EXPOSURES  
This row summarises information on on-balance and off-balance sheet items and derivatives 
of those securitisation and re-securitisation positions for which the institution plays the role of 
a sponsor, as defined in point (14) of Article 4(1) CRR. If a sponsor is also securitising its 
own assets, it shall fill in the originator’s rows with the information regarding its own 
securitised assets.EN L 97/370 Official Journal of the European Union 19.3.2021
 
Rows  
0440-0670  BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION  
These rows gather information on outstanding positions (at reporting date) for which a credit 
quality step (as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 
CRR) was determined at origination date (inception). For securitisations positions treated under 
IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of 
this information, the earliest CQS-equivalent data available shall be reported. 
These rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 
0740, 0760-0830 and 0850.  
3.8.  DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)  
3.8.1. Scope of the SEC DETAILS template  
111. These templates gather information on a transaction basis (versus the aggregate information reported in 
CR SEC, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting 
institution is involved in. The main features of each securitisation, such as the nature of the underlying 
pool and the own funds requirements shall be reported.  
112. These template are to be reported for:  
a. Securitisations originated/sponsored by the reporting institution, including where it holds no position 
in the securitisation. In cases where institutions hold at least one position in the securitisation, 
regardless of whether there has been a significant risk transfer or not, institutions shall report 
information on all the positions they hold (either in the banking book or trading book). Positions 
held include those positions retained due to Article 6 of Regulation (EU) 2017/2402 and, where 
Article 43(6) of that Regulation applies, Article 405 CRR in the version applicable on 31 December 
2018.  
b. Securitisations, the ultimate underlying of which are financial liabilities originally issued by the 
reporting institution and (partially) acquired by a securitisation vehicle. That underlying could 
include covered bonds or other liabilities and shall be identified as such in column 0160.  
c. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. 
investors and original lenders).  
113. These templates shall be reported by consolidated groups and stand-alone institutions (  11 ) located in the 
same country where they are subject to own funds requirements. In case of securitisations involving more 
than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.  
114. Because of Article 5 of Regulation (EU) 2017/2402, which establishes that institutions investing in 
securitisation positions shall acquire a great deal of information on them in order to comply with due 
diligence requirements, the reporting scope of the template shall be applied to investors to a limited 
extent. In particular, they shall report columns 0010-0040; 0070-0110; 0160; 0190; 0290-0300; 0310- 
0470.  
115. Institutions playing the role of original lenders (not performing also the role of originators or sponsors in 
the same securitisation) shall generally report the template to the same extent as investors.  
3.8.2 Breakdown of the SEC DETAILS template  
116. The SEC DETAILS consists of two templates. SEC DETAILS provides a general overview of the securiti ­
sations and SEC DETAILS 2 provides a breakdown of the same securitisations by approach applied.EN 19.3.2021 Official Journal of the European Union L 97/371  
( 11 ) ‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject  to own 
funds requirements.
 117. Securitisation positions in the trading book shall only be reported in columns 0005-0020, 0420, 0430, 
0431, 0432, 0440 and 0450-0470. For columns 0420, 0430 and 0440, institutions shall take into 
account the RW corresponding to the own funds requirement of the net position.  
3.8.3 C 14.00 – Detailed information on securitisations (SEC DETAILS)  
Columns  
0010  INTERNAL CODE  
Internal (alpha-numerical) code used by the institution to identify the securitisation 
The internal code shall be associated to the identifier of the securitisation transaction.  
0020  IDENTIFIER OF THE SECURITISATION (Code/Name)  
Code used for the legal registration of the securitisation transaction or, if not available, the 
name by which the securitisation transaction is known in the market, or within the institution 
in case of an internal or private securitisation 
Where the International Securities Identification Number -ISIN- is available (i.e. for public 
transactions), the characters that are common to all tranches of the securitisation shall be 
reported in this column.  
0021  INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?  
This column identifies whether the securitisation is an intra-group, private or public securiti ­
sation. 
Institutions shall report one of the following abbreviations: 
— ‘PRI’ for Private; 
— ‘INT’ for Intra-group; 
— ‘PUB’ for Public.  
0110  ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)  
Institutions shall report the following abbreviations: 
— ‘O’ for Originator; 
— ‘S’ for Sponsor; 
— ‘I’ for Investor. 
— ‘L’ for Original Lender. 
Originator as defined in point (13) of Article 4(1) CRR and Sponsor as defined in point (14) 
of Article 4(1) CRR. Investors are assumed to be those institutions to which Article 5 of 
Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 
applies, Articles 406 and 407 CRR in the version applicable on 31 December 2018 shall 
apply.EN L 97/372 Official Journal of the European Union 19.3.2021
 
Columns  
0030  IDENTIFIER OF THE ORIGINATOR (Code/Name)  
The LEI code applicable to the originator, or, if not available, the code given by the super ­
visory authority to the originator or, if that is not available, the name of the institution itself 
shall be reported in this column. 
In the case of multi-seller securitisations where the reporting institution is involved as orig ­
inator, sponsor or original lender, the reporting institution shall provide the identifier of all the 
entities within its consolidated group that are involved (as originator, sponsor or original 
lender) in the transaction. If the code is not available or is not known by the reporting 
institution, the name of the institution shall be reported. 
In the case of multi-seller securitisations where the reporting institution holds a position in the 
securitisation as an investor, the reporting institution shall provide the identifier of all the 
different originators involved in the securitisation, or, if not available, the names of the 
different originators. Where the names are not known by the reporting institution, the 
reporting institution shall report that the securitisation is ‘multi-seller’.  
0040  SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC/ABCP PROGRAMME/ABCP TRANS ­
ACTION)  
Institutions shall report the following abbreviations: 
— ‘AP’ for ABCP programme; 
— ‘AT’ for ABCP transaction; 
— ‘T’ for Traditional; 
— ‘S’ for Synthetic. 
The definitions of ‘Asset Backed Commercial Paper Programme’, ‘Asset Backed Commercial 
Paper Transaction’, ‘traditional securitisation’ and ‘synthetic securitisation’ are provided in 
points (11) to (14) of Article 242 CRR.  
0051  ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE 
BALANCE SHEET?  
Institutions as originators, sponsors and original lenders shall report one of the following 
abbreviations: 
— ‘K’ if entirely recognised; 
— ‘P’ if partially derecognised; 
— ‘R’ if entirely derecognised; 
— ‘N’ if not applicable. 
This column summarises the accounting treatment of the transaction. Significant risk transfer 
(SRT) under Articles 244 and 245 CRR shall not affect the accounting treatment of the 
transaction under the relevant accounting framework. 
In the case of securitisations of liabilities, originators shall not report this column. 
Option ‘P’ (partially removed) shall be reported where the securitised assets are recognised in 
the balance sheet to the extent of the reporting entity’s continuing involvement in accordance 
with IFRS 9.3.2.16 – 3.2.21.EN 19.3.2021 Official Journal of the European Union L 97/373
 
Columns  
0060  SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIRE ­
MENTS?  
Articles 109, 244 and 245 CRR 
Originators, only, shall report the following abbreviations: 
— ‘N’ not subject to own funds requirements; 
— ‘B’ banking book; 
— ‘T’ trading book; 
— ‘A’ partly in both books. 
This column shall summarise the solvency treatment of the securitisation scheme by the 
originator. It shall indicate whether own funds requirements are calculated on the basis of 
securitised exposures or securitisation positions (banking book/trading book). 
Where own funds requirements are based on  securitised exposures  (as no significant risk transfer 
was achieved) the calculation of own funds requirements for credit risk shall be reported in the 
CR SA template, for those securitised exposures for which the Standardised Approach is used, 
or in the CR IRB template for those securitised exposures for which the Internal Ratings Based 
Approach is used by the institution. 
Conversely, where own funds requirements are based on  securitisation positions held in the 
banking book  (as a significant risk transfer was achieved), the information on the calculation 
of own funds requirements for credit risk shall be reported in the CR SEC template. In case of  
securitisation positions held in the trading book , the information on the calculation of own funds 
requirements for market risk shall be reported in the MKR SA TDI (standardised general 
position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) 
or in the MKR IM (internal models) templates. 
In the case of the securitisations of liabilities, originators shall not report this column.  
0061  SIGNIFICANT RISK TRANSFER  
Originators, only, shall report the following abbreviations: 
— ‘N’ Not applied for SRT and the reporting entity risk weights its securitised exposures; 
— ‘A’ Achieved SRT under point (a) of Article 244(2) or point (a) of Article 245(2) CRR; 
— ‘B’ Achieved SRT under point (b) of Article 244(2) or point (b) of Article 245(2) CRR; 
— ‘C’ Achieved SRT under point (a) of Article 244(3) or point (a) of Article 245(3) CRR; 
— ‘D’ Applying a 1 250 % RW or deducting retained positions in accordance with point (b) 
of Article 244(1) or point (b) of Article 245(1) CRR. 
This column shall summariss whether a significant transfer has been achieved and, if so, by 
which means. The achievement of SRT will determine the appropriate solvency treatment by 
the originator.  
0070  SECURITISATION OR RE-SECURITISATION?  
In accordance with the definition of ‘securitisation’ in point (61) of Article 4(1) CRR and the 
definition of ‘re-securitisation’ in point (63) of Article 4(1) CRR, the type of securitisation 
using the following abbreviations shall be reported: 
— ‘S’ for securitisation; 
— ‘R’ for re-securitisation.EN L 97/374 Official Journal of the European Union 19.3.2021
 
Columns  
0075  STS SECURITISATION  
Article 18 of Regulation (EU) 2017/2402 
Institutions shall report one of the following abbreviations: 
Y – Yes; 
N – No.  
0446  SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
Articles 243 and 270 CRR 
Institutions shall report one of the following abbreviations: 
Y – Yes; 
N – No. 
‘Yes’ shall be reported both in case of STS securitisations qualifying for the differentiated 
capital treatment in accordance with Article 243 CRR and in case of senior positions in 
(non-STS) SME securitisations eligible for this treatment in accordance with Article 270 CRR.  
0080-0100  RETENTION  
Article 6 of the Regulation (EU) 2017/2402;in case Article 43(6) of Regulation (EU) 
2017/2402 applies, Article 405 CRR in the version of that Regulation applicable on 
31 December 2018.  
0080  TYPE OF RETENTION APPLIED  
For each securitisation scheme originated, the relevant type of retention of net economic 
interest as envisaged in Article 6 of Regulation (EU) 2017/2402 shall be reported: 
A – Vertical slice (securitisation positions): ‘ retention of no less than 5 % of the nominal value of 
each of the tranches sold or transferred to the investors ’; 
V – Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of 
each of the securitised exposures, if the credit risk thus retained with respect to such 
securitised exposures always ranks  pari passu  with, or is subordinated to, the credit risk that 
has been securitised with respect to those same exposures; 
B – Revolving exposures: ‘ in the case of securitisations of revolving exposures, retention of the 
originator’s interest of no less than 5 % of the nominal value of the securitised exposures ’; 
C- On-balance sheet: ‘ retention of randomly selected exposures, equivalent to no less than 5 % of the 
nominal amount of the securitised exposures, where such exposures would otherwise have been securitised 
in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at 
origination ’; 
D- First loss: ‘ retention of the first loss tranche and, if necessary, other tranches having the same or a 
more severe risk profile than those transferred or sold to investors and not maturing any earlier than 
those transferred or sold to investors, so that the retention equals in total no less than 5 % of the 
nominal value of the securitised exposures ’; 
E – Exempted. This code shall be reported for those securitisations affected by the application 
of Article 6(6) of Regulation (EU) 2017/2402; 
U – In breach or unknown. This code shall be reported where the reporting institution does 
not know with certainty which type of retention is being applied, or in case of non- 
compliance.EN 19.3.2021 Official Journal of the European Union L 97/375
 
Columns  
0090  % OF RETENTION AT REPORTING DATE  
The retention of  material net economic interest by the originator, sponsor or original lender  of the 
securitisation shall be not less than 5 % (at origination date). 
This column shall not be reported where codes ‘E’ (exempted) or ‘N’ (not applicable) are 
reported under column 0080 (Type of retention applied).  
0100  COMPLIANCE WITH THE RETENTION REQUIREMENT?  
Institutions shall report the following abbreviations: 
Y - Yes; 
N - No. 
This column shall not be reported where code ‘E’ (exempted) is reported under column 0080 
(Type of retention applied).  
0120-0130  NON ABCP PROGRAMMES  
Because of the special character of ABCP programmes resulting from the fact that they 
comprise several single securitisation positions, ABCP programmes (as defined in 
Article 242(11) CRR) shall be exempted from reporting in columns 0120, 0121 and 0130.  
0120  ORIGINATION DATE (yyyy-mm-dd)  
The month and year of the origination date (i.e. cut-off or closing date of the pool) of the 
securitisation shall be reported in the following format: ‘mm/yyyy’. 
For each securitisation scheme, the origination date cannot change between reporting dates. In 
the particular case of securitisation schemes backed by open pools, the origination date shall 
be the date of the first issuance of securities. 
This piece of information shall be reported even where the reporting entity does not hold any 
positions in the securitisation.  
0121  DATE OF LATEST ISSUANCE (yyyy-mm-dd)  
The month and year of the date of the latest issuance of securities in the securitisation shall be 
reported in the following format: ‘yyyy-mm-dd’. 
Regulation (EU) 2017/2402 only applies to securitisations the securities of which are issued 
on or after 1 January 2019. The date of the latest issuance of securities determines whether 
each securitisation scheme falls under the scope of Regulation (EU) 2017/2402. 
This information shall be reported even where the reporting entity does not hold any 
positions in the securitisation.EN L 97/376 Official Journal of the European Union 19.3.2021
 
Columns  
0130  TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE  
This column gathers the amount (calculated on the basis of original exposures pre-conversion 
factors) of the securitised portfolio at the origination date. 
For securitisation schemes backed by open pools, the amount referring to the origination date 
of the first issuance of securities shall be reported. For traditional securitisations, no other 
assets of the securitisation pool shall be included. For multi-seller securitisation schemes (i.e. 
with more than one originator), only the amount corresponding to the reporting entity’s 
contribution in the securitised portfolio shall be reported. For securitisations of liabilities, 
only the amounts issued by the reporting entity shall be reported. 
This information shall be reported even where the reporting entity does not hold any 
positions in the securitisation.  
0140-0225  SECURITISED EXPOSURES  
Columns 0140 to 0225 request information on several features of the securitised portfolio by 
the reporting entity.  
0140  TOTAL AMOUNT  
Institutions shall report the value of the securitised portfolio at reporting date, i.e. the 
outstanding amount of the securitised exposures. In the case of traditional securitisations, 
no other assets of the securitisation pool shall be included. In the case of multi-seller secu ­
ritisation schemes (i.e. with more than one originator), only the amount corresponding to the 
reporting entity’s contribution in the securitised portfolio shall be reported. In the case of 
securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be 
enlarged after the origination date), the amount will progressively be reduced. 
This information shall be reported even where the reporting entity does not hold any 
positions in the securitisation.  
0150  INSTITUTION’S SHARE (%)  
Institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. 
The figure to be reported in this column is, by default, 100 %, except for multi-seller secu ­
ritisation schemes. In that case, the reporting entity shall report its current contribution to the 
securitised portfolio (equivalent to column 0140 in relative terms). 
This information shall be reported even where the reporting entity does not hold any 
positions in the securitisation.EN 19.3.2021 Official Journal of the European Union L 97/377
 
Columns  
0160  TYPE  
This column gathers information on the type of assets (‘Residential mortgages’ to ‘Other 
wholesale exposures’) or liabilities (‘Covered bonds’ and ‘Other liabilities’) of the securitised 
portfolio. The institution shall report one of the following options, considering the highest 
EAD:  
Retail:  
Residential mortgages; 
Credit card receivables; 
Consumer loans; 
Loans to SMEs (treated as retail); 
Other retail exposures.  
Wholesale:  
Commercial mortgages; 
Leasing; 
Loans to corporates; 
Loans to SMEs (treated as corporates); 
Trade receivables; 
Other wholesale exposures.  
Liabilites:  
Covered bonds; 
Other liabilities. 
Where the pool of securitised exposures is a mix of the types listed above, the institution shall 
indicate the most important type. In case of re-securitisations, the institution shall refer to the 
ultimate underlying pool of assets. Type ‘Other liabilities’ includes treasury bonds and credit 
linked notes. 
For securitisation schemes backed by closed pools the type cannot change between reporting 
dates.  
0171  % OF IRB IN APPROACH APPLIED  
This column gathers information on the approach(es) that at the reporting date the institution 
would apply to the securitised exposures. 
Institutions shall report the percentage of the securitised exposures, measured by exposure 
value, to which the Internal Ratings Based Approach applies at the reporting date. 
This information shall be reported even where the reporting entity does not hold any 
positions in the securitisation. This column shall, however, not apply to securitisations of 
liabilities.EN L 97/378 Official Journal of the European Union 19.3.2021
 
Columns  
0180  NUMBER OF EXPOSURES  
Article 259(4) CRR 
This column shall be compulsory for those institutions using the SEC-IRBA approach to the 
securitisation positions (and, therefore, reporting more than 95 % in column 171). The insti ­
tution shall report the effective number of exposures. 
This column shall not be reported in case of a securitisation of liabilities or where the own 
funds requirements are based on the securitised exposures (in case of a securitisation of assets). 
This column shall not be reported where the reporting institution does not hold any positions 
in the securitisation. This column shall not be reported by investors.  
0181  EXPOSURES IN DEFAULT ‘W’ (%)  
Article 261(2) CRR 
Even where the institution is not applying the SEC-SA approach to the securitisation positions, 
the institution shall report the ‘W’ factor (relating to the underlying exposures in default) 
which is to be calculated as indicated in Article 261(2) CRR.  
0190  COUNTRY  
Institutions shall report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate 
underlying of the transaction, i.e. the country of the immediate obligor of the original 
securitised exposures (look through). Where the pool of the securitisation consists of 
different countries, the institution shall indicate the most important country. Where no 
country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘other coun ­
tries’ shall be reported.  
0201  LGD (%)  
The exposure-weighted average loss-given-default (LGD) shall only be reported by those insti ­
tutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0170). The 
LGD is to be calculated as indicated in Article 259(5) CRR. 
This column shall not be reported in case of a securitisation of liabilities or where the own 
funds requirements are based on the securitised exposures (in case of a securitisation of assets).  
0202  EL (%)  
The exposure-weighted average expected loss (EL) of the securitised assets shall only be 
reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or 
more in column 0171). In the case of SA securitised assets, the EL reported shall be the 
specific credit risk adjustments as referred to in Article 111 CRR. The EL shall be calculated as 
indicated in Section 3, Chapter 3 of Title II, Part Three CRR. This column shall not be 
reported in case of securitisation of liabilities or where the own funds requirements are 
based on the securitised exposures (in case of a securitisation of assets).  
0203  UL (%)  
The exposure-weighted average unexpected loss (UL) of the securitised assets shall only be 
reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more 
in column 0170). The UL of assets equals the risk-weighted exposure amount (RWEA) times 
8 %. RWEA shall be calculated as indicated in Section 2, Chapter 3 of Title II, Part Three CRR. 
This column shall not be reported in case of securitisation of liabilities or where the own 
funds requirements are based on the securitised exposures (in the case of a securitisation of 
assets).EN 19.3.2021 Official Journal of the European Union L 97/379
 
Columns  
0204  EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS  
The exposure-weighted average maturity (WAM) of the securitised assets at the reporting date 
shall be reported by all institutions regardless of the approach used for calculating capital 
requirements. Institutions shall calculate the maturity of each asset in accordance with points 
(a) and (f) of Article 162(2) CRR, without applying the 5 year cap.  
0210  (-) VALUE ADJUSTMENTS AND PROVISIONS  
Value adjustments and provisions (Article 159 CRR) for credit losses made in accordance with 
the accounting framework to which the reporting entity is subject. Value adjustments shall 
include any amount recognised in profit or loss for credit losses of financial assets since their 
initial recognition in the balance sheet (including losses due to credit risk of financial assets 
measured at fair value that shall not be deducted from the exposure value) plus the discounts 
on assets purchased when in default as referred to in Article 166(1) CRR. Provisions shall 
include accumulated amounts of credit losses in off-balance sheet items. 
This column gathers information on the value adjustments and provisions applied to the 
securitised exposures. This column shall not be reported in the case of a securitisation of 
liabilities. 
This information shall be reported even where the reporting entity does not hold any 
positions in the securitisation.  
0221  OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) K  IRB 
This column shall only be reported by those institutions applying the SEC-IRBA (and, 
therefore, reporting 95 % or more in column 171) and gathers information on K  IRB , as 
referred to in Article 255 CRR. K  IRB shall be expressed as a percentage (with two decimals). 
This column shall not be reported in case of a securitisation of liabilities. In case of a 
securitisation of assets, this information shall be reported even where the reporting entity 
does not hold any positions in the securitisation.  
0222  % OF RETAIL EXPOSURES IN IRB POOLS  
IRB pools as defined in Article 242(7) CRR, provided that the institution is able to calculate 
K IRB in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR on a minimum of 
95 % of the underlying exposure amount (Article 259(2) CRR)  
0223  OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) K  sa 
Even where the institution does not apply the SEC-SA approach to the securitisation positions, 
the institution shall report this column. This column gathers information on K  SA , as referred 
to in Article 255(6) CRR. K  SA shall be expressed as a percentage (with two decimals). 
This column shall not be reported in case of a securitisation of liabilities. In case of a 
securitisation of assets, this information shall be reported even where the reporting entity 
does not hold any positions in the securitisation.  
0225  MEMORANDUM ITEMS  
0225  CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD  
Article 110 CRREN L 97/380 Official Journal of the European Union 19.3.2021
 
Columns  
0230-0304  SECURITISATION STRUCTURE  
This block of columns gathers information on the structure of the securitisation on the basis 
of on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity at 
reporting date. 
For multi-seller securitisations, only the amount corresponding or attributed to the reporting 
institution shall be reported.  
0230-0252  ON-BALANCE SHEET ITEMS  
This block of columns gathers information on on-balance sheet items broken down by 
tranches (senior/mezzanine/first loss).  
0230-0232  SENIOR  
0230  AMOUNT  
The amount of senior securitisation positions as defined in Article 242(6) CRR.  
0231  ATTACHMENT POINT (%)  
The attachment point (%) as referred to in Article 256(1) CRR  
0232 and 
0252  CQS  
Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Table 1 and 2 in 
Article 263 and Tables 3 and 4 in Article 264 CRR). These columns shall be reported for all 
rated transactions irrespective of the approach applied.  
0240-0242  MEZZANINE  
0240  AMOUNT  
The amount to be reported includes: 
— mezzanine securitisation positions as defined in Article 242(18) CRR; 
— additional securitisation positions which are not those positions that are defined in 
Article 242(6), (17) or (18) CRR.  
0241  NUMBER OF TRANCHES  
Number of mezzanine tranches.  
0242  CQS OF THE MOST SUBORDINATED ONE  
CQS, as determined in accordance with Table 2 of Article 263 and Table 3 of Article 264 
CRR, of the most subordinated mezzanine tranche.  
0250-0252  FIRST LOSS  
0250  AMOUNT  
The amount of first loss tranche as defined in Article 242(17) CRR  
0251  DETACHMENT POINT (%)  
The detachment point (%) as referred to in Article 256(2) CRREN 19.3.2021 Official Journal of the European Union L 97/381
 
Columns  
0260-0280  OFF-BALANCE SHEET ITEMS AND DERIVATIVES  
This block of columns gathers information on off-balance sheet items and derivatives broken 
down by tranches (senior/mezzanine/first loss). 
The same criteria of classification among tranches used for on-balance sheet items shall be 
applied here.  
0290-0300  MATURITY  
0290  FIRST FORESEEABLE TERMINATION DATE  
The likely termination date of the whole securitisation in the light of its contractual clauses 
and the currently expected financial conditions. Generally, it would be the earliest of the 
following dates: 
(i) the date when a clean-up call option (as defined in Article 242(1) CRR) might first be 
exercised, taking into account the maturity of the underlying exposure(s) as well as their 
expected pre-payment rate or potential re-negotiation activities; 
(ii) the date on which the originator may first exercise any other call option embedded in the 
contractual clauses of the securitisation which would result in the total redemption of the 
securitisation. 
The day, month and year of the first expected termination date shall be reported. The exact 
day shall be reported where that information is available, otherwise the first day of the month 
shall be reported.  
0291  ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION  
Type of call relevant for the first expected termination date: 
— Clean-up call option meeting the requirements of point (g) of Article 244(4) CRR; 
— Other clean-up call option; 
— Other type of call option.  
0300  LEGAL FINAL MATURITY DATE  
The date upon which all principal and interest of the securitisation must be legally repaid 
(based on the transaction documentation). 
The day, month and year of the legal final maturity date shall be reported. The exact day shall 
be reported where that information is available, otherwise the first day of the month shall be 
reported.  
0302-0304  MEMORANDUM ITEMS  
0302  ATTACHMENT POINT OF RISK SOLD (%)  
Originators, only, shall report the attachment point of the most subordinated tranche sold to, 
for traditional securitisations, or protected by, for synthetic securitisations, third parties.  
0303  DETACHMENT POINT OF RISK SOLD (%)  
Originators, only, shall report the detachment point of the most senior tranche sold to, 
fortraditional securitisations, or protected by, for synthetic securitisations, third parties.EN L 97/382 Official Journal of the European Union 19.3.2021
 
Columns  
0304  RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)  
Originators, only, shall report the Expected Loss (EL) plus the Unexpected loss (UL) of the 
securitised assets transferred to third parties as a percentage of the total EL plus UL. The EL 
and UL of the underlying exposures shall be reported, which shall then be allocated via the 
securitisation waterfall to the respective tranches of the securitisation. For SA banks, EL shall 
be the specific credit risk adjustment of the securitised assets and the UL shall be the capital 
requirement of the securitised exposures.  
3.8.4. C 14.01 – Detailed information on securitisations (SEC DETAILS 2)  
118. The template SEC DETAILS 2 shall be reported separately for the following approaches:  
1) SEC-IRBA;  
2) SEC-SA;  
3) SEC-ERBA;  
4) 1 250 %.  
Columns  
0010  INTERNAL CODE  
Internal (alpha-numerical) code used by the institution to identify the securitisation. The 
internal code shall be associated to the identifier of the securitisation transaction.  
0020  IDENTIFIER OF THE SECURITISATION (Code/Name)  
Code used for the legal registration of the securitisation position, or transaction in case of 
several positions that can be reported in the same row, or, if not available, the name by which 
the securitisation position or transaction is known in the market, or within the institution in 
the case of an internal or private securitisation. Where the International Securities Identifi ­
cation Number -ISIN- is available (i.e. for public transactions), the characters that are common 
to all tranches of the securitisation shall be reported in this column.  
0310-0400  SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS  
This block of columns gathers information on the securitisation positions broken down by 
on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.  
0310-0330  ON-BALANCE SHEET ITEMS  
The same criteria of classification among tranches used for columns 0230, 0240 and 0250 
shall be applied here.  
0340-0361  OFF-BALANCE SHEET ITEMS AND DERIVATIVES  
The same criteria of classification among tranches used for columns 0260 to 0280 shall be 
applied here.  
0351 and 
0361  RW CORRESPONDING TO PROTECTION PROVIDER/INSTRUMENT  
% RW of the eligible guarantor or % RW of the corresponding instrument that provides credit 
protection in accordance with Article 249 CRR.EN 19.3.2021 Official Journal of the European Union L 97/383
 
Columns  
0370-0400  MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE-CONVERSION 
FACTORS  
This block of columns gathers additional information on the total off-balance sheet items and 
derivatives (which are already reported under a different breakdown in columns 0340-0361).  
0370  DIRECT CREDIT SUBSTITUTES (DCS)  
This column applies to those securitisation positions held by the originator and guaranteed 
with direct credit substitutes (DCS). 
In accordance with Annex I to CRR, the following full risk off-balance sheet items shall be 
regarded as DCS: 
— Guarantees having the character of credit substitutes.  
— Irrevocable standby letters of credit having the character of credit substitutes.  
0380  IRS/CRS  
IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. Those 
derivatives are listed in Annex II to the CRR.  
0390  LIQUIDITY FACILITIES  
Liquidity facilities (LF) as defined in Article 242(3) CRR.  
0400  OTHER  
Remaining off-balance sheet items.  
0411  EXPOSURE VALUE  
This information is closely related to column 0180 in the CR SEC template.  
0420  (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS  
This information is closely related to column 0190 in the CR SEC template. 
A negative figure shall be reported in this column.  
0430  TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP  
This column gathers information on the risk weighted exposure amount before cap applicable 
to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For 
securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount 
determined on the basis of securitised exposures), no data shall be reported in this column. 
In the case of securitisations of liabilities, this column shall not be reported. 
In the case of securitisations in the trading book, the RWEA concerning the specific risk shall 
be reported. See column 0570 of MKR SA SEC, or columns 0410 and 0420 (the relevant for 
the own funds requirement) of MKR SA CTP, respectively.EN L 97/384 Official Journal of the European Union 19.3.2021
 
Columns  
0431  (-) REDUCTION DUE TO RISK WEIGHT CAP  
Article 267 CRR  
0432  (-) REDUCTION DUE TO OVERALL CAP  
Article 268 CRR  
0440  TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP  
This column gathers information on the risk weighted exposure amount after caps applicable 
to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For 
securitisation schemes without significant risk transfer (i.e. own funds requirements 
determined on the basis of securitised exposures) no data shall be reported in this column. 
In the case of securitisations of liabilities, this column shall not be reported. 
In the case of securitisations in the trading book, the RWEA concerning the specific risk shall 
be reported. See column 0600 of MKR SA SEC, or column 0450 of MKR SA CTP, respect ­
ively.  
0447-0448  MEMORANDUM ITEMS  
0447  RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA  
Articles 263 and 264 CRR. This column shall only be reported for rated transactions before 
cap and it shall not be reported for transactions under SEC-ERBA.  
0448  RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA  
Articles 261 and 262 CRR. This column shall be reported before cap and it shall not be 
reported for transactions under SEC-SA.  
0450-0470  SECURITISATION POSITIONS – TRADING BOOK  
0450  CTP OR NON-CTP?  
Institutions shall report the following abbreviations: 
C – Correlation Trading Portfolio (CTP); 
N – Non-CTP  
0460-0470  NET POSITIONS – LONG/SHORT  
See columns 0050/0060 of MKR SA SEC or MKR SA CTP, respectively.  
3.9.  COUNTERPARTY CREDIT RISK  
3.9.1. Scope of the counterparty credit risk templates  
119. The counterparty credit risk templates cover information on exposures subject to counterparty credit risk 
in application of Chapters 4 and 6 of Title II of Part Three CRR.EN 19.3.2021 Official Journal of the European Union L 97/385
 
120. The templates exclude the own funds requirements for CVA risk (point (d) of Article 92(3) and Title VI of 
Part Three CRR), which are reported in the CVA risk template.  
121. Counterparty credit risk exposures to central counterparties (Chapter 4 and Section 9 of Chapter 6 of 
Title II of Part Three CRR) should be included in the CCR figures, unless otherwise stated. However, 
default fund contributions calculated in accordance with Articles 307 to 310 CRR shall not be reported 
in the counterparty credit risk templates, with the exception of template C 34.10, in particular the 
corresponding rows. Generally, the risk weighted exposure amounts of default fund contributions are 
directly reported in template C 02.00 row 0460.  
3.9.2. C 34.01 – Size of the derivative business  
3.9.2.1. General remarks  
122. In accordance with Article 273a CRR an institution may calculate the exposure value of its derivative 
positions in accordance with the method set out in Section 4 or 5 of Chapter 6 of Title II of Part Three 
CRR, provided that the size of its on- and off-balance-sheet derivative business is equal to or less than 
pre-defined thresholds, respectively. The corresponding assessment is to be carried out on a monthly basis 
using the data as of the last day of the month. This template provides the information on the compliance 
with those thresholds and, more generally, important information on the size of the derivative business.  
123. Month 1, Month 2 and Month 3 refer to the first, second and last month, respectively, of the quarter that 
is being reported. Information shall be reported only for month-ends after the 28 June 2021.  
3.9.2.2. Instructions concerning specific positions  
Columns  
0010,0040, 
0070  LONG DERIVATIVE POSITIONS  
Article 273a(3) CRR  
The sum of the absolute market values of long derivative positions on the last date of the 
month shall be reported.  
0020,0050, 
0080  SHORT DERIVATIVE POSITIONS  
Article 273a(3) CRR  
The sum of the absolute market values of short derivative positions on the last date of the 
month shall be reported.  
0030,0060, 
0090  TOTAL  
Point (b) of Article 273a(3) CRR 
The sum of the absolute value of long derivative positions and the absolute value of short 
derivative positions.  
Rows  
0010  Size of the derivative business  
Article 273a(3) CRR 
All on- and off-balance sheet derivatives shall be included, except credit derivatives that are 
recognised as internal hedges against non-trading book credit risk exposures.  
0020  On- and off-balance sheet derivatives  
Point (a) and (b) Article 273a(3) CRR 
The total market value of the on- and off-balance sheet derivative positions as of the last day 
of the month shall be reported. Where the market value of a position is not available on that 
date, institutions shall take a fair value for the position on that date; where the market value 
and fair value of a position are not available on that date, institutions shall take the most 
recent of the market value or fair value for that position.EN L 97/386 Official Journal of the European Union 19.3.2021
 
Rows  
0030  (-) Credit derivatives that are recognised as internal hedges against non-trading book 
credit risk exposures  
Point (c) of Article 273a(3) CRR 
The total market value of the credit derivatives that are recognised as internal hedges against 
non-trading book credit risk exposures.  
0040  Total assets  
The total assets in accordance with the applicable accounting standards. 
For consolidated reporting the institution shall report the total assets following the prudential 
scope of consolidation in accordance with Section 2 of Chapter 2 of Title II of Part One CRR.  
0050  Percentage of total assets  
Ratio to be calculated taking the size of the derivative business (row 0010) divided by total 
assets (row 0040).  
DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) CRR  
0060  Are the conditions of Article 273a(4) crr met, including the approval from the 
competent authority?  
Article 273a(4) CRR 
Institutions that exceed the thresholds to use a simplified approach for counterparty credit risk 
but which are still using one of them on the basis of Article 273a(4) CRR, shall indicate (with 
Yes/No) whether they meet all the conditions of that article. 
This item shall be reported only by those institutions applying the derogation in accordance 
with Article 273a(4) CRR.  
0070  Method for calculating exposure values at consolidated level  
Article 273a(4) CRR 
The method for calculating the exposure values of derivative positions on consolidated basis 
which is also used on solo entity level in accordance with Article 273a(4) CRR: 
— OEM: Original Exposure Method 
— Simplified SA-CCR: Simplified standardised approach for counterparty credit risk 
This item shall be reported only by those institutions applying the derogation in accordance 
with Article 273a(4) CRR.  
3.9.3. C 34.02 – CCR exposures by approach  
3.9.3.1. General remarks  
124. Institutions shall report the template separately for all CCR exposures and for all CCR exposures 
excluding exposures to central counterparties (CCPs) as defined for the purpose of template C 34.10.  
3.9.3.2. Instructions concerning specific positionsEN 19.3.2021 Official Journal of the European Union L 97/387
 
Columns  
0010  NUMBER OF COUNTERPARTIES  
Number of individual counterparties towards which the institution has CCR exposures.  
0020  NUMBER OF TRANSACTIONS  
Number of transactions subject to counterparty credit risk at the reporting date. Note that for 
CCP business numbers should not comprise in or outflows but the overall positions in the 
CCR portfolio at the reporting date. Furthermore, a derivative instrument or SFT that is split 
into two or more legs (at least) for the sake of modelling shall still be considered as one single 
transaction.  
0030  NOTIONAL AMOUNTS  
Sum of the notional amounts for derivatives and for SFTs before any netting and without any 
adjustments in accordance with Article 279b CRR.  
0040  CURRENT MARKET VALUE (CMV), POSITIVE  
Article 272(12) CRR 
Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in 
Article 272(12) CRR.  
0050  CURRENT MARKET VALUE (CMV), NEGATIVE  
Article 272(12) CRR 
Sum of the absolute current market values (CMV) of all the netting sets with negative CMV as 
defined in Article 272(12) CRR.  
0060  VARIATION MARGIN (VM), RECEIVED  
Article 275(2), 275(3) and 276 CRR 
Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is 
received, computed in accordance with Article 276 CRR.  
0070  VARIATION MARGIN (VM), POSTED  
Article 275(2), 275(3) and 276 CRR 
Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is 
posted, computed in accordance with Article 276 CRR.  
0080  NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED  
Article 272(12a), 275(3) and 276 CRR 
Sum of the net independent collateral amounts (NICA) of all the margin agreements for which 
the NICA is received, computed in accordance with Article 276 CRR.EN L 97/388 Official Journal of the European Union 19.3.2021
 
Columns  
0090  NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED  
Article 272(12a), 275(3) and 276 CRR 
Sum of the net independent collateral amounts (NICA) of all the margin agreements for which 
the NICA is posted, computed in accordance with Article 276 CRR.  
0100  REPLACEMENT COST (RC)  
Articles 275, 281 and 282 CRR 
The replacement cost (RC) per netting set shall be calculated in accordance with: 
— Article 282(3) CRR for the Original Exposure Method, 
— Article 281 CRR for the Simplified SA-CCR, 
— Article 275 CRR for the SA-CCR. 
The institution shall report the sum of the replacement costs of the netting sets in the 
respective row.  
0110  POTENTIAL FUTURE EXPOSURE (PFE)  
Articles 278, 281 and 282 CRR 
The potential future exposure (PFE) per netting set shall be calculated in accordance with: 
— Article 282(4) CRR for the Original Exposure Method, 
— Article 281 CRR for the Simplified SA-CCR, 
— Article 278 CRR for the SA-CCR. 
The institution shall report the sum of all potential future exposures of the netting sets in the 
respective row.  
0120  CURRENT EXPOSURE  
Article 272(17) CRR 
The current exposure per netting set shall be the value as defined under Article 272(17) CRR. 
The institution shall report the sum of all current exposures of the netting sets in the 
respective row.  
0130  EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE)  
Articles 272(22) and 284(3) and 284(6) CRR 
The EEPE per netting set is defined in Article 272(22) CRR and shall be calculated in 
accordance with Article 284(6) CRR. 
The institution shall report the sum of all EEPEs applied for the determination of own funds 
requirements in accordance with Article 284(3) CRR, i.e. either the EEPE calculated using 
current market data, or the EEPE calculated using a stress calibration, whichever leads to a 
higher own funds requirement.EN 19.3.2021 Official Journal of the European Union L 97/389
 
Columns  
0140  ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE  
Articles 274(2), 282(2), 281(1), 284(4) and (9) CRR 
The value of α is fixed as 1.4 in the rows for OEM, Simplified SA-CCR and SA-CCR in 
accordance with Articles 282(2), 281(1) and 274(2) CRR. For IMM purposes, the value of α 
can either be the default of 1.4 or different when competent authorities require a higher α in 
accordance with Article 284(4) CRR or permit institutions to use their own estimates in 
accordance with Article 284(9) CRR.  
0150  EXPOSURE VALUE PRE-CRM  
The exposure value pre-CRM for CCR netting sets shall be calculated in accordance with the 
methods laid down in Chapters 4 and 6 of Title II of Part Three CRR taking into account the 
effect of netting, but disregarding any other credit risk mitigation techniques (e.g. margin 
collateral). 
In the case of SFTs the security leg shall not be considered in the determination of the 
exposure value pre-CRM when collateral is received and therefore shall not decrease the 
exposure value. On the contrary, the SFTs security leg shall be considered in the determination 
of the exposure value pre-CRM in the regular way when collateral is posted. 
Furthermore, collateralised business shall be handled as uncollateralised, i.e. no margining 
effects apply. 
The exposure value pre-CRM for transactions where specific wrong way risk has been 
identified must be determined in accordance with Article 291 CRR. 
The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in 
accordance with Article 273(6) CRR. 
The institution shall report the sum of all exposure values pre-CRM in the respective row.  
0160  EXPOSURE VALUE POST-CRM  
The exposure value post-CRM for CCR netting sets shall be calculated in accordance with the 
methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, having applied CRM 
techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR. 
The exposure value post-CRM for transactions where specific wrong way risk has been 
identified must be determined in accordance with Article 291 CRR. 
The exposure value post-CRM shall not consider the deduction of the incurred CVA loss in 
accordance with Article 273(6) CRR. 
The institution shall report the sum of all exposure values post-CRM in the respective row.  
0170  EXPOSURE VALUE  
Exposure value for CCR netting sets calculated in accordance with the methods laid down in 
Chapters 4 and 6 of Title II of Part Three CRR, which is the amount relevant for the 
calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as 
applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR and considering 
the deduction of the incurred CVA loss in accordance with Article 273(6) CRR. 
The exposure value for transactions where specific wrong way risk has been identified must be 
determined in accordance with Article 291 CRR. 
For cases in which more than one CCR approach is used for a single counterparty, the 
incurred CVA loss, which is deducted at counterparty level, shall be assigned to the 
exposure value of the different netting sets in each CCR approach reflecting the proportion 
of the exposure value post-CRM of the respective netting sets to the total exposure value post- 
CRM of the counterparty. 
The institution shall report the sum of all exposure values in the respective row.EN L 97/390 Official Journal of the European Union 19.3.2021
 
Columns  
0180  Positions treated with the CR Standardised Approach  
Exposure value for CCR of positions that are treated with the standardised approach for credit 
risk in accordance with Chapter 2 of Title II of Part Three CRR.  
0190  Positions treated with the CR IRB Approach  
Exposure value for CCR of positions that are treated with the IRB approach for credit risk in 
accordance with Chapter 3 of Title II of Part Three CRR.  
0200  RISK WEIGHTED EXPOSURE AMOUNTS  
Risk weighted exposure amounts for CCR as defined in Article 92(3) and (4) CRR, calculated 
in accordance with the methods laid down in Chapters 2 and 3 of Title II of Part Three. 
The SME and infrastructure supporting factors laid down in Article 501 and in Article 501a 
CRR shall be taken into account.  
0210  Positions treated with the CR Standardised Approach  
Risk weighted exposure amounts for CCR exposures that are treated with the standardised 
approach for credit risk in accordance with Chapter 2 of Title II of Part Three CRR. 
The amount corresponds to the amount that shall be included in column 0220 of template C 
07.00 for CCR positions.  
0220  Positions treated with the CR IRB Approach  
Risk weighted exposure amounts for CCR exposures that are treated with the IRB approach for 
credit risk in accordance with Chapter 3 of Title II of Part Three CRR. 
The amount corresponds to the amount that shall be included in column 0260 of template C 
08.01 for CCR positions.  
Row  
0010  ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES)  
Derivatives and long settlement transactions for which the institution calculates the exposure 
value in accordance with Section 5 of Chapter 6 of Title II of Part Three CRR. This simplified 
method for calculating the exposure value can only be used by institutions meeting the 
conditions laid down in Article 273a(2) or 273a(4) CRR.  
0020  SIMPLIFIED STANDARDISED APPROACH FOR CCR (SIMPLIFIED SA-CCR FOR DERIVATIVES)  
Derivatives and long settlement transactions for which the institution calculates the exposure 
value in accordance with Section 4 Chapter 6 of Title II of Part Three CRR. This simplified 
standardised approach for calculating the exposure value can only be used by institutions 
meeting the conditions laid down in Article 273a(1) or 273a(4) CRR.  
0030  STANDARDISED APPROACH FOR CCR (SA-CCR FOR DERIVATIVES)  
Derivatives and long settlement transactions for which the institution calculates the exposure 
value in accordance with Section 3 Chapter 6 of Title II of Part Three CRR.EN 19.3.2021 Official Journal of the European Union L 97/391
 
Row  
0040  IMM (FOR DERIVATIVES AND SFTS)  
Derivatives, long settlement transactions and SFTs for which the institution has been permitted 
to calculate the exposure value using the Internal Model Method (IMM) in accordance with 
Section 6 of Chapter 6 of Title II of Part Three CRR.  
0050  Securities financing transactions netting sets  
Netting sets containing only SFTs as defined in Article 4(139) CRR, for which the institution 
has been permitted to determine the exposure value using the IMM. 
SFTs that are included in a contractual cross product netting set and therefore reported in row 
0070, shall not be reported in this row.  
0060  Derivatives and long settlement transactions netting sets  
Netting sets containing only derivative instruments listed in Annex II CRR and long settlement 
transactions as defined in Article 272(2) CRR, for which the institution has been permitted to 
determine the exposure value using the IMM. 
Derivatives and Long Settlement Transactions that are included in a contractual Cross Product 
Netting set and therefore reported in row 0070, shall not be reported in this row.  
0070  From contractual cross-product netting sets  
Article 272(11) and (25) CRR 
Netting sets containing transactions of different product categories (Article 272(11) CRR), i.e. 
derivatives and SFTs, for which a contractual cross product netting agreement as defined in 
Article 272(25) CRR exists and for which the institution has been permitted to determine the 
exposure value using the IMM.  
0080  FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)  
Article 222 CRR 
Repurchase transactions, securities or commodities lending or borrowing transactions, long 
settlement transactions and margin lending transactions for which the institution has chosen 
to determine the exposure value in accordance with Article 222 CRR as opposed to Chapter 
6 of Title II of Part Three CRR in accordance with Article 271(2) of the same regulation.  
0090  FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)  
Article 220 and 223 CRR 
Repurchase transactions, securities or commodities lending or borrowing transactions, long 
settlement transactions and margin lending transactions for which the institution has chosen 
to determine the exposure value in accordance with Article 223 CRR, as opposed to Chapter 
6 of Title II of Part Three CRR in accordance with Article 271(2) of the same regulation.  
0100  VAR FOR SFTS  
Article 221 CRR 
Repurchase transactions, securities or commodities lending or borrowing transactions or 
margin lending transactions, or other capital market-driven transactions other than derivative 
transactions for which, in accordance with Article 221 CRR and subject to the permission of 
the competent authority, the exposure value is calculated using an internal model approach 
that takes into account correlation effects between security positions subject to the master 
netting agreement, as well as the liquidity of the instruments concerned.EN L 97/392 Official Journal of the European Union 19.3.2021
 
Row  
0110  TOTAL  
0120  Of which: SWWR positions  
Article 291 CRR 
CCR exposures for which specific wrong way risk (SWWR) has been identified in accordance 
with Article 291 CRR.  
0130  Margined business  
Article 272(7) CRR 
CCR exposures that are margined, i.e. netting sets subject to a margin agreement in accordance 
with Article 272(7) CRR.  
0140  Unmargined business  
CCR exposures not covered in 0130.  
3.9.4. C 34.03 – CCR exposures treated with standardised approaches: SA-CCR and Simplified SA-CCR  
3.9.4.1. General remarks  
125. The template shall be used separately for reporting the CCR exposures calculated with the SA-CCR or the 
Simplified SA-CCR, as applicable.  
3.9.4.2. Instructions concerning specific positions  
Columns  
0010  CURRENCY  
For transactions mapped to the interest rate risk category, the currency of denomination of the 
transaction shall be reported. 
For transactions mapped to the foreign exchange risk category, the currency of denomination 
of one of the two legs of the transaction shall be reported. Institutions shall insert the 
currencies in the currency pair in alphabetical order, e.g. for US Dollar/Euro please fill this 
column with EUR and column 0020 with USD. 
Currency ISO codes shall be used.  
0020  SECOND CURRENCY IN PAIR  
For transactions mapped to the foreign exchange risk category, the currency of denomination 
of the other leg of the transaction (with respect to the one considered in column 0010) shall 
be reported. Institutions shall insert the currencies in the currency pair in alphabetical order, 
e.g. for US Dollar/Euro please fill this column with USD and column 0010 with EUR. 
Currency ISO codes shall be used.  
0030  NUMBER OF TRANSACTIONS  
See instructions to column 0020 in template C 34.02.  
0040  NOTIONAL AMOUNTS  
See instructions to column 0030 in template C 34.02.EN 19.3.2021 Official Journal of the European Union L 97/393
 
Columns  
0050  CURRENT MARKET VALUE (CMV), POSITIVE  
Sum of the current market values (CMV) of all hedging sets with positive CMV in the 
respective risk category. 
The CMV on hedging set level shall be determined by netting positive and negative market 
values of the transactions within one hedging set gross of any collateral held or posted.  
0060  CURRENT MARKET VALUE (CMV), NEGATIVE  
Sum of the absolute current market values (CMV) of all hedging sets with negative CMV in the 
respective risk category. 
The CMV on hedging set level shall be determined by netting positive and negative market 
values of the transactions within one hedging set gross of any collateral held or posted.  
0070  ADD-ON  
Article 280a to 280f and 281 (2) CRR 
The institution shall report the sum of all the add-ons in the respective hedging set/risk 
category. 
The add-on per risk category that is used to determine the potential future exposure of a 
netting set in accordance with Article 278(1) or point (f) of Article 281(2) CRR shall be 
calculated in accordance with Articles 280a to 280f CRR. For the Simplified SA-CCR the 
provisions set out in Article 281(2) CRR apply.  
Rows  
0050,0120, 
0190, 0230, 
0270, 0340  RISK CATEGORIES  
Article 277 and 277a CRR 
Transactions shall be classified according to the risk category they belong to in accordance 
with Article 277(1) to (4) CRR. 
The assignment to hedging sets according to the risk category shall be performed in 
accordance with Article 277a CRR. 
For the Simplified SA-CCR the provisions set out in Article 281(2) CRR apply.  
0020-0040  Of which mapped to more than one risk category  
Article 277(3) CRR 
Derivative transactions with more than one material risk driver mapped to two (0020), three 
(0030) or more than three (0040) risk categories on the basis of the most material of the risk 
drivers in each risk category, in accordance with Article 277(3) CRR and the EBA RTS 
referred to in Article 277(5) CRR.EN L 97/394 Official Journal of the European Union 19.3.2021
 
Rows  
0070-0110 
and 0140- 
0180  Largest currency and currency pair  
This classification shall be done on the basis of the CMV of the institution’s portfolio under 
the scope of the SA-CCR or the Simplified SA-CCR, as applicable, for transactions mapped to 
interest rate risk and foreign exchange risk category, respectively. 
For the purpose of the classification, the absolute value of the CMV of positions shall be 
summed.  
0060,0130, 
0200,0240, 
0280  Exclusive mapping  
Article 277(1) and (2) CRR 
Derivative transactions mapped exclusively to one risk category in accordance with 
Article 277(1) and (2) CRR. 
Transactions that are mapped to different risk categories in accordance with Article 277(3) 
CRR shall be excluded.  
0210, 0250  Single-name transactions  
Single-name transactions that are mapped to the credit risk and equity risk category, respect ­
ively.  
0220, 0260  Multi-names transactions  
Multi-name transactions that are mapped to the credit risk and equity risk category, respect ­
ively.  
0290-0330  Commodity risk category hedging sets  
Derivative transactions assigned to the commodity risk category hedging sets as listed in point 
(e) Article 277a(1) CRR.  
3.9.5. C 34.04 – CCR exposures treated with the Original Exposure Method (OEM)  
3.9.5.1. Instructions concerning specific positions  
Columns  
0010 – 0020  Instructions for the columns 0010 and 0020 shall be those provided for template C 34.02.  
0030  CURRENT MARKET VALUE (CMV), POSITIVE  
Sum of the current market values (CMV) of all transactions with positive CMV in the 
respective risk category.  
0040  CURRENT MARKET VALUE (CMV), NEGATIVE  
Sum of the absolute current market values (CMV) of all transactions with negative CMV in the 
respective risk category.  
0050  POTENTIAL FUTURE EXPOSURE (PFE)  
The institution shall report the sum of PFEs for all the transactions belonging to the same risk 
category.  
Rows  
0020 – 0070  RISK CATEGORIES  
Derivative transactions mapped to the risk categories as listed in point (b) of Article 282(4) 
CRREN 19.3.2021 Official Journal of the European Union L 97/395
 
3.9.6. C 34.05 – CCR exposures treated with the Internal Model Method (IMM)  
3.9.6.1. Instructions concerning specific positions  
Columns  
00010 – 0080  MARGINED  
See instructions to row 0130 in template C 34.02.  
0090 – 0160  UNMARGINED  
See instructions to row 0140 in template C 34.02.  
0010,0090  NUMBER OF TRANSACTIONS  
See instructions to column 0020 in template C 34.02.  
0020,0100  NOTIONAL AMOUNTS  
See instructions to column 0030 in template C 34.02.  
0030,0110  CURRENT MARKET VALUE (CMV), POSITIVE  
Sum of the current market values (CMV) of all transactions with positive CMV belonging to 
the same asset class.  
0040,0120  CURRENT MARKET VALUE (CMV), NEGATIVE  
Sum of the absolute current market values (CMV) of all transactions with negative CMV 
belonging to the same asset class.  
0050,0130  CURRENT EXPOSURE  
See instructions to column 0120 in template C 34.02.  
0060,0140  EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE)  
See instructions to column 0130 in template C 34.02.  
0070,0150  STRESS EEPE  
Article 284(6) and Article 292(2) CRR 
The Stress EEPE is calculated in analogy to the EEPE (Article 284(6) CRR), but using a stress 
calibration in accordance with Article 292(2) CRR.  
0080, 
0160,0170  EXPOSURE VALUE  
See instructions to column 0170 in template C 34.02.  
Row  Explanation  
0010  TOTAL  
Article 283 CRR 
The institution shall report the relevant information regarding derivatives, long settlement 
transactions and SFTs for which it has been permitted to determine the exposure value 
calculated using the Internal Model Method (IMM) in accordance with Article 283 CRR.  
0020  Of which: SWWR positions  
See instructions to row 0120 in C 34.02.EN L 97/396 Official Journal of the European Union 19.3.2021
 
Row  Explanation  
0030  Netting sets treated with the CR Standardised Approach  
See instructions to column 0180 in C 34.02.  
0040  Netting sets treated with the CR IRB Approach  
See instructions to column 0190 in C 34.02.  
0050 – 0110  OTC DERIVATIVES  
The institution shall report the relevant information regarding netting sets containing only 
OTC derivatives or long settlement transactions for which it has been permitted to determine 
the exposure value using the IMM broken down by the different asset classes with respect to 
the underlying (interest rate, foreign exchange, credit, equity, commodity or other).  
0120 – 0180  EXCHANGE TRADED DERIVATIVES  
The institution shall report the relevant information regarding netting sets containing only 
exchange traded derivatives or long settlement transactions for which it has been permitted to 
determine the exposure value using the IMM broken down by the different asset classes with 
respect to the underlying (interest rate, foreign exchange, credit, equity, commodity or other).  
0190 – 0220  SECURITIES FINANCING TRANSACTIONS  
The institution shall report the relevant information regarding netting sets containing only 
SFTs for which it has been permitted to determine the exposure value using the IMM broken 
down by the type of underlying in the SFT security leg (bond, equity or other).  
0230  CONTRACTUAL CROSS-PRODUCT NETTING SETS  
See instructions to row 0070 in C 34.02.  
3.9.7. C 34.06 – Top twenty counterparties  
3.9.7.1. General remarks  
126. Institutions shall report information on the top 20 counterparties with whom they have the highest CCR 
exposures. The ranking shall be done using the CCR exposure values, as reported in column 0120 of this 
template, of all netting sets with the respective counterparties. Intra-group exposures or other exposures 
that give raise to counterparty credit risk but for which the institutions assign a risk weight of zero for 
the own funds requirements calculation, in accordance with Article 113(6) and 113(7) CRR, shall still be 
considered when determining the list of top 20 counterparties.  
127. Institutions applying the standardised approach (SA-CCR) or the Internal Model Method (IMM) for the 
calculation of CCR exposures following Sections 3 and 6 of Chapter 6 of Title II of Part Three CRR shall 
report this template on a quarterly basis. Institutions applying the simplified standardised approach or the 
original exposure method (OEM) for the calculation of CCR exposures following Sections 4 and 5 of 
Chapter 6 of Title II of Part Three CRR shall report this template on a semi-annual basis. Instructions 
concerning specific positions.  
3.9.7.2. Instructions concerning specific positionsEN 19.3.2021 Official Journal of the European Union L 97/397
 
Columns  
0011  NAME  
Name of the counterparty  
0020  CODE  
The code as part of a row identifier must be unique for each reported entity. For institutions 
and insurance undertakings the code shall be the LEI code. For other entities the code shall be 
the LEI code, or if not available, a non-LEI code. The code shall be unique and used 
consistently across the templates and across time. The code shall always have a value.  
0030  TYPE OF CODE  
The institution shall identify the type of code reported in column 0020 as a ‘LEI code’ or 
‘National code’. 
The type of code shall always be reported.  
0035  NATIONAL CODE  
The institution may additionally report the national code when it reports LEI code as identifier 
in the ‘Code’ column 0020.  
0040  SECTOR OF THE COUNTERPARTY  
One sector shall be chosen for every counterparty on the basis of the following FINREP 
economic sector classes (see Part 3 Annex V to this Implementing Regulation): 
(i) Central Banks; 
(ii) General Governments; 
(iii) Credit institutions; 
(iv) Investment firms as defined in point (2) of Article 4(1) CRR; 
(v) Other financial corporations (excluding investment firms); 
(vi) Non-financial corporations.  
0050  COUNTERPARTY TYPE  
The institution shall indicate the counterparty type which can be: 
— QCCP: when the counterparty is a qualified CCP; 
— NON-QCCP: when the counterparty is a non-qualified CCP; 
— No CCP: when the counterparty is not a CCP.  
0060  RESIDENCY OF THE COUNTERPARTY  
The ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be 
used (including pseudo-ISO codes for international organisations, available in the Eurostat’s 
‘Balance of Payments Vademecum’, as amended).  
0070  NUMBER OF TRANSACTIONS  
See instructions to column 0020 in template C 34.02.  
0080  NOTIONAL AMOUNTS  
See instructions to column 0030 in template C 34.02.EN L 97/398 Official Journal of the European Union 19.3.2021
 
Columns  
0090  CURRENT MARKET VALUE (CMV), positive  
See instructions to column 0040 in template C 34.02. 
The institution shall report the sum of netting sets with positive CMV if there are several 
netting sets for the same counterparty.  
0100  CURRENT MARKET VALUE (CMV), negative  
See instructions to column 0040 in template C 34.02. 
The institution shall report the absolute sum of netting sets with negative CMV if there are 
several netting sets for the same counterparty.  
0110  EXPOSURE VALUE POST-CRM  
See instructions to column 0160 in template C 34.02. 
The institution shall report the sum of netting set exposure values post-CRM if there are 
several netting sets for the same counterparty.  
0120  EXPOSURE VALUE  
See instructions to column 0170 in template C 34.02.  
0130  RISK WEIGHTED EXPOSURE AMOUNTS  
See instructions to column 0200 in template C 34.02.  
3.9.8. C 34.07 – IRB approach – CCR exposures by exposure class and PD scale  
3.9.8.1. General remarks  
128. This template shall be reported by institutions using either the advanced or the foundation IRB approach 
to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with 
Article 107 CRR, irrespective of the CCR approach used to determine exposure values in accordance with 
Chapters 4 and 6 of Title II of Part Three CRR.  
129. The template shall be reported separately for the total of all exposure classes as well as separately for each 
of the exposure classes listed in Article 147 CRR. This template excludes exposures cleared through a 
CCP.  
130. In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors 
the following information shall be provided for each reported exposure class:  
‘NO’ = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)  
‘YES’ = in case own estimates of LGD and credit conversion factors are used (Advanced IRB)  
3.9.8.2. Instructions concerning specific positionsEN 19.3.2021 Official Journal of the European Union L 97/399
 
Columns  
0010  Exposure value  
Exposure value (see instructions to column 0170 in template C 34.02), broken down by the 
given PD scale  
0020  Exposure weighted average PD (%)  
Average of individual obligor grade PDs weighted by their corresponding exposure value as 
defined for column 0010  
0030  Number of obligors  
The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which 
were separately rated, regardless of the number of different loans or exposures granted 
Where different exposures to the same obligor are separately rated, they shall be counted 
separately. Such situation may take place if separate exposures to the same obligor are 
assigned to different obligor grades in accordance with point (e) of Article 172(1) second 
sentence CRR.  
0040  Exposure weighted average LGD (%)  
Average of obligor grade LGDs weighted by their corresponding exposure value as defined for 
column 0010 
The LGD reported shall correspond to the final LGD estimate used in the calculation of risk 
weighted exposure amounts obtained after considering any CRM effects and downturn 
conditions as specified in Chapters 3 and 4 of Title II of Part Three CRR, where relevant. 
In particular, for institutions applying the IRB approach but not using their own estimates of 
LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value 
of the exposure, and then reflected in LGD* in accordance with Article 228(2) CRR. If own 
estimates of LGD are applied, Article 175 and Article 181(1) and (2) CRR shall be 
considered. 
In the case of exposures subject to the double default treatment the LGD to be reported shall 
correspond to the one selected in accordance with Article 161(4) CRR. 
For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of 
Article 181(1) CRR shall be considered. The LGD reported shall correspond to the 
estimate of LGD in-default.  
0050  Exposure weighted average maturity (years)  
Average of obligor maturities in years weighted by their corresponding exposure value as 
defined for column 0010 
The maturity shall be determined in accordance with Article 162 CRR.  
0060  Risk weighted exposure amounts  
Risk weighted exposure amounts, as defined in Article 92(3) and (4) CRR, for positions whose 
risk weights are estimated on the basis of the requirements laid down in Chapter 3 of Title II 
of Part Three CRR and for which the exposure value for CCR business is calculated in 
accordance with Chapters 4 and 6 of Title II of Part Three CRR 
The SME and infrastructure supporting factors laid down in Article 501 and Article 501a 
CRR shall be taken into account.EN L 97/400 Official Journal of the European Union 19.3.2021
 
Columns  
0070  Density of risk weighted exposure amounts  
Ratio of the total risk weighted exposure amounts (reported in column 0060) to the exposure 
value (reported in column 0010)  
Rows  
0010 – 0170  PD scale  
CCR exposures (determined at counterparty level) shall be allocated to the appropriate bucket 
of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure 
class (without considering any substitution due to the existence of a guarantee or a credit 
derivative). Institutions shall map exposure by exposure to the PD scale provided in the 
template, also taking into account continuous scales. All defaulted exposures shall be 
included in the bucket representing PD of 100 %.  
3.9.9. C 34.08 – Composition of collateral for CCR exposures  
3.9.9.1. General remarks  
131. This template shall be filled with fair values of collateral (posted or received) used in CCR exposures 
related to derivative transactions, long settlement transaction or to SFTs, whether or not the transactions 
are cleared through a CCP and whether or not collateral is posted to a CCP.  
3.9.9.2. Instructions concerning specific positions  
Columns  
0010 – 0080  Collateral used in derivative transactions  
Institutions shall report the collateral (including the initial margin and variation margin 
collateral) that is used in CCR exposures related to any derivative instrument listed in 
Annex II CRR or a long settlement transaction as defined in point (2) of Article 272 of 
the same regulation not qualifying as an SFT.  
0090 – 0180  Collateral used in SFTs  
Institutions shall report the collateral (including the initial margin and variation margin 
collateral as well as the collateral appearing as security in the SFT) that is used in CCR 
exposures related to any SFT or a long settlement transaction not qualifying as a derivative.  
0010, 0020, 
0050, 0060, 
0090, 0100, 
0140, 0150  Segregated  
Article 300(1) CRR 
Institutions shall report the collateral that is held in a bankruptcy-remote manner as defined in 
Article 300(1) CRR, further broken down into collateral appearing in the form of initial or 
variation margin.  
0030, 0040, 
0070, 0080, 
0110, 0120, 
0130, 0160, 
0170, 0180  Unsegregated  
Article 300(1) CRR 
Institutions shall report the collateral that is not held in a bankruptcy-remote manner as 
defined in Article 300(1) CRR, further broken down into initial margin, variation margin 
and the SFT security.EN 19.3.2021 Official Journal of the European Union L 97/401
 
Columns  
0010, 0030, 
0050, 0070, 
0090, 0110, 
0140, 0160  Initial margin  
Point (140) of Article 4(1) CRR 
Institutions shall report the fair values of collateral received or posted as initial margin (defined 
in point (140) of Article 4(1) CRR).  
0020, 0040, 
0060, 0080, 
0100, 0120, 
0150, 0170  Variation margin  
Institutions shall report the fair values of collateral received or posted as variation margin.  
0130, 0180  SFT security  
Institutions shall report the fair values of collateral appearing as security in SFTs (e.g. the 
security leg of the SFT that has been received for column 0130, or posted for column 0180).  
Rows  
0010 – 0080  Collateral type  
Breakdown by different collateral types  
3.9.10. C 34.09 – Credit derivatives exposures  
3.9.10.1. Instructions concerning specific positions  
Columns  
0010-0040  CREDIT DERIVATIVE PROTECTION  
Credit derivative protection bought or sold  
0010, 0020  NOTIONAL AMOUNTS  
Sum of the notional derivative amounts before any netting, broken down by product type  
0030, 0040  FAIR VALUES  
Sum of fair values broken down by protection bough and protection sold  
Rows  
0010 – 0050  Product type  
Breakdown of credit derivatives product types  
0060  Total  
Sum of all product types  
0070, 0080  Fair values  
Fair values broken down by product type as well as assets (positive fair values) and liabilities 
(negative fair values)EN L 97/402 Official Journal of the European Union 19.3.2021
 
3.9.11. C 34.10 – Exposures to CCPs  
3.9.11.1. General remarks  
132. Institutions shall report the information on exposures to CCPs, i.e. to contracts and transactions listed in 
Article 301(1) CRR for as long as they are outstanding with a CCP and exposures from CCP-related 
transactions, in accordance with Article 300(2) CRR, for which the own funds requirements are calculated 
in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR.  
3.9.11.2. Instructions concerning specific positions  
Columns  
0010  EXPOSURE VALUE  
Exposure value for transactions in the scope of Section 9 of Chapter 6 of Title II of Part Three 
CRR calculated in accordance with the relevant methods laid down in that Chapter and in 
particular in its section 9 
The exposure value reported shall be the amount relevant for the own funds requirements 
calculation in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, 
considering the requirements in Article 497 of that Regulation during the transitional 
period provided for in that article. 
An exposure can be a trade exposure, as defined in point (91) of Article 4(1) CRR.  
0020  RISK WEIGHTED EXPOSURE AMOUNTS  
Risk weighted exposure amounts determined in accordance with Section 9 of Chapter 6 of 
Title II of Part Three CRR, considering the requirements in Article 497 of that Regulation 
during the transitional period provided for by that Article  
Rows  
0010-0100  Qualifying CCP (QCCP)  
A qualifying central counterparty or ‘QCCP’ as defined in point (88) of Article 4(1) CRR  
0070, 0080 
0170, 0180  Initial margin  
See instructions for template C 34.08. 
For the purposes of this template, initial margin shall not include contributions to a CCP for 
mutualised loss-sharing arrangements (i.e. in cases where a CCP uses initial margin to 
mutualise losses among the clearing members, it shall be treated as a default fund exposure).  
0090, 0190  Prefunded default fund contributions  
Articles 308 and 309 CRR; a default fund as defined in point (89) of Article 4(1) CRR; the 
contribution to the default fund of a CCP that is paid in by the institution  
0100, 0200  Unfunded default fund contributions  
Articles 309 and 310 CRR; a default fund as defined in point (89) of Article 4(1) CRR 
Institutions shall report contributions that an institution acting as a clearing member has 
contractually committed to provide to a CCP after the CCP has depleted its default fund to 
cover the losses it incurred following the default of one or more of its clearing members.  
0070, 0170  Segregated  
See instructions for template C 34.08.EN 19.3.2021 Official Journal of the European Union L 97/403
 
Rows  
0080,0180  Unsegregated  
See instructions for template C 34.08.  
3.9.12. C 34.11 – Risk weighted exposure amounts (RWEA) flow statements of CCR exposures under the IMM  
3.9.12.1. General remarks  
133. Institutions using the IMM to compute risk weighted exposure amounts for all or part of their CCR 
exposures in accordance with Chapter 6 of Title II of Part Three CRR, irrespective of the credit risk 
approach used to determine the corresponding risk weights shall report this template with the flow 
statement explaining changes in risk weighted exposure amounts of derivatives and SFTs in the IMM 
scope differentiated by key drivers and based on reasonable estimations.  
134. Institutions that shall report this template with quarterly frequency shall fill in only column 0010. 
Institutions that shall report this template with annually frequency shall fill in only column 0020.  
135. This template excludes risk weighted exposure amounts for exposures to a central counterparty (Section 9 
of Chapter 6 of Title II of Part Three CRR).  
3.9.12.2. Instructions concerning specific positions  
Columns  
0010, 0020  RISK WEIGHTED EXPOSURE AMOUNTS  
Risk weighted exposure amounts, as defined in Article 92(3) and (4) CRR, for positions whose 
risk weights are estimated on the basis of the requirements laid down in Chapters 2 and 3 of 
Title II of Part Three CRR and for which the institution has been permitted to calculate the 
exposure value using the IMM in accordance with Section 6 of Chapter 6 of Title II of Part 
Three CRR 
The SME and infrastructure supporting factors laid down in Article 501 and Article 501a 
CRR shall be taken into account.  
Rows  
0010  Risk weighted exposure amounts as at the end of the previous reporting period  
Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the 
previous reporting period  
0020  Asset size  
Risk weighted exposure amount changes (positive or negative) due to changes in book size 
and composition resulting from the usual business activity (including the origination of new 
businesses and maturing exposures) but excluding changes in book size due to acquisitions 
and disposal of entities  
0030  Credit quality of counterparties  
Risk weighted exposure amount changes (positive or negative) due to changes in the assessed 
quality of the institution’s counterparties as measured under the credit risk framework, 
whatever approach the institution uses. This row also includes potential Risk weighted 
exposure amount changes due to IRB models when the institution uses an IRB approachEN L 97/404 Official Journal of the European Union 19.3.2021
 
Rows  
0040  Model updates (IMM only)  
Risk weighted exposure amount changes (positive or negative) due to model implementation, 
changes in model scope, or any changes intended to address model weaknesses 
This row addresses only changes in the IMM model.  
0050  Methodology and policy (IMM only)  
Risk weighted exposure amount changes (positive or negative) due to methodological changes 
in calculations driven by regulatory policy changes, such as new regulations (only in the IMM 
model)  
0060  Acquisitions and disposals  
Risk weighted exposure amount changes (positive or negative) due to changes in book sizes 
due to acquisitions and disposal of entities  
0070  Foreign exchange movements  
Risk weighted exposure amount changes (positive or negative) due to changes arising from 
foreign currency translation movements  
0080  Other  
This category shall be used to capture Risk weighted exposure amount changes (positive or 
negative) that cannot be attributed to the above categories.  
0090  Risk weighted exposure amounts as at the end of the current reporting period  
Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the 
current reporting period  
4. OPERATIONAL RISK TEMPLATES  
4.1.  C 16.00 – OPERATIONAL RISK (OPR)  
4.1.1. General Remarks  
136. This template provides information on the calculation of own funds requirements in accordance with 
Articles 312 to 324 CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised 
Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement 
Approaches (AMA). An institution cannot apply TSA and ASA for the business lines retail banking 
and commercial banking at the same time at solo level.  
137. Institutions using the BIA, TSA or ASA shall calculate their own funds requirement, based on the 
information at financial year-end. Where audited figures are not available, institutions may use 
business estimates. Where audited figures are used, institutions shall report the audited figures which 
are expected to remain unchanged. Deviations from this ‘unchanged’ principle are possible, for instance if 
during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or 
activities, are met.  
138. Where an institution can justify its competent authority that – due to exceptional circumstances such as a 
merger or a disposal of entities or activities – using a three year average to calculating the relevant 
indicator would lead to a biased estimation for the own funds requirement for operational risk, the 
competent authority may permit the institution to modify the calculation in a way that would take into 
account such events. The competent authority may also on its own initiative require an institution to 
modify the calculation. An institution that has been in operation for less than three years may use 
forward looking business estimates in calculating the relevant indicator, provided that it starts using 
historical data as soon as those data are available.EN 19.3.2021 Official Journal of the European Union L 97/405
 
139. By columns, this template presents information, for the three most recent years, on the amount of the 
relevant indicator of the banking activities subject to operational risk and on the amount of loans and 
advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds 
requirement for operational risk is reported. Where applicable, it must be detailed which part of that 
amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a 
detail of the effect of the expected loss, diversification and mitigation techniques on own funds 
requirement for operational risk.  
140. By rows, information is presented by method of calculation of the operational risk own funds 
requirement detailing business lines for TSA and ASA.  
141. This template shall be submitted by all institutions subject to operational risk own funds requirement.  
4.1.2. Instructions concerning specific positions  
Columns  
0010-0030  RELEVANT INDICATOR  
Institutions using the relevant indicator to calculate the own funds requirement for operational 
risk (BIA, TSA and ASA) shall report the relevant indicator for the respective years in columns 
0010 to 0030. Moreover, in case of a combined use of different approaches as referred in 
Article 314 CRR, institutions shall also report, for information purposes, relevant the 
indicator for the activities subject to AMA. The same shall apply for all other AMA banks. 
Hereafter, the term ‘relevant indicator’ refers to ‘the sum of the elements’ at the end of the 
financial year as referred to in point 1 in Table 1 of Article 316 CRR. 
Where the institution has less than 3 years of data on ‘relevant indicator’ available, the 
available historical data (audited figures) shall be assigned by priority to the corresponding 
columns in the template. Where, for instance, historical data for only one year is available, 
those data shall be reported in column 0030. Where it seems reasonable, the forward looking 
estimates shall be included in column 0020 (estimate of next year) and column 0010 
(estimate of year +2). 
Furthermore, where there are no historical data on ‘relevant indicator’ available, the institution 
may use forward-looking business estimates.  
0040-0060  LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)  
These columns shall be used to report the amounts of the loans and advances, as referred to 
in point (b) of Article 319(1) CRR, for business lines ‘commercial banking’ and ‘retail 
banking’. Those amounts shall be used to calculate the alternative relevant indicator that 
leads to the own funds requirements corresponding to the activities subject to the alternative 
standard approach (point (a) of Article 319(1) CRR). 
For the ‘commercial banking’ business line, securities held in the non-trading book shall also 
be included.  
0070  OWN FUND REQUIREMENT  
The own fund requirement shall be calculated in accordance with the approaches used and in 
accordance withArticles 312 to 324 CRR. The resulting amount shall be reported in column 
0070.  
0071  TOTAL OPERATIONAL RISK EXPOSURE AMOUNT  
Article 92(4) CRR 
Own funds requirements in column 0070 multiplied by 12.5.EN L 97/406 Official Journal of the European Union 19.3.2021
 
Columns  
0080  OF WHICH: DUE TO AN ALLOCATION MECHANISM  
Where a permission to use the AMA at consolidated level (Article 18(1) CRR) has been 
granted in accordance with Article 312(2) CRR, operational risk capital shall be allocated 
between the different entities of the group on the basis of the methodology applied by the 
institutions to consider diversification effects in the risk measurement system used by a EU 
parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent 
financial holding company or an EU parent mixed financial holding company. The result of 
that allocation shall be reported in this column.  
0090-0120  AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE  
0090  OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFI ­
CATION AND RISK MITIGATION TECHNIQUES  
The own funds requirement reported in column 090 is the one of column 070 but calculated 
before taking into account the alleviation effects due to expected loss, diversification and risk 
mitigation techniques (see below).  
0100  (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS 
CAPTURED IN BUSINESS PRACTICES  
In column 100, the alleviation of own funds requirements due to expected loss captured in 
internal business practices (as referred to in point (a) of Article 322(2) CRR) shall reported.  
0110  (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION  
The diversification effect reported in this column shall be the difference between the sum of 
own funds requirements calculated separately for each operational risk class (i.e. a ‘perfect 
dependence’ situation) and the diversified own funds requirement calculated by taking into 
account correlations and dependencies (i.e. assuming less than ‘perfect dependence’ between 
the risk classes). The ‘perfect dependence’ situation occurs in the ‘default case’, that is where 
the institution does not use explicit correlations structure between the risk classes, hence the 
AMA capital is calculated as the sum of the individual operational risk measures of the chosen 
risk classes. In that case, the correlation between the risk classes is assumed to be 100 % and 
the value in the column has to be set to zero. Conversely, where the institution calculates an 
explicit correlations structure between risk classes, it has to include in this column the 
difference between the AMA capital as stemming from the ‘default case’ and the AMA 
capital obtained after applying the correlations structure between the risk classes. The value 
reflects the ‘diversification capacity’ of the AMA model, that is the ability of the model to 
capture the not simultaneous occurrence of severe operational risk loss events. In column 110, 
the amount by which the assumed correlation structure decreases the AMA capital relative to 
the assumption of 100 % correlation has to be reported.  
0120  (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES 
(INSURANCE AND OTHER RISK TRANSFER MECHANISMS)  
The impact of insurance and other risk transfer mechanisms as referred to in Article 323 CRR 
shall be reported in this column.  
Rows  
0010  BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)  
This row shall present the amounts corresponding to activities subject to the BIA to calculate 
the own funds requirement for operational risk (Articles 315 and 316 CRR).EN 19.3.2021 Official Journal of the European Union L 97/407
 
Rows  
0020  BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED 
(ASA) APPROACHES  
The own funds requirement calculated in accordance with the TSA and ASA (Articles 317, 
318 and 319 CRR) shall be reported.  
0030-0100  SUBJECT TO TSA  
Where the TSA is used, the relevant indicator for each respective year shall be distributed in 
rows 0030 to 0100 amongst the business lines referred to in Table 2 of Article 317 CRR. 
The mapping of activities into business lines shall follow the principles described in 
Article 318 CRR.  
0110-0120  SUBJECT TO ASA  
Institutions using the ASA (Article 319 CRR) shall report for the respective years the relevant 
indicator separately for each business line in rows 0030 to 0050 and 0080 to 0100 and in 
rows 0110 and 0120 for business lines ‘commercial banking’ and ‘retail banking’. 
Rows 110 and 120 shall present the amount of the relevant indicator of activities subject to 
ASA, distinguishing between the amount corresponding to the business line ‘commercial 
banking’ and the amounts corresponding to the business line ‘retail banking’ (Article 319 
CRR). There can be amounts for the rows corresponding to ‘commercial banking’ and ‘retail 
banking’ under the TSA (rows 0060 and 0070) as well as under the ASA rows 0110 and 
0120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).  
0130  BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA  
The relevant data for AMA institutions (Article 312(2) and Articles 321, 322 and 323 CRR) 
shall be reported. 
Where different approaches are combined as indicated in Article 314 CRR, information on 
relevant indicator for activities subject to AMA shall be reported. The same shall apply for all 
other AMA banks.  
4.2.  OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)  
4.2.1. General Remarks  
142. Template C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries 
registered by an institution in the last year by event types and business lines. Template C 17.02 (OPR 
DETAILS 2) provides detailed information on the largest loss events in the most recent year.  
143. Operational risk losses that are related to credit risk and are subject to own funds requirements for credit 
risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor 
template C 17.02.  
144. In case of a combined use of different approaches for the calculation of own funds requirements for 
operational risk in accordance with Article 314 CRR, losses and recoveries registered by an institution 
shall be reported in C 17.01 and C 17.02, irrespective of the approach applied to calculate own funds 
requirements.  
145. ‘Gross loss’ means a loss – as referred to in point (b) of Article 322(3) CRR – stemming from an 
operational risk event or loss event type before recoveries of any kind, without prejudice to ‘rapidly 
recovered loss events’ as defined below.EN L 97/408 Official Journal of the European Union 19.3.2021
 
146. ‘Recovery’ means an independent occurrence related to the original operational risk loss that is separate in 
time, in which funds or inflows of economic benefits are received from first or third parties, such as 
insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk 
transfer mechanisms and direct recoveries.  
147. ‘Rapidly recovered loss events’ means operational risk events that lead to losses that are partly or fully 
recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that 
is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss 
definition. As a consequence, loss events that lead to losses that are fully recovered within five working 
days shall not be included into the gross loss definition, and neither into the OPR DETAILS reporting.  
148. ‘Date of accounting’ means the date when a loss or reserve/provision was first recognised in the Profit and 
Loss statement, against an operational risk loss. Those date logically follow the ‘Date of occurrence’ (i.e. 
the date when the operational risk event happened or first began) and the ‘Date of discovery’ (i.e. the date 
on which the institution became aware of the operational risk event).  
149. Losses caused by a common operational risk event or by multiple events linked to an initial operational 
risk event generating events or losses (‘root-event’) are grouped. The grouped events shall be considered 
and reported as one event, and thus the related gross loss amounts, respectively amounts of loss adjust ­
ments, shall be summed up.  
150. The figures reported in June of the respective year shall be interim figures, while the final figures shall be 
reported in December. Therefore, the figures in June shall have a six-month reference period (i.e. from 1 
January to 30 June of the calendar year) while the figures in December shall have a twelve-month 
reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported in 
June and December, ‘previous reporting reference periods’ shall mean all reporting reference periods until 
and including the one ending at the preceding calendar year end.  
4.2.2. C 17.01: Operational risk losses and recoveries by business lines and loss event types in the last year (OPR 
DETAILS 1)  
4.2.2.1. General Remarks  
151. In template C 17.01, the information shall be presented by distributing the losses and recoveries above 
internal thresholds amongst business lines (as listed in Table 2 of Article 317 CRR, including the 
additional business line ‘corporate items’ referred to in point (b) of Article 322(3) CRR) and loss event 
types (as referred to in in Article 324 CRR). It is possible that the losses corresponding to one loss event 
are distributed amongst several business lines.  
152. Columns present the different loss event types and the totals for each business line, together with a 
memorandum item that shows the lowest internal threshold applied in the data collection of losses, 
revealing within each business line the lowest and the highest threshold where there is more than one 
threshold.  
153. Rows present the business lines, and within each business line, information on the number of loss events 
(new loss events), the gross loss amount (new loss events), the number of loss events subject to loss 
adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the 
sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from 
insurance and other risk transfer mechanisms).  
154. For the total business lines, data on the number of loss events and the gross loss amount shall also be 
reported for certain ranges based on set thresholds, that is 10 000, 20 000, 100 000, and 1 000 000. 
The thresholds are set in EUR and are included for comparability purposes of the reported losses among 
institutions. Those thresholds do therefore not necessarily relate to the minimum loss thresholds used for 
the internal loss data collection, to be reported in another section of the template.EN 19.3.2021 Official Journal of the European Union L 97/409
 
4.2.2.2. Instructions concerning specific positions  
Columns  
0010-0070  EVENT TYPES  
Institutions shall report the losses in the respective columns 0010 to 0070 in accordance with 
the loss event types referred to in Article 324 CRR. 
Institutions that calculate their own funds requirement in accordance with the BIA may report 
those losses for which the loss event type is not identified in column 080 only.  
0080  TOTAL LOSS EVENT TYPES  
In column 0080, for each business line, institutions shall report the total ‘number of loss 
events (new loss events)’, the total of ‘gross loss amount (new loss events)’, the total ‘number 
of loss events subject to loss adjustments’, the total of ‘loss adjustments relating to previous 
reporting periods’, the ‘maximum single loss’, the ‘sum of the five largest losses’, the total of 
‘total direct loss recovery’ and the total of ‘total recovery from insurance and other risk 
transfer mechanisms’. 
Provided that the institution has identified the loss event types for all losses, column 080 shall 
show the simple aggregation of the number of loss events, the total gross loss amounts, the 
total loss recovery amounts and the ‘loss adjustments relating to previous reporting periods’ 
reported in columns 0010 to 0070. 
The ‘maximum single loss’ reported in column 0080 shall be the maximum single loss within 
a business line and identical to the maximum of the ‘maximum single losses’ reported in 
columns 0010 to 0070, provided that the institution has identified the loss event types for all 
losses. 
For the sum of the five largest losses, in column 0080 the sum of the five largest losses within 
one business line shall be reported.  
0090-0100  MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION  
Institutions shall report in columns 0090 and 0100 the minimum loss thresholds they are 
using for the internal loss data collection in accordance with the last sentence of point (c) of 
Article 322(3) CRR. 
Where the institution applies only one threshold for in each business line, only column 0090 
shall be filled in. 
Where there are different thresholds applied within the same regulatory business line, the 
highest applicable threshold (column 0100) shall be filled in as well.  
Rows  
0010-0880  BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, 
COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY 
SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS  
For each business line referred to in Table 2 of Article 317(4) CRR, including the additional 
business line ‘Corporate items’ as referred to in point (b) of Article 322(3) CRR, and for each 
loss event type, the institution shall report, in accordance with the internal thresholds, the 
following information: number of loss events (new loss events), gross loss amount (new loss 
events), the number of loss events subject to loss adjustments, loss adjustments relating to 
previous reporting periods, maximum single loss, sum of the five largest losses, total direct 
loss recovery and the total recovery from insurance and other risk transfer mechanisms. 
For a loss event that affects more than one business line the ‘gross loss amount’ shall be 
distributed amongst all the affected business lines. 
Institutions that calculate their own funds requirement in accordance with the BIA can report 
those losses for which the business line is not identified in rows 0910-0980 only.EN L 97/410 Official Journal of the European Union 19.3.2021
 
Rows  
0010, 0110, 
0210, 0310, 
0410, 0510, 
0610, 0710, 
0810  Number of loss events (new loss events)  
The number of loss events is the number of loss events for which gross losses were accounted 
for within the reporting reference period. 
The number of loss events shall refer to ‘new events’, i.e. operational risk events: 
(i) ‘accounted for the first time’ within the reporting reference period; or 
(ii) ‘accounted for the first time’ within a previous reporting reference period, where the loss 
event was not included in any previous supervisory report, e.g. because it was identified as 
operational risk loss event only in the current reporting reference period or because the 
accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss 
adjustments made in previous reporting reference periods) exceeded the internal data 
collection threshold only in the current reporting reference period. 
‘New loss events’ do not include loss events ‘accounted for the first time’ within a previous 
reporting reference period, which were already included in previous supervisory reports.  
0020, 0120, 
0220, 0320, 
0420, 0520, 
0620, 0720, 
0820  Gross loss amount (new loss events)  
The gross loss amount shall be the gross loss amounts pertinent to operational risk loss events 
(e.g. direct charges, provisions, settlements). All losses related to a single loss event which are 
accounted for within the reporting reference period shall be summed up and considered as the 
gross loss for that loss event for that reporting reference period. 
The reported gross loss amount shall refer to ‘new loss events’ as referred to in the row above 
of this table. For loss events ‘accounted for the first time’ within a previous reporting reference 
period which were not included in any previous supervisory report, the total loss accumulated 
until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in 
previous reporting reference periods) shall be reported as the gross loss at the reporting 
reference date. 
The amounts to be reported shall not take into account obtained recoveries.  
0030, 0130, 
0230, 0330, 
0430, 0530, 
0630, 0730, 
0830  Number of loss events subject to loss adjustments  
The number of loss events subject to loss adjustments shall be the number of operational risk 
loss events ‘accounted for the first time’ in previous reporting reference periods and already 
included in previous reports, for which loss adjustments were made in the current reporting 
reference period. 
Where more than one loss adjustment was made for a loss event within the reporting 
reference period, the sum of those loss adjustments shall be counted as one adjustment in 
the period.EN 19.3.2021 Official Journal of the European Union L 97/411
 
Rows  
0040, 0140, 
0240, 0340, 
0440, 0540, 
0640, 0740, 
0840  Loss adjustments relating to previous reporting periods  
Loss adjustments relating to previous reporting reference periods shall the sum of the 
following elements (positive or negative): 
(i) the gross loss amounts pertinent to positive loss adjustments made within the reporting 
reference period (e.g. increase of provisions, linked loss events, additional settlements) of 
operational risk events ‘accounted for the first time’ and reported in previous reporting 
reference periods; 
(ii) the gross loss amounts pertinent to negative loss adjustments made within the reporting 
reference period (e.g. due to decrease of provisions) of operational risk loss events 
‘accounted for the first time’ and reported in previous reporting reference periods. 
Where more than one loss adjustment was made for a loss event within the reporting 
reference period, the amounts of all those loss adjustments shall be summed up, taking 
into account the sign of the adjustments (positive, negative). That sum shall be considered 
as the loss adjustment for that loss event for that reporting reference period. 
Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event 
falls below the internal data collection threshold of the institution, the institution shall report 
the total loss amount for that loss event accumulated until the last time when the event was 
reported for a December reference date (i.e. the original loss plus/minus all loss adjustments 
made in previous reporting reference periods) with a negative sign instead of the amount of 
the negative loss adjustment itself. 
The amounts to be reported shall not take into account obtained recoveries.  
0050, 0150, 
0250, 0350, 
0450, 0550, 
0650, 0750, 
0850  Maximum single loss  
The maximum single loss is the larger of: 
(i) the largest gross loss amount related to a loss event reported for the first time within the 
reporting reference period; and 
(ii) the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 
above) related to a loss event reported for the first time within a previous reporting 
reference period. 
The amounts to be reported shall not take into account obtained recoveries.  
0060, 0160, 
0260, 0360, 
0460, 0560, 
0660, 0760, 
0860  Sum of the five largest losses  
The sum of the five largest losses shall be the sum of the five largest amounts amongst: 
(i) the gross loss amounts for loss events reported for the first time within the reporting 
reference period; and 
(ii) the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) 
relating to loss events reported for the first time within a previous reporting reference 
period. The amount which can qualify as one of the five largest ones shall be the amount 
of the loss adjustment itself, not the total loss associated with the respective loss event 
before or after the loss adjustment. 
The amounts to be reported shall not take into account obtained recoveries.EN L 97/412 Official Journal of the European Union 19.3.2021
 
Rows  
0070, 0170, 
0270, 0370, 
0470, 0570, 
0670, 0770, 
0870  Total direct loss recovery  
Direct loss recoveries shall be all loss recoveries obtained, except those which are subject to 
Article 323 CRR as referred to in the row of this table below. 
The total direct loss recovery shall be the sum of all the direct recoveries and adjustments to 
direct recoveries accounted for within the reporting period and pertinent to operational risk 
loss events accounted for the first time within the reporting reference period or in previous 
reporting reference periods.  
0080, 0180, 
0280, 0380, 
0480, 0580, 
0680, 0780, 
0880  Total recovery from insurance and other risk transfer mechanisms  
Recoveries from insurance and other risk transfer mechanisms shall be those recoveries which 
are subject to Article 323 CRR. 
The total recovery from insurance and other risk transfer mechanisms shall be the sum of all 
recoveries from insurance and other risk transfer mechanisms and adjustments to such 
recoveries accounted for within the reporting reference period and pertinent to operational 
risk loss events accounted for the first time within the reporting reference period or in 
previous reporting reference periods.  
0910-0980  TOTAL BUSINESS LINES  
For each loss event type (column 0010 to 0080), the information on total business lines has 
to be reported.  
0910-0914  Number of loss events  
In row 0910, the number of loss events above the internal threshold by loss event types for 
the total business lines shall be reported. This figure may be lower than the aggregation of the 
number of loss events by business lines since the loss events with multiple impacts (impacts in 
different business lines) shall be considered as one. It may be higher, where an institution 
calculating its own funds requirements in accordance with the BIA cannot identify the 
business line(s) affected by the loss in every case. 
In rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges 
defined in the pertinent rows of the template shall be reported. 
Provided that the institution has assigned all its losses to a business line listed in Table 2 of 
Article 317(4) CRR or the business line ‘corporate items’ as referred to in point (b) of 
Article 322(3) CRR or that it has identified the loss event types for all losses, the 
following shall apply for column 0080, as appropriate: 
— The total number of loss events reported in rows 0910 to 0914 shall be equal to the 
horizontal aggregation of the number of loss events in the corresponding row, because in 
those figures the loss events with impacts in different business lines shall already have 
been considered as one loss event. 
— The figure reported in column 0080, row 0910 shall not necessarily be equal to the 
vertical aggregation of the number of loss events which are included in column 0080, 
because one loss event can have an impact in different business lines simultaneously.EN 19.3.2021 Official Journal of the European Union L 97/413
 
Rows  
0920-0924  Gross loss amount (new loss events)  
Provided that the institution has assigned all its losses either to a business line listed in Table 2 
of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of 
Article 322(3) CRR, the gross loss amount (new loss events) reported in row 0920 shall 
be the simple aggregation of the gross loss amounts of new loss events for each business line. 
In rows 0921 – 0924, the gross loss amount for loss events with a gross loss amount within 
the ranges defined in the pertinent rows shall be reported.  
0930, 0935, 
0936  Number of loss events subject to loss adjustments  
In row 0930, the total of the numbers of loss events subject to loss adjustments as reported in 
rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation 
of the number of loss events subject to loss adjustments by business lines since loss events 
with multiple impacts (impacts in different business lines) shall be considered as one. It may 
be higher, where an institution calculating its own funds requirements in accordance with the 
BIA cannot identify the business line(s) affected by the loss in every case. 
The number of loss events subject to loss adjustments shall be broken down into the number 
of loss events for which a positive loss adjustment was made within the reporting reference 
period and the number of loss events for which a negative loss adjustment was made within 
the reporting period (all reported with a positive sign).  
0940, 0945, 
0946  Loss adjustments relating to previous reporting periods  
In row 0940, the total of the loss adjustment amounts relating to previous reporting periods 
per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that 
the institution has assigned all its losses either to a business line listed in Table 2 of 
Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of 
Article 322(3) CRR, the amount reported in row 0940 shall be the simple aggregation of 
the loss adjustments relating to previous reporting periods reported for the different business 
lines. 
The amount of loss adjustments shall be broken down into the amount related to loss events 
for which a positive loss adjustment was made in the reporting reference period (row 0945, 
reported with as positive figure) and the amount related to loss events for which a negative 
loss adjustment was made within the reporting period (row 0946, reported as negative figure). 
Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event 
falls below the internal data collection threshold of the institution, the institution shall report 
the total loss amount for that loss event accumulated until the last time when the loss event 
was reported for a December reference date (i.e. the original loss plus/minus all loss 
adjustments made in previous reporting reference periods) with a negative sign in row 
0946 instead of the amount of the negative loss adjustment itself.  
0950  Maximum single loss  
Provided that the institution has assigned all its losses either to a business line listed in Table 2 
of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of 
Article 322(3) CRR, the maximum single loss shall be the maximum loss over the internal 
threshold for each loss event type and amongst all business lines. Those figures may be higher 
than the highest single loss recorded in each business line where a loss event impacts different 
business lines. 
Provided that the institution has assigned all its losses either to a business line listed in Table 2 
of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of 
Article 322(3) CRR respectively that it has identified the loss event types for all losses, the 
following shall apply for column 0080: 
— The maximum single loss reported shall be equal to the highest of the values reported in 
columns 0010 – 0070 of this row. 
— Where there are loss events having an impact in different business lines, the amount 
reported in {r0950, c0080} may be higher than the amounts of ‘Maximum single loss’ 
per business line reported in other rows of column 0080.EN L 97/414 Official Journal of the European Union 19.3.2021
 
Rows  
0960  Sum of the five largest losses  
The sum of the five largest gross losses for each loss event type and amongst all business lines 
shall be reported. That sum may be higher than the highest sum of the five largest losses 
recorded in each business line. That sum has to be reported regardless of the number of losses. 
Provided that the institution has assigned all its losses either to a business line listed in Table 2 
of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of 
Article 322(3) CRR and that it has identified the loss event types for all losses, for column 
0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole 
matrix, which means that it is not necessarily equal to either the maximum value of ‘sum of 
the five largest losses’ in row 0960 or the maximum value of ‘sum of the five largest losses’ in 
column 0080.  
0970  Total direct loss recovery  
Provided that the institution has assigned all its losses either to a business line listed in Table 2 
of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of 
Article 322(3) CRR, the total direct loss recovery shall be the simple aggregation of the 
total direct loss recovery for each business line.  
0980  Total recovery from insurance and other risk transfer mechanisms  
Provided that the institution has assigned all its losses either to a business line listed in Table 2 
of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of 
Article 322(3) CRR, the total recovery from insurance and other risk transfer mechanisms 
shall be the simple aggregation of the total loss recovery from insurance and other risk 
transfer mechanisms for each business line.  
4.2.3. C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2)  
4.2.3.1. General Remarks  
155. In template C 17.02, information on individual loss events shall be provided (one row per loss event).  
156. The information reported in this template shall refer to ‘new loss events’, i.e. operational risk events:  
(a) ‘accounted for the first time’ within the reporting reference period; or  
(b) ‘accounted for the first time’ within a previous reporting reference period, where the loss event was 
not included in any previous supervisory report, e.g. because it was identified as operational risk loss 
event only in the current reporting reference period or because the accumulated loss attributable to 
that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting 
reference periods) exceeded the internal data collection threshold only in the current reporting 
reference period.  
157. Only loss events entailing a gross loss amount of 100 000 € or more shall be reported.  
Subject to that threshold:  
(a) the largest event for each event type, provided that the institution has identified the event types for 
losses; andEN 19.3.2021 Official Journal of the European Union L 97/415
 
(b) at least the ten largest of the remaining events with or without identified event type by gross loss 
amount shall be included in the template.  
(c) Loss events shall be ranked based on the gross loss attributed to them.  
(d) A loss event shall only be considered once.  
4.2.3.2. Instructions concerning specific positions  
Columns  
0010  Event ID  
The event ID is a row identifier and shall be unique for each row in the template. 
Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the 
reported ID shall follow the numerical order 1, 2, 3, etc.  
0020  Date of Accounting  
Date of accounting means the date where a loss or reserve/provision against an operational 
risk loss was first recognised in the Profit and Loss statement.  
0030  Date of occurrence  
Date of occurrence shall be the date when the operational risk loss event happened or first 
began.  
0040  Date of discovery  
Date of discovery shall be the date on which the institution became aware of the operational 
risk loss event.  
0050  Loss event type  
Loss event types as referred to in Article 324 CRR.  
0060  Gross loss  
Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01  
0070  Gross loss net of direct recoveries  
Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01, net 
of direct recoveries pertinent to that loss event  
0080 – 0160  Gross loss by business line  
The gross loss as reported in column 0060 shall be allocated to the relevant business lines as 
referred to in Table 2 of Article 317(4) CRR and point (b) of Article 322(3) CRR.  
0170  Legal Entity name  
Name of the legal entity as reported in column 0010 of C 06.02 where the loss – or the 
greatest share of the loss, if several entities were affected – occurred.  
0180  Code  
LEI code of the legal entity as reported in column 0021 of C 06.02 where the loss – or the 
greatest share of the loss, if several entities were affected – occurred.EN L 97/416 Official Journal of the European Union 19.3.2021
 
Columns  
0185  TYPE OF CODE  
The institutions shall identify the type of code reported in column 0180 as a ‘LEI code’. The 
type of code shall always be reported.  
0190  Business Unit  
Business unit or corporate division of the institution where the loss – or the greatest share of 
the loss if several business units or corporate divisions were affected – occurred.  
0200  Description  
Narrative description of the loss event, where necessary in a generalised or anonymised 
manner, which shall comprise at least information about the event itself and information 
about the drivers or causes of the loss event, where known.  
5. MARKET RISK TEMPLATES  
158. These instructions refer to the templates for the reporting of the calculation of own funds requirements in 
accordance with the Standardised Approach for foreign exchange risk (MKR SA FX), commodities risk 
(MKR SA COM), interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA 
EQU). Additionally, instructions for the template for the reporting of the calculation of own funds 
requirements in accordance with the internal models approach (MKR IM) are included in this part.  
159. The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into 
two components in order to calculate the capital required against it. The first shall be its specific-risk 
component – that is the risk of a price change in the instrument concerned due to factors related to its 
issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall 
cover its general risk – that is the risk of a price change in the instrument due (in the case of a traded 
debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or 
equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual 
securities. The general treatment of specific instruments and netting procedures can be found in Articles 
326 to 333 CRR.  
5.1.  C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA 
TDI)  
5.1.1. General Remarks  
160. This template captures the positions and the related own funds requirements for position risks on traded 
debt instruments under the Standardised Approach (point (a) of Article 325(2) CRR). The different risks 
and methods available under CRR are considered by rows. The specific risk associated with exposures 
included in MKR SA SEC and MKR SA CTP has only to be reported in the Total template of the MKR SA 
TDI. The own funds requirements reported in those templates shall be transferred to cell {0325;0060} 
(securitisations) and {0330;0060} (CTP) respectively.  
161. The template has to be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: 
EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, 
CHF, TRY, UAH, USD and one residual template for all other currencies.EN 19.3.2021 Official Journal of the European Union L 97/417
 
5.1.2. Instructions concerning specific positions  
Columns  
0010-0020  ALL POSITIONS (LONG AND SHORT)  
Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but 
excluding underwriting positions subscribed or sub-underwritten by third parties in 
accordance with the second sentence of the first subparagraph of Article 345(1) CRR. 
Regarding the distinction between Long and Short positions, also applicable to these gross 
positions, see Article 328(2) CRR.  
0030-0040  NET POSITIONS (LONG AND SHORT)  
Articles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short 
positions, see Article 328(2) CRR.  
0050  POSITIONS SUBJECT TO CAPITAL CHARGE  
Those net positions that, in accordance with the different approaches considered in Chapter 2 
of Title IV of Part Three CRR, receive a capital charge.  
0060  OWN FUNDS REQUIREMENTS  
The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part 
Three CRR.  
0070  TOTAL RISK EXPOSURE AMOUNT  
Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 
12,5.  
Rows  
0010-0350  TRADED DEBT INSTRUMENTS IN TRADING BOOK  
Positions in traded debt instruments in Trading Book and their correspondent own funds 
requirements for position risk in accordance with point (b)(i) of Article 92(3) CRR and 
Chapter 2 of Title IV of Part Three CRR shall be reported depending on risk category, 
maturity and approach used.  
0011  GENERAL RISK.  
0012  Derivatives  
Derivatives included in the calculation of interest rate risk of trading book positions, taking 
into account Articles 328 to 331 CRR, where applicable.  
0013  Other assets and liabilities  
Instruments other than derivatives included in the calculation of interest rate risk of trading 
book positions.  
0020-0200  MATURITY BASED APPROACH  
Positions in traded debt instruments subject to the maturity-based approach referred to in 
paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements 
calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 
2 and 3 and those zones shall be split by the maturity of the instruments.EN L 97/418 Official Journal of the European Union 19.3.2021
 
Rows  
0210-0240  GENERAL RISK. DURATION BASED APPROACH  
Positions in traded debt instruments subject to the duration-based approach referred to in 
paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements 
calculated in accordance with Article 340(7) CRR. The position shall be split by zones 1, 
2 and 3.  
0250  SPECIFIC RISK  
Sum of amounts reported in rows 0251, 0325 and 0330. 
Positions in traded debt instruments subject to the specific risk capital requirements and their 
corresponding capital requirements in accordance with point (b) of Article 92(3) and 
Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be 
also aware of the last sentence in Article 327(1) CRR.  
0251-0321  Own funds requirement for non-securitisation debt instruments  
Sum of the amounts reported in rows 260 to 321. 
The own funds requirement of the n-th to default credit derivatives which are not rated 
externally shall be calculated by summing up the risk weights of the reference entities 
(point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – 
‘look-through’). N-th-to-default credit derivatives which are rated externally (the third 
subparagraph of Article 332(1) CRR) shall be reported separately in line 321. 
Reporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds 
which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) 
CRR (covered bonds). The specific own funds requirements shall be half of the percentage of 
the second category referred to in Table 1 of Article 336 CRR. Those positions have to be 
assigned to rows 0280-0300 in accordance with the residual term to final maturity. 
Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 
and 347 CRR shall be applied.  
0325  Own funds requirement for securitisation instruments  
Total own funds requirements reported in column 0601 of template MKR SA SEC. Those total 
own funds requirements shall only be reported on Total level of the MKR SA TDI.  
0330  Own funds requirement for the correlation trading portfolio  
Total own funds requirements reported in column 0450 of template MKR SA CTP. Those 
total own funds requirements shall only be reported on Total level of the MKR SA TDI.  
0350-0390  ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)  
Article 329(3) CRR. 
The additional requirements for options related to non-delta risks shall be reported broken 
down by the method used for their calculation.  
5.2.  C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)EN 19.3.2021 Official Journal of the European Union L 97/419
 
5.2.1. General Remarks  
162. This template requests information on positions (all/net and long/short) and the related own funds 
requirements for the specific risk component of position risk in securitisations/re-securitisations held in 
the trading book (not eligible for correlation trading portfolio) under the Standardised Approach.  
163. The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation 
positions in accordance with Article 335 CRR in connection with 337 CRR. Where securitisation 
positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. 
There is only one template for all positions of the trading book, irrespective of the approach institutions 
apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of 
Part Three CRR. The own funds requirements of the general risk of those positions shall be reported in 
the MKR SA TDI or the MKR IM template.  
164. Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see point (b) 
of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions 
have to be reported in row 0460 of CA1.  
5.2.2. Instructions concerning specific positions  
Columns  
0010-0020  ALL POSITIONS (LONG AND SHORT)  
Article 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation 
positions). Regarding the distinction between Long and Short positions, also applicable to 
those gross positions, see Article 328(2) CRR.  
0030-0040  (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)  
Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR  
0050-0060  NET POSITIONS (LONG AND SHORT)  
Articles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short 
positions, see Article 328(2) CRR.  
0061-0104  BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS  
Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and 
Article 266 CRR. 
The breakdown shall be done separately for long and short positions.  
0402-0406  BREAKDOWN OF THE NET POSITIONS BY APPROACHES  
Article 254 CRR  
0402  SEC-IRBA  
Article 259 and 260 CRR  
0403  SEC-SA  
Article 261 and 262 CRR  
0404  SEC-ERBA  
Article 263 and 264 CRR  
0405  INTERNAL ASSESSMENT APPROACH  
Articles 254 and 265 CRR and Article 266(5) CRR.  
0406  OTHER (RW = 1 250 %)  
Article 254(7) CRREN L 97/420 Official Journal of the European Union 19.3.2021
 
Columns  
0530-0540  OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION 
(EU) 2017/2402  
Article 270a CRR  
0570  BEFORE CAP  
Article 337 CRR, without taking into account the discretion of Article 335 CRR which 
allows an institution to cap the product of the weight and the net position at the 
maximum possible default-risk related loss.  
0601  AFTER CAP/TOTAL OWN FUND REQUIREMENTS  
Article 337 CRR, taking into account the discretion of Article 335 CRR.  
Rows  
0010  TOTAL EXPOSURES  
Total amount of outstanding securitisations and re-securitisations (held in the trading book) 
reported by the institution playing the role/s of originator or investor or sponsor.  
0040, 0070 
and 0100  SECURITISATION POSITIONS  
Point (62) of Article 4(1) CRR.  
0020, 0050, 
0080 and 
0110  RE-SECURITISATIONS POSITIONS  
Point (64) of Article 4(1) CRR  
0041, 0071 
and 0101  OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT  
Total amount of securitisation positions which fulfil the criteria of Article 243 CRR or 
Article 270 CRR and therefore qualify for differentiated capital treatment.  
0030-0050  ORIGINATOR  
Point (13) of Article 4(1) CRR  
0060-0080  INVESTOR  
Credit institution that holds a securitisation positions in a securitisation transaction for which 
it is neither originator, sponsor nor original lender.  
0090-0110  SPONSOR  
Point (14) of Article 4(1) CRR. 
A sponsor that also securitises its own assets shall fill in the originator’s rows with the 
information regarding its own securitised assets.  
5.3.  C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE 
CORRELATION TRADING PORTFOLIO (MKR SA CTP)EN 19.3.2021 Official Journal of the European Union L 97/421
 
5.3.1. General Remarks  
165. This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising 
securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with 
Article 338(3) CRR) and the corresponding own funds requirements under the Standardised Approach.  
166. The MKR SA CTP template presents the own funds requirement only for the specific risk of positions 
assigned to the CTP in accordance with Article 335 CRR in conjunction with paragraphs 2 and 3 of 
Article 338 CRR. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 
347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the 
approach institutions apply to determine the risk weight for each of the positions in accordance with 
Chapter 5 of Title II of Part Three CRR. The own funds requirements for the general risk of these 
positions are reported in the MKR SA TDI or the MKR IM template.  
167. The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. 
Securitisation positions shall always be reported in rows 0030, 0060 or 0090 (depending on the role of 
the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 
0110. The ‘other CTP-positions’ are positions that are neither securitisation positions nor n-th to default 
credit derivatives (see Article 338(3) CRR), but they are explicitly ‘linked’ to one of those two positions 
(because of the hedging intent).  
168. Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see point (b) 
of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions 
have to be reported in row 0460 of CA1.  
5.3.2. Instructions concerning specific positions  
Columns  
0010-0020  ALL POSITIONS (LONG AND SHORT)  
Article 102 and Article 105(1) CRR in conjunction paragraphs (2) and (3) of Article 338 
CRR (positions assigned to the Correlation Trading Portfolio) 
Regarding the distinction between long and short positions, also applicable to those gross 
positions, see Article 328(2) CRR.  
0030-0040  (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)  
Article 253 CRR  
0050-0060  NET POSITIONS (LONG AND SHORT)  
Articles 327, 328, 329 and 334 CRR 
Regarding the distinction between long and short positions, see Article 328(2) CRR.  
0071-0097  BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS  
Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and 
Article 266 CRR  
0402-0406  BREAKDOWN OF THE NET POSITIONS BY APPROACHES  
Article 254 CRR  
0402  SEC-IRBA  
Articles 259 and 260 CRR  
0403  SEC-SA  
Articles 261 and 262 CRR  
0404  SEC-ERBA  
Articles 263 and 264 CRREN L 97/422 Official Journal of the European Union 19.3.2021
 
Columns  
0405  INTERNAL ASSESSMENT APPROACH  
Articles 254 and 265 and Article 266(5) CRR.  
0406  OTHER (RW = 1 250 %)  
Article 254(7) CRR  
0410-0420  BEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS  
Article 338 CRR, without taking into account the discretion of Article 335 CRR  
0430-0440  AFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS  
Article 338 CRR, taking into account the discretion of Article 335 CRR  
0450  TOTAL OWN FUNDS REQUIREMENTS  
The own funds requirement is determined as the larger of either (i) the specific risk charge that 
would apply just to the net long positions (column 0430) or (ii) the specific risk charge that 
would apply just to the net short positions (column 0440).  
Rows  
0010  TOTAL EXPOSURES  
Total amount of outstanding positions (held in the correlation trading portfolio) reported by 
the institution playing the role/s of originator, investor or sponsor.  
0020-0040  ORIGINATOR  
Point (13) of Article 4(1) CRR  
0050-0070  INVESTOR  
Credit institution that holds a securitisation positions in a securitisation transaction for which 
it is neither originator, sponsor nor original lender  
0080-0100  SPONSOR  
Point (14) of Article 4(1) CRR 
A sponsor that also securitises its own assets shall fill in the originator’s rows with the 
information regarding its own securitised assets.  
0030, 0060 
and 0090  SECURITISATION POSITIONS  
The correlation trading portfolio shall comprise securitisations, n-th-to-default credit 
derivatives and possibly other hedging positions that meet the criteria set out in paragraphs 
2 and 3 of Article 338 CRR. 
Derivatives of securitisation exposures that provide a pro-rata share as well as positions 
hedging CTP positions shall be included in row ‘Other CTP positions’.EN 19.3.2021 Official Journal of the European Union L 97/423
 
Rows  
0110  N-TH-TO-DEFAULT CREDIT DERIVATIVES  
N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in 
accordance with 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 consequence, the breakdown as for securitisation positions cannot be provided for n-th 
to default credit derivatives.  
0040, 0070, 
0100 and 
0120  OTHER CTP POSITIONS  
The following positions are included: 
— Derivatives of securitisation exposures that provide a pro-rata share, as well as positions 
hedging CTP positions; 
— CTP positions hedged by credit derivatives in accordance with Article 346 CRR; 
— Other positions that satisfy Article 338(3) CRR.  
5.4.  C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)  
5.4.1. General Remarks  
169. This template requests information on the positions and the corresponding own funds requirements for 
position risk in equities held in the trading book and treated under the Standardised Approach.  
170. The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of the following 
markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, 
Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, 
Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for 
all other markets. For the purpose of this reporting requirement, the term ‘market’ shall be read as 
‘country’ (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) 
No 525/2014 (  12 )). 
5.4.2. Instructions concerning specific positions  
Columns  
0010-0020  ALL POSITIONS (LONG AND SHORT)  
Article 102 and Article 105(1) CRR. 
These are gross positions not netted by instruments but excluding underwriting positions 
subscribed or sub-underwritten by third parties as referred to in the second sentence of the 
first subparagraph of Article 345(1) CRR.  
0030-0040  NET POSITIONS (LONG AND SHORT)  
Articles 327, 329, 332, 341 and 345 CRR.  
0050  POSITIONS SUBJECT TO CAPITAL CHARGE  
Those net positions that, in accordance with the different approaches considered in Chapter 2 
of Title IV of Part Three CRR receive a capital charge. The capital charge has to be calculated 
for each national market separately. Positions in stock-index futures as referred to in the 
second sentence of Article 344(4) CRR shall not be included in this column.  
0060  OWN FUNDS REQUIREMENTS  
The own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for 
any relevant positionEN L 97/424 Official Journal of the European Union 19.3.2021  
( 12 ) Commission Delegated Regulation (EU) No 525/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the 
European Parliament and of the Council with regard to regulatory technical standards for the definition of market (OJ L 148, 
20.5.2014, p. 15).
 Columns  
0070  TOTAL RISK EXPOSURE AMOUNT  
Point (b) of Article 92(4) CRR. 
Result of the multiplication of the own funds requirements by 12,5.  
Rows  
0010-0130  EQUITIES IN TRADING BOOK  
Own funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR 
and Section 3 of Chapter 2 of Title IV of Part Three CRR.  
0020-0040  GENERAL RISK  
Positions in equities subject to general risk (Article 343 CRR) and their correspondent own 
funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three CRR 
Both breakdowns (rows 0021/0022 as well as rows 0030/0040) are a breakdown related to 
all positions subject to general risk. 
Rows 0021 and 0022 request information on the breakdown by instruments. 
Only the breakdown in rows 0030 and 0040 shall be used as a basis for the calculation of 
own funds requirements.  
0021  Derivatives  
Derivatives included in the calculation of equity risk of trading book positions taking into 
account Articles 329 and 332 CRR, where applicable  
0022  Other assets and liabilities  
Instruments other than derivatives included in the calculation of equity risk of trading book 
positions.  
0030  Exchange traded stock-index futures broadly diversified and subject to a particular 
approach  
Exchange traded stock-index futures broadly diversified and subject to a particular approach in 
accordance with Commission Implementing Regulation (EU) No 945/2014 (  13 ) 
Those positions shall be only subject to general risk and, accordingly, must not be reported in 
row 0050.  
0040  Other equities than exchange traded stock-index futures broadly diversified  
Other positions in equities subject to specific risk as well as the correspondent own funds 
requirements in accordance with Article 343 CRR, including positions in stock index futures 
treated in accordance with Article 344(3) CRR  
0050  SPECIFIC RISK  
Positions in equities subject to specific risk and the correspondent own funds requirement in 
accordance with Article 342 CRR, excluding positions in stock-index futures treated in 
accordance with the second sentence of Article 344(4) CRREN 19.3.2021 Official Journal of the European Union L 97/425  
( 13 ) Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with 
regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of  the 
Council
 Rows  
0090-0130  ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)  
Paragraphs 2 and 3 of Article 329 CRR 
The additional requirements for options related to non-delta risks shall be reported in the 
method used for its calculation.  
5.5.  C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)  
5.5.1. General Remarks  
171. Institutions shall report information on the positions in each currency (reporting currency included) and 
the corresponding own funds requirements for foreign exchange risk treated under the Standardised 
Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs.  
172. Rows 0100 to 0480 of this template shall be reported even where institutions are not required to 
calculate own funds requirements for foreign exchange risk in accordance with Article 351 CRR. In 
those memorandum items, all the positions in the reporting currency are included, irrespective of 
whether they are considered for the purposes of Article 354 CRR. Rows 0130 to 0480 of the 
memorandum items of the template shall be filled out separately for all currencies of the Member 
States of the Union, the currencies GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, 
MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.  
5.5.2. Instructions concerning specific positions  
Columns  
0020-0030  ALL POSITIONS (LONG AND SHORT)  
Gross positions due to assets, amounts to be received and similar items referred to in 
Article 352(1) CRR 
In accordance with Article 352(2) CRR and subject to permission from competent authorities, 
positions taken to hedge against the adverse effect of the exchange rate on their ratios in 
accordance with Article 92(1) CRR and positions related to items that are already deducted in 
the calculation of own funds shall not be reported.  
0040-0050  NET POSITIONS (LONG AND SHORT)  
Article 352(3), the first two sentences of Article 352(4), and Article 353 CRR 
The net positions are calculated by each currency in accordance with Article 352(1) CRR. 
Consequently, both long and short positions may be reported at the same time.  
0060-0080  POSITIONS SUBJECT TO CAPITAL CHARGE  
The third sentence of Article 352(4) and Articles 353 and 354 CRR  
0060-0070  POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)  
The long and short net positions for each currency shall be calculated by deducting the total 
of short positions from the total of long positions. 
Long net positions for each operation in a currency shall be added to obtain the long net 
position in that currency. 
Short net positions for each operation in a currency shall be added to obtain the short net 
position in that currency. 
Unmatched positions in non-reporting currencies shall be added to positions subject to capital 
charges for other currencies (row 030) in column 060 or 070, depending on their short or 
long arrangement.EN L 97/426 Official Journal of the European Union 19.3.2021
 
Columns  
0080  POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)  
Matched positions for closely correlated currencies.  
0090  OWN FUNDS REQUIREMENTS  
The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part 
Three CRR  
0100  TOTAL RISK EXPOSURE AMOUNT  
Point (b) of Article 92(4) CRR. 
Result of the multiplication of the own funds requirements by 12,5.  
Rows  
0010  TOTAL POSITIONS  
All positions in non-reporting currencies and those positions in the reporting currency that 
are considered for the purposes of Article 354 CRR as well as their correspondent own funds 
requirements for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking 
into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting 
currency).  
0020  CURRENCIES CLOSELY CORRELATED  
Positions and their correspondent own funds requirements for closely correlated currencies as 
referred to in Article 354 CRR.  
0025  Currencies closely correlated:  of which : reporting currency  
Positions in the reporting currency which contribute to the calculation of the capital 
requirements in accordance with Article 354 CRR.  
0030  ALL OTHER CURRENCIES (including CIU's treated as different currencies)  
Positions and their correspondent own funds requirements for currencies subject to the 
general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR. 
Reporting of CIU's treated as separate currencies in accordance with Article 353 CRR: 
There are two different treatments of CIUs treated as separate currencies for calculating the 
capital requirements: 
1. The modified gold method, where the direction of the CIUs investment is not available 
(those CIUs shall be added to an institution’s overall net foreign-exchange position); 
2. Where the direction of the CIU's investment is available, those CIUs shall be added to the 
total open foreign exchange position (long or short, depending on the direction of the 
CIU). 
The reporting of those CIU's shall follow the calculation of the capital requirements.  
0040  GOLD  
Positions and their correspondent own funds requirements for currencies subject to the 
general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRREN 19.3.2021 Official Journal of the European Union L 97/427
 
Rows  
0050 – 0090  ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)  
Paragraphs 5 and 6 of Article 352 CRR 
The additional requirements for options related to non-delta risks shall be reported broken 
down by the method used for their calculation.  
0100-0120  Breakdown of total positions (reporting currency included) by exposure types  
Total positions shall be broken down into derivatives, other assets and liabilities, and off- 
balance sheet items.  
0100  Other assets and liabilities other than off-balance sheet items and derivatives  
Positions not included in row 0110 or 0120 shall be included here.  
0110  Off-balance sheet items  
Items within the scope of Article 352 CRR, irrespective of the currency of denomination, 
which are included in Annex I to CRR, except those included as Securities Financing Trans ­
actions & Long Settlement Transactions or from Contractual Cross Product Netting.  
0120  Derivatives  
Positions valued in accordance with Article 352 CRR.  
0130-0480  MEMORANDUM ITEMS: CURRENCY POSITIONS  
The memorandum items of the template shall be filled in separately for all currencies of the 
Member States of the Union, GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, 
MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other 
currencies.  
5.6.  C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)  
5.6.1. General Remarks  
173. This template request information on the positions in commodities and the corresponding own funds 
requirements treated under the Standardised Approach.  
5.6.2. Instructions concerning specific positions  
Columns  
0010-0020  All POSITIONS (LONG AND SHORT)  
Gross long/short positions considered positions in the same commodity in accordance with 
Article 357(4) CRR (see also Article 359(1) CRR)  
0030-0040  NET POSITIONS (LONG AND SHORT)  
As defined in Article 357(3) CRR  
0050  POSITIONS SUBJECT TO CAPITAL CHARGE  
Those net positions that, in accordance with the different approaches considered in Chapter 4 
of Title IV of Part Three CRR receive a capital charge.  
0060  OWN FUNDS REQUIREMENTS  
The own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three 
CRR for any relevant positionEN L 97/428 Official Journal of the European Union 19.3.2021
 
Columns  
0070  TOTAL RISK EXPOSURE AMOUNT  
Point (b) of Article 92(4) CRR. 
Result of the multiplication of the own funds requirements by 12,5  
Rows  
0010  TOTAL POSITIONS IN COMMODITIES  
Positions in commodities and their correspondent own funds requirements for market risk 
calculated in accordance with point (c)(iii) of Article 92(3) CRR and Chapter 4 of Title IV of 
Part Three CRR  
0020-0060  POSITIONS BY CATEGORY OF COMMODITY  
For reporting purposes, commodities shall be grouped in the four groups of commodities 
referred to in Table 2 of Article 361 CRR.  
0070  MATURITY LADDER APPROACH  
Positions in commodities subject to the maturity ladder approach referred to in Article 359 
CRR  
0080  EXTENDED MATURITY LADDER APPROACH  
Positions in commodities subject to the extended maturity ladder approach referred to in 
Article 361 CRR  
0090  SIMPLIFIED APPROACH  
Positions in commodities subject to the simplified approach referred to in Article 360 CRR  
0100-0140  ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)  
Article 358(4) CRR 
The additional requirements for options related to non-delta risks shall be reported in the 
method used for its calculation.  
5.7.  C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)  
5.7.1. General Remarks  
174. This template provides a breakdown of VaR and stressed VaR (sVaR) figures by the different market risks 
(debt, equity, FX, commodities) and other information relevant for the calculation of the own funds 
requirements.  
175. Generally, it depends on the structure of the model of the institutions whether the figures for general and 
specific risk can be determined and reported separately or only as a total. The same holds true for the 
decomposition of the VaR/Stress-VaR into the risk categories (interest rate risk, equity risk, commodities 
risk and foreign exchange risk). An institution can refrain from reporting those decompositions if it 
proves that reporting those figures would be unduly burdensome.  
5.7.2. Instructions concerning specific positionsEN 19.3.2021 Official Journal of the European Union L 97/429
 
Columns  
0030-0040  Value at Risk (VaR)  
VaR means the maximum potential loss that would result from a price change with a given 
probability over a specific time horizon.  
0030  Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)  
Point (a)(ii) of Article 364(1) and Article 365(1) CRR  
0040  Previous day VaR (VaRt-1)  
Point (a)(i) of Article 364(1) and Article 365(1) CRR  
0050-0060  Stressed VaR  
Stressed VaR means the maximum potential loss that would result from a price change with a 
given probability over a specific time horizon obtained by using input calibrated to historical 
data from a continuous 12-months period of financial stress relevant to the institution’s 
portfolio.  
0050  Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)  
Point (b)(ii) of Article 364(1) and Article 365(1) CRR  
0060  Latest available (SVaRt-1)  
Point (b)(i) of Article 364(1) and Article 365(1) CRR  
0070-0080  INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE  
Incremental default and migration risk capital charge means the maximum potential loss that 
would result from a price change linked to default and migration risks calculated in 
accordance with point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of 
Title IV of Part Three CRR.  
0070  12  weeks average measure  
Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part 
Three CRR  
0080  Last Measure  
Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part 
Three CRR  
0090-0110  ALL PRICE RISKS CAPITAL CHARGE FOR CTP  
0090  FLOOR  
Point (c) of Article 364(3) CRR 
= 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR 
for all positions in the ‘all price risks’ capital charge.EN L 97/430 Official Journal of the European Union 19.3.2021
 
Columns  
0100-0110  12  WEEKS AVERAGE MEASURE AND LAST MEASURE  
Point (b) of Article 364(3) CRR  
0110  LAST MEASURE  
Point (a) of Article 364(3) CRR  
0120  OWN FUNDS REQUIREMENTS  
Own funds requirements as referred to in Article 364 CRR of all risk factors, taking into 
account correlation effects, where applicable, plus incremental default and migration risk and 
all price of risks for CTP, but excluding the Securitization capital charges for Securitization and 
nth-to-default credit derivative according to Article 364(2) CRR  
0130  TOTAL RISK EXPOSURE AMOUNT  
Point (b) of Article 92(4) CRR. 
Result of the multiplication of the own funds requirements by 12.5  
0140  Number of overshootings (during previous 250 working days)  
Referred to in Article 366 CRR 
The number of overshootings based on which the addend is determined shall be reported. 
Where institutions are permitted to exclude certain overshootings from the calculation of the 
addend in accordance with Article 500c CRR, the number of overshootings reported in this 
column shall be net of those excluded overshootings.  
0150-0160  VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)  
As referred to in Article 366 CRR 
The multiplication factors effectively applicable for the calculation of own funds requirements 
shall be reported; where applicable, after application of Article 500c CRR.  
0170-0180  ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG/SHORT POSITIONS AFTER 
CAP  
The amount reported and serving as the basis to calculate the floor capital charge for all price 
risks in accordance with point (c) of Article 364(3) CRR, taking into account the discretion of 
Article 335 CRR which stipulates that the institution may cap the product of the weight and 
the net position at the maximum possible default-risk related loss.  
Rows  
0010  TOTAL POSITIONS  
Corresponds to the part of position, foreign exchange and commodities risk referred to in 
Article 363(1) CRR linked to the risk factors specified in Article 367(2) CRR. 
Concerning the columns 0030 to 0060 (VAR and Stress-VAR), the figures in the total row are 
not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk 
components.EN 19.3.2021 Official Journal of the European Union L 97/431
 
Rows  
0020  TRADED DEBT INSTRUMENTS  
Corresponds to the part of position risk referred to in Article 363(1) CRR, linked to the 
interest rates risk factors specified in point (a) of Article 367(2) CRR.  
0030  TDI – GENERAL RISK  
General risk component as referred to in Article 362 CRR  
0040  TDI – SPECIFIC RISK  
Specific risk component as referred to in Article 362 CRR  
0050  EQUITIES  
Corresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity 
risk factors as specified in point (c) of Article 367(2) CRR.  
0060  EQUITIES – GENERAL RISK  
General risk component as referred to in Article 362 CRR  
0070  EQUITIES – SPECIFIC RISK  
Specific risk component as referred to in Article 362 CRR  
0080  FOREIGN EXCHANGE RISK  
Articles 363(1) and point (b) of Article 367(2) CRR  
0090  COMMODITY RISK  
Articles 363(1) and point (d) of Article 367(2) CRR  
0100  TOTAL AMOUNT FOR GENERAL RISK  
Market risk caused by general market movements of traded debt instruments, equities, foreign 
exchange and commodities. VaR for general risk of all risk factors (taking into account 
correlation effects where applicable)  
0110  TOTAL AMOUNT FOR SPECIFIC RISK  
Specific risk component of traded debt instruments and equities. VaR for specific risk of 
equities and traded debt instruments of trading book (taking into account correlation 
effects where applicable)  
5.8.  C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA)  
5.8.1. Instructions concerning specific positions  
Columns  
0010  Exposure value  
Article 271 CRR in conjunction with Article 382 CRR. 
Total EAD from all transactions subject to CVA charge.EN L 97/432 Official Journal of the European Union 19.3.2021
 
Columns  
0020  Of which: OTC derivatives  
Article 271 CRR in conjunction with Article 382(1) CRR. 
The part of the total counterparty credit risk exposure solely due to OTC derivatives. The 
information is not required from IMM institutions holding OTC derivatives and SFTs in the 
same netting set.  
0030  Of which: SFT  
Article 271 CRR in conjunction with Article 382(2) CRR 
The part of the total counterparty credit risk exposure solely due to SFT derivatives. The 
information is not required from IMM institutions holding OTC derivatives and SFTs in the 
same netting set.  
0040  MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)  
Article 383 CRR in conjunction with point (d) of Article 363(1) CRR. 
VaR calculation based on internal models for market risk  
0050  PREVIOUS DAY (VaRt-1)  
See instructions for column 0040.  
0060  MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)  
See instructions for column 0040  
0070  LATEST AVAILABLE (SVaRt-1)  
See instructions for column 0040  
0080  OWN FUNDS REQUIREMENTS  
Point (d) of Article 92(3) CRR. 
Own funds requirements for CVA Risk calculated via the chosen method.  
0090  TOTAL RISK EXPOSURE AMOUNT  
Point (b) of Article 92(4) CRR. 
Own funds requirements multiplied by 12.5.  
Memorandum items  
0100  Number of counterparties  
Article 382 CRR 
Number of counterparties included in calculation of own funds for CVA risk. 
Counterparties are a subset of obligors. They only exist in case of derivatives transactions or 
SFTs where they are the other contracting party.EN 19.3.2021 Official Journal of the European Union L 97/433
 
Columns  
0110  Of which: proxy was used to determine credit spread  
Number of counterparties where the credit spread was determined using a proxy instead of 
directly observed market data.  
0120  INCURRED CVA  
Accounting provisions due to decreased credit worthiness of derivatives counterparties.  
0130  SINGLE NAME CDS  
Point (a) of Article 386(1) CRR 
Total notional amounts of single name CDS used as hedge for CVA risk.  
0140  INDEX CDS  
Point (b) of Article 386(1) CRR 
Total notional amounts of index CDS used as hedge for CVA risk.  
Rows  
0010  CVA risk total  
Sum of rows 0020-0040  
0020  Advanced method  
Advanced CVA risk method as prescribed by Article 383 CRR  
0030  Standardised method  
Standardised CVA risk method as prescribed by Article 384 CRR  
0040  Based on OEM  
Amounts subject to the application of Article 385 CRR  
6. PRUDENT VALUATION (PRUVAL)  
6.1.  C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)  
6.1.1. General remarks  
176. This template shall be completed by all institutions, irrespective of whether they have adopted the 
simplified approach for the determination of Additional Valuation Adjustments (‘AVAs’). This template 
is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the 
conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101 (  14 ) for using the 
simplified approach for the determination of AVAs are met.EN L 97/434 Official Journal of the European Union 19.3.2021  
( 14 ) Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the 
European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14 ) 
(OJ L 21, 28.1.2016, p. 54).
 177. With regard to institutions using the simplified approach, this template shall provide the total AVA to be 
deducted from own funds pursuant to Articles 34 and 105 CRR as set out in Article 5 of the Delegated 
Regulation (EU) 2016/101, which shall be reported accordingly in row 0290 of C 01.00.  
6.1.2. Instructions concerning specific positions  
Columns  
0010  FAIR-VALUED ASSETS AND LIABILITIES  
Absolute value of fair-valued assets and liabilities, as stated in the financial statements under 
the applicable accounting framework, as referred to in Article 4(1) of Delegated Regulation 
(EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation 
(EU) 2016/101.  
0020  OF WHICH: trading book  
Absolute value of fair-valued assets and liabilities, as reported in 010, corresponding to 
positions held in the trading book.  
0030-0070  FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON 
CET1  
Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of 
Delegated Regulation (EU) 2016/101.  
0030  Exactly matching  
Exactly matching, offsetting fair-valued assets and liabilities excluded in accordance with 
Article 4(2) of Delegated Regulation (EU) 2016/101.  
0040  Hedge accounting  
For positions subject to hedge accounting under the applicable accounting framework, 
absolute value of fair-valued assets and liabilities excluded in proportion to the impact of 
the relevant valuation change on CET1 capital in accordance with Article 4(2) of Delegated 
Regulation (EU) 2016/101.  
0050  PRUDENTIAL Filters  
Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of 
Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential 
filters referred to in Articles 467 and 468 CRR.  
0060  Other  
Any other positions excluded in accordance with Article 4(2) of Delegated Regulation (EU) 
2016/101 due to adjustments to their accounting value having only a proportional effect on 
CET1 capital. 
This row shall only be populated in rare cases where elements excluded in accordance with 
Article 4(2) of Delegated Regulation (EU) 2016/101 cannot be assigned to columns 0030, 
0040 or 0050 of this template.  
0070  Comment for other  
The main reasons why the positions reported in column 0060 were excluded shall be 
provided.EN 19.3.2021 Official Journal of the European Union L 97/435
 
Columns  
0080  FAIR-VALUED Assets and Liabilities included in ARTICLE 4(1) threshold  
Absolute value of fair-valued assets and liabilities actually included in the threshold 
computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101.  
0090  OF WHICH: trading book  
Absolute value of fair-valued assets and liabilities, as reported in column 0080, corresponding 
to positions held in the trading book.  
Rows  
0010 – 0210  The definitions of these categories shall match those of the corresponding rows of FINREP 
templates 1.1 and 1.2.  
0010  1  TOTAL FAIR-VALUED ASSETS AND LIABILITIES  
Total of fair-valued assets and liabilities reported in rows 0020 to 0210.  
0020  1.1  TOTAL FAIR-VALUED ASSETS  
Total of fair-valued assets reported in rows 0030 to 0140. 
Relevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 
of Annexes III and IV to this Implementing Regulation, depending on the institution’s 
applicable standards: 
— IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 of the 
European Parliament and of the Council (‘EU IFRS’) (  15 ); 
— National accounting standards compatible with EU IFRS (‘National GAAP compatible 
IFRS’); or 
— National GAAP based on BAD (FINREP ‘National GAAP based on BAD’).  
0030  1.1.1  FINANCIAL ASSETS HELD FOR TRADING  
IFRS 9.Appendix A. 
The information reported in this row shall correspond to row 0050 of template F 01.01 of 
Annexes III and IV to this Implementing Regulation.  
0040  1.1.2  TRADING FINANCIAL ASSETS  
Articles 32 and 33 BAD; Part 1.17 of Annex V to this Implementing Regulation 
The information reported in this row shall correspond to assets measured at fair value that are 
included in the value reported in row 0091 of template F 01.01 of Annexes III and IV to this 
Implementing Regulation.  
0050  1.1.3  NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE 
THROUGH PROFIT OR LOSS  
IFRS 7.8(a)(ii); IFRS 9.4.1.4. 
The information reported in this row shall correspond to row 0096 of template F 01.01 of 
Annexes III and IV to this Implementing Regulation.EN L 97/436 Official Journal of the European Union 19.3.2021  
( 15 ) Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of internationa l 
accounting standards (OJ L 243, 11.9.2002, p. 1).
 Rows  
0060  1.1.4  FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR 
LOSS  
IFRS 7.8(a)(i); IFRS 9.4.1.5; point (a) of Article 8(1) and Article 8(6) AD 
The information reported in this row shall correspond to row 0100 of template F 01.01 of 
Annexes III and IV to this Implementing Regulation.  
0070  1.1.5  FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE 
INCOME  
IFRS 7.8(h); IFRS 9.4.1.2 A. 
The information reported in this row shall correspond to row 0141 of template F 01.01 of 
Annexes III and IV to this Implementing Regulation.  
0080  1.1.6  NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR 
VALUE THROUGH PROFIT OR LOSS  
Article 36(2) BADThe information reported in this row shall correspond to row 0171 of 
template F 01.01 of Annexes III and IV to this Implementing Regulation.  
0090  1.1.7  NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR 
VALUE TO EQUITY  
Point (a) of Article 8(1) and Article 8(8) AD 
The information reported in this row shall correspond to row 0175 of template F 01.01 of 
Annexes III and IV to this Implementing Regulation.  
0100  1.1.8  OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS  
Article 37 BAD; Article 12(7) AD; Part 1.20 of Annex V to this Implementing Regulation 
The information reported in this row shall correspond to assets measured at fair value that are 
included in the value reported in row 0234 of template F 01.01 of Annexes III and IV to this 
Implementing Regulation.  
0110  1.1.9  DERIVATIVES – HEDGE ACCOUNTING  
IFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; point (a) of Article 8(1) 
and paragraphs 6 and 8 of Article 8 AD; IAS 39.9 
The information reported in this row shall correspond to row 0240 of template F 01.01 of 
Annexes III and IV to this Implementing Regulation.  
0120  1.1.10  FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF 
INTEREST RATE RISK  
IAS 39.89 A(a); IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 ADThe information reported in 
this row shall correspond to row 0250 of template F 01.01 of Annexes III and IV to this 
Implementing Regulation.  
0130  1.1.11  INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES  
IAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; points (7) and 
(8) of Article 4 BAD; Article 2(2) AD 
The information reported in this row shall correspond to row 0260 of template F 01.01 of 
Annexes III and IV to this Implementing Regulation.EN 19.3.2021 Official Journal of the European Union L 97/437
 
Rows  
0140  1.1.12  (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE  
Part 1.29 of Annex V to this Implementing Regulation 
The information reported in this row shall correspond to row 0375 of template F 01.01 of 
Annexes III and IV to this Implementing Regulation.  
0150  1.2  TOTAL FAIR-VALUED LIABILITIES  
Total of fair-valued liabilities reported in rows 0160 to 0210. 
Relevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 
of Annexes III and IV to this Implementing Regulation depending on the institution’s 
applicable standards: 
— IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 (‘EU 
IFRS’) 
— National accounting standards compatible with EU IFRS (‘National GAAP compatible 
IFRS’) 
— or National GAAP based on BAD (FINREP ‘National GAAP based on BAD’).  
0160  1.2.1  FINANCIAL LIABILITIES HELD FOR TRADING  
IFRS 7.8 (e) (ii); IFRS 9.BA.6. 
The information reported in this row shall correspond to row 0010 of template F 01.02 of 
Annexes III and IV to this Implementing Regulation.  
0170  1.2.2  TRADING FINANCIAL LIABILITIES  
Point (a) of Article 8(1) and paragraphs 3 and 6 of Article 8 AD 
The information reported in this row shall correspond to row 0061 of template F 01.02 of 
Annexes III and IV to this Implementing Regulation.  
0180  1.2.3  FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT 
OR LOSS  
IFRS 7.8 (e)(i); IFRS 9.4.2.2; point (a) of Article 8(1) and Article 8(6) AD; IAS 39.9. 
The information reported in this row shall correspond to row 0070 of template F 01.02 of 
Annexes III and IV to this Implementing Regulation.  
0190  1.2.4  DERIVATIVES – HEDGE ACCOUNTING  
IFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; point (a) of Article 8(1), 
Article 8(6) and point (a) of Article 8(8) AD 
The information reported in this row shall correspond to row 0150 of template F 01.02 of 
Annexes III and IV to this Implementing Regulation.  
0200  1.2.5  FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF 
INTEREST RATE RISK  
IAS 39.89 A(b), IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD; Part 2.8 of Annex V to 
this Implementing Regulation 
The information reported in this row shall correspond to row 0160 of template F 01.02 of 
Annexes III and IV to this Implementing Regulation.EN L 97/438 Official Journal of the European Union 19.3.2021
 
Rows  
0210  1.2.6  HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE  
Part 1.29 of Annex V to this Implementing Regulation 
The information reported in this row shall correspond to row 0295 of template F 01.02 of 
Annexes III and IV to this Implementing Regulation.  
6.2.  C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)  
6.2.1. General remarks  
178. The purpose of this template is to provide information on the composition of the total AVA to be 
deducted from own funds under Articles 34 and 105 CRR alongside relevant information about the 
accounting valuation of the positions that give rise to the determination of AVAs.  
179. This template shall be completed by all institutions that:  
(a) are required to use the core approach because they exceed the threshold referred to in Article 4(1) of 
Delegated Regulation (EU) 2016/101, either on an individual basis or on a consolidated basis as set 
out in Article 4(3) of that Regulation; or  
(b) have chosen to apply the core approach despite not exceeding the threshold.  
180. For the purposes of this template, ‘upside uncertainty’ shall mean the following: As determined by 
Article 8(2) of Delegated Regulation (EU) 2016/101, AVAs are calculated as the difference between the 
fair value and a prudent valuation that is determined on the basis of a 90 % confidence that institutions 
can exit the exposure at that point or better within the notional range of plausible values. The upside 
value or ‘upside uncertainty’ is the opposing point in the distribution of plausible values at which 
institutions are only 10 % confident that they can exit the position at that point or better. The upside 
uncertainty shall be calculated and aggregated on the same basis as the total AVA but substituting a 10 % 
level of certainty for the 90 % used when determining the total AVA.  
6.2.2. Instructions concerning specific positions  
Columns  
0010 – 0100  CATEGORY LEVEL AVA  
The category level AVAs for market price uncertainty, close-out costs, model risk, concen ­
trated positions, future administrative costs, early termination and operational risk are 
calculated as described in Articles 9, 10, 11 and 14 to 17 of Delegated Regulation (EU) 
2016/101 respectively. 
For the market price uncertainty, close-out cost and model risk categories, which are subject to 
diversification benefit as set out in Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 
2016/101, respectively, category level AVAs shall be, unless indicated otherwise, reported as 
the straight sum of the individual AVAs before diversification benefit [since diversification 
benefits calculated using method 1 or method 2 of the Annex of Delegated Regulation (EU) 
2016/101 are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template]. 
For the market uncertainty, close-out cost and model risk categories, amounts calculated under 
the expert-based approach as referred to in point (b) of Article 9(5), point (b) of Article 10(6) 
and Article 11(4) of Delegated Regulation (EU) 2016/101 shall be separately reported in 
columns 0020, 0040 and 0060.EN 19.3.2021 Official Journal of the European Union L 97/439
 
Columns  
0010  MARKET PRICE UNCERTAINTY  
Article 105(10) CRR. 
Market price uncertainty AVAs calculated in accordance with Article 9 of Delegated Regu ­
lation (EU) 2016/101.  
0020  OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH  
Market price uncertainty AVAs calculated in accordance with point (b) of Article 9(5) of 
Delegated Regulation (EU) 2016/101.  
0030  CLOSE-OUT COSTS  
Article 105(10) CRR. 
Close-out costs AVAs calculated in accordance with Article 10 of Delegated Regulation (EU) 
2016/101.  
0040  OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH  
Close-out costs AVAs calculated in accordance with point (b) of Article 10(6) of Delegated 
Regulation (EU) 2016/101.  
0050  MODEL RISK  
Article 105(10) CRR 
Model risk AVAs calculated in accordance with Article 11 of Delegated Regulation (EU) 
2016/101.  
0060  OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH  
Model risk AVAs calculated in accordance with Article 11(4) of Delegated Regulation (EU) 
2016/101.  
0070  CONCENTRATED POSITIONS  
Article 105(11) CRR 
Concentrated positions AVAs calculated in accordance with Article 14 of Delegated Regu ­
lation (EU) 2016/101.  
0080  FUTURE ADMINISTRATIVE COSTS  
Article 105(10) CRR 
Future administrative costs AVAs calculated in accordance with Article 15 of Delegated 
Regulation (EU) 2016/101.  
0090  EARLY TERMINATION  
Article 105(10) CRR 
Early termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) 
2016/101.EN L 97/440 Official Journal of the European Union 19.3.2021
 
Columns  
0100  OPERATIONAL RISK  
Article 105(10) CRR 
Operational risk AVAs calculated in accordance with Article 17 of Delegated Regulation (EU) 
2016/101.  
0110  TOTAL AVA  
Row 0010: total AVA to be deducted from own funds in accordance with Articles 34 and 
105 CRR and reported accordingly in row 0290 of C 01.00. The total AVA shall be the sum 
of rows 0030 and 0180. 
Row 0020: Share of the total AVA reported in row 0010 stemming from trading book 
positions (absolute value). 
Rows 0030 to 0160: Sum of columns 0010, 0030, 0050 and 0070 to 0100. 
Rows 0180 to 0210: Total AVA stemming from portfolios under the fall-back approach.  
0120  UPSIDE UNCERTAINTY  
Article 8(2) of Delegated Regulation (EU) 2016/101. 
The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA 
computed in column 0110, but substituting a 10 % level of certainty for the 90 % used when 
determining the total AVA.  
0130 -0140  FAIR-VALUED ASSETS AND LIABILITIES  
Absolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported 
in rows 0010 to 0130 and row 0180. For some rows, in particular rows 0090 to 0130, these 
amounts may have to be approximated or allocated based on expert judgement. 
Row 0010: Total absolute value of fair-valued assets and liabilities included in the threshold 
computation of Article 4(1) of Delegated Regulation (EU) 2016/101. That includes the 
absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero 
value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, 
which are also separately reported in rows 0070 and 0080. 
Row 0010 is the sum of row 0030 and row 0180. 
Row 0020: share of total absolute value of fair-valued assets and liabilities reported in row 
0010 stemming from trading book positions (absolute value). 
Row 0030: Absolute value of fair-valued assets and liabilities corresponding to the portfolios 
referred to in Articles 9 to 17 of Delegated Regulation (EU) 2016/101. That includes the 
absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero 
value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, 
which are also separately reported in rows 0070 and 0080. Row 0030 shall be the sum of 
rows 0090 to 0130. 
Row 0050: Absolute value of fair-valued assets and liabilities included in the scope of the 
computation of unearned credit spread AVA. For the purpose of the computation of this AVA, 
exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold 
computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may 
not be considered exactly matching, offsetting anymore.EN 19.3.2021 Official Journal of the European Union L 97/441
 
Columns  
Row 0060: Absolute value of fair-valued assets and liabilities included in the scope of the 
computation of investment and funding costs AVA. For the purpose of the computation of 
this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the 
threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 
2016/101, may not be considered exactly matching, offsetting anymore. 
Row 0070: Absolute value of fair-valued assets and liabilities corresponding to the valuation 
exposures assessed to have zero AVA value referred to in Article 9(2) of Delegated Regulation 
(EU) 2016/101. 
Row 0080: Absolute value of fair-valued assets and liabilities corresponding to the valuation 
exposures assessed to have zero AVA value referred to in paragraphs 2 and 3 of Article 10 of 
Delegated Regulation (EU) 2016/101. 
Rows 0090 to 0130: Absolute value of fair-valued assets and liabilities allocated as set out 
below (see corresponding row instructions) in accordance with the following risk categories: 
interest rates, foreign exchange, credit, equities, commodities. That includes the absolute value 
of fair-valued assets and liabilities for which AVAs are assessed to have zero value in 
accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, 
which are also separately reported in rows 0070 and 0080. 
Row 0180: Absolute value of fair-valued assets and liabilities corresponding to the portfolios 
under the fall-back approach  
0130  FAIR-VALUED ASSETS  
Absolute value of fair-valued assets corresponding to the different rows as explained in the 
instructions on columns 0130-0140 above.  
0140  FAIR-VALUED LIABILITIES  
Absolute value of fair-valued liabilities corresponding to the different rows as explained in the 
instructions on columns 0130-0140 above.  
0150  QTD REVENUE  
The quarter-to-date revenues (‘QTD revenue’) since the last reporting date attributed to the fair 
valued assets and liabilities corresponding to the different rows as explained in the instructions 
on columns 0130-0140 above, where relevant allocated or approximated based on expert 
judgment.  
0160  IPV DIFFERENCE  
The sum across all positions and risk factors of unadjusted difference amounts (‘IPV differ ­
ence’) calculated at the month end closest to the reporting date under the independent price 
verification process performed in accordance with Article 105(8) CRR, with respect to the 
best available independent data for the relevant position or risk factor. 
Unadjusted difference amounts refer to unadjusted differences between the trading system 
generated valuations and the valuations assessed during the monthly IPV process. 
No adjusted difference amounts in the books and records of the institution for the relevant 
month end date shall be included in the calculation of IPV difference.EN L 97/442 Official Journal of the European Union 19.3.2021
 
Columns  
0170 – 0250  FAIR VALUE ADJUSTMENTS  
Adjustments, sometimes also referred to as ‘reserves’, potentially applied in the institution’s 
accounting fair value that are made outside of the valuation model used to generate carrying 
amounts (excluding deferral of day one gains and losses) and that can be identified as 
addressing the same source of valuation uncertainty as the relevant AVA. They could reflect 
risk factors not captured within the valuation technique that are in a form of a risk premium 
or exit cost and are compliant with the definition of fair value. They shall nevertheless be 
considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88)  
0170  MARKET PRICE UNCERTAINTY  
Adjustment applied in the institution’s fair value to reflect the risk premium arising from the 
existence of a range of observed prices for equivalent instruments or, in respect of a market 
parameter input to a valuation model, the instruments from which the input has been 
calibrated, and thus that can be identified as addressing the same source of valuation uncer ­
tainty as the Market price uncertainty AVA.  
0180  CLOSE-OUT COSTS  
Adjustment applied in the institution’s fair value to adjust for the fact that the position level 
valuations do not reflect an exit price for the position or portfolio, in particular where such 
valuations are calibrated to a mid-market price, and thus that can be identified as addressing 
the same source of valuation uncertainty as the close-out costs AVA.  
0190  MODEL RISK  
Adjustment applied in the institution’s fair value to reflect market or product factors that are 
not captured by the model used to calculate daily position values and risks (‘valuation model’) 
or to reflect an appropriate level of prudence given the uncertainty arising from the existence 
of a range of alternative valid models and model calibrations and thus that can be identified as 
addressing the same source of valuation uncertainty as the model risk AVA.  
0200  CONCENTRATED POSITIONS  
Adjustment applied in the institution’s fair value to reflect the fact that the aggregate position 
held by the institution is larger than normal traded volume or larger than the position sizes on 
which observable quotes or trades that are used to calibrate the price or inputs used by the 
valuation model are based and thus can be identified as addressing the same source of 
valuation uncertainty as the concentrated positions AVA.  
0210  UNEARNED CREDIT SPREADS  
Adjustment applied in the institution’s fair value to cover expected losses due to counterparty 
default on derivative positions (i.e. total Credit Valuation Adjustment ‘CVA’ at institution level).  
0220  INVESTING AND FUNDING COSTS  
Adjustment applied in the institution’s fair value to compensate where valuation models do 
not fully reflect the funding cost that market participants would factor into the exit price for a 
position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an 
institution computes such adjustment, or alternatively, equivalent adjustment).EN 19.3.2021 Official Journal of the European Union L 97/443
 
Columns  
0230  FUTURE ADMINISTRATION COSTS  
Adjustment applied in the institution’s fair value to reflect administrative costs that are 
incurred by the portfolio or position but are not reflected in the valuation model or the 
prices used to calibrate inputs to that model, and thus that can be identified as addressing the 
same source of valuation uncertainty as the Future administrative costs AVA.  
0240  EARLY TERMINATION  
Adjustments applied in the institution’s fair value to reflect contractual or non-contractual 
early termination expectations that are not reflected in the valuation model and thus can be 
identified as addressing the same source of valuation uncertainty as the Early termination 
AVA.  
0250  OPERATIONAL RISK  
Adjustments applied in the institution’s fair value to reflect the risk premium that market 
participants would charge to compensate for operational risks arising from hedging, adminis ­
tration and settlement of contracts in the portfolio, and thus can be identified as addressing 
the same source of valuation uncertainty as the operational risk AVA.  
0260  DAY 1 P&L  
Adjustments to reflect instances where the valuation model plus all other relevant fair value 
adjustments applicable to a position or portfolio did not reflect the price paid or received at 
first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A).  
0270  EXPLANATION DESCRIPTION  
Description of the positions treated in accordance with point (b) of Article 7(2) of Delegated 
Regulation (EU) 2016/101 and the reason why it was not possible to apply Articles 9 to 17 
thereof.  
Rows  
0010  1.  TOTAL CORE APPROACH  
Article 7(2) of Delegated Regulation (EU) 2016/101. 
For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs 
computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) 
2016/101 o for fair-valued assets and liabilities included in the threshold computation in 
accordance with Article 4(1) of that Regulation. That includes the diversification benefits 
reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regu ­
lation (EU) 2016/101.  
0020  OF WHICH: TRADING BOOK  
Article 7(2) of Delegated Regulation (EU) 2016/101. 
For each relevant category of AVAs referred to in columns 0010 to 0110, share of total AVAs 
reported in row 0010 stemming from trading book positions (absolute value).EN L 97/444 Official Journal of the European Union 19.3.2021
 
Rows  
0030  1.1  PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISSION DELEGATED REGU ­
LATION (EU) 2016/101- TOTAL CATEGORY LEVEL POST-DIVERSIFICATION  
Point (a) of Article 7(2) of Delegated Regulation (EU) 2016/101. 
For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs 
computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) 2016/101 for 
fair-valued assets and liabilities included in the threshold computation in accordance with 
Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the 
treatment described in point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101. 
That includes the AVAs computed in accordance with Articles 12 and 13 of Delegated 
Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in 
market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in 
Articles 12(2) and 13(2) of that Regulation. 
That includes the diversification benefits reported in row 0140 in accordance with Articles 
9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101. 
Row 0030 shall be the difference between rows 0040 and 0140.  
0040 – 0130  1.1.1  TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION  
For rows 0090 to 0130, institutions shall allocate their fair-valued assets and liabilities 
included in the threshold computation in accordance with Article 4(1) of Delegated Regu ­
lation (EU) 2016/101 (trading book and non-trading book) to the following risk categories: 
interest rates, foreign exchange, credit, equities, commodities. 
To that end, institutions shall rely on their internal risk management structure and, following a 
mapping developed based on expert judgement, allocate their business lines or trading desks 
to the most appropriate risk category. AVAs, Fair Value Adjustments and other required 
information which correspond to the allocated business lines or trading desks, shall be 
allocated to the same relevant risk category to provide at row level for each risk category a 
consistent overview of the adjustments performed both for prudential purposes and 
accounting purposes, as well as an indication of the size of the positions concerned (in 
terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed 
at a different level of aggregation, in particular at firm level, institutions shall develop an 
allocation methodology of the AVAs to the relevant sets of positions. The allocation 
methodology shall lead to row 0040 being the sum of rows 0050 to 0130 for columns 
0010 to 0100. 
Regardless of the approach applied, the information reported shall, as much as possible, be 
consistent at row level, since the information provided will be compared at this level (AVA 
amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments). 
The breakdown in rows 0090 to 0130 excludes the AVAs computed in accordance with 
Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 
and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and 
model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation. 
Diversification benefits are reported in row 0140 in accordance with Articles 9(6), 10(7) and 
11(7) of Delegated Regulation (EU) 2016/101 and are therefore excluded from rows 0040 to 
0130.EN 19.3.2021 Official Journal of the European Union L 97/445
 
Rows  
0050  OF WHICH: UNEARNED CREDIT SPREADS AVA  
Article 105(10) CRR, Article 12 of Delegated Regulation (EU) 2016/101. 
The total AVA calculated for unearned credit spreads (‘AVA on CVA’) and its allocation 
between market price uncertainty, close-out cost or model risk AVAs under Article 12 of 
Delegated Regulation (EU) 2016/101. 
Column 0110: The total AVA is given for information only as its allocation between market 
price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into 
account diversification benefits – under the respective category level AVAs. 
Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the 
scope of the computation of unearned credit spread AVAs. For the purpose of the 
computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, 
excluded from the threshold computation in accordance with Article 4(2) of Delegated 
Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.  
0060  OF WHICH: INVESTMENT AND FUNDING COSTS AVA  
Article 105(10) CRR, Article 17 of Delegated Regulation (EU) 2016/101. 
The total AVA calculated for investing and funding costs and its allocation between market 
price uncertainty, close-out cost or model risk AVAs under Article 13 of Delegated Regu ­
lation (EU) 2016/101. 
Column 0110: The total AVA is given for information only as its allocation between market 
price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into 
account diversification benefits – under the respective category level AVAs. 
Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the 
scope of the computation of investment and funding costs AVA. For the purpose of the 
computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, 
excluded from the threshold computation in accordance with Article 4(2) of Delegated 
Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.  
0070  OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF 
Delegated Regulation (EU) 2016/101  
Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures 
assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) 2016/101.  
0080  OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 
AND 3 OF ARTICLE 10 OF Delegated Regulation (EU) 2016/101  
Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures 
assessed to have zero AVA value under Article 10(2) or 10(3) of Delegated Regulation (EU) 
2016/101.  
0090  1.1.1.1  INTEREST RATES  
0100  1.1.1.2  FOREIGN EXCHANGE  
0110  1.1.1.3  CREDIT  
0120  1.1.1.4  EQUITIES  
0130  1.1.1.5  COMMODITIESEN L 97/446 Official Journal of the European Union 19.3.2021
 
Rows  
0140  1.1.2  (-) Diversification BenefitS  
Total diversification benefit. Sum of rows 0150 and 0160.  
0150  1.1.2.1  (-) Diversification Benefit calculated using Method 1  
For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 
10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of 
the individual AVAs and the total category level AVA after adjusting for aggregation.  
0160  1.1.2.2  (-) Diversification Benefit calculated using Method 2  
For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 
10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of 
the individual AVAs and the total category level AVA after adjusting for aggregation.  
0170  1.1.2.2*  Memorandum item: pre-diversification AVAs reduced by more than 90 % by 
diversification under Method 2  
In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which 
APVA < 10 % (FV – PV).  
0180  1.2  Portfolios calculated under the fall-back approach  
Point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101. 
For portfolios subject to the fall-back approach under point (b) of Article 7(2) of Delegated 
Regulation (EU) 2016/101, the total AVA shall be computed as a sum of rows 0190, 0200 
and 0210. 
Relevant balance sheet and other contextual information shall be provided in columns 0130 – 
0260. A description of the positions and the reason why it was not possible to apply Articles 
9 to 17 of Delegated Regulation (EU) 2016/101 shall be provided in column 0270.  
0190  1.2.1  Fall-back approach; 100 % unrealised profit  
Point (b)(i) of Article 7(2) of Delegated Regulation (EU) 2016/101.  
0200  1.2.2  Fall-back approach; 10 % notional value  
Point (b)(ii) of Article 7(2) of Delegated Regulation (EU) 2016/101.  
0210  1.2.3  Fall-back approach; 25 % of inception value  
Point (b)(iii) of Article 7(2) of Delegated Regulation (EU) 2016/101.  
6.3.  C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)  
6.3.1. General remarks  
181. This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) 
of Delegated Regulation (EU) 2016/101 at their level. Institutions that are part of a group breaching the 
threshold on a consolidated basis are required to report this template only where they also exceed the 
threshold at their level.EN 19.3.2021 Official Journal of the European Union L 97/447
 
182. This template shall be used to report details of the top 20 individual model risk AVAs in terms of AVA 
amount that contribute to the total category level model risk AVA computed in accordance with 
Article 11 of Delegated Regulation (EU) 2016/101. That information corresponds to the information 
reported in column 0050 of template C 32.02.  
183. The top 20 individual model risk AVAs, and corresponding product information, shall be reported in 
decreasing order starting from the largest individual model risk AVAs.  
184. Products corresponding to those top individual model risk AVAs shall be reported using the product 
inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.  
185. Where products are sufficiently homogenous with respect to the valuation model and the model risk 
AVA, they shall be merged and shown on one line for the purpose of maximising coverage of this 
template in respect of the total category level Model Risk AVA of the institution.  
6.3.2. Instructions concerning specific positions  
Columns  
0005  RANK  
The rank is a row identifier and shall be unique for each row in the template. It shall follow 
the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk 
AVAs, 2 to the second highest and so on.  
0010  MODEL  
Internal name (alpha-numerical) of the model used by the institution to identify the model.  
0020  RISK CATEGORY  
The risk category (interest rates, FX, credit, equities, commodities) that most appropriately 
characterises the product or group of products that give rise to the model risk valuation 
adjustment. 
Institutions shall report the following codes: 
IR – interest rates 
FX – foreign exchange 
CR – credit 
EQ – equities 
CO – commodities  
0030  PRODUCT  
Internal name (alpha-numerical) for the product or group of products, in line with the product 
inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101, that 
is valued using the model.  
0040  OBSERVABILITY  
Number of price observations for the product or group of products in the last 12 months 
that meet either of the following criteria: 
— The price observation is a price at which the institution has conducted a transaction; 
— It is a verifiable price for an actual transaction between third parties; 
— The price is obtained from a committed quote. 
Institutions shall report one of the following values: ‘none’, ‘1-6’, ‘6-24’, ‘24-100’, ‘100+’.EN L 97/448 Official Journal of the European Union 19.3.2021
 
Columns  
0050  MODEL RISK AVA  
Article 11(1) of Delegated Regulation (EU) 2016/101. 
Individual model risk AVA before diversification benefit, but after portfolio netting where 
relevant.  
0060  OF WHICH: USING EXPERT-BASED APPROACH  
Amounts in column 0050 that have been calculated under the expert-based approach referred 
to in Article 11(4) of Delegated Regulation (EU) 2016/101.  
0070  OF WHICH: AGGREGATED USING METHOD 2  
Amounts in column 0050 that have been aggregated under Method 2 of the Annex to 
Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the 
terminology of that Annex.  
0080  AGGREGATED AVA CALCULATED UNDER METHOD 2  
The contribution towards the total category level AVA for model risk, as computed in 
accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual 
model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation 
(EU). That amount corresponds to APVA in the terminology of the Annex.  
0090 -0100  FAIR-VALUED ASSETS AND LIABILITIES  
Absolute value of fair-valued assets and liabilities valued using the model reported in column 
0010 as stated in the financial statements under the applicable framework.  
0090  FAIR-VALUED ASSETS  
Absolute value of fair-valued assets valued using the model reported in column 0010 as stated 
in the financial statements under the applicable framework.  
0100  FAIR-VALUED LIABILITIES  
Absolute value of fair-valued liabilities valued using the model reported in column 0010 as 
stated in the financial statements under the applicable framework.  
0110  IPV DIFFERENCE (OUTPUT TESTING)  
The sum of unadjusted difference amounts (‘IPV difference’) calculated at the month end 
closest to the reporting date under the independent price verification process performed in 
accordance with Article 105(8) CRR, with respect to the best available independent data for 
the corresponding product or group of products. 
Unadjusted difference amounts refer to unadjusted differences between the trading system 
generated valuations and the valuations assessed during the monthly IPV process. 
No adjusted difference amounts in the books and records of the institution for the relevant 
month end date shall be included in the calculation of IPV difference. 
Only results that have been calibrated from prices of instruments that would be mapped to 
the same product (output testing) shall be included here. Input testing results from market 
data inputs that are tested against levels that have been calibrated from different products shall 
not be included.EN 19.3.2021 Official Journal of the European Union L 97/449
 
Columns  
0120  IPV COVERAGE (OUTPUT TESTING)  
The percentage of those positions mapped to the model weighted by model risk AVA that is 
covered by the output IPV testing results given in column 0110.  
0130 – 0140  FAIR VALUE ADJUSTMENTS  
Fair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that 
have been applied to the positions mapped to the model in column 0010.  
0150  DAY 1 P&L  
Adjustments as defined in column 0260 of template C 32.02 that have been applied to the 
positions mapped to the model in column 0010.  
6.4.  C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)  
6.4.1. General remarks  
186. This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) 
of Delegated Regulation (EU) 2016/101. Institutions that are part of a group breaching the threshold on a 
consolidated basis shall report this template only where they also exceed the threshold at their level.  
187. This template shall be used to report details of the top 20 individual concentrated positions AVAs in 
terms of AVA amount that contribute to the total category level concentrated positions AVA computed 
in accordance with Article 14 of Delegated Regulation (EU) 2016/101. This information shall correspond 
to the information reported in column 0070 of template C 32.02.  
188. The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in 
decreasing order starting from the largest individual concentrated positions AVAs.  
189. Products corresponding to these top individual concentrated positions AVAs shall be reported using the 
product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.  
190. Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this 
is possible to maximise the coverage of this template.  
6.4.2. Instructions concerning specific positions  
Columns  
0005  RANK  
The rank is a row identifier and shall be unique for each row in the template. It shall follow 
the numerical order 1, 2, 3, etc., with 1 being assigned to the highest concentrated positions 
AVAs, 2 to the second highest and so on.  
0010  RISK CATEGORY  
The risk category (interest rates, FX, credit, equities, commodities) that most appropriately 
characterises the position. 
Institutions shall report the following codes: 
IR – Interest Rates 
FX – Foreign exchange 
CR – Credit 
EQ – Equities 
CO – CommoditiesEN L 97/450 Official Journal of the European Union 19.3.2021
 
Columns  
0020  PRODUCT  
Internal name for the product or group of products in line with the product inventory 
required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.  
0030  UNDERLYING  
Internal name of the underlying, or underlyings, in the case of derivatives or of the 
instruments in the case of non-derivatives.  
0040  CONCENTRATED POSITION SIZE  
Size of the individual concentrated valuation position identified in accordance with point (a) of 
Article 14(1) of Delegated Regulation (EU) 2016/101, expressed in the unit described in 
column 0050.  
0050  SIZE MEASURE  
Unit of size measure used internally as part of the identification of the concentrated valuation 
position to compute the concentrated position size referred in column 0040. 
In the case of positions in bonds or equity, please report the unit used for internal risk 
management, such as ‘number of bonds’, ‘number of shares’ or ‘market value’. 
In the case of position in derivatives, please report the unit used for internal risk management, 
such as ‘PV01; EUR per 1 basis point parallel yield curve shift’.  
0060  MARKET VALUE  
Market value of the position.  
0070  PRUDENT EXIT PERIOD  
The prudent exit period in number of days estimated in accordance with point (b) of 
Article 14(1) of Delegated Regulation (EU) 2016/101.  
0080  CONCENTRATED POSITIONS AVA  
The concentrated positions AVA amount calculated in accordance with Article 14(1) of 
Delegated Regulation (EU) 2016/101 for the individual concentrated valuation position 
concerned.  
0090  CONCENTRATED POSITION FAIR VALUE ADJUSTMENT  
The amount of any fair value adjustments taken to reflect the fact that the aggregate position 
held by the institution is larger than the normal traded volume or larger than position sizes 
and on which quotes or trades, which are used to calibrate the price or inputs used by the 
valuation model, are based. 
The amount reported shall correspond to the amount that has been applied to the individual 
concentrated valuation position concerned.EN 19.3.2021 Official Journal of the European Union L 97/451
 
Columns  
0100  IPV DIFFERENCE  
The sum of unadjusted difference amounts (‘IPV difference’) calculated at the month end 
closest to the reporting date under the independent price verification process performed in 
accordance with Article 105(8) CRR, with respect to the best available independent data for 
the individual concentrated valuation position concerned. 
Unadjusted difference amounts shall refer to unadjusted differences between the valuations 
generated by the trading system and the valuations assessed during the monthly IPV process. 
No adjusted difference amounts in the books and records of the institution for the relevant 
month end date shall be included in the calculation of IPV difference.  
7. C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV)  
7.1.  GENERAL REMARKS  
191. The information for the purpose of template C 33.00 shall cover all exposures to ‘General governments’ 
as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.  
192. Where the exposures to ‘General governments’ are subject to own funds requirements in accordance with 
Title II of Part Three CRR, exposures to ‘General governments’ are included in different exposure classes in 
accordance with Article 112 and Article 147 CRR, as specified by the instructions for the completion of 
template C 07.00, C 08.01 and C 08.02.  
193. Table 2 (Standardised Approach) and Table 3 (IRB Approach), included in Part 3 of Annex V to this 
Implementing Regulation, shall be observed for the mapping of exposure classes used to calculate capital 
requirements under CRR to counterparty sector ‘General governments’.  
194. Information shall be reported for the total aggregate exposures (meaning the sum of all countries in 
which the bank has sovereign exposures) and for each country on the basis of the residence of the 
counterparty on an immediate borrower basis.  
195. The allocation of exposures to exposure classes or jurisdictions shall be made without considering credit 
mitigation techniques and in particular without considering substitution effects. However, the calculation 
of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction 
shall include the incidence of credit risk mitigation techniques, including substitution effects.  
196. The reporting of information on exposures to ‘General governments’ by jurisdiction of residence of the 
immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the 
thresholds laid down in Article 6(3) of this Implementing Regulation.EN L 97/452 Official Journal of the European Union 19.3.2021
 
7.2.  SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’  
197. The scope of the GOV template covers on-balance sheet, off-balance sheet and derivatives direct 
exposures to ‘General governments’ in the banking and trading book. In addition, a memorandum 
item on indirect exposures in the form of credit derivatives sold on general government exposures is 
also requested.  
198. An exposure is a direct exposure when the immediate counterparty is an entity that is a ‘General 
government’ as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.  
199. The template is divided in two sections. The first one is based on a breakdown of exposures by risk, 
regulatory approach and exposure classes whereas a second one is based on a breakdown by residual 
maturity  
7.3.  INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 
Columns  Instructions  
0010-0260  DIRECT EXPOSURES  
0010-0140  ON-BALANCE SHEET EXPOSURES  
0010  Total gross carrying amount of non-derivative financial assets  
Aggregate of gross carrying amount, as determined in accordance with paragraph 34 of Part 1 
of Annex V to this Implementing Regulation, of non-derivative financial assets to General 
governments, for all accounting portfolios under IFRS or national GAAP based on BAD 
defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation, 
and listed in columns 0030 to 0120 
Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non- 
trading exposures measured at fair value.  
0020  Total carrying amount of non-derivative financial assets (net of short positions)  
Aggregate of the carrying amount, as referred to in paragraph 27 of Part 1 of Annex V to this 
Implementing Regulation, of non-derivative financial assets to General governments for all 
accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 
to 22 of Part 1 of Annex V to this Implementing Regulation and listed in columns 0030 to 
0120, net of short positions. 
Where the institution has a short position for the same residual maturity and the same 
immediate counterparty that is denominated in the same currency, the carrying amount of 
the short position shall be netted against the carrying amount of the direct position. That net 
amount shall be considered to be zero when it is a negative amount. Where an institution has 
a short position without a matching direct position, the amount of the short position shall be 
considered zero for the purposes of this column.  
0030-0120  NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS  
Aggregate carrying amount of non-derivative financial assets, as defined in the row above of 
this table, to General governments, broken down by accounting portfolio under the applicable 
accounting framework.  
0030  Financial assets held for trading  
IFRS 7.8(a)(ii); IFRS 9 Appendix A  
0040  Trading financial assets  
Articles 32 and 33 BAD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation; 
point (a) of Article 8(1) AD 
Only to be reported by institutions under national Generally Accepted Accounting Principles 
(GAAP).EN 19.3.2021 Official Journal of the European Union L 97/453
 
Columns  Instructions  
0050  Non-trading financial assets mandatorily at fair value through profit or loss  
IFRS 7.8(a)(ii); IFRS 9.4.1.4  
0060  Financial assets designated at fair value through profit or loss  
IFRS 7.8(a)(i); IFRS 9.4.1.5 and point (a) of Article 8(1) and Article 8(6) AD  
0070  Non-trading non-derivative financial assets measured at fair value through profit or loss  
Article 36(2) BAD; point (a) of Article 8(1) AD 
Only to be reported by institutions under national Generally Accepted Accounting Principles 
(GAAP).  
0080  Financial assets at fair value through other comprehensive income  
IFRS 7.8(d); IFRS 9.4.1.2 A  
0090  Non-trading non-derivative financial assets measured at fair value to equity  
Point (a) of Article 8(1) and Article 8(8) AD 
Only to be reported by institutions under national Generally Accepted Accounting Principles 
(GAAP).  
0100  Financial assets at amortised cost  
IFRS 7.8(f); IFRS 9.4.1.2; Paragraph 15 of Part 1 of Annex V to this Implementing Regulation  
0110  Non-trading non-derivative financial assets measured at a cost-based method  
Article 35 BAD; point (i) of Article 6(1) and Article 8(2) AD; Paragraph 16 of Part 1 of 
Annex V to this Implementing Regulation 
Only to be reported by institutions under national Generally Accepted Accounting Principles 
(GAAP).  
0120  Other non-trading non-derivative financial assets  
Article 37 BAD; Article 12(7) AD; Paragraph 16 of Part 1 of Annex V to this Implementing 
Regulation 
Only to be reported by institutions under national Generally Accepted Accounting Principles 
(GAAP).EN L 97/454 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0130  Short positions  
Carrying amount of short positions, as defined in IFRS 9 BA.7(b) where the direct 
counterparty is a General government as defined in paragraphs 155 to 160 of this Annex. 
Short positions arise where the institution sells securities acquired in a reverse repurchase loan 
or borrowed in a securities lending transaction. 
The carrying amount is the fair value of the short positions. 
Short positions shall be reported by residual maturity bucket, as listed in rows 0170 to 0230, 
and by immediate counterparty. 
The short positions reported in this column can be netted against positions with the same 
residual maturity and immediate counterparty and denominated in the same currency that are 
reported in columns 0030 to 0120 in order to obtain the net position that is reported in 
column 0020.  
0140  Of which: Short positions from reverse repurchased loans classified as held for trading 
or trading financial assets  
Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the 
institution sells the securities acquired in reverse repurchase loans, where the direct 
counterparty of those securities is a General government and that are included in the held 
for trading or trading financial assets accounting portfolios (columns 0030 or 0040). 
Short positions that arise when the sold securities were borrowed in a securities lending 
transition shall not be included in this column.  
0150  Accumulated impairment  
Aggregate accumulated impairment related to non-derivative financial assets reported in 
columns 0080 to 0120 (paragraphs 70 and 71 of Part 2 of Annex V to this Implementing 
Regulation)  
0160  Accumulated impairment – of which: from financial assets at fair value through other 
comprehensive income or from non-trading non-derivative financial assets measured at 
fair value to equity  
Aggregate of accumulated impairment related to non-derivative financial assets reported in 
columns 0080 and 0090.  
0170  Accumulated negative changes in fair value due to credit risk  
Aggregate of accumulated negative changes in fair value due to credit risk related to positions 
informed in columns 0050, 0060, 0070, 0080 and 0090 (paragraph 69 of Part 2 of Annex V 
to this Implementing Regulation)  
0180  Accumulated negative changes in fair value due to credit risk – of which: from non- 
trading financial assets mandatorily at fair value through profit or loss, financial assets 
designated at fair value through profit or loss or from non-trading financial assets 
measured at fair value through profit or loss  
Aggregate of accumulated negative changes in fair value due to credit risk related to positions 
informed in columns 0050, 0060 and 0070.EN 19.3.2021 Official Journal of the European Union L 97/455
 
Columns  Instructions  
0190  Accumulated negative changes in fair value due to credit risk – of which: from financial 
assets at fair value through other comprehensive income or from non-trading non- 
derivative financial assets measured at fair value to equity  
Aggregate of accumulated negative changes in fair value due to credit risk related to positions 
informed in columns 0080 and 0090.  
0200-0230  DERIVATIVES  
Direct derivative positions shall be reported in columns 0200 to 0230. 
For the reporting of derivatives subject to both counterparty credit risk and market risk capital 
charges, see instructions for the row breakdown.  
0200-0210  Derivatives with positive fair value  
All derivative instruments with a General government counterparty with a positive fair value 
for the institution at the reporting date, regardless of whether those instruments are used in a 
qualifying hedging relationship, are held for trading, or are included in the trading portfolio 
under IFRS and national GAAP based on BAD. 
Derivatives used in economic hedging shall be reported here when they are included in the 
trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 
of Part 2 of Annex V to this Implementing Regulation).  
0200  Derivatives with positive fair value: Carrying amount  
Carrying amount of the derivatives accounted for as financial assets at the reporting reference 
date. 
Under GAAP based on BAD, derivatives to be reported in these columns include the derivative 
instruments measured at cost or at the lower of cost or market included in the trading 
portfolio or designated as hedging instruments.  
0210  Derivatives with positive fair value: Notional amount  
Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 
133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts 
concluded and not yet settled at the reporting reference date, where the counterparty is a 
General government as defined in paragraphs 155 to 160 of this Annex and the fair value of 
the derivative is positive for the institution at the reference date.  
0220-0230  Derivatives with negative fair value  
All derivative instruments with a General government counterparty with a negative fair value 
for the institution at the reporting reference date, regardless of whether those instruments are 
used in a qualifying hedging relationship or are held for trading or included in the trading 
portfolio under IFRS and national GAAP based on BAD. 
Derivatives used in economic hedging shall be reported here when they are included in the 
trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 
of Part 2 of Annex V to this Implementing Regulation).EN L 97/456 Official Journal of the European Union 19.3.2021
 
Columns  Instructions  
0220  Derivatives with negative fair value: Carrying amount  
Carrying amount of the derivatives accounted for as financial liabilities at the reporting 
reference date. 
Under GAAP based on BAD, derivatives to be reported in these columns include the derivative 
instruments measured at cost or at the lower of cost or market included in the trading 
portfolio or designated as hedging instruments.  
0230  Derivatives with negative fair value: Notional amount  
Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 
133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts 
concluded and not yet settled at the reference date, where the counterparty is a General 
government as defined in paragraphs 155 to 160 of this Annex and the fair value of the 
derivative is negative for the institution at the reference date.  
0240-0260  OFF-BALANCE SHEET EXPOSURES  
0240  Nominal amount  
Where the direct counterparty of the off-balance sheet item is a General government as 
defined in paragraphs 155 to 160 of this Annex, nominal amount of the commitments 
and financial guarantees that are not considered as a derivative in accordance with IFRS or 
under national GAAP based on BAD (paragraphs 102-119 of Part 2 of Annex V to this 
Implementing Regulation,). 
In accordance with paragraphs 43 and 44 of Part 2 of Annex V to this Implementing 
Regulation, the General government is the direct counterparty: (a) in a financial guarantee 
given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan 
commitment and other commitment given, when it is the counterparty whose credit risk is 
assumed by the reporting institution.  
0250  Provisions  
Point (6)(c) and ‘Off balance sheet items’ of Article 4, Articles 27(11), 28(8) and Article 33 
BAD; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Part 2.11 of Annex V to this Imple ­
menting Regulation. 
Provisions on all off-balance sheet exposures regardless of how they are measured, except 
those that are measured at fair value through profit or loss in accordance with IFRS 9. 
Under IFRS, the impairment of a loan commitment given shall be reported in column 150 
where the institution cannot separately identify the expected credit losses related to the drawn 
and undrawn amount of the debt instrument. In case the combined expected credit losses for 
that financial instrument exceed the gross carrying amount of the loan component of the 
instrument, the remaining balance of the expected credit losses shall be reported as a provision 
in column 0250.  
0260  Accumulated negative changes in fair value due to credit risk  
For off-balance sheet items measured at fair value through profit or loss under IFRS 9, 
accumulated negative changes in fair value due to credit risk (paragraph 110 of Part 2 of 
Annex V to this Implementing Regulation)EN 19.3.2021 Official Journal of the European Union L 97/457
 
Columns  Instructions  
0270-280  Memorandum item: credit derivatives sold on general government exposures  
Credit derivatives that do not meet the definition of financial guarantees in Annex V, Part 2, 
paragraph 58 that the reporting institution has underwritten with counterparties other than 
General governments and whose reference exposure is a General government shall be 
reported. 
These columns shall not be reported for exposures broken down by risk, regulatory approach 
and exposure class (rows 0020 to 0160).  
0270  Derivatives with positive fair value – Carrying amount  
Aggregated carrying amount of the credit derivatives sold on general government exposures 
reported which have a positive fair value for the institution at the reference reporting date, 
without considering prudent valuation adjustments. 
For derivatives under IFRS, the amount to be reported in this column is the carrying amount 
of the derivatives that are financial assets at the reporting date. 
For derivatives under GAAP based on BAD, the amount to be reported in this column shall be 
the fair value of the derivatives with a positive fair value at the reference reporting date, 
independently of how they are accounted for.  
0280  Derivatives with negative fair value – Carrying amount  
Aggregated carrying amount of the credit derivatives sold on general government exposures 
reported which have a negative fair value for the institution at the reference reporting date, 
without considering prudent valuation adjustments. 
For derivatives under IFRS, the amount to be reported in this column shall be the carrying 
amount of the derivatives that are financial liabilities at the reporting date. 
For derivatives under GAAP based on BAD, the amount to be reported in this column is the 
fair value of the derivatives with a negative fair value at the reference reporting date, indepen ­
dently of how they are accounted for.  
0290  Exposure value  
Exposure value for exposures subject to the credit risk framework. 
For exposures under the Standardised Approach (SA): see Article 111 CRR. For exposures 
under the IRB Approach: see Article 166 and the second sentence of Article 230(1) CRR. 
For the reporting of derivatives subject to both counterparty credit risk and market risk capital 
charges, see instructions for the row breakdown. 
The exposures reported in columns 0270 and 0280 are not to be considered for the purposes 
of this column, as the value in this column is based solely on direct exposures.  
0300  Risk weighted exposure amount  
Risk weighted exposure amount for exposures subject to the credit risk framework. 
For exposures under the Standardised Approach (SA): see paragraphs 1 to 5 of Article 113 
CRR. For exposures under the IRB Approach: see paragraphs 1 and 3 of Article 153 CRR. 
For the reporting of direct exposures within the scope of Article 271 CRR subject to own 
funds requirements for both counterparty credit risk and market risk, see instructions for the 
row breakdown. 
The exposures reported in columns 0270 and 0280 shall not be considered for the purposes 
of this column, as the value in this column is based solely on direct exposures.EN L 97/458 Official Journal of the European Union 19.3.2021
 
Rows  Instructions  
BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH  
0010  Total exposures  
Aggregate of exposures to General governments, as defined in paragraphs 155 to 160 of this 
Annex.  
0020-0155  Exposures under the credit risk framework  
Aggregate of exposures to General governments that shall be risk-weighted in accordance with 
Title II of Part Three CRR. Exposures under the credit risk framework include exposures from 
both the non-trading book and the trading book subject to a capital charge for counterparty 
credit risk. 
Direct exposures within the scope of Article 271 CRR subject to own funds requirements for 
both counterparty credit risk and market risk shall be reported both in the credit risk rows 
(0020 to 0155) and the market risk row (row 0160): the exposures due to counterparty credit 
risk shall be reported in the credit risk rows, while the exposures due to market risk shall be 
reported in the market risk row.  
0030  Standardised Approach  
Exposures to General governments that shall be risk-weighted in accordance with Chapter 2 of 
Title II of Part Three CRR, including exposures from the non-trading book for which the risk- 
weighting in accordance with that Chapter addresses counterparty credit risk.  
0040  Central governments  
Exposures to General governments that are central governments. These exposures are allocated 
to the ‘Central governments or central banks’ exposure class in accordance with Articles 112 
and 114 CRR, as specified by the instructions for template C 07.00, with the exception of the 
specifications as regards the redistribution of exposures to General governments to other 
exposure classes due to the application of credit risk mitigation techniques with substitution 
effects on the exposure, which shall not apply.  
0050  Regional governments or local authorities  
Exposures to General governments that are regional governments or local authorities. These 
exposures are allocated to the ‘Regional governments or local authorities’ exposure class in 
accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 
07.00, with the exception of the specifications as regards the redistribution of exposures to 
General governments to other exposure classes due to the application of credit risk mitigation 
techniques with substitution effects on the exposure, which shall not apply.  
0060  Public sector entities  
Exposures to General governments that are public sector entities. These exposures are allocated 
to the ‘Public sector entities’ exposure class in accordance with Articles 112 and 116 CRR, as 
specified by the instructions for template C 07.00, with the exception of the specifications as 
regards the redistribution of exposures to General governments to other exposure classes due 
to the application of credit risk mitigation techniques with substitution effects on the 
exposure, which shall not apply.EN 19.3.2021 Official Journal of the European Union L 97/459
 
Rows  Instructions  
0070  International Organisations  
Exposures to General governments that are international organisations. These exposures are 
allocated to the ‘International Organisations’ exposure classes in accordance with Articles 112 
and 118 CRR, as specified by the instructions for template C 07.00, with the exception of the 
specifications as regards the redistribution of exposures to General governments to other 
exposure classes due to the application of credit risk mitigation techniques with substitution 
effects on the exposure, which shall not apply.  
0075  Other general government exposures subject to Standardised Approach  
Exposures to General governments other than those included in rows 0040 to 0070 above, 
which are allocated to SA exposure classes in accordance with Article 112 CRR for the 
purposes of calculating own funds requirements.  
0080  IRB Approach  
Exposures to General governments that shall be risk-weighted in accordance with Chapter 3 of 
Title II of Part Three CRR, including exposures from the non-trading book for which the risk- 
weighting in accordance with that Chapter addresses counterparty credit risk.  
0090  Central governments  
Exposures to General governments that are central governments and that are allocated to the 
‘Central governments and central banks’ exposure class in accordance with point (a) of 
Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, 
with the exception of the specifications as regards the redistribution of exposures to 
General governments to other exposure classes due to the application of credit risk mitigation 
techniques with substitution effects on the exposure, which shall not apply..  
0100  Regional governments or local authorities [Central governments and central banks]  
Exposures to General governments that are regional governments or local authorities and that 
are allocated to the ‘Central governments and central banks’ exposure class in accordance with 
point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 
08.02, with the exception of the specifications as regards the redistribution of exposures to 
General governments to other exposure classes due to the application of credit risk mitigation 
techniques with substitution effects on the exposure, which shall not apply.  
0110  Regional governments or local authorities [Institutions]  
Exposures to General governments that are regional governments or local authorities and that 
are allocated to the ‘Institutions’ exposure class in accordance with point (a) of Article 147(4) 
CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of 
the specifications as regards the redistribution of exposures to General governments to other 
exposure classes due to the application of credit risk mitigation techniques with substitution 
effects on the exposure, which shall not apply.EN L 97/460 Official Journal of the European Union 19.3.2021
 
Rows  Instructions  
0120  Public sector entities [Central governments and central banks]  
Exposures to General governments that are public sector entities in accordance with 
Article 4(8) CRR and that are allocated to the ‘Central governments and central banks’ 
exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the 
instructions for template C 08.01 and C 08.02, with the exception of the specifications as 
regards the redistribution of exposures to General governments to other exposure classes due 
to the application of credit risk mitigation techniques with substitution effects on the 
exposure, which shall not apply.  
0130  Public sector entities [Institutions]  
Exposures to General governments that are public sector entities in accordance with 
Article 4(8) CRR and that are allocated to the ‘Institutions’ exposure class in accordance 
with point (b) of Article 147(4) CRR, as specified by the instructions for template C 08.01 
and C 08.02, with the exception of the specifications as regards the redistribution of exposures 
to General governments to other exposure classes due to the application of credit risk 
mitigation techniques with substitution effects on the exposure, which shall not apply.  
0140  International Organisations [Central governments and central banks]  
Exposures to General governments that are International Organisations and that are allocated 
to the ‘Central governments and central banks’ exposure class in accordance with point (c) of 
Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with 
the exception of the specifications as regards the redistribution of exposures to General 
governments to other exposure classes due to the application of credit risk mitigation tech ­
niques with substitution effects on the exposure, which shall not apply.  
0155  Other general government exposures subject to IRB Approach  
Exposures to General governments other than those included in rows 0090 to 0140 above 
which are allocated to IRB exposure classes in accordance with Article 147 CRR for the 
purposes of calculating own funds requirements.  
0160  Exposures subject to market risk  
This row covers positions for which one of the following own funds requirements of Title IV 
of Part Three CRR is calculated: 
— Own funds requirements for position risk in accordance with Article 326 CRR 
— Own funds requirements for specific or general risk in accordance with Chapter 5 of Title 
IV of Part Three CRR. 
Direct exposures within the scope of Article 271 CRR subject to own funds requirements for 
both counterparty credit risk and market risk shall be reported both in the credit risk rows 
(0020 to 0155) and the market risk row (row 0160): the exposure due to counterparty credit 
risk shall be reported in the credit risk rows, while the exposure due to market risk shall be 
reported in the market risk row.EN 19.3.2021 Official Journal of the European Union L 97/461
 
Rows  Instructions  
0170-0230  BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY  
Residual maturity shall be computed in days between the contractual date of maturity and the 
reporting reference date for all positions. 
Exposures to General governments shall be broken-down by residual maturity and allocated to 
the buckets provided as follows: 
— [0 – 3M [ : Less than 90 days; 
— [3M – 1Y [ : Equal or greater than 90 days and less than 365 days; 
— [1Y – 2Y [ : Equal or greater than 365 days and less than 730 days; 
— [2Y – 3Y [ : Equal or greater than 730 days and less than 1 095 days; 
— [3Y – 5Y [ : Equal or greater than 1 095 days and less than 1 825 days; 
— [5Y – 10Y [ : Equal or greater than 1 825 days and less than 3 650 days; 
— [10Y – more : Equal or greater than 3 650 days. 
Where the contractual date of maturity is earlier than the reporting reference date (i.e. the 
difference between reporting reference date and maturity date is a negative value), the 
exposure shall be allocated to the bucket [0 – 3M]. 
Exposures without a residual maturity shall be allocated to the residual maturity bucket on the 
basis of their period of notice or other contractual indications about the maturity. If there is 
no predefined period of notice nor other contractual indication about the maturity, exposures 
shall be allocated to the residual maturity bucket [10Y – more].  
8. NPE LOSS COVERAGE (NPE LC)  
8.1.  GENERAL REMARKS  
200. The NPE loss coverage templates contain information about non-performing exposures (NPEs) for the 
purposes of calculating the minimum loss coverage requirement for non-performing exposures as 
specified in Articles 47a, 47b and 47c CRR.  
201. The block of templates consists of a set of three templates:  
a) The calculation of deductions for NPEs (C 35.01): this is an overview template indicating the 
applicable amount of insufficient coverage, calculated as the difference between the total minimum 
coverage requirements for NPEs and the total provisions and adjustments or deductions already made. 
The template covers both the non-performing exposures where forbearance measure has not been 
granted, and non-performing forborne exposures.  
b) Minimum coverage requirements and exposure values of non-performing exposures, excluding 
forborne exposures that fall under Article 47c(6) CRR (C 35.02): the template calculates the total 
minimum coverage requirements for non-performing exposures that are not non-performing forborne 
exposures that fall under Article 47c(6) CRR, indicating the factors to be applied on the exposure 
values for the purposes of this calculation given whether the exposure is secured or unsecured and 
given the time since the exposure became non-performing.EN L 97/462 Official Journal of the European Union 19.3.2021
 
c) Minimum coverage requirements and exposure values of non-performing forborne exposures that fall 
under Article 47c(6) CRR (C 35.03): the template calculates the total minimum coverage requirements 
for non-performing forborne exposures that fall under Article 47c(6) CRR, indicating the factors to be 
applied on the exposure values for the purposes of this calculation given whether the exposure is 
secured or unsecured and given the time since the exposure became non-performing.  
202. The the minimum loss coverage requirement for non-performing exposures applies to (i) exposures, 
originated on and after 26 April 2019, that become non-performing, and (ii) exposures originated 
before 26 April 2019 when they are modified after that date in a way that increases their exposure 
value to the obligor (Article 469a CRR), that become non-performing.  
203. Institutions shall calculate the deductions for NPEs in accordance with points (a) and (b) of Article 47c(1) 
CRR„ including the calculation of minimum coverage requirements and total provisions and adjustments 
or deductions, at individual exposure level (‘transaction based’) and not at debtor or portfolio levels.  
204. For the purposes of calculating the deductions for NPEs, institutions shall differentiate between the 
unsecured and secured part of a NPE in accordance with Article 47c(1) CRR. To this end, institutions 
shall report exposure values and minimum coverage requirements separately for the unsecured part of 
NPEs and for the secured part of NPEs.  
205. For the purposes of mapping of relevant applicable factors and calculating minimum coverage require ­
ments, institutions shall classify the secured part of NPEs depending on the type of credit protection in 
accordance with Article 47c(3) CRR as follows: (i) ‘secured by immovable property or residential loan 
guaranteed by an eligible protection provider as referred to in Art. 201’, (ii) ‘secured by other funded or 
unfunded credit protection’ or (iii) ‘guaranteed or insured by an official export credit agency’,. When a 
non-performing exposure is secured by more than one type of credit protection, its exposure value shall 
be allocated according to the quality of the credit protection, starting from the one with the best quality.  
8.2.  C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)  
8.2.1. Instructions concerning specific positions  
Columns  Instructions  
0010 – 0100  Time passed since exposures classified as non-performing  
The ‘time passed since exposures classified as non-performing’ shall mean the time in years 
passed, as of the reference date, since exposure has been classified as non-performing. For 
purchased non-performing exposures, the time in years shall start to run from the date on 
which the exposures was originally classified as non- performing, and not from the date of 
their purchase. 
Institutions shall report data on exposures for which the reference date falls under the 
corresponding time interval indicating the period in years following exposures’ classification as 
non-performing, regardless of any application of forbearance measures. 
For the time interval, ‘> X year(s), <= Y year(s)’, institutions shall report data on exposures for 
which the reference date corresponds to the period between the first and the last day of the Yth 
year following the classification of these exposures as non-performing.  
0110  Total  
Institutions shall report the sum of all columns from 0010 to 0100.EN 19.3.2021 Official Journal of the European Union L 97/463
 
Rows  Instructions  
0010  Applicable amount of insufficient coverage  
Article 47c(1) CRR 
For the calculation of the applicable amount of insufficient coverage, institutions shall deduct the 
total provisions and adjustments or deductions (capped) (row 0080) from the total minimum 
coverage requirement for non-performing exposures (row 0020). 
The applicable amount of insufficient coverage (i.e. the shortfall in the total minimum coverage 
requirement for non-performing exposures) shall be equal to or greater than zero.  
0020  Total minimum coverage requirement for non-performing exposures  
Point (a) of Article 47c(1) CRR 
For the calculation of the total minimum coverage requirement for non-performing exposures, 
institutions shall sum the minimum coverage requirement for the unsecured part of NPEs (row 
0030) and for the secured part of NPEs (row 0040).  
0030  Unsecured part of NPEs  
Point (a)(i) of Article 47c(1), Article 47c(2), Article 47c(6) CRR 
Institution shall report the total minimum coverage requirement for the unsecured part of NPEs, 
i.e. the aggregate of calculations at exposure level. 
The amount reported in each column shall be equal to the sum of the amounts reported in row 
0020 of C 35.02 and row 0020 of C 35.03 (where applicable) in the respective columns.  
0040  Secured part of NPEs  
Point (a)(ii) Article 47c(1), Article 47c(3), Article 47c(4), Article 47c(6) CRR. 
Institutions shall report the total minimum coverage requirement for the secured part of NPEs, 
i.e. the aggregate of calculations at exposure level. 
The amount reported in each column shall be equal to the sum of the amounts reported in row 
0030-0050 of C 35.02 and row 0030-0040 of C 35.03 (where applicable) in the respective 
columns.  
0050  Exposure value  
Article 47a(2) CRR 
Institutions shall report the total exposure value of NPEs including both unsecured and secured 
exposures. This shall correspond to the sum of row 0060 and row 0070.  
0060  Unsecured part of NPEs  
Article 47a(2) and Article 47c(1) CRR  
0070  Secured part of NPEs  
Article 47a(2) and Article 47c(1) CRREN L 97/464 Official Journal of the European Union 19.3.2021
 
Rows  Instructions  
0080  Total provisions and adjustments or deductions (capped)  
Institutions shall report the capped amount of the sum of the items listed in rows 0100-0150 in 
accordance with point (b) of Article 47c(1) CRR. The maximum limit for capped provisions and 
adjustment or deductions is the amount of minimum coverage requirement at exposure level. 
Capped amount shall be calculated separately for each exposure as the lower amount between 
minimum coverage requirement for this exposure and total provisions and adjustments or 
deductions for the same exposure.  
0090  Total provisions and adjustments or deductions (uncapped)  
Institutions shall report the sum of uncapped amount of the items listed in rows 0100-0150 in 
accordance with point (b) of Article 47c(1) CRR. Provisions and adjustment or deductions 
(uncapped) shall not be limited to the amount of minimum coverage requirement at exposure 
level.  
0100  Specific credit risk adjustments  
Point (b)(i) of Article 47c(1) CRR  
0110  Additional valuation adjustments  
Point (b)(ii) of Article 47c(1) CRR  
0120  Other own funds reductions  
Point (b)(iii) of Article 47c(1) CRR  
0130  IRB shortfall  
Point (b)(iv) of Article 47c(1) CRR  
0140  Difference between the purchase price and the amount owed by the debtor  
Point (b)(v) of Article 47c(1) CRR  
0150  Amounts written-off by the institution since the exposure was classified as non- 
performing  
Point (b)(vi) of Article 47c(1) CRREN 19.3.2021 Official Journal of the European Union L 97/465
 
8.3.  C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES 
EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2)  
8.3.1. Instructions concerning specific positions  
Columns  Instructions  
0010 – 0100  Time passed since exposures classified as non-performing  
The ‘time passed since exposures classified as non-performing’ shall mean the time in years 
passed since exposure has been classified as non-performing. Institutions shall report data on 
exposures for which the reference date falls under the corresponding time interval indicating the 
period in years following exposures’ classification as non-performing, regardless of any appli ­
cation of forbearance measures. 
For the time interval, ‘> X year(s), <= Y year(s)’, institutions shall report data on exposures for 
which the reference date corresponds to the period between the first and the last day of the Yth 
year following the classification of these exposures as non-performing.  
0110  Total  
Institutions shall report the sum of all columns from 0010 to 0100.  
Rows  Instructions  
0010  Total minimum coverage requirement  
Point (a) of Article 47c(1) CRR 
For the calculation of the total minimum coverage requirement for non-performing exposures, 
excluding forborne exposures that fall under Article 47c(6) CRR, institutions shall sum the 
minimum coverage requirement for the unsecured part of NPEs (row 0020) and the 
minimum coverage requirement for the secured part of NPEs (rows 0030-0050).  
0020  Unsecured part of NPEs  
Point (a)(i) of Article 47c(1), Article 47c(2) CRR 
The minimum coverage requirement shall be calculated by multiplying the aggregate exposure 
values in row 0070 by the corresponding factor per column.  
0030  Part of NPEs secured by immovable property or residential loan guaranteed by an eligible 
protection provider  
Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3) CRR 
The minimum coverage requirement shall be calculated by multiplying the aggregate exposure 
values in row 0080 by the corresponding factor per column.  
0040  Part of NPEs secured by other funded or unfunded credit protection  
Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3) CRR 
The minimum coverage requirement shall be calculated by multiplying the aggregate exposure 
values in row 0090 by the corresponding factor per column.  
0050  Part of NPEs guaranteed or insured by an official export credit agency  
Article 47c(4) CRR. 
The minimum coverage requirement shall be calculated by multiplying the aggregate exposure 
values in row 0100 by the corresponding factor per column.EN L 97/466 Official Journal of the European Union 19.3.2021
 
Rows  Instructions  
0060  Exposure value  
Article 47a(2) CRR 
For the calculation of row 0060, institutions shall sum the exposure values reported for the 
unsecured part of NPEs (row 0070), the part of NPEs secured by immovable property or resi ­
dential loan guaranteed by an eligible protection provider (row 0080), the part of NPEs secured 
by other funded or unfunded credit protection (row 0090) and the part of NPEs guaranteed or 
insured by an official export credit agency (row 0100).  
0070  Unsecured part of NPEs  
Article 47a(2), Article 47c(1), Article 47c(2) CRR 
Institutions shall report the total exposure value of unsecured part of NPEs broken-down by time 
passed since exposures classified as non-performing.  
0080  Part of NPEs secured by immovable property or residential loan guaranteed by an eligible 
protection provider  
Article 47a(2), Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3) CRR 
Institutions shall report the total exposure value of the parts of NPEs secured by immovable 
property pursuant to Title II of Part Three CRR or that is a residential loan guaranteed by an 
eligible protection provider as referred to in Article 201 CRR.  
0090  Part of NPEs secured by other funded or unfunded credit protection  
Article 47a(2), Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3) CRR 
Institutions shall report the total exposure value of the parts of NPEs secured by other funded or 
unfunded credit protection pursuant to Title II of Part Three CRR.  
0100  Part of NPEs guaranteed or insured by an official export credit agency  
Article 47a(2) and Article 47c(4) CRR 
Institutions shall report the total exposure value of the parts of NPEs guaranteed or insured by an 
official export credit agency or guaranteed or counter-guaranteed by another eligible protection 
provider as referred to in article 47c(4) CRR.  
8.4.  C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE 
EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)  
8.4.1. Instructions concerning specific positions  
Columns  Instructions  
0010 – 0100  Time passed since exposures classified as non-performing  
The ‘time passed since exposures classified as non-performing’ shall mean the time in years 
passed since exposure has been classified as non-performing. Institutions shall report data on 
exposures for which the reference date falls under the corresponding time interval indicating the 
period in years following exposures’ classification as non-performing, regardless of any appli ­
cation of forbearance measures. 
For the time interval, ‘> X year(s), <= Y year(s)’, institutions shall report data on exposures for 
which the reference date corresponds to the period between the first and the last day of the Yth 
year following the classification of these exposures as non-performing.EN 19.3.2021 Official Journal of the European Union L 97/467
 
Columns  Instructions  
0110  Total  
Institutions shall report the sum of all columns from 0010 to 0100.  
Rows  Instructions  
0010  Total minimum coverage requirement  
Point (a) of Article 47c(1) and Article 47c(6) CRR 
For the calculation of total minimum coverage requirement of non-performing forborne 
exposures that fall under Article 47c(6) CRR, institutions shall sum minimum coverage 
requirements for the unsecured part of forborne NPEs (row 0020), the part of forborne NPEs 
secured by immovable property or residential loan guaranteed by an eligible protection provider 
(row 0030) and the part of forborne NPEs secured by other funded or unfunded credit protection 
(row 0040).  
0020  Unsecured part of NPEs  
Point (a)(i) of Article 47c(1), Article 47c(2), Article 47c(6) CRR 
Institutions shall report the total minimum coverage requirement for the unsecured part of non- 
performing forborne exposures that fall under Article 47c(6) CRR, i.e. the aggregate of calcu ­
lations at exposure level.  
0030  Part of NPEs secured by immovable property or residential loan guaranteed by an eligible 
protection provider  
Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3), 
Article 47c(6) CRR 
Institutions shall report the total minimum coverage requirement for parts of non-performing 
forborne exposures secured by immovable property pursuant to Title II of Part Three CRR or that 
are residential loans guaranteed by an eligible protection provider as referred to in Article 201 
CRR, falling under Article 47c(6) CRR, i.e. the aggregate of calculations at exposure level.  
0040  Part of NPEs secured by other funded or unfunded credit protection  
Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3), Article 47c(6) 
CRR 
Institutions shall report the total minimum coverage requirement for parts of non-performing 
forborne exposures se-cured by other funded or unfunded credit protection, falling under 
Article 47c(6) CRR, i.e. the aggregate of calculations at exposure level.  
0050  Exposure value  
Article 47a(2) and Article 47c(6) CRR 
For the calculation of exposure value, institutions shall sum exposure values for the unsecured 
part of NPEs (row 0060), the part of NPEs secured by immovable property or residential loan 
guaranteed by an eligible protection provider (row 0070) and the part of NPEs secured by other 
funded or unfunded credit protection (row 0120), where applicable.EN L 97/468 Official Journal of the European Union 19.3.2021
 
Rows  Instructions  
0060  Unsecured part of NPEs  
Article 47a(2), Article 47c(1), Article 47c(2), Article 47c(6) CRR 
Institutions shall report the total exposure value of unsecured part of forborne NPEs that fall 
under Article 47c(6) CRR where the first forbearance measure has been granted between the first 
and the last day of the second year after the classification of the exposure as non-performing 
(> 1 year; <=2 years).  
0070  Part of NPEs secured by immovable property or residential loan guaranteed by an eligible 
protection provider  
Article 47a(2), Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3), 
Article 47c(6) CRR 
Institutions shall report the total exposure value of the parts of forborne NPEs that fall under 
Article 47c(6) CRR secured by immovable property pursuant to Title II or Part Three CRR or 
that is a residential loan guaranteed by an eligible protection provider as referred to in 
Article 201 CRR.  
0080  > 2 and <= 3 years after classification as NPE  
Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR 
secured by immovable property or residential loan guaranteed by an eligible protection provider 
where the first forbearance measure has been granted between the first and the last day of the 
third year after the classification of the exposure as non-performing.  
0090  > 3 and <= 4 years after classification as NPE  
Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR 
secured by immovable property or residential loan guaranteed by an eligible protection provider 
where the first forbearance measure has been granted between the first and the last day of the 
fourth year after the classification of the exposure as non-performing.  
0100  > 4 and <= 5 years after classification as NPE  
Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR 
secured by immovable property or residential loan guaranteed by an eligible protection provider 
where the first forbearance measure has been granted between the first and the last day of the 
fifth year after the classification of the exposure as non-performing.  
0110  > 5 and <= 6 years after classification as NPE  
Institutions shall report exposure value of forborne NPEs secured that fall under Article 47c(6) 
CRR by immovable property or residential loan guaranteed by an eligible protection provider 
where the first forbearance measure has been granted between the first and the last day of the 
sixth year after the classification of the exposure as non-performing.  
0120  Part of NPEs secured by other funded or unfunded credit protection  
Article 47c(1), and points (a), (b), (c), (e) and (g) of Article 47c(3), Article 47c(6) CRR 
Institutions shall report the total exposure value of the parts of forborne NPEs that fall under 
Article 47c(6) CRR secured by other funded or unfunded credit protection pursuant to Title II of 
Part Three CRR.EN 19.3.2021 Official Journal of the European Union L 97/469
 
Rows  Instructions  
0130  > 2 and <= 3 years after classification as NPE  
Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR 
secured by other funded or unfunded credit protection, where the first forbearance measure has 
been granted between the first and the last day of the third year after the classification of the 
exposure as non-performing.  
0140  > 3 and <= 4 years after classification as NPE  
Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR 
secured by other funded or unfunded credit protection, where the first forbearance measure has 
been granted between the first and the last day of the fourth year after the classification of the 
exposure as non-performing.  
0150  > 4 and <= 5 years after classification as NPE  
Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR 
secured by other funded or unfunded credit protection, where the first forbearance measure has 
been granted between the first and the last day of the fifth year after the classification of the 
exposure as non-performing.  
0160  > 5 and <= 6 years after classification as NPE  
Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR 
secured by other funded or unfunded credit protection, where the first forbearance measure has 
been granted between the first and the last day of the sixth year after the classification of the 
exposure as non-performing.EN L 97/470 Official Journal of the European Union 19.3.2021
 EN 19.3.2021 Official Journal of the European Union L 97/471  
ANNEX III  
REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS 
FINREP TEMPLATES FOR IFRS  
TEMPLATE 
NUMBER  TEMPLATE 
CODE  NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE  
PART 1 [QUARTERLY FREQUENCY]  
Balance Sheet Statement [Statement of Financial Position]  
1.1 F 01.01  Balance Sheet Statement: assets  
1.2 F 01.02  Balance Sheet Statement: liabilities  
1.3 F 01.03  Balance Sheet Statement: equity  
2 F 02.00  Statement of profit or loss  
3 F 03.00  Statement of comprehensive income  
Breakdown of financial assets by instrument and by counterparty sector  
4.1 F 04.01  Breakdown of financial assets by instrument and by counterparty sector: financial assets held for 
trading  
4.2.1  F 04.02.1  Breakdown of financial assets by instrument and by counterparty sector: non-trading financial 
assets mandatorily at fair value through profit or loss  
4.2.2  F 04.02.2  Breakdown of financial assets by instrument and by counterparty sector: financial assets designated 
at fair value through profit or loss  
4.3.1  F 04.03.1  Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair 
value through other comprehensive income  
4.4.1  F 04.04.1  Breakdown of financial assets by instrument and by counterparty sector: financial assets at 
amortised cost  
4.5 F 04.05  Subordinated financial assets  
5.1 F 05.01  Loans and advances other than held for trading, trading or held for sale assets by product  
6.1 F 06.01  Breakdown of loans and advances other than held for trading, trading or held for sale assets 
to non-financial corporations by NACE codes  
Financial assets subject to impairment that are past due  
7.1 F 07.01  Financial assets subject to impairment that are past due  
Breakdown of financial liabilities  
8.1 F 08.01  Breakdown of financial liabilities by product and by counterparty sector  
8.2 F 08.02  Subordinated financial liabilities
EN L 97/472 Official Journal of the European Union 19.3.2021  
FINREP TEMPLATES FOR IFRS  
TEMPLATE 
NUMBER  TEMPLATE 
CODE  NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE  
Loan commitments, financial guarantees and other commitments  
9.1.1  F 09.01.1  Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given  
9.2 F 09.02  Loan commitments, financial guarantees and other commitments received  
10 F 10.00  Derivatives - Trading and economic hedges  
Hedge accounting  
11.1  F 11.01  Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge  
11.3  F 11.03  Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge  
11.4  F 11.04  Hedged items in fair value hedges  
Movements in allowances and provisions for credit losses  
12.1  F 12.01  Movements in allowances and provisions for credit losses  
12.2  F 12.02  Transfers between impairment stages (gross basis presentation)  
Collateral and guarantees received  
13.1  F 13.01  Breakdown of collateral and guarantees by loans and advances other than held for trading  
13.2.1  F 13.02.1  Collateral obtained by taking possession during the period [held at the reference date]  
13.3.1  F 13.03.1  Collateral obtained by taking possession accumulated  
14 F 14.00  Fair value hierarchy: financial instruments at fair value  
15 F 15.00  Derecognition and financial liabilities associated with transferred financial assets  
Breakdown of selected statement of profit or loss items  
16.1  F 16.01  Interest income and expenses by instrument and counterparty sector  
16.2  F 16.02  Gains or losses on derecognition of financial assets and liabilities not measured at fair value 
through profit or loss by instrument  
16.3  F 16.03  Gains or losses on financial assets and liabilities held for trading and trading financial assets and 
trading financial liabilities by instrument  
16.4  F 16.04  Gains or losses on financial assets and liabilities held for trading and trading financial assets and 
trading financial liabilities by risk  
16.4.1  F 16.04.1  Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by 
instrument
EN 19.3.2021 Official Journal of the European Union L 97/473  
FINREP TEMPLATES FOR IFRS  
TEMPLATE 
NUMBER  TEMPLATE 
CODE  NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE  
16.5  F 16.05  Gains or losses on financial assets and liabilities designated at fair value through profit or loss by 
instrument  
16.6  F 16.06  Gains or losses from hedge accounting  
16.7  F 16.07  Impairment on non-financial assets  
16.8  F 16.08  Other administrative expenses  
Reconciliation between accounting and CRR scope of consolidation: Balance Sheet  
17.1  F 17.01  Reconciliation between accounting and CRR scope of consolidation: Assets  
17.2  F 17.02  Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - 
loan commitments, financial guarantees and other commitments given  
17.3  F 17.03  Reconciliation between accounting and CRR scope of consolidation: Liabilities  
Information on performing and non-performing exposures  
18 F 18.00  Information on performing and non-performing exposures  
18.1  F 18.01  Inflows and outflows of non-performing exposures - loans and advances by counterparty sector  
18.2  F 18.02  Commercial Real Estate (CRE) loans and additional information on loans secured by immovable 
property  
19 F 19.00  Forborne exposures  
PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]  
Geographical breakdown  
20.1  F 20.01  Geographical breakdown of assets by location of the activities  
20.2  F 20.02  Geographical breakdown of liabilities by location of the activities  
20.3  F 20.03  Geographical breakdown of main statement of profit or loss items by location of the activities  
20.4  F 20.04  Geographical breakdown of assets by residence of the counterparty  
20.5  F 20.05  Geographical breakdown of off-balance sheet exposures by residence of the counterparty  
20.6  F 20.06  Geographical breakdown of liabilities by residence of the counterparty  
20.7.1  F 20.07.1  Geographical breakdown by residence of the counterparty of loans and advances other than held 
for trading to non-financial corporations by NACE codes
EN L 97/474 Official Journal of the European Union 19.3.2021  
FINREP TEMPLATES FOR IFRS  
TEMPLATE 
NUMBER  TEMPLATE 
CODE  NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE  
21 F 21.00  Tangible and intangible assets: assets subject to operating lease  
Asset management, custody and other service functions  
22.1  F 22.01  Fee and commission income and expenses by activity  
22.2  F 22.02  Assets involved in the services provided  
Loans and advances: additional information  
23.1  F 23.01  Loans and advances: Number of instruments  
23.2  F 23.02  Loans and advances: Additional information on gross carrying amounts  
23.3  F 23.03  Loans and advances collateralised by immovable property: Breakdown by LTV ratios  
23.4  F 23.04  Loans and advances: Additional information on accumulated impairments and accumulated 
negative changes in fair value due to credit risk  
23.5  F 23.05  Loans and advances: Collateral received and financial guarantees received  
23.6  F 23.06  Loans and advances: Accumulated partial write-offs  
Loans and advances: Flows of non performing exposures, impairment & write offs since the 
end of the last financial year  
24.1  F 24.01  Loans and advances: Inflows and outflows of non-performing exposures  
24.2  F 24.02  Loans and advances: Flow of impairments and accumulated negative changes in fair value due to 
credit risk on non-performing exposures  
24.3  F 24.03  Loans and advances: Inflow of write-offs of non-performing exposures  
Collateral obtained by taking possession and execution processes  
25.1  F 25.01  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E): Inflows and Outflows  
25.2  F 25.02  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E): Type of collateral obtained  
25.3  F 25.03  Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)  
26 F 26.00  Forbearance management and quality of forbearance  
PART 3 [SEMI-ANNUAL]  
Off-balance sheet activities: interests in unconsolidated structured entities  
30.1  F 30.01  Interests in unconsolidated structured entities
EN 19.3.2021 Official Journal of the European Union L 97/475  
FINREP TEMPLATES FOR IFRS  
TEMPLATE 
NUMBER  TEMPLATE 
CODE  NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE  
30.2  F 30.02  Breakdown of interests in unconsolidated structured entities by nature of the activities  
Related parties  
31.1  F 31.01  Related parties: amounts payable to and amounts receivable from  
31.2  F 31.02  Related parties: expenses and income generated by transactions with  
PART 4 [ANNUAL]  
Group structure  
40.1  F 40.01  Group structure: ‘entity-by-entity’  
40.2  F 40.02  Group structure: ‘instrument-by-instrument’  
Fair value  
41.1  F 41.01  Fair value hierarchy: financial instruments at amortised cost  
41.2  F 41.02  Use of the Fair Value Option  
42 F 42.00  Tangible and intangible assets: carrying amount by measurement method  
43 F 43.00  Provisions  
Defined benefit plans and employee benefits  
44.1  F 44.01  Components of net defined benefit plan assets and liabilities  
44.2  F 44.02  Movements in defined benefit plan obligations  
44.3  F 44.03  Staff expenses by type of benefits  
44.4  F 44.04  Staff expenses by structure and category of staff  
Breakdown of selected items of statement of profit or loss  
45.1  F 45.01  Gains or losses on financial assets and liabilities designated at fair value through profit or loss by 
accounting portfolio  
45.2  F 45.02  Gains or losses on derecognition of non-financial assets other than held for sale and investments in 
subsidiaries, joint ventures and associates  
45.3  F 45.03  Other operating income and expenses  
46 F 46.00  Statement of changes in equity  
47 F 47.00  Average duration and recovery periods
EN L 97/476 Official Journal of the European Union 19.3.2021  
1. Balance Sheet Statement [Statement of Financial Position]  
1.1 Assets  
References
 
Breakdown in table 
Carrying amount  
Annex V.Part 1.27  
0010  
0010  Cash, cash balances at central banks and other demand 
deposits  IAS 1.54 (i)  
0020  Cash on hand  Annex V.Part 2.1  
0030  Cash balances at central banks  Annex V.Part 2.2  
0040  Other demand deposits  Annex V.Part 2.3  5  
0050  Financial assets held for trading  IFRS 9.Appendix A  
0060  Derivatives  IFRS 9.Appendix A  10  
0070  Equity instruments  IAS 32.11  4  
0080  Debt securities  Annex V.Part 1.31  4  
0090  Loans and advances  Annex V.Part 1.32  4  
0096  Non-trading financial assets mandatorily at fair value 
through profit or loss  IFRS 7.8(a)(ii); IFRS 9.4.1.4  4  
0097  Equity instruments  IAS 32.11  4  
0098  Debt securities  Annex V.Part 1.31  4  
0099  Loans and advances  Annex V.Part 1.32  4  
0100  Financial assets designated at fair value through profit or 
loss  IFRS 7.8(a)(i); IFRS 9.4.1.5  4  
0120  Debt securities  Annex V.Part 1.31  4  
0130  Loans and advances  Annex V.Part 1.32  4  
0141  Financial assets at fair value through other compre ­
hensive income  IFRS 7.8(h); IFRS 9.4.1.2A  4  
0142  Equity instruments  IAS 32.11  4  
0143  Debt securities  Annex V.Part 1.31  4  
0144  Loans and advances  Annex V.Part 1.32  4
EN 19.3.2021 Official Journal of the European Union L 97/477  
References
 
Breakdown in table 
Carrying amount  
Annex V.Part 1.27  
0010  
0181  Financial assets at amortised cost  IFRS 7.8(f); IFRS 9.4.1.2  4  
0182  Debt securities  Annex V.Part 1.31  4  
0183  Loans and advances  Annex V.Part 1.32  4  
0240  Derivatives – Hedge accounting  IFRS 9.6.2.1; Annex V.Part 
1.22  11 
0250  Fair value changes of the hedged items in portfolio hedge of 
interest rate risk  IAS 39.89A(a); IFRS 
9.6.5.8  
0260  Investments in subsidiaries, joint ventures and associates  IAS 1.54(e); Annex V.Part 
1.21, Part 2.4  40 
0270  Tangible assets  
0280  Property, Plant and Equipment  IAS 16.6; IAS 1.54(a); 
IFRS 16.47(a)  21, 42  
0290  Investment property  IAS 40.5; IAS 1.54(b); 
IFRS 16.48  21, 42  
0300  Intangible assets  IAS 1.54(c); CRR art 
4(1)(115)  
0310  Goodwill  IFRS 3.B67(d); CRR art 
4(1)(113)  
0320  Other intangible assets  IAS 38.8,118; IFRS 16.47 
(a) 21, 42  
0330  Tax assets  IAS 1.54(n-o)  
0340  Current tax assets  IAS 1.54(n); IAS 12.5  
0350  Deferred tax assets  IAS 1.54(o); IAS 12.5; 
CRR art 4(1)(106)  
0360  Other assets  Annex V.Part 2.5  
0370  Non-current assets and disposal groups classified as held for 
sale  IAS 1.54(j); IFRS 5.38, 
Annex V.Part 2.7  
0380  TOTAL ASSETS  IAS 1.9(a), IG 6
EN L 97/478 Official Journal of the European Union 19.3.2021  
1.2 Liabilities  
References
 
Breakdown in table 
Carrying amount  
Annex V.Part 1.27  
0010  
0010  Financial liabilities held for trading  IFRS 7.8 (e) (ii); IFRS 
9.BA.6  8 
0020  Derivatives  IFRS 9.Appendix A; IFRS 
9.4.2.1(a); IFRS 9.BA.7(a)  10 
0030  Short positions  IFRS 9.BA7(b)  8  
0040  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  8 
0050  Debt securities issued  Annex V.Part 1.37  8  
0060  Other financial liabilities  Annex V.Part 1.38-41  8  
0070  Financial liabilities designated at fair value through profit or 
loss  IFRS 7.8 (e)(i); IFRS 9.4.2.2  8  
0080  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  8 
0090  Debt securities issued  Annex V.Part 1.37  8  
0100  Other financial liabilities  Annex V.Part 1.38-41  8  
0110  Financial liabilities measured at amortised cost  IFRS 7.8(g); IFRS 9.4.2.1  8  
0120  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  8 
0130  Debt securities issued  Annex V.Part 1.37  8  
0140  Other financial liabilities  Annex V.Part 1.38-41  8  
0150  Derivatives – Hedge accounting  IFRS 9.6.2.1; Annex V.Part 
1.26  11 
0160  Fair value changes of the hedged items in portfolio hedge of 
interest rate risk  IAS 39.89A(b), IFRS 
9.6.5.8  
0170  Provisions  IAS 37.10; IAS 1.54(l)  43
EN 19.3.2021 Official Journal of the European Union L 97/479  
References
 
Breakdown in table 
Carrying amount  
Annex V.Part 1.27  
0010  
0180  Pensions and other post employment defined benefit obliga ­
tions  IAS 19.63; IAS 1.78(d); 
Annex V.Part 2.9  43 
0190  Other long term employee benefits  IAS 19.153; IAS 1.78(d); 
Annex V.Part 2.10  43 
0200  Restructuring  IAS 37.71  43  
0210  Pending legal issues and tax litigation  IAS 37.14, Appendix C. 
Examples 6 and 10  43 
0220  Commitments and guarantees given  IFRS 9.4.2.1(c),(d), 9.5.5, 
9.B2.5; IAS 37, IFRS 4, 
Annex V.Part 2.11  91243  
0230  Other provisions  IAS 37.14  43  
0240  Tax liabilities  IAS 1.54(n-o)  
0250  Current tax liabilities  IAS 1.54(n); IAS 12.5  
0260  Deferred tax liabilities  IAS 1.54(o); IAS 12.5; 
CRR art 4(1)(108)  
0270  Share capital repayable on demand  IAS 32 IE 33; IFRIC 2; 
Annex V.Part 2.12  
0280  Other liabilities  Annex V.Part 2.13  
0290  Liabilities included in disposal groups classified as held for 
sale  IAS 1.54 (p); IFRS 5.38, 
Annex V.Part 2.14  
0300  TOTAL LIABILITIES  IAS 1.9(b);IG 6
EN L 97/480 Official Journal of the European Union 19.3.2021  
1.3 Equity  
References
 
Breakdown in table 
Carrying amount  
0010  
0010  Capital  IAS 1.54(r), BAD art 22  46  
0020  Paid up capital  IAS 1.78(e)  
0030  Unpaid capital which has been called up  Annex V.Part 2.14  
0040  Share premium  IAS 1.78(e); CRR art 
4(1)(124)  46 
0050  Equity instruments issued other than capital  Annex V.Part 2.18-19  46  
0060  Equity component of compound financial instruments  IAS 32.28-29; Annex 
V.Part 2.18  
0070  Other equity instruments issued  Annex V.Part 2.19  
0080  Other equity  IFRS 2.10; Annex V.Part 
2.20  
0090  Accumulated other comprehensive income  CRR art 4(1)(100)  46  
0095  Items that will not be reclassified to profit or loss  IAS 1.82A(a)  
0100  Tangible assets  IAS 16.39-41  
0110  Intangible assets  IAS 38.85-87  
0120  Actuarial gains or (-) losses on defined benefit pension plans  IAS 1.7, IG6; IAS 
19.120(c)  
0122  Non-current assets and disposal groups classified as held for sale  IFRS 5.38, IG Example 12  
0124  Share of other recognised income and expense of investments in 
subsidaries, joint ventures and associates  IAS 1.IG6; IAS 28.10  
0320  Fair value changes of equity instruments measured at fair value 
through other comprehensive income  IAS 1.7(d); IFRS 9 5.7.5, 
B5.7.1; Annex V.Part 2.21  
0330  Hedge ineffectiveness of fair value hedges for equity instruments 
measured at fair value through other comprehensive income  IAS 1.7(e);IFRS 
9.5.7.5;.6.5.3; IFRS 7.24C; 
Annex V.Part 2.22  
0340  Fair value changes of equity instruments measured at fair value 
through other comprehensive income [hedged item]  IFRS 9.5.7.5;.6.5.8(b); 
Annex V.Part 2.22
EN 19.3.2021 Official Journal of the European Union L 97/481  
References
 
Breakdown in table 
Carrying amount  
0010  
0350  Fair value changes of equity instruments measured at fair value 
through other comprehensive income [hedging instrument]  IAS 1.7(e);IFRS 
9.5.7.5;.6.5.8(a);Annex 
V.Part 2.57  
0360  Fair value changes of financial liabilities at fair value through profit 
or loss attributable to changes in their credit risk  IAS 1.7(f); IFRS 9 
5.7.7;Annex V.Part 2.23  
0128  Items that may be reclassified to profit or loss  IAS 1.82A(a) (ii)  
0130  Hedge of net investments in foreign operations [effective portion]  IFRS9.6.5.13(a); 
IFRS7.24B(b)(ii)(iii); IFRS 
7.24C(b)(i)(iv),.24E(a); 
Annex V.Part 2.24  
0140  Foreign currency translation  IAS 21.52(b); IAS 21.32, 
38-49  
0150  Hedging derivatives. Cash flow hedges reserve [effective portion]  IAS 1.7 (e); IFRS 
7.24B(b)(ii)(iii); IFRS 
7.24C(b)(i);.24E; IFRS 
9.6.5.11(b); Annex V.Part 
2.25  
0155  Fair value changes of debt instruments measured at fair value 
through other comprehensive income  IAS 1.7(da); IFRS 9.4.1.2A; 
5.7.10; Annex V.Part 2.26  
0165  Hedging instruments [not designated elements]  IAS 1.7(g)(h);IFRS 
9.6.5.15,.6.5.16;IFRS 7.24 
E (b)(c); Annex V.Part 2.60  
0170  Non-current assets and disposal groups classified as held for sale  IFRS 5.38, IG Example 12  
0180  Share of other recognised income and expense of investments in 
subsidaries, joint ventures and associates  IAS 1.IG6; IAS 28.10  
0190  Retained earnings  CRR art 4(1)(123)  
0200  Revaluation reserves  IFRS 1.30, D5-D8; Annex 
V.Part 2.28  
0210  Other reserves  IAS 1.54; IAS 1.78(e)
EN L 97/482 Official Journal of the European Union 19.3.2021  
References
 
Breakdown in table 
Carrying amount  
0010  
0220  Reserves or accumulated losses of investments in subsidaries, 
joint ventures and associates accounted for using the equity 
method  IAS 28.11; Annex V.Part 
2.29  
0230  Other  Annex V.Part 2.29  
0240  (-)  Treasury shares  IAS 1.79(a)(vi); IAS 32.33- 
34, AG 14, AG 36; Annex 
V.Part 2.30  46 
0250  Profit or loss attributable to owners of the parent  IAS 1.81B (b)(ii)  2  
0260  (-)  Interim dividends  IAS 32.35  
0270  Minority interests [Non-controlling interests]  IAS 1.54(q)  
0280  Accumulated Other Comprehensive Income  CRR art 4(1)(100)  46  
0290  Other items  46 
0300  TOTAL EQUITY  IAS 1.9(c), IG 6  46  
0310  TOTAL EQUITY AND TOTAL LIABILITIES  IAS 1.IG6
EN 19.3.2021 Official Journal of the European Union L 97/483  
2. Statement of profit or loss  
References
 
Breakdown in table 
Current period  
0010  
0010  Interest income  IAS 1.97; Annex V.Part 
2.31  16 
0020  Financial assets held for trading  IFRS 7.20(a)(i), B5(e); 
Annex V.Part 2.33, 34  
0025  Non-trading financial assets mandatorily at fair value through 
profit or loss  IFRS 7.20(a)(i), B5(e), IFRS 
9.5.7.1  
0030  Financial assets designated at fair value through profit or loss  IFRS 7.20(a)(i), B5(e)  
0041  Financial assets at fair value through other comprehensive 
income  IFRS 7.20(b); IFRS 
9.5.7.10-11; IFRS 
9.4.1.2A  
0051  Financial assets at amortised cost  IFRS 7.20(b);IFRS 9.4.1.2; 
IFRS 9.5.7.2  
0070  Derivatives - Hedge accounting, interest rate risk  IFRS 9.Appendix A; 
.B6.6.16; Annex V.Part 
2.35  
0080  Other assets  Annex V.Part 2.36  
0085  Interest income on liabilities  IFRS 9.5.7.1, Annex V.Part 
2.37  
0090  (Interest expenses)  IAS 1.97; Annex V.Part 
2.31  16 
0100  (Financial liabilities held for trading)  IFRS 7.20(a)(i), B5(e); 
Annex V.Part 2.33, 34  
0110  (Financial liabilities designated at fair value through profit or loss)  IFRS 7.20(a)(i), B5(e)  
0120  (Financial liabilities measured at amortised cost)  IFRS 7.20(b); IFRS 9.5.7.2  
0130  (Derivatives - Hedge accounting, interest rate risk)  IAS 39.9; Annex V.Part 
2.35  
0140  (Other liabilities)  Annex V.Part 2.38  
0145  (Interest expense on assets)  IFRS 9.5.7.1, Annex V.Part 
2.39
EN L 97/484 Official Journal of the European Union 19.3.2021  
References
 
Breakdown in table 
Current period  
0010  
0150  (Expenses on share capital repayable on demand)  IFRIC 2.11  
0160  Dividend income  Annex V.Part 2.40  31  
0170  Financial assets held for trading  IFRS 7.20(a)(i), B5(e); 
Annex V.Part 2.40  
0175  Non-trading financial assets mandatorily at fair value through 
profit or loss  IFRS 7.20(a)(i), B5(e),IFRS 
9.5.7.1A; Annex V.Part 
2.40  
0191  Financial assets at fair value through other comprehensive 
income  IFRS 7.20(a)(ii); IFRS 
9.4.1.2A; IFRS 9.5.7.1A; 
Annex V.Part 2.41  
0192  Investments in subsidiaries, joint ventures and associates 
accounted for using other than equity method  Annex V Part 2 .42  
0200  Fee and commission income  IFRS 7.20(c)  22  
0210  (Fee and commission expenses)  IFRS 7.20(c)  22  
0220  Gains or (-) losses on derecognition of financial assets and 
liabilities not measured at fair value through profit or loss, 
net Annex V.Part 2.45  16  
0231  Financial assets at fair value through other comprehensive 
income  IFRS 9.4.12A; IFRS 
9.5.7.10-11  
0241  Financial assets at amortised cost  IFRS 7.20(a)(v);IFRS 
9.4.1.2; IFRS 9.5.7.2  
0260  Financial liabilities measured at amortised cost  IFRS 7.20(a)(v); IFRS 
9.5.7.2  
0270  Other  
0280  Gains or (-) losses on financial assets and liabilities held for 
trading, net  IFRS 7.20(a)(i); IFRS 
9.5.7.1; Annex V.Part 2.43, 
46 16 
0287  Gains or (-) losses on non-trading financial assets manda ­
torily at fair value through profit or loss, net  IFRS 7.20(a)(i); IFRS 
9.5.7.1; Annex V.Part 2.46
EN 19.3.2021 Official Journal of the European Union L 97/485  
References
 
Breakdown in table 
Current period  
0010  
0290  Gains or (-) losses on financial assets and liabilities 
designated at fair value through profit or loss, net  IFRS 7.20(a)(i); IFRS 
9.5.7.1; Annex V.Part 2.44  16, 45  
0300  Gains or (-) losses from hedge accounting, net  Annex V.Part 2.47  16  
0310  Exchange differences [gain or (-) loss], net  IAS 21.28, 52 (a)  
0320  Gains or (-) losses on derecognition of investments in 
subsidiaries, joint ventures and associates, net  Annex V.Part 2.56  
0330  Gains or (-) losses on derecognition of non-financial assets, 
net IAS 1.34; Annex V. Part 
2.48  45 
0340  Other operating income  Annex V.Part 2.314-316  45  
0350  (Other operating expenses)  Annex V.Part 2.314-316  45  
0355  TOTAL OPERATING INCOME, NET  
0360  (Administrative expenses)  
0370  (Staff expenses)  IAS 19.7; IAS 1.102, IG 6  44  
0380  (Other administrative expenses)  16  
0385  (Cash contributions to resolution funds and deposit 
guarantee schemes)  Annex V.Part 2.48i  
0390  (Depreciation)  IAS 1.102, 104  
0400  (Property, Plant and Equipment)  IAS 1.104; IAS 
16.73(e)(vii)  
0410  (Investment Properties)  IAS 1.104; IAS 
40.79(d)(iv)  
0420  (Other intangible assets)  IAS 1.104; IAS 
38.118(e)(vi)  
0425  Modification gains or (-) losses, net  IFRS 9.5.4.3, IFRS 9 
Appendix A; Annex V Part 
2.49
EN L 97/486 Official Journal of the European Union 19.3.2021  
References
 
Breakdown in table 
Current period  
0010  
0426  Financial assets at fair value through other comprehensive 
income  IFRS 7.35J  
0427  Financial assets at amortised cost  IFRS 7.35J  
0430  (Provisions or (-) reversal of provisions)  IAS 37.59, 84; IAS 
1.98(b)(f)(g)  91243  
0435  (payment commitments to resolution funds and deposit 
guarantee schemes)  Annex V.Part 2.48i  
0440  (Commitments and guarantees given)  IFRS 9.4.2.1(c),(d),9.B2.5; 
IAS 37, IFRS 4, Annex 
V.Part 2.50  
0450  (Other provisions)  
0460  (Impairment or (-) reversal of impairment on financial assets 
not measured at fair value through profit or loss)  IFRS 7.20(a)(viii); IFRS 
9.5.4.4; Annex V Part 2.51, 
53 12 
0481  (Financial assets at fair value through other comprehensive 
income)  IFRS 9.5.4.4, 9.5.5.1, 
9.5.5.2, 9.5.5.8  12 
0491  (Financial assets at amortised cost)  IFRS 9.5.4.4, 9.5.5.1, 
9.5.5.8  12 
0510  (Impairment or (-) reversal of impairment of investments in 
subsidiaries, joint ventures and associates)  IAS 28.40-43  16  
0520  (Impairment or (-) reversal of impairment on non-financial 
assets)  IAS 36.126(a)(b)  16  
0530  (Property, plant and equipment)  IAS 16.73(e)(v-vi)  
0540  (Investment properties)  IAS 40.79(d)(v)  
0550  (Goodwill)  IFRS 3.Appendix B67(d)(v); 
IAS 36.124  
0560  (Other intangible assets)  IAS 38.118 (e)(iv)(v)  
0570  (Other)  IAS 36.126 (a)(b)
EN 19.3.2021 Official Journal of the European Union L 97/487  
References
 
Breakdown in table 
Current period  
0010  
0580  Negative goodwill recognised in profit or loss  IFRS 3.Appendix B64(n)(i)  
0590  Share of the profit or (-) loss of investments in subsidaries, 
joint ventures and associates accounted for using the equity 
method  Annex V.Part 2.54  
0600  Profit or (-) loss from non-current assets and disposal 
groups classified as held for sale not qualifying as discon ­
tinued operations  IFRS 5.37; Annex V.Part 
2.55  
0610  PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPER ­
ATIONS  IAS 1.102, IG 6; IFRS 
5.33 A  
0620  (Tax expense or (-) income related to profit or loss from 
continuing operations)  IAS 1.82(d); IAS 12.77  
0630  PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPER ­
ATIONS  IAS 1, IG 6  
0640  Profit or (-) loss after tax from discontinued operations  IAS 1.82(ea) ; IFRS 5.33(a), 
5.33 A; Annex V Part 2.56  
0650  Profit or (-) loss before tax from discontinued operations  IFRS 5.33(b)(i)  
0660  (Tax expense or (-) income related to discontinued operations)  IFRS 5.33 (b)(ii),(iv)  
0670  PROFIT OR (-) LOSS FOR THE YEAR  IAS 1.81A(a)  
0680  Attributable to minority interest [non-controlling interests]  IAS 1.81B (b)(i)  
0690  Attributable to owners of the parent  IAS 1.81B (b)(ii)
EN L 97/488 Official Journal of the European Union 19.3.2021  
3. Statement of comprehensive income  
References  Current 
period  
0010  
0010  Profit or (-) loss for the year  IAS 1.7, IG6  
0020  Other comprehensive income  IAS 1.7, IG6  
0030  Items that will not be reclassified to profit or loss  IAS 1.82A(a)(i)  
0040  Tangible assets  IAS 1.7, IG6; IAS 16.39- 
40 
0050  Intangible assets  IAS 1.7; IAS 38.85-86  
0060  Actuarial gains or (-) losses on defined benefit pension plans  IAS 1.7, IG6; IAS 
19.120(c)  
0070  Non-current assets and disposal groups held for sale  IFRS 5.38  
0080  Share of other recognised income and expense of entities accounted for 
using the equity method  IAS 1.IG6; IAS 28.10  
0081  Fair value changes of equity instruments measured at fair value through 
other comprehensive income  IAS 1.7(d)  
0083  Gains or (-) losses from hedge accounting of equity instruments at fair value 
through other comprehensive income, net  IFRS 9.5.7.5;.6.5.3; IFRS 
7.24C; Annex V.Part 2.57  
0084  Fair value changes of equity instruments measured at fair value through other 
comprehensive income [hedged item]  IFRS 9.5.7.5;.6.5.8(b); 
Annex V.Part 2.57  
0085  Fair value changes of equity instruments measured at fair value through other 
comprehensive income [hedging instrument]  IFRS 9.5.7.5;.6.5.8(a); 
Annex V.Part 2.57  
0086  Fair value changes of financial liabilities at fair value through profit or loss 
attributable to changes in their credit risk  IAS 1.7(f)  
0090  Income tax relating to items that will not be reclassified  IAS 1.91(b); Annex V.Part 
2.66  
0100  Items that may be reclassified to profit or loss  IAS 1.82A(a)(ii)  
0110  Hedge of net investments in foreign operations [effective portion]  IFRS 9.6.5.13(a); IFRS 
7.24C(b)(i)(iv),.24E(a); 
Annex V.Part 2.58
EN 19.3.2021 Official Journal of the European Union L 97/489  
References  Current 
period  
0010  
0120  Valuation gains or (-) losses taken to equity  IAS 1.IG6;IFRS 
9.6.5.13(a); IFRS 
7.24C(b)(i);.24E(a); Annex 
V.Part 2.58  
0130  Transferred to profit or loss  IAS 1.7, 92-95; IAS 
21.48-49; IFRS 9.6.5.14; 
Annex V.Part 2.59  
0140  Other reclassifications  Annex V.Part 2.65  
0150  Foreign currency translation  IAS 1.7, IG6; IAS 21.52(b)  
0160  Translation gains or (-) losses taken to equity  IAS 21.32, 38-47  
0170  Transferred to profit or loss  IAS 1.7, 92-95; IAS 
21.48-49  
0180  Other reclassifications  Annex V.Part 2.65  
0190  Cash flow hedges [effective portion]  IAS 1.7, IG6; IAS 
39.95(a)-96 IFRS 
9.6.5.11(b); IFRS 
7.24C(b)(i);.24E(a);  
0200  Valuation gains or (-) losses taken to equity  IAS 1.7(e),IG6; IFRS 
9.6.5.11(a)(b)(d); IFRS 
7.24C(b)(i), .24E(a)  
0210  Transferred to profit or loss  IAS 1.7, 92-95, IG6; IFRS 
9.6.5.11(d)(ii)(iii);IFRS 
7.24C(b)(iv),.24E(a) Annex 
V.Part 2.59  
0220  Transferred to initial carrying amount of hedged items  IAS 1.IG6;IFRS 
9.6.5.11(d)(i)  
0230  Other reclassifications  Annex V.Part 2.65  
0231  Hedging instruments [not designated elements]  IAS 1.7(g)(h);IFRS 
9.6.5.15,.6.5.16;IFRS 
7.24E(b)(c); Annex V.Part 
2.60  
0232  Valuation gains or (-) losses taken to equity  IAS 1.7(g)(h);IFRS 
9.6.5.15,.6.5.16;IFRS 
7.24E (b)(c)  
0233  Transferred to profit or loss  IAS 1.7(g)(h);IFRS 
9.6.5.15,.6.5.16;IFRS 
7.24E(b)(c); Annex V.Part 
2.61  
0234  Other reclassifications  Annex V.Part 2.65
EN L 97/490 Official Journal of the European Union 19.3.2021  
References  Current 
period  
0010  
0241  Debt instruments at fair value through other comprehensive income  IAS 1.7(da), IG 6; IAS 
1.IG6; IFRS 9.5.6.4; Annex 
V.Part 2.62-63  
0251  Valuation gains or (-) losses taken to equity  IFRS 7.20(a)(ii); IAS 1.IG6; 
IFRS 9.5.6.4  
0261  Transferred to profit or loss  IAS 1.7, IAS 1.92-95, IAS 
1.IG6; IFRS 9.5.6.7; Annex 
V.Part 2.64  
0270  Other reclassifications  IFRS 5.IG Example 12;IFRS 
9.5.6.5; Annex V.Part 
2.64-65  
0280  Non-current assets and disposal groups held for sale  IFRS 5.38  
0290  Valuation gains or (-) losses taken to equity  IFRS 5.38  
0300  Transferred to profit or loss  IAS 1.7, 92-95; IFRS 5.38  
0310  Other reclassifications  IFRS 5.IG Example 12  
0320  Share of other recognised income and expense of Investments in subsidaries, 
joint ventures and associates  IAS 1.IG6; IAS 28.10  
0330  Income tax relating to items that may be reclassified to profit or (-) loss  IAS 1.91(b), IG6; Annex 
V.Part 2.66  
0340  Total comprehensive income for the year  IAS 1.7, 81A(a), IG6  
0350  Attributable to minority interest [Non-controlling interest]  IAS 1.83(b)(i), IG6  
0360  Attributable to owners of the parent  IAS 1.83(b)(ii), IG6
EN 19.3.2021 Official Journal of the European Union L 97/491  
4. Breakdown of financial assets by instrument and by counterparty sector  
4.1 Financial assets held for trading  
References  Carrying 
amount  
Annex V.Part 
1.27  
0010  
0005  Derivatives  
0010  Equity instruments  IAS 32.11, Annex V.Part 
1.44(b)  
0030  of which: credit institutions  Annex V.Part 1.42(c)  
0040  of which: other financial corporations  Annex V.Part 1.42(d)  
0050  of which: non-financial corporations  Annex V.Part 1.42(e)  
0060  Debt securities  Annex V.Part 1.31, 44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)  
0120  Loans and advances  Annex V.Part 1.32, 44(a)  
0130  Central banks  Annex V.Part 1.42(a)  
0140  General governments  Annex V.Part 1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  
0180  Households  Annex V.Part 1.42(f)  
0190  FINANCIAL ASSETS HELD FOR TRADING  IFRS 9.Appendix A
EN L 97/492 Official Journal of the European Union 19.3.2021  
4.2.1  Non-trading financial assets mandatorily at fair value through profit or loss  
References  Carrying amount  Accumulated negative 
changes in fair value 
due to credit risk on 
non-performing 
exposures  
Annex V.Part 1.27  Annex V.Part 2.69  
0010  0020  
0010  Equity instruments  IAS 32.11, Annex 
V.Part 1.44(b)  
0020  of which: credit institutions  Annex V.Part 1.42(c)  
0030  of which: other financial corporations  Annex V.Part 
1.42(d)  
0040  of which: non-financial corporations  Annex V.Part 1.42(e)  
0050  Debt securities  Annex V.Part 1.31, 
44(b)  
0060  Central banks  Annex V.Part 
1.42(a)  
0070  General governments  Annex V.Part 
1.42(b)  
0080  Credit institutions  Annex V.Part 1.42(c)  
0090  Other financial corporations  Annex V.Part 
1.42(d)  
0100  Non-financial corporations  Annex V.Part 1.42(e)  
0110  Loans and advances  Annex V.Part 1.32, 
44(a)  
0120  Central banks  Annex V.Part 
1.42(a)  
0130  General governments  Annex V.Part 
1.42(b)  
0140  Credit institutions  Annex V.Part 1.42(c)  
0150  Other financial corporations  Annex V.Part 
1.42(d)  
0160  Non-financial corporations  Annex V.Part 1.42(e)  
0170  Households  Annex V.Part 1.42(f)  
0180  NON-TRADING FINANCIAL ASSETS MANDATORILY 
AT FAIR VALUE THROUGH PROFIT OR LOSS  IFRS 7.8(a)(ii); IFRS 
9.4.1.4
EN 19.3.2021 Official Journal of the European Union L 97/493  
4.2.2  Financial assets designated at fair value through profit or loss  
References  Carrying amount  Accumulated negative 
changes in fair value 
due to credit risk on 
non-performing 
exposures  
Annex V.Part 1.27  Annex V.Part 2.69  
0010  0020  
0060  Debt securities  Annex V.Part 1.31, 
44(b)  
0070  Central banks  Annex V.Part 
1.42(a)  
0080  General governments  Annex V.Part 
1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 
1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)  
0120  Loans and advances  Annex V.Part 1.32, 
44(a)  
0130  Central banks  Annex V.Part 
1.42(a)  
0140  General governments  Annex V.Part 
1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 
1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  
0180  Households  Annex V.Part 1.42(f)  
0190  FINANCIAL ASSETS DESIGNATED AT FAIR VALUE 
THROUGH PROFIT OR LOSS  IFRS 7.8(a)(i); IFRS 
9.4.1.5
EN L 97/494 Official Journal of the European Union 19.3.2021
 4.3.1  Financial assets at fair value through other comprehensive income  
References  Carrying amount  Gross carrying amount  
Annex V.Part 1.34(b)  
Assets without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Assets with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired 
(Stage 2)  Credit-impaired 
assets (Stage 3)  Purchased or 
originated credit- 
impaired financial 
assets  of which: 
instruments with 
low credit risk  
Annex V.Part 1.27  IFRS 9.5.5.5; IFRS 
7.35M(a)  IFRS 9.B5.5.22-24; 
Annex V.Part 2.75  IFRS 9.5.5.3, IFRS 
7.35M(b)(i)  IFRS 9.5.5.1, 
7.35M(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 2.67  
0010  0015  0020  0030  0040  0041  
0010  Equity instruments  IAS 32.11; Annex 
V.Part 1.44(b)  
0020  of which: credit institutions  Annex V.Part 1.42(c)  
0030  of which: other financial corporations  Annex V.Part 1.42(d)  
0040  of which: non-financial corporations  Annex V.Part 1.42(e)  
0050  Debt securities  Annex V.Part 1.31, 
44(b)  
0060  Central banks  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/495
 References  Carrying amount  Gross carrying amount  
Annex V.Part 1.34(b)  
Assets without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Assets with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired 
(Stage 2)  Credit-impaired 
assets (Stage 3)  Purchased or 
originated credit- 
impaired financial 
assets  of which: 
instruments with 
low credit risk  
Annex V.Part 1.27  IFRS 9.5.5.5; IFRS 
7.35M(a)  IFRS 9.B5.5.22-24; 
Annex V.Part 2.75  IFRS 9.5.5.3, IFRS 
7.35M(b)(i)  IFRS 9.5.5.1, 
7.35M(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 2.67  
0010  0015  0020  0030  0040  0041  
0070  General governments  Annex V.Part 1.42(b)  
0080  Credit institutions  Annex V.Part 1.42(c)  
0090  Other financial corporations  Annex V.Part 1.42(d)  
0100  Non-financial corporations  Annex V.Part 1.42(e)  
0110  Loans and advances  Annex V.Part 1.32, 
44(a)  
0120  Central banks  Annex V.Part 1.42(a)  
0130  General governments  Annex V.Part 1.42(b)  
0140  Credit institutions  Annex V.Part 1.42(c)
EN L 97/496 Official Journal of the European Union 19.3.2021
 References  Carrying amount  Gross carrying amount  
Annex V.Part 1.34(b)  
Assets without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Assets with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired 
(Stage 2)  Credit-impaired 
assets (Stage 3)  Purchased or 
originated credit- 
impaired financial 
assets  of which: 
instruments with 
low credit risk  
Annex V.Part 1.27  IFRS 9.5.5.5; IFRS 
7.35M(a)  IFRS 9.B5.5.22-24; 
Annex V.Part 2.75  IFRS 9.5.5.3, IFRS 
7.35M(b)(i)  IFRS 9.5.5.1, 
7.35M(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 2.67  
0010  0015  0020  0030  0040  0041  
0150  Other financial corporations  Annex V.Part 1.42(d)  
0160  Non-financial corporations  Annex V.Part 1.42(e)  
0165  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  
0170  Households  Annex V.Part 1.42(f)  
0180  FINANCIAL ASSETS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE 
INCOME  IFRS 7.8(h); IFRS 
9.4.1.2A
EN 19.3.2021 Official Journal of the European Union L 97/497
 References  Accumulated impairment  
Annex V.Part 2.70(b), 71  
Accumulated 
partial write-offs  Accumulated 
total write-offs  Assets without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Assets with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired 
(Stage 2)  Credit-impaired 
assets (Stage 3)  Purchased or 
originated credit- 
impaired financial 
assets  
IFRS 9.5.5.5; 
IFRS7.35H(a); IFRS 
7.16A  IFRS 9.5.5.3; IFRS 
9.5.5.15; IFRS 
7.35H(b)(i); IFRS 
7.16A  IFRS 9.5.5.1; IFRS 
9.5.5.15; IFRS 
7.35H(b)(ii), IFRS 
7.16A  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.67,70(d)  IFRS 9.5.4.4 and 
B5.4.9 ; Annex 
V.Part 2.72-74  IFRS 9.5.4.4 and 
B5.4.9; Annex 
V.Part 2.72-74  
0050  0060  0070  0071  0080  0090  
0010  Equity instruments  IAS 32.11; Annex 
V.Part 1.44(b)  
0020  of which: credit institutions  Annex V.Part 1.42(c)  
0030  of which: other financial corporations  Annex V.Part 1.42(d)  
0040  of which: non-financial corporations  Annex V.Part 1.42(e)  
0050  Debt securities  Annex V.Part 1.31, 
44(b)  
0060  Central banks  Annex V.Part 1.42(a)
EN L 97/498 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment  
Annex V.Part 2.70(b), 71  
Accumulated 
partial write-offs  Accumulated 
total write-offs  Assets without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Assets with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired 
(Stage 2)  Credit-impaired 
assets (Stage 3)  Purchased or 
originated credit- 
impaired financial 
assets  
IFRS 9.5.5.5; 
IFRS7.35H(a); IFRS 
7.16A  IFRS 9.5.5.3; IFRS 
9.5.5.15; IFRS 
7.35H(b)(i); IFRS 
7.16A  IFRS 9.5.5.1; IFRS 
9.5.5.15; IFRS 
7.35H(b)(ii), IFRS 
7.16A  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.67,70(d)  IFRS 9.5.4.4 and 
B5.4.9 ; Annex 
V.Part 2.72-74  IFRS 9.5.4.4 and 
B5.4.9; Annex 
V.Part 2.72-74  
0050  0060  0070  0071  0080  0090  
0070  General governments  Annex V.Part 1.42(b)  
0080  Credit institutions  Annex V.Part 1.42(c)  
0090  Other financial corporations  Annex V.Part 1.42(d)  
0100  Non-financial corporations  Annex V.Part 1.42(e)  
0110  Loans and advances  Annex V.Part 1.32, 
44(a)  
0120  Central banks  Annex V.Part 1.42(a)  
0130  General governments  Annex V.Part 1.42(b)  
0140  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/499
 References  Accumulated impairment  
Annex V.Part 2.70(b), 71  
Accumulated 
partial write-offs  Accumulated 
total write-offs  Assets without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Assets with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired 
(Stage 2)  Credit-impaired 
assets (Stage 3)  Purchased or 
originated credit- 
impaired financial 
assets  
IFRS 9.5.5.5; 
IFRS7.35H(a); IFRS 
7.16A  IFRS 9.5.5.3; IFRS 
9.5.5.15; IFRS 
7.35H(b)(i); IFRS 
7.16A  IFRS 9.5.5.1; IFRS 
9.5.5.15; IFRS 
7.35H(b)(ii), IFRS 
7.16A  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.67,70(d)  IFRS 9.5.4.4 and 
B5.4.9 ; Annex 
V.Part 2.72-74  IFRS 9.5.4.4 and 
B5.4.9; Annex 
V.Part 2.72-74  
0050  0060  0070  0071  0080  0090  
0150  Other financial corporations  Annex V.Part 1.42(d)  
0160  Non-financial corporations  Annex V.Part 1.42(e)  
0165  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  
0170  Households  Annex V.Part 1.42(f)  
0180  FINANCIAL ASSETS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE 
INCOME  IFRS 7.8(h); IFRS 
9.4.1.2A
EN L 97/500 Official Journal of the European Union 19.3.2021
 4.4.1  Financial assets at amortised cost  
References  Carrying amount  Gross carrying amount  
Annex V.Part 1.34(b)  
Assets without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Assets with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired (Stage 
2) Credit-impaired 
assets (Stage 3)  Purchased or 
originated credit- 
impaired financial 
assets  of which: 
instruments with 
low credit risk  
Annex V.Part 1.27  IFRS 9.5.5.5; IFRS 
7.35M(a)  IFRS 9.B5.5.22-24; 
Annex V.Part 2.75  IFRS 9.5.5.3, IFRS 
7.35M(b)(i)  IFRS 9.5.5.1, 
7.35M(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 2.67  
0010  0015  0020  0030  0040  0041  
0010  Debt securities  Annex V.Part 1.31, 
44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 
44(a)  
0080  Central banks  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/501
 References  Carrying amount  Gross carrying amount  
Annex V.Part 1.34(b)  
Assets without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Assets with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired (Stage 
2) Credit-impaired 
assets (Stage 3)  Purchased or 
originated credit- 
impaired financial 
assets  of which: 
instruments with 
low credit risk  
Annex V.Part 1.27  IFRS 9.5.5.5; IFRS 
7.35M(a)  IFRS 9.B5.5.22-24; 
Annex V.Part 2.75  IFRS 9.5.5.3, IFRS 
7.35M(b)(i)  IFRS 9.5.5.1, 
7.35M(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 2.67  
0010  0015  0020  0030  0040  0041  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0125  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  
0130  Households  Annex V.Part 1.42(f)  
0140  FINANCIAL ASSETS AT AMORTISED 
COST  IFRS 7.8(f); IFRS 
9.4.1.2
EN L 97/502 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment  
Annex V.Part 2.70(a), 71  
Accumulated 
partial write-offs  Accumulated 
total write-offs  Assets without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Assets with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired (Stage 
2) Credit-impaired 
assets (Stage 3)  Purchased or 
originated credit- 
impaired financial 
assets  
IFRS 9.5.5.5; 
IFRS7.35H(a)  IFRS 9.5.5.3; IFRS 
9.5.5.15; IFRS 
7.35H(b)(i)  IFRS 5.5.1; IFRS 
9.5.5.15; IFRS 
7.35H(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.67,70(d)  IFRS 9.5.4.4 and 
B5.4.9 ; Annex 
V.Part 2.72-74  IFRS 9.5.4.4 and 
B5.4.9; Annex 
V.Part 2.72-74  
0050  0060  0070  0071  0080  0090  
0010  Debt securities  Annex V.Part 1.31, 
44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 
44(a)  
0080  Central banks  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/503
 References  Accumulated impairment  
Annex V.Part 2.70(a), 71  
Accumulated 
partial write-offs  Accumulated 
total write-offs  Assets without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Assets with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired (Stage 
2) Credit-impaired 
assets (Stage 3)  Purchased or 
originated credit- 
impaired financial 
assets  
IFRS 9.5.5.5; 
IFRS7.35H(a)  IFRS 9.5.5.3; IFRS 
9.5.5.15; IFRS 
7.35H(b)(i)  IFRS 5.5.1; IFRS 
9.5.5.15; IFRS 
7.35H(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.67,70(d)  IFRS 9.5.4.4 and 
B5.4.9 ; Annex 
V.Part 2.72-74  IFRS 9.5.4.4 and 
B5.4.9; Annex 
V.Part 2.72-74  
0050  0060  0070  0071  0080  0090  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0125  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  
0130  Households  Annex V.Part 1.42(f)  
0140  FINANCIAL ASSETS AT AMORTISED 
COST  IFRS 7.8(f); IFRS 
9.4.1.2
EN L 97/504 Official Journal of the European Union 19.3.2021  
4.5 Subordinated financial assets  
References  Carrying amount  
Annex V.Part 1.27  
0010  
0010  Loans and advances  Annex V.Part 1.32  
0020  Debt securities  Annex V.Part 1.31  
0030  SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS  Annex V.Part 2.78, 
100
EN 19.3.2021 Official Journal of the European Union L 97/505
 5. Breakdown of non-trading loans and advances by product  
5.1 Loans and advances other than held for trading, trading or held for sale assets by product  
References  Gross carrying 
amount  Carrying amount  
Annex V.Part 1.27  
Central banks  General 
governments  Credit institu ­
tions  Other 
financial 
corporations  Non-financial 
corporations  Households  
Annex V.Part 
1.34  Annex V.Part 
1.42(a)  Annex V.Part 
1.42(b)  Annex V.Part 
1.42(c)  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(e)  Annex V.Part 
1.42(f)  
0005  0010  0020  0030  0040  0050  0060  
By product  0010  On demand [call] and short 
notice [current account]  Annex V.Part 
2.85(a)  
0020  Credit card debt  Annex V.Part 
2.85(b)  
0030  Trade receivables  Annex V.Part 
2.85(c)  
0040  Finance leases  Annex V.Part 
2.85(d)  
0050  Reverse repurchase loans  Annex V.Part 
2.85(e)  
0060  Other term loans  Annex V.Part 
2.85(f)  
0070  Advances that are not 
loans  Annex V.Part 
2.85(g)  
0080  LOANS AND ADVANCES  Annex V.Part 1.32, 
44(a)
EN L 97/506 Official Journal of the European Union 19.3.2021
 References  Gross carrying 
amount  Carrying amount  
Annex V.Part 1.27  
Central banks  General 
governments  Credit institu ­
tions  Other 
financial 
corporations  Non-financial 
corporations  Households  
Annex V.Part 
1.34  Annex V.Part 
1.42(a)  Annex V.Part 
1.42(b)  Annex V.Part 
1.42(c)  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(e)  Annex V.Part 
1.42(f)  
0005  0010  0020  0030  0040  0050  0060  
By collateral  0090  of which: Loans collateralized 
by immovable property  Annex V.Part 
2.86(a), 87  
0100  of which: other collateralized 
loans  Annex V.Part 
2.86(b), 87  
By purpose  0110  of which: credit for 
consumption  Annex V.Part 
2.88(a)  
0120  of which: lending for house 
purchase  Annex V.Part 
2.88(b)  
By 
subordi­
nation  0130  of which: project finance 
loans  Annex V.Part 2.89; 
CRR Art 147(8)
EN 19.3.2021 Official Journal of the European Union L 97/507
 6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes  
6.1 Breakdown of loans and advances other than held for trading, trading or held for sale assets to non-financial corporations by NACE codes  
References  Non-financial corporations  
Annex V.Part 1.42(e), Part 2.91  
Gross carrying 
amount  Accumulated 
impairment  Accumulated 
negative changes 
in fair value due 
to credit risk on 
non-performing 
exposures  of which: loans 
and advances 
subject to 
impairment  Of which: non- 
performing  
of which: 
defaulted  
Annex V.Part 1.34  Annex V.Part 2.93  Annex V.Part 2. 
213-232  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 2.70- 
71 Annex V.Part 2.69  
0010  0011  0012  0013  0021  0022  
0010  A Agriculture, forestry and fishing  NACE Regulation  
0020  B Mining and quarrying  NACE Regulation  
0030  C Manufacturing  NACE Regulation  
0040  D Electricity, gas, steam and air 
conditioning supply  NACE Regulation  
0050  E Water supply  NACE Regulation  
0060  F Construction  NACE Regulation  
0070  G Wholesale and retail trade  NACE Regulation  
0080  H Transport and storage  NACE Regulation
EN L 97/508 Official Journal of the European Union 19.3.2021
 References  Non-financial corporations  
Annex V.Part 1.42(e), Part 2.91  
Gross carrying 
amount  Accumulated 
impairment  Accumulated 
negative changes 
in fair value due 
to credit risk on 
non-performing 
exposures  of which: loans 
and advances 
subject to 
impairment  Of which: non- 
performing  
of which: 
defaulted  
Annex V.Part 1.34  Annex V.Part 2.93  Annex V.Part 2. 
213-232  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 2.70- 
71 Annex V.Part 2.69  
0010  0011  0012  0013  0021  0022  
0090  I Accommodation and food service 
activities  NACE Regulation  
0100  J Information and communication  NACE Regulation  
0105  K Financial and insurance activities  NACE Regulation, 
Annex V.Part 2.92  
0110  L Real estate activities  NACE Regulation  
0120  M Professional, scientific and 
technical activities  NACE Regulation  
0130  N Administrative and support 
service activities  NACE Regulation  
0140  O Public administration and defence, 
compulsory social security  NACE Regulation  
0150  P Education  NACE Regulation
EN 19.3.2021 Official Journal of the European Union L 97/509
 References  Non-financial corporations  
Annex V.Part 1.42(e), Part 2.91  
Gross carrying 
amount  Accumulated 
impairment  Accumulated 
negative changes 
in fair value due 
to credit risk on 
non-performing 
exposures  of which: loans 
and advances 
subject to 
impairment  Of which: non- 
performing  
of which: 
defaulted  
Annex V.Part 1.34  Annex V.Part 2.93  Annex V.Part 2. 
213-232  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 2.70- 
71 Annex V.Part 2.69  
0010  0011  0012  0013  0021  0022  
0160  Q Human health services and social 
work activities  NACE Regulation  
0170  R Arts, entertainment and recreation  NACE Regulation  
0180  S Other services  NACE Regulation  
0190  LOANS AND ADVANCES  Annex V.Part 1.32, 
Part 2.90
EN L 97/510 Official Journal of the European Union 19.3.2021
 7. Financial assets subject to impairment that are past due  
7.1 Financial assets subject to impairment that are past due  
References  Carrying amount  
Annex V.Part 1.27  
Assets without significant increase in credit 
risk since initial recognition (Stage 1)  Assets with significant increase in credit risk 
since initial recognition but not credit- 
impaired (Stage 2)
 ≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s 
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96  
0010  0020  0030  0040  0050  0060  
0060  Debt securities  Annex V.Part 1.31, 
44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)  
0120  Loans and advances  Annex V.Part 1.32, 
44(a)  
0130  Central banks  Annex V.Part 1.42(a)  
0140  General governments  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/511
 References  Carrying amount  
Annex V.Part 1.27  
Assets without significant increase in credit 
risk since initial recognition (Stage 1)  Assets with significant increase in credit risk 
since initial recognition but not credit- 
impaired (Stage 2)
 ≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s 
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96  
0010  0020  0030  0040  0050  0060  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  
0180  Households  Annex V.Part 1.42(f)  
0190  TOTAL DEBT INSTRUMENTS  Annex V Part 2.94- 
95 
Loans and advances by product, by collateral and by subordination  
0200  On demand [call] and short notice [current account]  Annex V.Part 2.85(a)  
0210  Credit card debt  Annex V.Part 2.85(b)
EN L 97/512 Official Journal of the European Union 19.3.2021
 References  Carrying amount  
Annex V.Part 1.27  
Assets without significant increase in credit 
risk since initial recognition (Stage 1)  Assets with significant increase in credit risk 
since initial recognition but not credit- 
impaired (Stage 2)
 ≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s 
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96  
0010  0020  0030  0040  0050  0060  
0220  Trade receivables  Annex V.Part 2.85(c)  
0230  Finance leases  Annex V.Part 2.85(d)  
0240  Reverse repurchase loans  Annex V.Part 2.85(e)  
0250  Other term loans  Annex V.Part 2.85(f)  
0260  Advances that are not loans  Annex V.Part 2.85(g)  
0270  of which: Loans collateralized by inmovable property  Annex V.Part 2.86(a), 
87 
0280  of which: other collateralized loans  Annex V.Part 2.86(b), 
87 
0290  of which: credit for consumption  Annex V.Part 2.88(a)  
0300  of which: lending for house purchase  Annex V.Part 2.88(b)  
0310  of which: project finance loans  Annex V.Part 2.89; 
CRR Art 147(8)
EN 19.3.2021 Official Journal of the European Union L 97/513
 References  Carrying amount  
Annex V.Part 1.27  
Credit-impaired assets (Stage 3)  Purchased or originated credit-impaired 
financial assets
 ≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s 
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96  
0070  0080  0090  0100  0110  0120  
0060  Debt securities  Annex V.Part 1.31, 
44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)  
0120  Loans and advances  Annex V.Part 1.32, 
44(a)  
0130  Central banks  Annex V.Part 1.42(a)  
0140  General governments  Annex V.Part 1.42(b)
EN L 97/514 Official Journal of the European Union 19.3.2021
 References  Carrying amount  
Annex V.Part 1.27  
Credit-impaired assets (Stage 3)  Purchased or originated credit-impaired 
financial assets
 ≤30 days  
>3 0d a y s ≤90 days  
> 90 days  
≤30 days  
>3 0d a y s ≤90 days  
> 90 days 
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96  
0070  0080  0090  0100  0110  0120  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  
0180  Households  Annex V.Part 1.42(f)  
0190  TOTAL DEBT INSTRUMENTS  Annex V Part 2.94- 
95 
Loans and advances by product, by collateral and by subordination  
0200  On demand [call] and short notice [current account]  Annex V.Part 2.85(a)  
0210  Credit card debt  Annex V.Part 2.85(b)
EN 19.3.2021 Official Journal of the European Union L 97/515
 References  Carrying amount  
Annex V.Part 1.27  
Credit-impaired assets (Stage 3)  Purchased or originated credit-impaired 
financial assets
 ≤30 days  
>3 0d a y s ≤90 days  
> 90 days  
≤30 days  
>3 0d a y s ≤90 days  
> 90 days 
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96  
0070  0080  0090  0100  0110  0120  
0220  Trade receivables  Annex V.Part 2.85(c)  
0230  Finance leases  Annex V.Part 2.85(d)  
0240  Reverse repurchase loans  Annex V.Part 2.85(e)  
0250  Other term loans  Annex V.Part 2.85(f)  
0260  Advances that are not loans  Annex V.Part 2.85(g)  
0270  of which: Loans collateralized by inmovable property  Annex V.Part 2.86(a), 
87 
0280  of which: other collateralized loans  Annex V.Part 2.86(b), 
87 
0290  of which: credit for consumption  Annex V.Part 2.88(a)  
0300  of which: lending for house purchase  Annex V.Part 2.88(b)  
0310  of which: project finance loans  Annex V.Part 2.89; 
CRR Art 147(8)
EN L 97/516 Official Journal of the European Union 19.3.2021
 8. Breakdown of financial liabilities  
8.1 Breakdown of financial liabilities by product and by counterparty sector  
References National GAAP 
compatible IFRS  Carrying amount Annex V.Part 1.27  
Accumulated 
changes in fair value 
due to credit risk  Held for trading  Designated at fair 
value through profit 
or loss  Amortised cost  Hedge accounting  
IFRS 7.8(e)(ii); IFRS 9 
Appendix A, IFRS 
9.BA.6-BA.7, IFRS 
9.6.7  IFRS 7.8(e)(i); IFRS 
9.4.2.2, IFRS 9.4.3.5  IFRS 7.8(g); IFRS 
9.4.2.1  IFRS 7.24A(a); IFRS 
9.6 CRR art 33(1)(b), art 
33(1)(c); Annex V.Part 
2.101  
0010  0020  0030  0037  0040  
0010  Derivatives  IFRS 9.BA.7(a)  
0020  Short positions  FRS 9.BA.7(b)  
0030  Equity instruments  IAS 32.11  
0040  Debt securities  Annex V.Part 1.31  
0050  Deposits  ECB/2013/33 Annex 2.Part 2.9; 
Annex V.Part 1.36  
0060  Central banks  Annex V.Part 1.42(a), 44(c)  
0070  Current accounts / overnight 
deposits  ECB/2013/33 Annex 2.Part 2.9.1  
0080  Deposits with agreed maturity  ECB/2013/33 Annex 2.Part 2.9.2  
0090  Deposits redeemable at notice  ECB/2013/33 Annex 2.Part 2.9.3; 
Annex V.Part 2.97  
0100  Repurchase agreements  ECB/2013/33 Annex 2.Part 2.9.4  
0110  General governments  Annex V.Part 1.42(b), 44(c)
EN 19.3.2021 Official Journal of the European Union L 97/517
 References National GAAP 
compatible IFRS  Carrying amount Annex V.Part 1.27  
Accumulated 
changes in fair value 
due to credit risk  Held for trading  Designated at fair 
value through profit 
or loss  Amortised cost  Hedge accounting  
IFRS 7.8(e)(ii); IFRS 9 
Appendix A, IFRS 
9.BA.6-BA.7, IFRS 
9.6.7  IFRS 7.8(e)(i); IFRS 
9.4.2.2, IFRS 9.4.3.5  IFRS 7.8(g); IFRS 
9.4.2.1  IFRS 7.24A(a); IFRS 
9.6 CRR art 33(1)(b), art 
33(1)(c); Annex V.Part 
2.101  
0010  0020  0030  0037  0040  
0120  Current accounts / overnight 
deposits  ECB/2013/33 Annex 2.Part 2.9.1  
0130  Deposits with agreed maturity  ECB/2013/33 Annex 2.Part 2.9.2  
0140  Deposits redeemable at notice  ECB/2013/33 Annex 2.Part 2.9.3; 
Annex V.Part 2.97  
0150  Repurchase agreements  ECB/2013/33 Annex 2.Part 2.9.4  
0160  Credit institutions  Annex V.Part 1.42(c),44(c)  
0170  Current accounts / overnight 
deposits  ECB/2013/33 Annex 2.Part 2.9.1  
0180  Deposits with agreed maturity  ECB/2013/33 Annex 2.Part 2.9.2  
0190  Deposits redeemable at notice  ECB/2013/33 Annex 2.Part 2.9.3; 
Annex V.Part 2.97  
0200  Repurchase agreements  ECB/2013/33 Annex 2.Part 2.9.4  
0210  Other financial corporations  Annex V.Part 1.42(d),44(c)  
0220  Current accounts / overnight 
deposits  ECB/2013/33 Annex 2.Part 2.9.1
EN L 97/518 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS  Carrying amount Annex V.Part 1.27  
Accumulated 
changes in fair value 
due to credit risk  Held for trading  Designated at fair 
value through profit 
or loss  Amortised cost  Hedge accounting  
IFRS 7.8(e)(ii); IFRS 9 
Appendix A, IFRS 
9.BA.6-BA.7, IFRS 
9.6.7  IFRS 7.8(e)(i); IFRS 
9.4.2.2, IFRS 9.4.3.5  IFRS 7.8(g); IFRS 
9.4.2.1  IFRS 7.24A(a); IFRS 
9.6 CRR art 33(1)(b), art 
33(1)(c); Annex V.Part 
2.101  
0010  0020  0030  0037  0040  
0230  Deposits with agreed maturity  ECB/2013/33 Annex 2.Part 2.9.2  
0240  Deposits redeemable at notice  ECB/2013/33 Annex 2.Part 2.9.3; 
Annex V.Part 2.97  
0250  Repurchase agreements  ECB/2013/33 Annex 2.Part 2.9.4  
0260  Non-financial corporations  Annex V.Part 1.42(e), 44(c)  
0270  Current accounts / overnight 
deposits  ECB/2013/33 Annex 2.Part 2.9.1  
0280  Deposits with agreed maturity  ECB/2013/33 Annex 2.Part 2.9.2  
0290  Deposits redeemable at notice  ECB/2013/33 Annex 2.Part 2.9.3; 
Annex V.Part 2.97  
0300  Repurchase agreements  ECB/2013/33 Annex 2.Part 2.9.4  
0310  Households  Annex V.Part 1.42(f), 44(c)  
0320  Current accounts / overnight 
deposits  ECB/2013/33 Annex 2.Part 2.9.1  
0330  Deposits with agreed maturity  ECB/2013/33 Annex 2.Part 2.9.2
EN 19.3.2021 Official Journal of the European Union L 97/519
 References National GAAP 
compatible IFRS  Carrying amount Annex V.Part 1.27  
Accumulated 
changes in fair value 
due to credit risk  Held for trading  Designated at fair 
value through profit 
or loss  Amortised cost  Hedge accounting  
IFRS 7.8(e)(ii); IFRS 9 
Appendix A, IFRS 
9.BA.6-BA.7, IFRS 
9.6.7  IFRS 7.8(e)(i); IFRS 
9.4.2.2, IFRS 9.4.3.5  IFRS 7.8(g); IFRS 
9.4.2.1  IFRS 7.24A(a); IFRS 
9.6 CRR art 33(1)(b), art 
33(1)(c); Annex V.Part 
2.101  
0010  0020  0030  0037  0040  
0340  Deposits redeemable at notice  ECB/2013/33 Annex 2.Part 2.9.3; 
Annex V.Part 2.97  
0350  Repurchase agreements  ECB/2013/33 Annex 2.Part 2.9.4  
0360  Debt securities issued  Annex V.Part 1.37, Part 2.98  
0370  Certificates of deposits  Annex V.Part 2.98(a)  
0380  Asset-backed securities  CRR art 4(1)(61)  
0390  Covered bonds  CRR art 129  
0400  Hybrid contracts  Annex V.Part 2.98(d)  
0410  Other debt securities issued  Annex V.Part 2.98(e)  
0420  Convertible compound 
financial instruments  IAS 32.AG 31  
0430  Non-convertible  
0440  Other financial liabilities  Annex V.Part 1.38-41  
0445  of which: lease liabilities  IFRS 16.22, 26-28, 47(b)  
0450  FINANCIAL LIABILITIES
EN L 97/520 Official Journal of the European Union 19.3.2021
 8.2 Subordinated financial liabilities  
References  Carriyng amount  
Designated at fair value through 
profit or loss  At amortized cost  
IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 
9.4.3.5  IFRS 7.8(g); IFRS 9.4.2.1  
0010  0020  
0010  Deposits  ECB/2013/33 Annex 2.Part 2.9; Annex 
V.Part 1.36  
0020  Debt securities issued  Annex V.Part 1.37  
0030  SUBORDINATED FINANCIAL LIABILITIES  Annex V.Part 2.99-100
EN 19.3.2021 Official Journal of the European Union L 97/521
 9. Loan commitments, financial guarantees and other commitments  
9.1.1  Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given  
References National 
GAAP compatible IFRS  Nominal amount of off-balance sheet commitments and financial 
guarantees under IFRS 9 impairment  
Annex V.Part 2.107-108, 118  Provisions on off-balance sheet 
commitments and financial guar ­
antees under IFRS 9 impairment  
Annex V Part 2.106-109  
Instruments 
without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Instruments with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired  
(Stage 2)  Credit-impaired 
instruments  
(Stage 3)  Purchased or 
originated credit- 
impaired 
instruments  Instruments 
without 
significant 
increase in credit 
risk since initial 
recognition  
(Stage 1)  Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired  
(Stage 2)  
IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS 9.B2.5; 
IFRS 7.35M  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS 9.B2.5; 
IFRS 7.35M  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS9.B2.5; 
IFRS 7.35M  IFRS 7.35M; 
Annex V.Part 
2.107  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), 
IFRS9.5.5, IFRS 
9.B2.5; IFRS 
7.35H(a)  IFRS 9.2.1(e),(g), 
IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(i)  
0010  0020  0030  0035  0040  0050  
0010  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 116  
0021  of which: non-performing  Annex V.Part 2.117  
0030  Central banks  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)  
0060  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/522 Official Journal of the European Union 19.3.2021
 References National 
GAAP compatible IFRS  Nominal amount of off-balance sheet commitments and financial 
guarantees under IFRS 9 impairment  
Annex V.Part 2.107-108, 118  Provisions on off-balance sheet 
commitments and financial guar ­
antees under IFRS 9 impairment  
Annex V Part 2.106-109  
Instruments 
without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Instruments with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired  
(Stage 2)  Credit-impaired 
instruments  
(Stage 3)  Purchased or 
originated credit- 
impaired 
instruments  Instruments 
without 
significant 
increase in credit 
risk since initial 
recognition  
(Stage 1)  Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired  
(Stage 2)  
IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS 9.B2.5; 
IFRS 7.35M  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS 9.B2.5; 
IFRS 7.35M  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS9.B2.5; 
IFRS 7.35M  IFRS 7.35M; 
Annex V.Part 
2.107  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), 
IFRS9.5.5, IFRS 
9.B2.5; IFRS 
7.35H(a)  IFRS 9.2.1(e),(g), 
IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(i)  
0010  0020  0030  0035  0040  0050  
0070  Non-financial corporations  Annex V.Part 1.42(e)  
0080  Households  Annex V.Part 1.42(f)  
0090  Financial guarantees given  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102- 
105, 114, 116  
0101  of which: non-performing  Annex V.Part 2.117  
0110  Central banks  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/523
 References National 
GAAP compatible IFRS  Nominal amount of off-balance sheet commitments and financial 
guarantees under IFRS 9 impairment  
Annex V.Part 2.107-108, 118  Provisions on off-balance sheet 
commitments and financial guar ­
antees under IFRS 9 impairment  
Annex V Part 2.106-109  
Instruments 
without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Instruments with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired  
(Stage 2)  Credit-impaired 
instruments  
(Stage 3)  Purchased or 
originated credit- 
impaired 
instruments  Instruments 
without 
significant 
increase in credit 
risk since initial 
recognition  
(Stage 1)  Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired  
(Stage 2)  
IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS 9.B2.5; 
IFRS 7.35M  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS 9.B2.5; 
IFRS 7.35M  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS9.B2.5; 
IFRS 7.35M  IFRS 7.35M; 
Annex V.Part 
2.107  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), 
IFRS9.5.5, IFRS 
9.B2.5; IFRS 
7.35H(a)  IFRS 9.2.1(e),(g), 
IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(i)  
0010  0020  0030  0035  0040  0050  
0120  General governments  Annex V.Part 1.42(b)  
0130  Credit institutions  Annex V.Part 1.42(c)  
0140  Other financial corporations  Annex V.Part 1.42(d)  
0150  Non-financial corporations  Annex V.Part 1.42(e)  
0160  Households  Annex V.Part 1.42(f)  
0170  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 115, 116
EN L 97/524 Official Journal of the European Union 19.3.2021
 References National 
GAAP compatible IFRS  Nominal amount of off-balance sheet commitments and financial 
guarantees under IFRS 9 impairment  
Annex V.Part 2.107-108, 118  Provisions on off-balance sheet 
commitments and financial guar ­
antees under IFRS 9 impairment  
Annex V Part 2.106-109  
Instruments 
without 
significant 
increase in credit 
risk since initial 
recognition 
(Stage 1)  Instruments with 
significant 
increase in credit 
risk since initial 
recognition but 
not credit- 
impaired  
(Stage 2)  Credit-impaired 
instruments  
(Stage 3)  Purchased or 
originated credit- 
impaired 
instruments  Instruments 
without 
significant 
increase in credit 
risk since initial 
recognition  
(Stage 1)  Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired  
(Stage 2)  
IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS 9.B2.5; 
IFRS 7.35M  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS 9.B2.5; 
IFRS 7.35M  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), IFRS 
9.5.5, IFRS9.B2.5; 
IFRS 7.35M  IFRS 7.35M; 
Annex V.Part 
2.107  IFRS 9.2.1(e),(g), 
IFRS 9.4.2.(c), 
IFRS9.5.5, IFRS 
9.B2.5; IFRS 
7.35H(a)  IFRS 9.2.1(e),(g), 
IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(i)  
0010  0020  0030  0035  0040  0050  
0181  of which: non-performing  Annex V.Part 2.117  
0190  Central banks  Annex V.Part 1.42(a)  
0200  General governments  Annex V.Part 1.42(b)  
0210  Credit institutions  Annex V.Part 1.42(c)  
0220  Other financial corporations  Annex V.Part 1.42(d)  
0230  Non-financial corporations  Annex V.Part 1.42(e)  
0240  Households  Annex V.Part 1.42(f)
EN 19.3.2021 Official Journal of the European Union L 97/525
 References National 
GAAP compatible IFRS  Provisions on off-balance sheet 
commitments and financial guar ­
antees under IFRS 9 impairment  
Annex V Part 2.106-109  Other commitments measured 
under IAS 37 and financial 
guarantees measured under IFRS 4  Commitments and financial 
guarantees measured at fair value  
Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated credit- 
impaired instru ­
ments  Nominal amount  Provision  Nominal amount  Accumulated 
negative changes 
in fair value due to 
credit risk on non- 
performing 
commitments  
IFRS 9.2.1(e),(g), 
IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(ii)  IFRS 7.35M;Annex 
V.Part 2.107  IAS 37, IFRS 
9.2.1(e), IFRS 
9.B2.5; IFRS 4; 
Annex V.Part 
2.111, 118  IAS 37, IFRS 
9.2.1(e), IFRS 
9.B2.5; IFRS 4; 
Annex V.Part 
2.106, 111  IFRS 9.2.3(a), 
9.B2.5;Annex V 
Part 2.110, 118  Annex V Part 2.69  
0060  0065  0100  0110  0120  0130  
0010  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 116  
0021  of which: non-performing  Annex V.Part 2.117  
0030  Central banks  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)  
0060  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/526 Official Journal of the European Union 19.3.2021
 References National 
GAAP compatible IFRS  Provisions on off-balance sheet 
commitments and financial guar ­
antees under IFRS 9 impairment  
Annex V Part 2.106-109  Other commitments measured 
under IAS 37 and financial 
guarantees measured under IFRS 4  Commitments and financial 
guarantees measured at fair value  
Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated credit- 
impaired instru ­
ments  Nominal amount  Provision  Nominal amount  Accumulated 
negative changes 
in fair value due to 
credit risk on non- 
performing 
commitments  
IFRS 9.2.1(e),(g), 
IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(ii)  IFRS 7.35M;Annex 
V.Part 2.107  IAS 37, IFRS 
9.2.1(e), IFRS 
9.B2.5; IFRS 4; 
Annex V.Part 
2.111, 118  IAS 37, IFRS 
9.2.1(e), IFRS 
9.B2.5; IFRS 4; 
Annex V.Part 
2.106, 111  IFRS 9.2.3(a), 
9.B2.5;Annex V 
Part 2.110, 118  Annex V Part 2.69  
0060  0065  0100  0110  0120  0130  
0070  Non-financial corporations  Annex V.Part 1.42(e)  
0080  Households  Annex V.Part 1.42(f)  
0090  Financial guarantees given  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102- 
105, 114, 116  
0101  of which: non-performing  Annex V.Part 2.117  
0110  Central banks  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/527
 References National 
GAAP compatible IFRS  Provisions on off-balance sheet 
commitments and financial guar ­
antees under IFRS 9 impairment  
Annex V Part 2.106-109  Other commitments measured 
under IAS 37 and financial 
guarantees measured under IFRS 4  Commitments and financial 
guarantees measured at fair value  
Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated credit- 
impaired instru ­
ments  Nominal amount  Provision  Nominal amount  Accumulated 
negative changes 
in fair value due to 
credit risk on non- 
performing 
commitments  
IFRS 9.2.1(e),(g), 
IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(ii)  IFRS 7.35M;Annex 
V.Part 2.107  IAS 37, IFRS 
9.2.1(e), IFRS 
9.B2.5; IFRS 4; 
Annex V.Part 
2.111, 118  IAS 37, IFRS 
9.2.1(e), IFRS 
9.B2.5; IFRS 4; 
Annex V.Part 
2.106, 111  IFRS 9.2.3(a), 
9.B2.5;Annex V 
Part 2.110, 118  Annex V Part 2.69  
0060  0065  0100  0110  0120  0130  
0120  General governments  Annex V.Part 1.42(b)  
0130  Credit institutions  Annex V.Part 1.42(c)  
0140  Other financial corporations  Annex V.Part 1.42(d)  
0150  Non-financial corporations  Annex V.Part 1.42(e)  
0160  Households  Annex V.Part 1.42(f)  
0170  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 115, 116
EN L 97/528 Official Journal of the European Union 19.3.2021
 References National 
GAAP compatible IFRS  Provisions on off-balance sheet 
commitments and financial guar ­
antees under IFRS 9 impairment  
Annex V Part 2.106-109  Other commitments measured 
under IAS 37 and financial 
guarantees measured under IFRS 4  Commitments and financial 
guarantees measured at fair value  
Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated credit- 
impaired instru ­
ments  Nominal amount  Provision  Nominal amount  Accumulated 
negative changes 
in fair value due to 
credit risk on non- 
performing 
commitments  
IFRS 9.2.1(e),(g), 
IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(ii)  IFRS 7.35M;Annex 
V.Part 2.107  IAS 37, IFRS 
9.2.1(e), IFRS 
9.B2.5; IFRS 4; 
Annex V.Part 
2.111, 118  IAS 37, IFRS 
9.2.1(e), IFRS 
9.B2.5; IFRS 4; 
Annex V.Part 
2.106, 111  IFRS 9.2.3(a), 
9.B2.5;Annex V 
Part 2.110, 118  Annex V Part 2.69  
0060  0065  0100  0110  0120  0130  
0181  of which: non-performing  Annex V.Part 2.117  
0190  Central banks  Annex V.Part 1.42(a)  
0200  General governments  Annex V.Part 1.42(b)  
0210  Credit institutions  Annex V.Part 1.42(c)  
0220  Other financial corporations  Annex V.Part 1.42(d)  
0230  Non-financial corporations  Annex V.Part 1.42(e)  
0240  Households  Annex V.Part 1.42(f)
EN 19.3.2021 Official Journal of the European Union L 97/529
 9.2 Loan commitments, financial guarantees and other commitments received  
References  Maximum amount of the 
guarantee that can be considered  Nominal amount  
IFRS 7.36 (b); Annex V.Part 2.119  Annex V.Part 2.119  
0010  0020  
0010  Loan commitments received  IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 
1.44(h), Part 2.102-103, 113  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Households  Annex V.Part 1.42(f)  
0080  Financial guarantees received  IFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 
8.Appendix A; IFRS 4 Annex A; 
Annex V.Part 1.44(h), Part 2.102- 
103, 114  
0090  Central banks  Annex V.Part 1.42(a)  
0100  General governments  Annex V.Part 1.42(b)  
0110  Credit institutions  Annex V.Part 1.42(c)  
0120  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/530 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the 
guarantee that can be considered  Nominal amount  
IFRS 7.36 (b); Annex V.Part 2.119  Annex V.Part 2.119  
0010  0020  
0130  Non-financial corporations  Annex V.Part 1.42(e)  
0140  Households  Annex V.Part 1.42(f)  
0150  Other Commitments received  Annex V.Part 1.44(h), Part 2.102-103, 
115  
0160  Central banks  Annex V.Part 1.42(a)  
0170  General governments  Annex V.Part 1.42(b)  
0180  Credit institutions  Annex V.Part 1.42(c)  
0190  Other financial corporations  Annex V.Part 1.42(d)  
0200  Non-financial corporations  Annex V.Part 1.42(e)  
0210  Households  Annex V.Part 1.42(f)
EN 19.3.2021 Official Journal of the European Union L 97/531
 10. Derivatives – Trading and economic hedges  
By type of risk / By product or by type of market  References  Carrying amount  Notional amount  
Financial assets 
Held for trading 
and trading  Financial liabilities 
Held for trading 
and trading  Total Trading  of which: sold  
Annex V.Part 2.120, 
131  IFRS 9.BA.7 (a); 
Annex V.Part 2.120, 
131  Annex V.Part 2.133- 
135  Annex V.Part 
2.133-135  
0010  0020  0030  0040  
0010  Interest rate  Annex V.Part 2.129(a)  
0020  of which: economic hedges  Annex V.Part 2.137-139  
0030  OTC options  Annex V.Part 2.136  
0040  OTC other  Annex V.Part 2.136  
0050  Organized market options  Annex V.Part 2.136  
0060  Organized market other  Annex V.Part 2.136  
0070  Equity  Annex V.Part 2.129(b)  
0080  of which: economic hedges  Annex V.Part 2.137-139  
0090  OTC options  Annex V.Part 2.136  
0100  OTC other  Annex V.Part 2.136  
0110  Organized market options  Annex V.Part 2.136  
0120  Organized market other  Annex V.Part 2.136  
0130  Foreign exchange and gold  Annex V.Part 2.129(c)  
0140  of which: economic hedges  Annex V.Part 2.137-139
EN L 97/532 Official Journal of the European Union 19.3.2021
 By type of risk / By product or by type of market  References  Carrying amount  Notional amount  
Financial assets 
Held for trading 
and trading  Financial liabilities 
Held for trading 
and trading  Total Trading  of which: sold  
Annex V.Part 2.120, 
131  IFRS 9.BA.7 (a); 
Annex V.Part 2.120, 
131  Annex V.Part 2.133- 
135  Annex V.Part 
2.133-135  
0010  0020  0030  0040  
0150  OTC options  Annex V.Part 2.136  
0160  OTC other  Annex V.Part 2.136  
0170  Organized market options  Annex V.Part 2.136  
0180  Organized market other  Annex V.Part 2.136  
0190  Credit  Annex V.Part 2.129(d)  
0195  of which: economic hedges with use of the fair value 
option  IFRS 9.6.7.1; Annex V.Part 2.140  
0201  of which: other economic hedges  Annex V.Part 2.137-140  
0210  Credit default swap  
0220  Credit spread option  
0230  Total return swap  
0240  Other  
0250  Commodity  Annex V.Part 2.129(e)  
0260  of which: economic hedges  Annex V.Part 2.137-139  
0270  Other  Annex V.Part 2.129(f)
EN 19.3.2021 Official Journal of the European Union L 97/533
 By type of risk / By product or by type of market  References  Carrying amount  Notional amount  
Financial assets 
Held for trading 
and trading  Financial liabilities 
Held for trading 
and trading  Total Trading  of which: sold  
Annex V.Part 2.120, 
131  IFRS 9.BA.7 (a); 
Annex V.Part 2.120, 
131  Annex V.Part 2.133- 
135  Annex V.Part 
2.133-135  
0010  0020  0030  0040  
0280  of which: economic hedges  Annex V.Part 2.137-139  
0290  DERIVATIVES  IFRS 9.Appendix A  
0300  of which: OTC - credit institutions  Annex V.Part 1.42(c), 44(e), Part 
2.141(a), 142  
0310  of which: OTC - other financial corporations  Annex V.Part 1.42(d), 44(e), Part 
2.141(b)  
0320  of which: OTC - rest  Annex V.Part 1.44(e), Part 2.141(c)
EN L 97/534 Official Journal of the European Union 19.3.2021
 11. Hedge accounting  
11.1  Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge  
By product or by type of market  References  Carrying amount  Notional amount  
Assets  Liabilities  Total Hedging  of which: sold  
IFRS 7.24A; Annex 
V.Part 2.120, 131  IFRS 7.24A; Annex 
V.Part 2.120, 131  Annex V.Part 
2.133-135  Annex V.Part 
2.133-135  
0010  0020  0030  0040  
0010  Interest rate  Annex V.Part 2.129(a)  
0020  OTC options  Annex V.Part 2.136  
0030  OTC other  Annex V.Part 2.136  
0040  Organized market options  Annex V.Part 2.136  
0050  Organized market other  Annex V.Part 2.136  
0060  Equity  Annex V.Part 2.129(b)  
0070  OTC options  Annex V.Part 2.136  
0080  OTC other  Annex V.Part 2.136  
0090  Organized market options  Annex V.Part 2.136  
0100  Organized market other  Annex V.Part 2.136  
0110  Foreign exchange and gold  Annex V.Part 2.129(c)  
0120  OTC options  Annex V.Part 2.136  
0130  OTC other  Annex V.Part 2.136  
0140  Organized market options  Annex V.Part 2.136  
0150  Organized market other  Annex V.Part 2.136
EN 19.3.2021 Official Journal of the European Union L 97/535
 By product or by type of market  References  Carrying amount  Notional amount  
Assets  Liabilities  Total Hedging  of which: sold  
IFRS 7.24A; Annex 
V.Part 2.120, 131  IFRS 7.24A; Annex 
V.Part 2.120, 131  Annex V.Part 
2.133-135  Annex V.Part 
2.133-135  
0010  0020  0030  0040  
0160  Credit  Annex V.Part 2.129(d)  
0170  Credit default swap  Annex V.Part 2.136  
0180  Credit spread option  Annex V.Part 2.136  
0190  Total return swap  Annex V.Part 2.136  
0200  Other  Annex V.Part 2.136  
0210  Commodity  Annex V.Part 2.129(e)  
0220  Other  Annex V.Part 2.129(f)  
0230  FAIR VALUE HEDGES  IFRS 7.24A; IAS 39.86(a); IFRS 
9.6.5.2(a)  
0240  Interest rate  Annex V.Part 2.129(a)  
0250  OTC options  Annex V.Part 2.136  
0260  OTC other  Annex V.Part 2.136  
0270  Organized market options  Annex V.Part 2.136  
0280  Organized market other  Annex V.Part 2.136  
0290  Equity  Annex V.Part 2.129(b)  
0300  OTC options  Annex V.Part 2.136  
0310  OTC other  Annex V.Part 2.136  
0320  Organized market options  Annex V.Part 2.136
EN L 97/536 Official Journal of the European Union 19.3.2021
 By product or by type of market  References  Carrying amount  Notional amount  
Assets  Liabilities  Total Hedging  of which: sold  
IFRS 7.24A; Annex 
V.Part 2.120, 131  IFRS 7.24A; Annex 
V.Part 2.120, 131  Annex V.Part 
2.133-135  Annex V.Part 
2.133-135  
0010  0020  0030  0040  
0330  Organized market other  Annex V.Part 2.136  
0340  Foreign exchange and gold  Annex V.Part 2.129(c)  
0350  OTC options  Annex V.Part 2.136  
0360  OTC other  Annex V.Part 2.136  
0370  Organized market options  Annex V.Part 2.136  
0380  Organized market other  Annex V.Part 2.136  
0390  Credit  Annex V.Part 2.129(d)  
0400  Credit default swap  Annex V.Part 2.136  
0410  Credit spread option  Annex V.Part 2.136  
0420  Total return swap  Annex V.Part 2.136  
0430  Other  Annex V.Part 2.136  
0440  Commodity  Annex V.Part 2.129(e)  
0450  Other  Annex V.Part 2.129(f)  
0460  CASH FLOW HEDGES  IFRS 7.24A; IAS 39.86(b); IFRS 
9.6.5.2(b)  
0470  HEDGE OF NET INVESTMENTS IN A FOREIGN OPER ­
ATION  IFRS 7.24A; IAS 39.86(c); IFRS 
9.6.5.2(c)
EN 19.3.2021 Official Journal of the European Union L 97/537
 By product or by type of market  References  Carrying amount  Notional amount  
Assets  Liabilities  Total Hedging  of which: sold  
IFRS 7.24A; Annex 
V.Part 2.120, 131  IFRS 7.24A; Annex 
V.Part 2.120, 131  Annex V.Part 
2.133-135  Annex V.Part 
2.133-135  
0010  0020  0030  0040  
0480  PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE 
RISK  IAS 39.71, 81A, 89A, AG 114- 
132  
0490  PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE 
RISK  IAS 39.71  
0500  DERIVATIVES-HEDGE ACCOUNTING  IFRS 7.24A; IAS 39.9; IFRS 9.6.1  
0510  of which: OTC - credit institutions  Annex V.Part 1.42(c), 44(e), Part 
2.141(a), 142  
0520  of which: OTC - other financial corporations  Annex V.Part 1.42(d), 44(e), Part 
2.141(b)  
0530  of which: OTC - rest  Annex V.Part 1.44(e), Part 2.141(c)
EN L 97/538 Official Journal of the European Union 19.3.2021
 11.3  Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge  
References  Carrying amount  
Fair value hedge  Cash flow hedge  Hedge of net 
investment in a 
foreign operation  
Annex V.Part 2.145  Annex V.Part 2.145  Annex V.Part 2.145  
0010  0020  0030  
0010  Non-derivative financial assets  IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2  
0020  of which: Financial assets held for trading  IFRS 9.Appendix A  
0030  of which: Non-trading financial assets mandatorily at fair value 
through profit or loss  IFRS 9.4.1.4; IFRS 7.8(a)(ii)  
0040  of which: Financial assets designated at fair value through profit or 
loss IFRS 9.4.1.5; IFRS 7.8(a)(i)  
0050  Non-derivative financial liabilities  IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2  
0060  Financial liabilities held for trading  IFRS 9.Appendix A  
0070  Financial liabilities designated at fair value through profit or loss  IFRS 9.4.2.1; IFRS 9.6.2.2  
0080  Financial assets at amortised cost  IFRS 9.4.2.1; IFRS 9.6.2.2
EN 19.3.2021 Official Journal of the European Union L 97/539
 11.4  Hedged items in fair value hedges  
References  Micro- 
hedges  Micro-hedges - Net 
position hedge  Hedge adjustments on micro-hedges  Macro hedges  
Carrying 
amount  Assets or liabilities 
included in hedge 
of a net position 
(before netting)  Hedge adjustments 
included in the 
carrying amount of 
assets/liabilities  Remaining 
adjustments for 
discontinued 
micro hedges 
including hedges of 
net positions  Hedged items in 
portfolio hedge of 
interest rate risk  
IFRS 
7.24B(a), 
Annex V.Part 
2.146, 147  IFRS 9.6.6.1; IFRS 
9.6.6.6; Annex 
V.Part 2.147, 151  IFRS 7.24B(a)(ii); 
Annex V.Part 2.148, 
149  IFRS 7.24B(a)(v); 
Annex V.Part 2.148, 
150  IFRS 9.6.1.3; IFRS 
9.6.6.1; Annex 
V.Part 2.152  
0010  0020  0030  0040  0050  
ASSETS  
0010  Financial assets measured at fair value through 
other comprehensive income  IFRS 9.4.1.2A; IFRS 
7.8(h); Annex V. Part 
2.146, 151  
0020  Interest rate  Annex V.Part 2.129(a)  
0030  Equity  Annex V.Part 2.129(b)  
0040  Foreign exchange and gold  Annex V.Part 2.129(c)  
0050  Credit  Annex V.Part 2.129(d)  
0060  Commodity  Annex V.Part 2.129(e)  
0070  Other  Annex V.Part 2.129(f)  
0080  Financial assets measured at amortised cost  IFRS 9.4.1.2A; IFRS 
7.8(f); Annex V. Part 
2.146, 151  
0090  Interest rate  Annex V.Part 2.129(a)  
0100  Equity  Annex V.Part 2.129(b)
EN L 97/540 Official Journal of the European Union 19.3.2021
 References  Micro- 
hedges  Micro-hedges - Net 
position hedge  Hedge adjustments on micro-hedges  Macro hedges  
Carrying 
amount  Assets or liabilities 
included in hedge 
of a net position 
(before netting)  Hedge adjustments 
included in the 
carrying amount of 
assets/liabilities  Remaining 
adjustments for 
discontinued 
micro hedges 
including hedges of 
net positions  Hedged items in 
portfolio hedge of 
interest rate risk  
IFRS 
7.24B(a), 
Annex V.Part 
2.146, 147  IFRS 9.6.6.1; IFRS 
9.6.6.6; Annex 
V.Part 2.147, 151  IFRS 7.24B(a)(ii); 
Annex V.Part 2.148, 
149  IFRS 7.24B(a)(v); 
Annex V.Part 2.148, 
150  IFRS 9.6.1.3; IFRS 
9.6.6.1; Annex 
V.Part 2.152  
0010  0020  0030  0040  0050  
0110  Foreign exchange and gold  Annex V.Part 2.129(c)  
0120  Credit  Annex V.Part 2.129(d)  
0130  Commodity  Annex V.Part 2.129(e)  
0140  Other  Annex V.Part 2.129(f)  
LIABILITIES  
0150  Financial liabilities measured at amortised costs  IFRS 9.4.2.1; IFRS 7.8(g); 
Annex V. Part 2.146, 151  
0160  Interest rate  Annex V.Part 2.129(a)  
0170  Equity  Annex V.Part 2.129(b)  
0180  Foreign exchange and gold  Annex V.Part 2.129(c)  
0190  Credit  Annex V.Part 2.129(d)  
0200  Commodity  Annex V.Part 2.129(e)  
0210  Other  Annex V.Part 2.129(f)
EN 19.3.2021 Official Journal of the European Union L 97/541
 12. Movements in allowances and provisions for credit losses  
12.1  Movements in allowances and provisions for credit losses  
References
 
Opening balance  
Increases due to origina- 
tion and acquisition  
Decreases due to dere- 
cognition  
Changes due to change in 
credit risk (net)  
Changes due to modifi- 
cations without derecog- 
nition (net)  
Changes due to update in 
the institution's metho- 
dology for estimation 
(net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.161-162  IFRS 7.35I; 
IFRS 7.35J; 
IFRS 9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.163  
0010  0020  0030  0040  0050  0070  
0010  Allowances for financial assets without increase in 
credit risk since initial recognition (Stage 1)  IFRS 9.5.5.5  
0015  Cash balances at central banks and other demand 
deposits  Annex V.Part 2.2, 3  
0020  Debt securities  Annex V.Part 1.31, 
44(b)  
0030  Central banks  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)  
0060  Other financial corporations  Annex V.Part 1.42(d)  
0070  Non-financial corporations  Annex V.Part 1.42(e)  
0080  Loans and advances  Annex V.Part 1.32, 
44(a)
EN L 97/542 Official Journal of the European Union 19.3.2021
 References
 
Opening balance  
Increases due to origina- 
tion and acquisition  
Decreases due to dere- 
cognition  
Changes due to change in 
credit risk (net)  
Changes due to modifi- 
cations without derecog- 
nition (net)  
Changes due to update in 
the institution's metho- 
dology for estimation 
(net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.161-162  IFRS 7.35I; 
IFRS 7.35J; 
IFRS 9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.163  
0010  0020  0030  0040  0050  0070  
0090  Central banks  Annex V.Part 1.42(a)  
0100  General governments  Annex V.Part 1.42(b)  
0110  Credit institutions  Annex V.Part 1.42(c)  
0120  Other financial corporations  Annex V.Part 1.42(d)  
0130  Non-financial corporations  Annex V.Part 1.42(e)  
0140  Households  Annex V.Part 1.42(f)  
0160  of which: collectively measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0170  of which: individually measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0180  Allowances for debt instruments with significant 
increase in credit risk since initial recognition but 
not credit-impaired (Stage 2)  IFRS 9.5.5.3  
0185  Cash balances at central banks and other demand 
deposits  Annex V.Part 2.2, 3
EN 19.3.2021 Official Journal of the European Union L 97/543
 References
 
Opening balance  
Increases due to origina- 
tion and acquisition  
Decreases due to dere- 
cognition  
Changes due to change in 
credit risk (net)  
Changes due to modifi- 
cations without derecog- 
nition (net)  
Changes due to update in 
the institution's metho- 
dology for estimation 
(net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.161-162  IFRS 7.35I; 
IFRS 7.35J; 
IFRS 9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.163  
0010  0020  0030  0040  0050  0070  
0190  Debt securities  Annex V.Part 1.31, 
44(b)  
0200  Central banks  Annex V.Part 1.42(a)  
0210  General governments  Annex V.Part 1.42(b)  
0220  Credit institutions  Annex V.Part 1.42(c)  
0230  Other financial corporations  Annex V.Part 1.42(d)  
0240  Non-financial corporations  Annex V.Part 1.42(e)  
0250  Loans and advances  Annex V.Part 1.32, 
44(a)  
0260  Central banks  Annex V.Part 1.42(a)  
0270  General governments  Annex V.Part 1.42(b)
EN L 97/544 Official Journal of the European Union 19.3.2021
 References
 
Opening balance  
Increases due to origina- 
tion and acquisition  
Decreases due to dere- 
cognition  
Changes due to change in 
credit risk (net)  
Changes due to modifi- 
cations without derecog- 
nition (net)  
Changes due to update in 
the institution's metho- 
dology for estimation 
(net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.161-162  IFRS 7.35I; 
IFRS 7.35J; 
IFRS 9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.163  
0010  0020  0030  0040  0050  0070  
0280  Credit institutions  Annex V.Part 1.42(c)  
0290  Other financial corporations  Annex V.Part 1.42(d)  
0300  Non-financial corporations  Annex V.Part 1.42(e)  
0310  Households  Annex V.Part 1.42(f)  
0330  of which: collectively measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0340  of which: individually measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0350  of which: non-performing  Annex V.Part 2.213- 
232  
0360  Allowances for credit-impaired debt instruments 
(Stage 3)  IFRS 9.5.5.1, 9. 
Appendix A  
0365  Cash balances at central banks and other demand 
deposits  Annex V.Part 2.2, 3
EN 19.3.2021 Official Journal of the European Union L 97/545
 References
 
Opening balance  
Increases due to origina- 
tion and acquisition  
Decreases due to dere- 
cognition  
Changes due to change in 
credit risk (net)  
Changes due to modifi- 
cations without derecog- 
nition (net)  
Changes due to update in 
the institution's metho- 
dology for estimation 
(net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.161-162  IFRS 7.35I; 
IFRS 7.35J; 
IFRS 9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.163  
0010  0020  0030  0040  0050  0070  
0370  Debt securities  Annex V.Part 1.31, 
44(b)  
0380  Central banks  Annex V.Part 1.42(a)  
0390  General governments  Annex V.Part 1.42(b)  
0400  Credit institutions  Annex V.Part 1.42(c)  
0410  Other financial corporations  Annex V.Part 1.42(d)  
0420  Non-financial corporations  Annex V.Part 1.42(e)  
0430  Loans and advances  Annex V.Part 1.32, 
44(a)  
0440  Central banks  Annex V.Part 1.42(a)  
0450  General governments  Annex V.Part 1.42(b)  
0460  Credit institutions  Annex V.Part 1.42(c)
EN L 97/546 Official Journal of the European Union 19.3.2021
 References
 
Opening balance  
Increases due to origina- 
tion and acquisition  
Decreases due to dere- 
cognition  
Changes due to change in 
credit risk (net)  
Changes due to modifi- 
cations without derecog- 
nition (net)  
Changes due to update in 
the institution's metho- 
dology for estimation 
(net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.161-162  IFRS 7.35I; 
IFRS 7.35J; 
IFRS 9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.163  
0010  0020  0030  0040  0050  0070  
0470  Other financial corporations  Annex V.Part 1.42(d)  
0480  Non-financial corporations  Annex V.Part 1.42(e)  
0490  Households  Annex V.Part 1.42(f)  
0500  of which: collectively measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0510  of which: individually measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0600  Allowances for purchased or originated credit- 
impaired financial assets  Annex V.Part 2.156  
0610  Debt securities  Annex V.Part 1.31, 
44(b)  
0620  Central banks  Annex V.Part 1.42(a)  
0630  General governments  Annex V.Part 1.42(b)  
0640  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/547
 References
 
Opening balance  
Increases due to origina- 
tion and acquisition  
Decreases due to dere- 
cognition  
Changes due to change in 
credit risk (net)  
Changes due to modifi- 
cations without derecog- 
nition (net)  
Changes due to update in 
the institution's metho- 
dology for estimation 
(net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.161-162  IFRS 7.35I; 
IFRS 7.35J; 
IFRS 9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.163  
0010  0020  0030  0040  0050  0070  
0650  Other financial corporations  Annex V.Part 1.42(d)  
0660  Non-financial corporations  Annex V.Part 1.42(e)  
0670  Loans and advances  Annex V.Part 1.32, 
44(a)  
0680  Central banks  Annex V.Part 1.42(a)  
0690  General governments  Annex V.Part 1.42(b)  
0700  Credit institutions  Annex V.Part 1.42(c)  
0710  Other financial corporations  Annex V.Part 1.42(d)  
0720  Non-financial corporations  Annex V.Part 1.42(e)  
0730  Households  Annex V.Part 1.42(f)  
0740  of which: collectively measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158
EN L 97/548 Official Journal of the European Union 19.3.2021
 References
 
Opening balance  
Increases due to origina- 
tion and acquisition  
Decreases due to dere- 
cognition  
Changes due to change in 
credit risk (net)  
Changes due to modifi- 
cations without derecog- 
nition (net)  
Changes due to update in 
the institution's metho- 
dology for estimation 
(net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.161-162  IFRS 7.35I; 
IFRS 7.35J; 
IFRS 9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.163  
0010  0020  0030  0040  0050  0070  
0750  of which: individually measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0520  Total allowance for debt instruments  IFRS 7.B8E  
0530  Commitments and financial guarantees given 
(Stage 1)  IFRS 9.2.1|(g); 2.3(c); 
5.5, B2.5; Annex 
V.Part 2.157  
0540  Commitments and financial guarantees given 
(Stage 2)  IFRS 9.2.1|(g); 2.3(c); 
5.5.3, B2.5; Annex 
V.Part 2.157  
0550  of which: non-performing  Annex V.Part 2.117  
0560  Commitments and financial guarantees given 
(Stage 3)  IFRS 9.2.1|(g); 2.3(c); 
5.5.1, B2.5; Annex 
V.Part 2.157  
0565  Commitments and financial guarantees given 
(Purchased or originated credit-impaired)  Annex V.Part 2.156  
0570  Total provisions on commitments and financial 
guarantees given  IFRS 7.B8E; Annex 
V.Part 2.157
EN 19.3.2021 Official Journal of the European Union L 97/549
 References
 
Decrease in allowance 
account due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the 
statement of profit or 
loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on dere- 
cognition of debt instru- 
ments 
IFRS 7.35I; 
IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0010  Allowances for financial assets without increase in 
credit risk since initial recognition (Stage 1)  IFRS 9.5.5.5  
0015  Cash balances at central banks and other demand 
deposits  Annex V.Part 2.2, 3  
0020  Debt securities  Annex V.Part 1.31, 
44(b)  
0030  Central banks  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)  
0060  Other financial corporations  Annex V.Part 1.42(d)  
0070  Non-financial corporations  Annex V.Part 1.42(e)  
0080  Loans and advances  Annex V.Part 1.32, 
44(a)
EN L 97/550 Official Journal of the European Union 19.3.2021
 References
 
Decrease in allowance 
account due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the 
statement of profit or 
loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on dere- 
cognition of debt instru- 
ments 
IFRS 7.35I; 
IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0090  Central banks  Annex V.Part 1.42(a)  
0100  General governments  Annex V.Part 1.42(b)  
0110  Credit institutions  Annex V.Part 1.42(c)  
0120  Other financial corporations  Annex V.Part 1.42(d)  
0130  Non-financial corporations  Annex V.Part 1.42(e)  
0140  Households  Annex V.Part 1.42(f)  
0160  of which: collectively measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0170  of which: individually measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0180  Allowances for debt instruments with significant 
increase in credit risk since initial recognition but 
not credit-impaired (Stage 2)  IFRS 9.5.5.3  
0185  Cash balances at central banks and other demand 
deposits  Annex V.Part 2.2, 3
EN 19.3.2021 Official Journal of the European Union L 97/551
 References
 
Decrease in allowance 
account due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the 
statement of profit or 
loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on dere- 
cognition of debt instru- 
ments 
IFRS 7.35I; 
IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0190  Debt securities  Annex V.Part 1.31, 
44(b)  
0200  Central banks  Annex V.Part 1.42(a)  
0210  General governments  Annex V.Part 1.42(b)  
0220  Credit institutions  Annex V.Part 1.42(c)  
0230  Other financial corporations  Annex V.Part 1.42(d)  
0240  Non-financial corporations  Annex V.Part 1.42(e)  
0250  Loans and advances  Annex V.Part 1.32, 
44(a)  
0260  Central banks  Annex V.Part 1.42(a)  
0270  General governments  Annex V.Part 1.42(b)
EN L 97/552 Official Journal of the European Union 19.3.2021
 References
 
Decrease in allowance 
account due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the 
statement of profit or 
loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on dere- 
cognition of debt instru- 
ments 
IFRS 7.35I; 
IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0280  Credit institutions  Annex V.Part 1.42(c)  
0290  Other financial corporations  Annex V.Part 1.42(d)  
0300  Non-financial corporations  Annex V.Part 1.42(e)  
0310  Households  Annex V.Part 1.42(f)  
0330  of which: collectively measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0340  of which: individually measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0350  of which: non-performing  Annex V.Part 2.213- 
232  
0360  Allowances for credit-impaired debt instruments 
(Stage 3)  IFRS 9.5.5.1, 9. 
Appendix A  
0365  Cash balances at central banks and other demand 
deposits  Annex V.Part 2.2, 3
EN 19.3.2021 Official Journal of the European Union L 97/553
 References
 
Decrease in allowance 
account due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the 
statement of profit or 
loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on dere- 
cognition of debt instru- 
ments 
IFRS 7.35I; 
IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0370  Debt securities  Annex V.Part 1.31, 
44(b)  
0380  Central banks  Annex V.Part 1.42(a)  
0390  General governments  Annex V.Part 1.42(b)  
0400  Credit institutions  Annex V.Part 1.42(c)  
0410  Other financial corporations  Annex V.Part 1.42(d)  
0420  Non-financial corporations  Annex V.Part 1.42(e)  
0430  Loans and advances  Annex V.Part 1.32, 
44(a)  
0440  Central banks  Annex V.Part 1.42(a)  
0450  General governments  Annex V.Part 1.42(b)  
0460  Credit institutions  Annex V.Part 1.42(c)
EN L 97/554 Official Journal of the European Union 19.3.2021
 References
 
Decrease in allowance 
account due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the 
statement of profit or 
loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on dere- 
cognition of debt instru- 
ments 
IFRS 7.35I; 
IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0470  Other financial corporations  Annex V.Part 1.42(d)  
0480  Non-financial corporations  Annex V.Part 1.42(e)  
0490  Households  Annex V.Part 1.42(f)  
0500  of which: collectively measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0510  of which: individually measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0600  Allowances for purchased or originated credit- 
impaired financial assets  Annex V.Part 2.156  
0610  Debt securities  Annex V.Part 1.31, 
44(b)  
0620  Central banks  Annex V.Part 1.42(a)  
0630  General governments  Annex V.Part 1.42(b)  
0640  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/555
 References
 
Decrease in allowance 
account due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the 
statement of profit or 
loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on dere- 
cognition of debt instru- 
ments 
IFRS 7.35I; 
IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0650  Other financial corporations  Annex V.Part 1.42(d)  
0660  Non-financial corporations  Annex V.Part 1.42(e)  
0670  Loans and advances  Annex V.Part 1.32, 
44(a)  
0680  Central banks  Annex V.Part 1.42(a)  
0690  General governments  Annex V.Part 1.42(b)  
0700  Credit institutions  Annex V.Part 1.42(c)  
0710  Other financial corporations  Annex V.Part 1.42(d)  
0720  Non-financial corporations  Annex V.Part 1.42(e)  
0730  Households  Annex V.Part 1.42(f)  
0740  of which: collectively measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158
EN L 97/556 Official Journal of the European Union 19.3.2021
 References
 
Decrease in allowance 
account due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the 
statement of profit or 
loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on dere- 
cognition of debt instru- 
ments 
IFRS 7.35I; 
IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; 
IFRS 7.35B(b); 
Annex V.Part 
2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0750  of which: individually measured allowances  IFRS 9.B5.5.1 - 
B5.5.6; Annex V.Part 
2.158  
0520  Total allowance for debt instruments  IFRS 7.B8E  
0530  Commitments and financial guarantees given 
(Stage 1)  IFRS 9.2.1|(g); 2.3(c); 
5.5, B2.5; Annex 
V.Part 2.157  
0540  Commitments and financial guarantees given 
(Stage 2)  IFRS 9.2.1|(g); 2.3(c); 
5.5.3, B2.5; Annex 
V.Part 2.157  
0550  of which: non-performing  Annex V.Part 2.117  
0560  Commitments and financial guarantees given 
(Stage 3)  IFRS 9.2.1|(g); 2.3(c); 
5.5.1, B2.5; Annex 
V.Part 2.157  
0565  Commitments and financial guarantees given 
(Purchased or originated credit-impaired)  Annex V.Part 2.156  
0570  Total provisions on commitments and financial 
guarantees given  IFRS 7.B8E; Annex 
V.Part 2.157
EN 19.3.2021 Official Journal of the European Union L 97/557
 12.2  Transfers between impairment stages (gross basis presentation)  
References  Gross carrying amount / nominal amount  
Annex V.Part 1.34, Part 2.118, 167, 170  
Transfers between Stage 1 and 
Stage 2  Transfers between Stage 2 and 
Stage 3  Transfers between Stage 1 and 
Stage 3
 To Stage 2 from Stage 1  
To Stage 1 from Stage 2  
To Stage 3 from Stage 2  
To Stage 2 from Stage 3  
To Stage 3 from Stage 1  
To Stage 1 from Stage 3 
Annex V.Part 2.168-169  
0010  0020  0030  0040  0050  0060  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)
EN L 97/558 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / nominal amount  
Annex V.Part 1.34, Part 2.118, 167, 170  
Transfers between Stage 1 and 
Stage 2  Transfers between Stage 2 and 
Stage 3  Transfers between Stage 1 and 
Stage 3
 To Stage 2 from Stage 1  
To Stage 1 from Stage 2  
To Stage 3 from Stage 2  
To Stage 2 from Stage 3  
To Stage 3 from Stage 1  
To Stage 1 from Stage 3 
Annex V.Part 2.168-169  
0010  0020  0030  0040  0050  0060  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Households  Annex V.Part 1.42(f)  
0140  Total debt instruments  
0150  Commitments and financial guarantees given  IFRS 9.2.1|(g); 2.3(c); 
5.5.1, 5.5.3, 5.5.5
EN 19.3.2021 Official Journal of the European Union L 97/559
 13. Collateral and guarantees received  
13.1  Breakdown of collateral and guarantees by loans and advances other than held for trading  
Guarantees and collateral  References  Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Loans collateralized by immovable 
property  Other collateralised loans  
Financial 
guarantees 
received  Residential 
immovable property  Commercial 
immovable 
property  Cash, 
deposits, 
[debt 
securities 
issued]  Movable 
property  Equity and 
debt secur ­
ities  Rest  of which: 
credit 
derivatives  
IFRS 7.36(b)  Annex V.Part 2.173(a)  Annex V.Part 
2.173(a)  Annex V.Part 
2.173(b)(i)  Annex V.Part 
2.173(b)(ii)  Annex V.Part 
2.173(b)(iii)  Annex V.Part 
2.173(b)(iv)  Annex V.Part 
2.173(c)  Annex V.Part 
2.114(b)  
0010  0020  0030  0031  0032  0041  0050  0055  
0010  Loans and advances  Annex V.Part 1.32, 
44(a)  
0015  of which: non-performing  CRR Art. 47a (3); 
Annex V. Part 2. 
213-239, 260  
0020  of which: Other financial 
corporations  Annex V.Part 
1.42(d)  
0030  of which: Non-financial 
corporations  Annex V.Part 1.42(e)  
0035  of which: Small and 
Medium-sized Enterprises 
(SMEs)  SME Art 1 2(a)  
0036  of which: Commercial real 
estate (CRE) loans to small 
and medium-sized enter ­
prises  SME Art 1 2(a); 
Annex V.Part 
2.239ix
EN L 97/560 Official Journal of the European Union 19.3.2021
 Guarantees and collateral  References  Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Loans collateralized by immovable 
property  Other collateralised loans  
Financial 
guarantees 
received  Residential 
immovable property  Commercial 
immovable 
property  Cash, 
deposits, 
[debt 
securities 
issued]  Movable 
property  Equity and 
debt secur ­
ities  Rest  of which: 
credit 
derivatives  
IFRS 7.36(b)  Annex V.Part 2.173(a)  Annex V.Part 
2.173(a)  Annex V.Part 
2.173(b)(i)  Annex V.Part 
2.173(b)(ii)  Annex V.Part 
2.173(b)(iii)  Annex V.Part 
2.173(b)(iv)  Annex V.Part 
2.173(c)  Annex V.Part 
2.114(b)  
0010  0020  0030  0031  0032  0041  0050  0055  
0037  of which: Commercial real 
estate (CRE) loans to non- 
financial corporations 
other than SMEs  Annex V.Part 
2.239ix  
0040  of which: Households  Annex V.Part 1.42(f)  
0050  of which: Lending for 
house purchase  Annex V.Part 
2.88(b)  
0060  of which: Credit for 
consumption  Annex V.Part 
2.88(a)
EN 19.3.2021 Official Journal of the European Union L 97/561
 13.2.1  Collateral obtained by taking possession during the period [held at the reference date]  
References  Collateral obtained by taking possession during the period [held at the reference date]  
(Annex V.Part 2.175)  
Of which: 
Non current assets held for sale  
(IFRS 5.38, Annex V.Part 2.7)  
Value at initial 
recognition  Carrying 
amount  Accumulated 
negative 
changes  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 2.175i  Annex V.Part 
1.27-28  Annex V.Part 
2.175ii  Annex V.Part 
2.175i  Annex V.Part 
1.27-28  
0010  0020  0030  0040  0050  
0010  Property, Plant and Equipment  IAS 16.6  
0020  Other than Property Plant and 
Equipment  IFRS 7.38(a)  
0030  Residential immovable property  IFRS 7.38(a), Annex V.Part 2.173(a)  
0040  Commercial immovable property  IFRS 7.38(a), Annex V.Part 2.173(a)  
0050  Movable property  IFRS 7.38(a), Annex V.Part 2.173(b)(ii)  
0060  Equity and debt securities  IFRS 7.38(a), Annex V.Part 2.173(b)(iii)  
0070  Other  IFRS 7.38(a), Annex V.Part 2.173(b)(iv)  
0080  Total
EN L 97/562 Official Journal of the European Union 19.3.2021
 13.3.1  Collateral obtained by taking possession accumulated  
References  Collateral obtained by taking possession accumulated  
(Annex V.Part 2.176)  
Of which: 
Non current assets held for sale  
(IFRS 5.38, Annex V.Part 2.7)  
Value at initial 
recognition  Carrying 
amount  Accumulated 
negative 
changes  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 2.175i  Annex V.Part 
1.27-28  Annex V.Part 
2.175ii  Annex V.Part 
2.175i  Annex V.Part 
1.27-28  
0010  0020  0030  0040  0050  
0010  Property, Plant and Equipment  IAS 16.6  
0020  Other than Property Plant and Equipment  IFRS 7.38(a)  
0030  Residential immovable property  IFRS 7.38(a), Annex V.Part 
2.173(a)  
0040  Commercial immovable property  IFRS 7.38(a), Annex V.Part 
2.173(a)  
0050  Movable property  IFRS 7.38(a), Annex V.Part 
2.173(b)(ii)  
0060  Equity and debt securities  IFRS 7.38(a), Annex V.Part 
2.173(b)(iii)  
0070  Other  IFRS 7.38(a), Annex V.Part 
2.173(b)(iv)  
0080  Total
EN 19.3.2021 Official Journal of the European Union L 97/563
 14. Fair value hierachy: financial instruments at fair value  
References  Fair value hierarchy  
IFRS 13.93 (b)  Change in fair value for the 
period  
Annex V.Part 2.178  Accumulated change in fair value before 
taxes  
Annex V.Part 2.179  
Level 1  Level 2  Level 3  Level 2  Level 3  Level 1  Level 2  Level 3  
IFRS 13.76  IFRS 13.81  IFRS 13.86  IFRS 13.81  IFRS 13.86, 
93(f)  IFRS 13.76  IFRS 13.81  IFRS 13.86  
0010  0020  0030  0040  0050  0060  0070  0080  
ASSETS  
0010  Financial assets held for 
trading  IFRS 7.8(a)(ii);IFRS 
9.Appendix A  
0020  Derivatives  IFRS 9.Appendix A  
0030  Equity instruments  IAS 32.11 , 
0040  Debt securities  Annex V.Part 1.31  
0050  Loans and advances  Annex V.Part 1.32  
0056  Non-trading financial assets 
mandatorily at fair value 
through profit or loss  IFRS 9.4.1.4; IFRS 
7.8(a)(ii)  
0057  Equity instruments  IAS 32.11  
0058  Debt securities  Annex V.Part 1.31  
0059  Loans and advances  Annex V.Part 1.32  
0060  Financial assets designated 
at fair value through profit 
or loss  IFRS 7.8(a)(i); IFRS 
9.4.1.5  
0080  Debt securities  Annex V.Part 1.31
EN L 97/564 Official Journal of the European Union 19.3.2021
 References  Fair value hierarchy  
IFRS 13.93 (b)  Change in fair value for the 
period  
Annex V.Part 2.178  Accumulated change in fair value before 
taxes  
Annex V.Part 2.179  
Level 1  Level 2  Level 3  Level 2  Level 3  Level 1  Level 2  Level 3  
IFRS 13.76  IFRS 13.81  IFRS 13.86  IFRS 13.81  IFRS 13.86, 
93(f)  IFRS 13.76  IFRS 13.81  IFRS 13.86  
0010  0020  0030  0040  0050  0060  0070  0080  
ASSETS  
0090  Loans and advances  Annex V.Part 1.32  
0101  Financial assets at fair value 
through other compre ­
hensive income  IFRS 7.8 (h); IFRS 
9.4.1.2A  
0102  Equity instruments  IAS 32.11  
0103  Debt securities  Annex V.Part 1.31  
0104  Loans and advances  Annex V.Part 1.32  
0140  Derivatives – Hedge 
accounting  IFRS 9.6.2.1; Annex 
V.Part 1.22  
LIABILITIES  
0150  Financial liabilities held for 
trading  IFRS 7.8 (e) (ii); 
IFRS 9.BA.6  
0160  Derivatives  IFRS 9.BA.7(a)  
0170  Short positions  IFRS 9.BA.7(b)  
0180  Deposits  ECB/2013/33 
Annex 2.Part 2.9; 
Annex V.Part 1.36  
0190  Debt securities issued  Annex V.Part 1.37
EN 19.3.2021 Official Journal of the European Union L 97/565
 References  Fair value hierarchy  
IFRS 13.93 (b)  Change in fair value for the 
period  
Annex V.Part 2.178  Accumulated change in fair value before 
taxes  
Annex V.Part 2.179  
Level 1  Level 2  Level 3  Level 2  Level 3  Level 1  Level 2  Level 3  
IFRS 13.76  IFRS 13.81  IFRS 13.86  IFRS 13.81  IFRS 13.86, 
93(f)  IFRS 13.76  IFRS 13.81  IFRS 13.86  
0010  0020  0030  0040  0050  0060  0070  0080  
ASSETS  
0200  Other financial liabilities  Annex V.Part 1.38- 
41 
0210  Financial liabilities 
designated at fair value 
through profit or loss  IFRS 7.8 (e) (i); IFRS 
9.4.1.5  
0220  Deposits  ECB/2013/33 
Annex 2.Part 2.9; 
Annex V.Part 1.36  
0230  Debt securities issued  Annex V.Part 1.37  
0240  Other financial liabilities  Annex V.Part 1.38- 
41 
0250  Derivatives – Hedge 
accounting  IFRS 9.6.2.1; Annex 
V.Part 1.26
EN L 97/566 Official Journal of the European Union 19.3.2021
 15. Derecognition and financial liabilities associated with transferred financial assets  
References  Transferred financial assets entirely recognized  
Transferred assets  Associated liabilities  
ITS V.Part 2.181  
Carrying 
amount  Of which: 
securitizations  Of which: 
repurchase 
agreements  Carrying 
amount  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  
IFRS 7.42D.(e), 
Annex V.Part 
1.27  IFRS 7.42D(e); 
CRR art 4(1)(61)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(e)  IFRS 7.42D.(e)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  
0010  0020  0030  0040  0050  0060  
0010  Financial assets held for trading  IFRS 7.8(a)(ii);IFRS 
9.Appendix A  
0020  Equity instruments  IAS 32.11  
0030  Debt securities  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  
0045  Non-trading financial assets mandatorily at 
fair value through profit or loss  IFRS 9.4.1.4  
0046  Equity instruments  IAS 32.11  
0047  Debt securities  Annex V.Part 1.31  
0048  Loans and advances  Annex V.Part 1.32  
0050  Financial assets designated at fair value 
through profit or loss  IFRS 7.8(a)(i); IFRS 
9.4.1.5  
0070  Debt securities  Annex V.Part 1.31
EN 19.3.2021 Official Journal of the European Union L 97/567
 References  Transferred financial assets entirely recognized  
Transferred assets  Associated liabilities  
ITS V.Part 2.181  
Carrying 
amount  Of which: 
securitizations  Of which: 
repurchase 
agreements  Carrying 
amount  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  
IFRS 7.42D.(e), 
Annex V.Part 
1.27  IFRS 7.42D(e); 
CRR art 4(1)(61)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(e)  IFRS 7.42D.(e)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  
0010  0020  0030  0040  0050  0060  
0080  Loans and advances  Annex V.Part 1.32  
0091  Financial assets at fair value through other 
comprehensive income  IFRS 7.8(h); IFRS 
9.4.1.2A  
0092  Equity instruments  IAS 32.11  
0093  Debt securities  Annex V.Part 1.31  
0094  Loans and advances  Annex V.Part 1.32  
0131  Financial assets at amortised cost  IFRS 7.8 (f); IFRS 
9.4.1.2  
0132  Debt securities  Annex V.Part 1.31  
0133  Loans and advances  Annex V.Part 1.32  
0190  Total
EN L 97/568 Official Journal of the European Union 19.3.2021
 References  Transferred financial assets recognized to the extent of the 
instution's continuing involvement  Principal amount 
outstanting of 
transferred 
financial assets 
entirely dere ­
cognised for which 
the intitution 
retains servicing 
rights  Amounts 
derecognised for 
capital purposes  Principal amount 
outstanding of the 
original assets  Carrying amount 
of assets still 
recognised 
[continuing 
involvement]  Carrying amount 
of associated 
liabilites  
IFRS 7.42D(f)  IFRS 7.42D(f); Annex 
V.Part 1.27, Part 
2.181  CRR art 109; Annex 
V.Part 2.182  
0070  0080  0090  0100  0110  
0010  Financial assets held for trading  IFRS 7.8(a)(ii);IFRS 
9.Appendix A  
0020  Equity instruments  IAS 32.11  
0030  Debt securities  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  
0045  Non-trading financial assets mandatorily at 
fair value through profit or loss  IFRS 9.4.1.4  
0046  Equity instruments  IAS 32.11  
0047  Debt securities  Annex V.Part 1.31  
0048  Loans and advances  Annex V.Part 1.32  
0050  Financial assets designated at fair value 
through profit or loss  IFRS 7.8(a)(i); IFRS 
9.4.1.5  
0070  Debt securities  Annex V.Part 1.31
EN 19.3.2021 Official Journal of the European Union L 97/569
 References  Transferred financial assets recognized to the extent of the 
instution's continuing involvement  Principal amount 
outstanting of 
transferred 
financial assets 
entirely dere ­
cognised for which 
the intitution 
retains servicing 
rights  Amounts 
derecognised for 
capital purposes  Principal amount 
outstanding of the 
original assets  Carrying amount 
of assets still 
recognised 
[continuing 
involvement]  Carrying amount 
of associated 
liabilites  
IFRS 7.42D(f)  IFRS 7.42D(f); Annex 
V.Part 1.27, Part 
2.181  CRR art 109; Annex 
V.Part 2.182  
0070  0080  0090  0100  0110  
0080  Loans and advances  Annex V.Part 1.32  
0091  Financial assets at fair value through other 
comprehensive income  IFRS 7.8(h); IFRS 
9.4.1.2A  
0092  Equity instruments  IAS 32.11  
0093  Debt securities  Annex V.Part 1.31  
0094  Loans and advances  Annex V.Part 1.32  
0131  Financial assets at amortised cost  IFRS 7.8 (f); IFRS 
9.4.1.2  
0132  Debt securities  Annex V.Part 1.31  
0133  Loans and advances  Annex V.Part 1.32  
0190  Total
EN L 97/570 Official Journal of the European Union 19.3.2021  
16. Breakdown of selected statement of profit or loss items  
16.1  Interest income and expenses by instrument and counterparty sector  
References  Current period  
Income  Expenses  
Annex V.Part 2.187, 
189  Annex V.Part 2.188, 
190  
0010  0020  
0010  Derivatives -Trading  IFRS 9.Appendix A, .BA.1, 
.BA.6; Annex V.Part 
2.193  
0015  of which: interest income from derivatives in 
economic hedges  Annex V.Part 2.193  
0020  Debt securities  Annex V.Part 1.31, 44(b)  
0030  Central banks  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)  
0060  Other financial corporations  Annex V.Part 1.42(d)  
0070  Non-financial corporations  Annex V.Part 1.42(e)  
0080  Loans and advances  Annex V.Part 1.32, 44(a)  
0090  Central banks  Annex V.Part 1.42(a)  
0100  General governments  Annex V.Part 1.42(b)  
0110  Credit institutions  Annex V.Part 1.42(c)  
0120  Other financial corporations  Annex V.Part 1.42(d)  
0130  Non-financial corporations  Annex V.Part 1.42(e)  
0140  Households  Annex V.Part 1.42(f)  
0141  of which: lending for house purchase  Annex V.Part 2.88(b), 
194i  
0142  of which: credit for consumption  Annex V.Part 2.88(a), 
194i  
0150  Other assets  Annex V.Part 2.5  
0160  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0170  Central banks  Annex V.Part 1.42(a)  
0180  General governments  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/571  
References  Current period  
Income  Expenses  
Annex V.Part 2.187, 
189  Annex V.Part 2.188, 
190  
0010  0020  
0190  Credit institutions  Annex V.Part 1.42(c)  
0200  Other financial corporations  Annex V.Part 1.42(d)  
0210  Non-financial corporations  Annex V.Part 1.42(e)  
0220  Households  Annex V.Part 1.42(f)  
0230  Debt securities issued  Annex V.Part 1.37  
0240  Other financial liabilities  Annex V.Part 1.32-34, 
Part 2.191  
0250  Derivatives - Hedge accounting, interest rate risk  Annex V.Part 2.192  
0260  Other Liabilities  Annex V.Part 1.38-41  
0270  INTEREST  IAS 1.97  
0280  of which: interest-income on credit impaired 
financial assets  IFRS 9.5.4.1; .B5.4.7; 
Annex V.Part 2.194  
0290  of which: interest from leases  IFRS 16.38 (a), 49, Annex 
V.Part 2.194ii  
16.2  Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or 
loss by instrument  
References  Current period  
Annex V. Part 2.195-196  
0010  
0020  Debt securities  Annex V.Part 1.31  
0030  Loans and advances  Annex V.Part 1.32  
0040  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0050  Debt securities issued  Annex V.Part 1.37  
0060  Other financial liabilities  Annex V.Part 1.38-41  
0070  GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS 
AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH 
PROFIT OR LOSS, NET  Annex V.Part 2.45
EN L 97/572 Official Journal of the European Union 19.3.2021  
16.3  Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading 
financial liabilities by instrument  
References  Current period  
Annex V. Part 2.197-198  
0010  
0010  Derivatives  IFRS 9.Appendix A, .BA.1, 
.BA.7(a)  
0015  of which: Economic hedges with use of the fair value option  IFRS 9.6.7.1; IFRS 7.9(d); 
Annex V.Part 2.199  
0020  Equity instruments  IAS 32.11  
0030  Debt securities  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  
0050  Short positions  IFRS 9.BA.7(b)  
0060  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0070  Debt securities issued  Annex V.Part 1.37  
0080  Other financial liabilities  Annex V.Part 1.38-41  
0090  GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES 
HELD FOR TRADING, NET  IFRS 9.Appendix A, 
.BA.6;IFRS 7.20(a)(i)  
0095  of which: gains and losses due to the reclassification of assets at 
amortised cost  IFRS 9.5.6.2; annex V.Part 
2.199  
16.4  Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading 
financial liabilities by risk  
References  Current period  
0010  
0010  Interest rate instruments and related derivatives  Annex V.Part 2.200(a)  
0020  Equity instruments and related derivatives  Annex V.Part 2.200(b)  
0030  Foreign exchange trading and derivatives related with foreign 
exchange and gold  Annex V.Part 2.200(c)  
0040  Credit risk instruments and related derivatives  Annex V.Part 2.200(d)  
0050  Derivatives related with commodities  Annex V.Part 2.200(e)  
0060  Other  Annex V.Part 2.200(f)  
0070  GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES 
HELD FOR TRADING, NET  IFRS 7.20(a)(i)
EN 19.3.2021 Official Journal of the European Union L 97/573  
16.4.1  Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument  
References  Current period  
Annex V.Part 2.201  
0010  
0020  Equity instruments  IAS 32.11  
0030  Debt securities  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  
0090  GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS 
MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, 
NET  IFRS 7.20(a)(i)  
0100  of which: gains and losses due to the reclassification of assets at 
amortised cost  IFRS 9.6.5.2; Annex 
V.Part 2.202  
16.5  Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument  
References  Current period  Changes in fair value 
due to credit risk  
Annex V.Part 2.203  Annex V.Part 2.203  
0010  0020  
0020  Debt securities  Annex V.Part 1.31  
0030  Loans and advances  Annex V.Part 1.32  
0040  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0050  Debt securities issued  Annex V.Part 1.37  
0060  Other financial liabilities  Annex V.Part 1.38-41  
0070  GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND 
LIABILITIES DESIGNATED AT FAIR VALUE 
THROUGH PROFIT OR LOSS, NET  IFRS 7.20(a)(i)  
0071  of which: gains or (-) losses upon designation of 
financial assets and liabilities designated at fair 
value through profit or loss for hedging 
purposes, net  IFRS 9.6.7;IFRS 7.24G(b); 
Annex V.Part 2.204  
0072  of which: gains or (-) losses after designation on 
financial assets and liabilities designated at fair 
value through profit or loss for hedging 
purposes, net  IFRS 9.6.7; IFRS 
7.20(a)(i); Annex V.Part 
2.204
EN L 97/574 Official Journal of the European Union 19.3.2021  
16.6  Gains or losses from hedge accounting  
References  Current period  
Annex V.Part 2.205  
0010  
0010  Fair value changes of the hedging instrument [including discon ­
tinuation]  IFRS 7.24A(c);IFRS 
7.24C(b)(vi)  
0020  Fair value changes of the hedged item attributable to the 
hedged risk  IFRS 9.6.3.7; .6.5.8; 
.B6.4.1; IFRS 7.24B(a)(iv); 
IFRS 7.24C(b)(vi); Annex 
V.Part 2.206  
0030  Ineffectiveness in profit or loss from cash flow hedges  IFRS 7.24C(b)ii; IFRS 
7.24C(b)(vi)  
0040  Ineffectiveness in profit or loss from hedges of net investments 
in foreign operations  IFRS 7.24C(b)(ii); IFRS 
7.24C(b)(vi)  
0050  GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET  
16.7  Impairment on non-financial assets  
References  Current period  
Additions  Reversals  Accumulated 
impairment  
Annex V.Part 
2.208  Annex V.Part 
2.208  
0010  0020  0040  
0060  Impairment or (-) reversal of impairment of 
investments in subsidaries, joint ventures and 
associates  IAS 28.40-43  
0070  Subsidiaries  IFRS 10 Appendix A  
0080  Joint ventures  IAS 28.3  
0090  Associates  IAS 28.3  
0100  Impairment or (-) reversal of impairment on non- 
financial assets  IAS 36.126(a),(b)  
0110  Property, plant and equipment  IAS 16.73(e)(v-vi)  
0120  Investment properties  IAS 40.79(d)(v)
EN 19.3.2021 Official Journal of the European Union L 97/575  
References  Current period  
Additions  Reversals  Accumulated 
impairment  
Annex V.Part 
2.208  Annex V.Part 
2.208  
0010  0020  0040  
0130  Goodwill  IAS 36.10b; IAS 36.88- 
99, 124; IFRS 3 
Appendix B67(d)(v)  
0140  Other intangible assets  IAS 38.118(e)(iv)(v)  
0145  Other  IAS 36.126(a),(b)  
0150  TOTAL  
16.8  Other administrative expenses  
References National GAAP 
compatible IFRS  Current period  
Expenses  
0010  
0010  Information Technology expenses  Annex V.Part 2.208i  
0020  IT outsourcing  Annex V.Part 2.208i- 
208ii  
0030  IT expenses other than IT outsourcing expenses  Annex V.Part 2.208i  
0040  Taxes and duties (other)  Annex V.Part 2.208iii  
0050  Consulting and professional services  Annex V.Part 2.208iv  
0060  Advertising, marketing and communication  Annex V.Part 2.208v  
0070  Expenses related to credit risk  Annex V.Part 2.208vi  
0080  Litigation expenses not covered by provisions  Annex V.Part 2.208vii  
0090  Real estate expenses  Annex V.Part 2.208viii  
0100  Leasing expenses  Annex V.Part 2.208ix  
0110  Other admininstrative expenses - Rest  Annex V.Part 2.208x  
0120  OTHER ADMINISTRATIVE EXPENSES
EN L 97/576 Official Journal of the European Union 19.3.2021  
17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet  
17.1  Assets  
References  Accounting scope of 
consolidation 
[Carrying amount]  
Annex V.Part 1.27, 
Part 2.209  
0010  
0010  Cash, cash balances at central banks and other demand 
deposits  IAS 1.54 (i)  
0020  Cash on hand  Annex V.Part 2.1  
0030  Cash balances at central banks  Annex V.Part 2.2  
0040  Other demand deposits  Annex V.Part 2.3  
0050  Financial assets held for trading  IFRS 7.8(a)(ii);IFRS 9.Appendix 
A 
0060  Derivatives  IFRS 9.Appendix A  
0070  Equity instruments  IAS 32.11  
0080  Debt securities  Annex V.Part 1.31  
0090  Loans and advances  Annex V.Part 1.32  
0096  Non-trading financial assets mandatorily at fair value through 
profit or loss  IFRS 9.4.1.4  
0097  Equity instruments  IAS 32.11  
0098  Debt securities  Annex V.Part 1.31  
0099  Loans and advances  Annex V.Part 1.32  
0100  Financial assets designated at fair value through profit or loss  IFRS 7.8(a)(i); IFRS 9.4.1.5  
0120  Debt securities  Annex V.Part 1.31  
0130  Loans and advances  Annex V.Part 1.32  
0141  Financial assets at fair value through other comprehensive 
income  IFRS 7.8(h); IFRS 9.4.1.2A  
0142  Equity instruments  IAS 32.11
EN 19.3.2021 Official Journal of the European Union L 97/577  
References  Accounting scope of 
consolidation 
[Carrying amount]  
Annex V.Part 1.27, 
Part 2.209  
0010  
0143  Debt securities  Annex V.Part 1.31  
0144  Loans and advances  Annex V.Part 1.32  
0181  Financial assets at amortised cost  IFRS 7.8(f); IFRS 9.4.1.2  
0182  Debt securities  Annex V.Part 1.31  
0183  Loans and advances  Annex V.Part 1.32  
0240  Derivatives – Hedge accounting  IFRS 9.6.2.1; Annex V.Part 
1.22  
0250  Fair value changes of the hedged items in portfolio hedge of 
interest rate risk  IAS 39.89A(a); IFRS 9.6.5.8  
0260  Investments in subsidaries, joint ventures and associates  IAS 1.54(e); Annex V.Part 1.21, 
Part 2.4, 210  
0270  Assets under reinsurance and insurance contracts  IFRS 4.IG20.(b)-(c); Annex 
V.Part 2.211  
0280  Tangible assets  
0290  Intangible assets  IAS 1.54(c); CRR art 4(1)(115)  
0300  Goodwill  IFRS 3.B67(d); CRR art 
4(1)(113)  
0310  Other intangible assets  IAS 38.8,118  
0320  Tax assets  IAS 1.54(n-o)  
0330  Current tax assets  IAS 1.54(n); IAS 12.5  
0340  Deferred tax assets  IAS 1.54(o); IAS 12.5; CRR art 
4(1)(106)  
0350  Other assets  Annex V.Part 2.5  
0360  Non-current assets and disposal groups classified as held for 
sale  IAS 1.54(j); IFRS 5.38, Annex 
V.Part 2.6  
0370  TOTAL ASSETS  IAS 1.9(a), IG 6
EN L 97/578 Official Journal of the European Union 19.3.2021  
17.2  Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given  
References  Accounting scope of 
consolidation 
[Nominal amount]  
Annex V.Part 2.118, 
209  
0010  
0010  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 113, 
116  
0020  Financial guarantees given  IFRS 4 Annex A; CRR Annex I; 
Annex V.Part 1.44(f), Part 
2.102-105, 114, 116  
0030  Other Commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 115, 
116  
0040  OFF-BALANCE SHEET EXPOSURES  
17.3  Liabilities and equity  
References  Accounting scope of 
consolidation 
[Carrying amount]  
Annex V.Part 1.27, 
Part 2.209  
0010  
0010  Financial liabilities held for trading  IFRS 7.8 (e) (ii); IFRS 9.BA.6  
0020  Derivatives  IFRS 9.Appendix A; IFRS 
9.4.2.1(a); IFRS 9.BA.7(a)  
0030  Short positions  IFRS 9.BA7(b)  
0040  Deposits  ECB/2013/33 Annex 2.Part 2.9; 
Annex V.Part 1.36  
0050  Debt securities issued  Annex V.Part 1.37  
0060  Other financial liabilities  Annex V.Part 1.38-41  
0070  Financial liabilities designated at fair value through profit or 
loss  IFRS 7.8 (e)(i); IFRS 9.4.2.2  
0080  Deposits  ECB/2013/33 Annex 2.Part 2.9; 
Annex V.Part 1.36  
0090  Debt securities issued  Annex V.Part 1.37  
0100  Other financial liabilities  Annex V.Part 1.38-41
EN 19.3.2021 Official Journal of the European Union L 97/579  
References  Accounting scope of 
consolidation 
[Carrying amount]  
Annex V.Part 1.27, 
Part 2.209  
0010  
0110  Financial liabilities measured at amortised cost  IFRS 7.8(g); IFRS 9.4.2.1  
0120  Deposits  ECB/2013/33 Annex 2.Part 2.9; 
Annex V.Part 1.36  
0130  Debt securities issued  Annex V.Part 1.37  
0140  Other financial liabilities  Annex V.Part 1.38-41  
0150  Derivatives – Hedge accounting  IFRS 9.6.2.1; Annex V.Part 
1.26  
0160  Fair value changes of the hedged items in portfolio hedge of 
interest rate risk  IAS 39.89A(b), IFRS 9.6.5.8  
0170  Liabilities under insurance and reinsurance contracts  IFRS 4.IG20(a); Annex V.Part 
2.212  
0180  Provisions  IAS 37.10; IAS 1.54(l)  
0190  Tax liabilities  IAS 1.54(n-o)  
0200  Current tax liabilities  IAS 1.54(n); IAS 12.5  
0210  Deferred tax liabilities  IAS 1.54(o); IAS 12.5; CRR art 
4(1)(108)  
0220  Share capital repayable on demand  IAS 32 IE 33; IFRIC 2; Annex 
V.Part 2.12  
0230  Other liabilities  Annex V.Part 2.13  
0240  Liabilities included in disposal groups classified as held for sale  IAS 1.54 (p); IFRS 5.38, Annex 
V.Part 2.14  
0250  LIABILITIES  IAS 1.9(b);IG 6  
0260  Capital  IAS 1.54(r), BAD art 22  
0270  Share premium  IAS 1.78(e); CRR art 4(1)(124)  
0280  Equity instruments issued other than capital  Annex V.Part 2.18-19  
0290  Other equity  IFRS 2.10; Annex V.Part 2.20  
0300  Accumulated other comprehensive income  CRR art 4(1)(100)
EN L 97/580 Official Journal of the European Union 19.3.2021  
References  Accounting scope of 
consolidation 
[Carrying amount]  
Annex V.Part 1.27, 
Part 2.209  
0010  
0310  Retained earnings  CRR art 4(1)(123)  
0320  Revaluation reserves  IFRS 1.33, D5-D8  
0330  Other reserves  IAS 1.54; IAS 1.78 (e)  
0340  (-)  Treasury shares  IAS 1.79(a)(vi); IAS 32.33-34, 
AG 14, AG 36; Annex V.Part 
2.28  
0350  Profit or loss attributable to owners of the parent  IFRS 10.B94  
0360  (-)  Interim dividends  IAS 32.35  
0370  Minority interests [Non-controlling interests]  IAS 1.54(q); IFRS 10.22, .B94  
0380  TOTAL EQUITY  IAS 1.9(c), IG 6  
0390  TOTAL EQUITY AND TOTAL LIABILITIES  IAS 1.IG6
EN 19.3.2021 Official Journal of the European Union L 97/581
 18. Information on performing and non-performing exposures (continued)  
18.0.  Information on performing and non-performing exposures  
References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0005  Cash balances at central banks and other 
demand deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)
EN L 97/582 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/583
 References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0140  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR AT 
AMORTISED COST  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN L 97/584 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/585
 References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0903  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)
EN L 97/586 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE INCOME 
OR THROUGH EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(b)  
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/587
 References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/588 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)
EN 19.3.2021 Official Journal of the European Union L 97/589
 References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0231  DEBT INSTRUMENTS AT STRICT LOCOM, OR 
FAIR VALUE THROUGH PROFIT OR LOSS OR 
THROUGH EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(c), 
234  
0330  DEBT INSTRUMENTS OTHER THAN HELD FOR 
TRADING OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 116
EN L 97/590 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0350  Central banks  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  
0410  Financial guarantees given  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116
EN 19.3.2021 Official Journal of the European Union L 97/591
 References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0420  Central banks  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 115, 116
EN L 97/592 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  Of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  
0010  0020  0030  0055  0056  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  
0490  Central banks  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET EXPOSURES  Annex V.Part 2.217
EN 19.3.2021 Official Journal of the European Union L 97/593
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0005  Cash balances at central banks and other 
demand deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)
EN L 97/594 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/595
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0140  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR AT 
AMORTISED COST  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN L 97/596 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/597
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0903  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)
EN L 97/598 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE INCOME 
OR THROUGH EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(b)  
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/599
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/600 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)
EN 19.3.2021 Official Journal of the European Union L 97/601
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0231  DEBT INSTRUMENTS AT STRICT LOCOM, OR 
FAIR VALUE THROUGH PROFIT OR LOSS OR 
THROUGH EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(c), 
234  
0330  DEBT INSTRUMENTS OTHER THAN HELD FOR 
TRADING OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 116
EN L 97/602 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0350  Central banks  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  
0410  Financial guarantees given  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116
EN 19.3.2021 Official Journal of the European Union L 97/603
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0420  Central banks  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 115, 116
EN L 97/604 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Performing  Non-performing  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  Of which: purchased 
or originated credit- 
impaired financial 
assets  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  
0057  0058  0060  0070  0080  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  CRR Art. 47a (3); 
Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0490  Central banks  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET EXPOSURES  Annex V.Part 2.217
EN 19.3.2021 Official Journal of the European Union L 97/605
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0005  Cash balances at central banks and other 
demand deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)
EN L 97/606 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/607
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0140  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR AT 
AMORTISED COST  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN L 97/608 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/609
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0903  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)
EN L 97/610 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE INCOME 
OR THROUGH EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(b)  
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/611
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/612 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)
EN 19.3.2021 Official Journal of the European Union L 97/613
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0231  DEBT INSTRUMENTS AT STRICT LOCOM, OR 
FAIR VALUE THROUGH PROFIT OR LOSS OR 
THROUGH EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(c), 
234  
0330  DEBT INSTRUMENTS OTHER THAN HELD FOR 
TRADING OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 116
EN L 97/614 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0350  Central banks  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  
0410  Financial guarantees given  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116
EN 19.3.2021 Official Journal of the European Union L 97/615
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0420  Central banks  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 115, 116
EN L 97/616 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year <= 
2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 years  
0090  0101  0102  0106  0107  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0490  Central banks  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET EXPOSURES  Annex V.Part 2.217
EN 19.3.2021 Official Journal of the European Union L 97/617
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0005  Cash balances at central banks and other 
demand deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)
EN L 97/618 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/619
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0140  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR AT 
AMORTISED COST  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN L 97/620 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/621
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0903  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)
EN L 97/622 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE INCOME 
OR THROUGH EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(b)  
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/623
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/624 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)
EN 19.3.2021 Official Journal of the European Union L 97/625
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0231  DEBT INSTRUMENTS AT STRICT LOCOM, OR 
FAIR VALUE THROUGH PROFIT OR LOSS OR 
THROUGH EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(c), 
234  
0330  DEBT INSTRUMENTS OTHER THAN HELD FOR 
TRADING OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 116
EN L 97/626 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0350  Central banks  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  
0410  Financial guarantees given  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116
EN 19.3.2021 Official Journal of the European Union L 97/627
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0420  Central banks  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 115, 116
EN L 97/628 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / Nominal amount  Accumulated 
impairment, 
accumulated negative 
changes in fair value 
due to credit risk and 
provisions  
Non-performing  
Of which: Instruments 
with significant 
increase in credit risk 
since initial recognition 
but not credit-impaired 
(Stage 2)  Of which: 
defaulted  of which: 
Credit-impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0109  0110  0121  0900  0130  
IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 238  
0490  Central banks  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET EXPOSURES  Annex V.Part 2.217
EN 19.3.2021 Official Journal of the European Union L 97/629
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0005  Cash balances at central banks and other 
demand deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)
EN L 97/630 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/631
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0140  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR AT 
AMORTISED COST  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN L 97/632 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/633
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0903  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)
EN L 97/634 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE INCOME 
OR THROUGH EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(b)  
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/635
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/636 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)
EN 19.3.2021 Official Journal of the European Union L 97/637
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0231  DEBT INSTRUMENTS AT STRICT LOCOM, OR 
FAIR VALUE THROUGH PROFIT OR LOSS OR 
THROUGH EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(c), 
234  
0330  DEBT INSTRUMENTS OTHER THAN HELD FOR 
TRADING OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 116
EN L 97/638 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0350  Central banks  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  
0410  Financial guarantees given  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116
EN 19.3.2021 Official Journal of the European Union L 97/639
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0420  Central banks  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 115, 116
EN L 97/640 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures -Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: 
Instruments without 
significant increase 
in credit risk since 
initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired (Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0140  0910  0141  0142  0143  
Annex V. Part 2. 238  Annex V. Part 2. 
222, 235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0490  Central banks  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET EXPOSURES  Annex V.Part 2.217
EN 19.3.2021 Official Journal of the European Union L 97/641
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0005  Cash balances at central banks and other 
demand deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)
EN L 97/642 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/643
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0140  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR AT 
AMORTISED COST  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN L 97/644 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/645
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0903  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)
EN L 97/646 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE INCOME 
OR THROUGH EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(b)  
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/647
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/648 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)
EN 19.3.2021 Official Journal of the European Union L 97/649
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0231  DEBT INSTRUMENTS AT STRICT LOCOM, OR 
FAIR VALUE THROUGH PROFIT OR LOSS OR 
THROUGH EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(c), 
234  
0330  DEBT INSTRUMENTS OTHER THAN HELD FOR 
TRADING OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 116
EN L 97/650 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0350  Central banks  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  
0410  Financial guarantees given  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116
EN 19.3.2021 Official Journal of the European Union L 97/651
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0420  Central banks  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 115, 116
EN L 97/652 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year <= 2 year  Past due > 2 
year 
<= 5 year  
0150  0160  0170  0180  0191  0192  
Annex V. Part 2. 
238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  
0490  Central banks  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET EXPOSURES  Annex V.Part 2.217
EN 19.3.2021 Official Journal of the European Union L 97/653
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0005  Cash balances at central banks and other 
demand deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)
EN L 97/654 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/655
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0140  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR AT 
AMORTISED COST  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN L 97/656 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/657
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0903  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)
EN L 97/658 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE INCOME 
OR THROUGH EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(b)  
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/659
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/660 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)
EN 19.3.2021 Official Journal of the European Union L 97/661
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0231  DEBT INSTRUMENTS AT STRICT LOCOM, OR 
FAIR VALUE THROUGH PROFIT OR LOSS OR 
THROUGH EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(c), 
234  
0330  DEBT INSTRUMENTS OTHER THAN HELD FOR 
TRADING OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 116
EN L 97/662 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0350  Central banks  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  
0410  Financial guarantees given  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116
EN 19.3.2021 Official Journal of the European Union L 97/663
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0420  Central banks  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 115, 116
EN L 97/664 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Instruments 
with significant increase 
in credit risk since initial 
recognition but not 
credit-impaired (Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0196  0197  0950  0951  0952  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. Part 
2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
0490  Central banks  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET EXPOSURES  Annex V.Part 2.217
EN 19.3.2021 Official Journal of the European Union L 97/665
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0005  Cash balances at central banks and other 
demand deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)
EN L 97/666 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/667
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0140  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR AT 
AMORTISED COST  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN L 97/668 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/669
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0903  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)
EN L 97/670 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE INCOME 
OR THROUGH EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(b)  
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/671
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/672 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)
EN 19.3.2021 Official Journal of the European Union L 97/673
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0231  DEBT INSTRUMENTS AT STRICT LOCOM, OR 
FAIR VALUE THROUGH PROFIT OR LOSS OR 
THROUGH EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.233(c), 
234  
0330  DEBT INSTRUMENTS OTHER THAN HELD FOR 
TRADING OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 116
EN L 97/674 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0350  Central banks  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  
0410  Financial guarantees given  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116
EN 19.3.2021 Official Journal of the European Union L 97/675
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0420  Central banks  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 115, 116
EN L 97/676 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposues  Collateral received on 
non-performing exposues  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0201  0200  0205  0210  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0490  Central banks  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET EXPOSURES  Annex V.Part 2.217
EN 19.3.2021 Official Journal of the European Union L 97/677  
18.1.  Inflows and outflows of non-performing exposures - loans and advances by counterparty sector  
References  Gross carrying amount of loans and 
advances  
Inflows to non- 
performing 
exposures  (-) Outflows from 
non-performing 
exposures  
0010  0020  
Annex V. Part 
2.213-216, 224- 
234, 239i-239iii, 
239vi  Annex V. Part 
2.213-216, 224- 
234, 239i, 239iv- 
239vi  
0010  Central banks  Annex V.Part 1.42(a)  
0020  General governments  Annex V.Part 1.42(b)  
0030  Credit institutions  Annex V.Part 1.42(c)  
0040  Other financial corporations  Annex V.Part 1.42(d)  
0050  Non-financial corporations  Annex V.Part 1.42(e)  
0060  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0070  Of which: Commercial real estate (CRE) loans to small 
and medium-sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vii (a), 
239ix  
0080  Of which: Commercial real estate (CRE) loans to non- 
financial corporations other than SMEs  Annex V.Part 2.239vii 
(a), 239ix  
0090  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 
87, 239vii (b)  
0100  Households  Annex V.Part 1.42(f)  
0110  Of which: Loans collateralised by residential immovable 
property  Annex V.Part 2.86(a), 
87, 239vii (b)  
0120  Of which: Credit for consumption  Annex V.Part 2.88(a), 
239vii (c)  
0130  LOANS AND ADVANCES OTHER THAN HELD FOR 
TRADING OR TRADING  Annex V.Part 2.217  
0140  LOANS AND ADVANCES HELD FOR SALE  Annex V.Part 2.220  
0150  TOTAL INFLOWS / OUTFLOWS
EN L 97/678 Official Journal of the European Union 19.3.2021
 18.2  Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property  
References  Gross carrying amount  
of which: exposures 
with forbearance 
measures  Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  
0010  0020  0030  0040  0050  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 1.34, 
Part 2. 118, 240- 
245, 251-258  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 222, 
235 
0010  
Non- 
financial 
corpor­
ations  Commercial real estate (CRE) 
loans to small and medium- 
sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 239vii  
0020  Commercial real estate (CRE) 
loans to non-financial corpor ­
ations other than SMEs  Annex V.Part 2.239vi (a), 
239vii  
0030  Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0040  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0050  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/679
 References  Gross carrying amount  
of which: exposures 
with forbearance 
measures  Performing  
Not past due or Past 
due <= 30 days  Past due > 30 days 
<= 90 days  
0010  0020  0030  0040  0050  
Annex V. Part 1.34, 
Part 2.118, 221  Annex V. Part 1.34, 
Part 2. 118, 240- 
245, 251-258  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 222, 
235 
0060  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0070  
House- 
holds  Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0080  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0090  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0100  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN L 97/680 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount  
Performing  Non-performing  
of which: performing 
exposures with 
forbearance measures  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  of which: Performing 
forborne exposures 
under probation 
reclassified from 
non-performing  
0060  0070  0080  0090  0100  
Annex V. Part 2. 256, 
259-262  Annex V. Part 2. 
256(b), 261  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
0010  
Non- 
financial 
corpor­
ations  Commercial real estate (CRE) 
loans to small and medium- 
sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 239vii  
0020  Commercial real estate (CRE) 
loans to non-financial corpor ­
ations other than SMEs  Annex V.Part 2.239vi (a), 
239vii  
0030  Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0040  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0050  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/681
 References  Gross carrying amount  
Performing  Non-performing  
of which: performing 
exposures with 
forbearance measures  Unlikely to pay that 
are not past-due or 
past-due 
< = 90 days  Past due > 90 days 
<= 180 days  of which: Performing 
forborne exposures 
under probation 
reclassified from 
non-performing  
0060  0070  0080  0090  0100  
Annex V. Part 2. 256, 
259-262  Annex V. Part 2. 
256(b), 261  Annex V. Part 2. 
213-216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
0060  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0070  
House- 
holds  Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0080  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0090  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0100  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN L 97/682 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount  
Non-performing  
Past due > 180 
days <= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 
years  Of which: 
defaulted  
0110  0120  0130  0140  0150  0160  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  
0010  
Non- 
financial 
corpor­
ations  Commercial real estate (CRE) 
loans to small and medium- 
sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 239vii  
0020  Commercial real estate (CRE) 
loans to non-financial corpor ­
ations other than SMEs  Annex V.Part 2.239vi (a), 
239vii  
0030  Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0040  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0050  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/683
 References  Gross carrying amount  
Non-performing  
Past due > 180 
days <= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  Past due > 5 year 
<= 7 years  Past due > 7 
years  Of which: 
defaulted  
0110  0120  0130  0140  0150  0160  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  
0060  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0070  
House- 
holds  Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0080  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0090  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0100  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN L 97/684 Official Journal of the European Union 19.3.2021
 References  Gross carrying 
amount  Accumulated impairment, accumulated negative changes in fair value due to credit 
risk  
Non-performing  
Of which: Exposures 
with forbearance 
measures  Performing 
exposures - 
Accumulated 
impairments  Of which: Non- 
performing 
exposures with 
forbearance measures  Of which: 
Performing 
exposures with 
forbearance measures  
0170  0180  0190  0200  0210  
Annex V. Part 2. 
259-263  Annex V. Part 2. 238  Annex V. Part 2. 267  Annex V. Part 2. 238  Annex V. Part 2. 207  
0010  
Non- 
financial 
corpor­
ations  Commercial real estate (CRE) 
loans to small and medium- 
sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 239vii  
0020  Commercial real estate (CRE) 
loans to non-financial corpor ­
ations other than SMEs  Annex V.Part 2.239vi (a), 
239vii  
0030  Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0040  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0050  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/685
 References  Gross carrying 
amount  Accumulated impairment, accumulated negative changes in fair value due to credit 
risk  
Non-performing  
Of which: Exposures 
with forbearance 
measures  Performing 
exposures - 
Accumulated 
impairments  Of which: Non- 
performing 
exposures with 
forbearance measures  Of which: 
Performing 
exposures with 
forbearance measures  
0170  0180  0190  0200  0210  
Annex V. Part 2. 
259-263  Annex V. Part 2. 238  Annex V. Part 2. 267  Annex V. Part 2. 238  Annex V. Part 2. 207  
0060  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0070  
House- 
holds  Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0080  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0090  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0100  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN L 97/686 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay that are 
not past-due or past-due 
< = 90 days  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
0220  0230  0240  0250  
Annex V. Part 2. 238  Annex V. Part 2. 236, 238  Annex V. Part 2. 236, 238  Annex V. Part 2. 236, 238  
0010  
Non- 
financial 
corpor­
ations  Commercial real estate (CRE) 
loans to small and medium- 
sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 239vii  
0020  Commercial real estate (CRE) 
loans to non-financial corpor ­
ations other than SMEs  Annex V.Part 2.239vi (a), 
239vii  
0030  Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0040  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0050  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/687
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Unlikely to pay that are 
not past-due or past-due 
< = 90 days  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
0220  0230  0240  0250  
Annex V. Part 2. 238  Annex V. Part 2. 236, 238  Annex V. Part 2. 236, 238  Annex V. Part 2. 236, 238  
0060  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0070  
House- 
holds  Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0080  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0090  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0100  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN L 97/688 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 1 year < 
= 2 year  Past due> 2 year < = 
5 year  Past due> 5 year <= 
7 years  Past due > 7 years  Of which: Non- 
performing 
exposures with 
forbearance measures  
0260  0270  0280  0290  0300  
Annex V. Part 2. 236, 
238  Annex V. Part 2. 236, 
238  Annex V. Part 2. 236, 
238  Annex V. Part 2. 236, 
238  Annex V. Part 2. 207  
0010  
Non- 
financial 
corpor­
ations  Commercial real estate (CRE) 
loans to small and medium- 
sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 239vii  
0020  Commercial real estate (CRE) 
loans to non-financial corpor ­
ations other than SMEs  Annex V.Part 2.239vi (a), 
239vii  
0030  Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0040  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0050  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/689
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due 
to credit risk and provisions  
Past due > 1 year < 
= 2 year  Past due> 2 year < = 
5 year  Past due> 5 year <= 
7 years  Past due > 7 years  Of which: Non- 
performing 
exposures with 
forbearance measures  
0260  0270  0280  0290  0300  
Annex V. Part 2. 236, 
238  Annex V. Part 2. 236, 
238  Annex V. Part 2. 236, 
238  Annex V. Part 2. 236, 
238  Annex V. Part 2. 207  
0060  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0070  
House- 
holds  Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0080  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0090  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0100  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN L 97/690 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposures  Collateral received on non- 
performing exposures  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0310  0320  0330  0340  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0010  
Non- 
financial 
corpor­
ations  Commercial real estate (CRE) 
loans to small and medium- 
sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 239vii  
0020  Commercial real estate (CRE) 
loans to non-financial corpor ­
ations other than SMEs  Annex V.Part 2.239vi (a), 
239vii  
0030  Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0040  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0050  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/691
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on 
performing exposures  Collateral received on non- 
performing exposures  Financialguarantees 
received on performing 
exposures  Financialguarantees 
received on non- 
performing exposures  
0310  0320  0330  0340  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0060  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0070  
House- 
holds  Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 87, 
239vi (b)  
0080  Of which: Loans with LTV 
ratio higher than 60% and 
less than or equal to 80%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0090  Of which: Loans with LTV 
ratio higher than 80% and 
less than or equal to 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii  
0100  Of which: Loans with LTV 
ratio higher than 100%  Annex V.Part 2.86(a), 87, 
239vi (b), 239viii
EN L 97/692 Official Journal of the European Union 19.3.2021
 19. Information forborne exposures  
References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms and 
conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified from 
non-performing  
0010  0020  0030  0040  0050  
CRR Art. 47b (1), 
(2); Annex V. Part 
1.34, Part 2. 118, 
240-245, 251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); Annex V. 
Part 2.240, 266  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 
265-266  CRR Art. 47a (7); Annex V. 
Part 2. 256, 261  
0005  Cash balances at central 
banks and other demand 
deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)
EN 19.3.2021 Official Journal of the European Union L 97/693
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms and 
conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified from 
non-performing  
0010  0020  0030  0040  0050  
CRR Art. 47b (1), 
(2); Annex V. Part 
1.34, Part 2. 118, 
240-245, 251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); Annex V. 
Part 2.240, 266  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 
265-266  CRR Art. 47a (7); Annex V. 
Part 2. 256, 261  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)
EN L 97/694 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms and 
conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified from 
non-performing  
0010  0020  0030  0040  0050  
CRR Art. 47b (1), 
(2); Annex V. Part 
1.34, Part 2. 118, 
240-245, 251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); Annex V. 
Part 2.240, 266  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 
265-266  CRR Art. 47a (7); Annex V. 
Part 2. 256, 261  
0140  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b) 
0180  DEBT INSTRUMENTS AT 
COST OR AT AMORTISED 
COST  Annex V.Part 2.249(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN 19.3.2021 Official Journal of the European Union L 97/695
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms and 
conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified from 
non-performing  
0010  0020  0030  0040  0050  
CRR Art. 47b (1), 
(2); Annex V. Part 
1.34, Part 2. 118, 
240-245, 251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); Annex V. 
Part 2.240, 266  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 
265-266  CRR Art. 47a (7); Annex V. 
Part 2. 256, 261  
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)
EN L 97/696 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms and 
conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified from 
non-performing  
0010  0020  0030  0040  0050  
CRR Art. 47b (1), 
(2); Annex V. Part 
1.34, Part 2. 118, 
240-245, 251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); Annex V. 
Part 2.240, 266  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 
265-266  CRR Art. 47a (7); Annex V. 
Part 2. 256, 261  
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/697
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms and 
conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified from 
non-performing  
0010  0020  0030  0040  0050  
CRR Art. 47b (1), 
(2); Annex V. Part 
1.34, Part 2. 118, 
240-245, 251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); Annex V. 
Part 2.240, 266  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 
265-266  CRR Art. 47a (7); Annex V. 
Part 2. 256, 261  
0903  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0913  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b) 
0201  DEBT INSTRUMENTS AT 
FAIR VALUE THROUGH 
OTHER COMPREHENSIVE 
INCOME OR THROUGH 
EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249(b)
EN L 97/698 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms and 
conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified from 
non-performing  
0010  0020  0030  0040  0050  
CRR Art. 47b (1), 
(2); Annex V. Part 
1.34, Part 2. 118, 
240-245, 251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); Annex V. 
Part 2.240, 266  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 
265-266  CRR Art. 47a (7); Annex V. 
Part 2. 256, 261  
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/699
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms and 
conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified from 
non-performing  
0010  0020  0030  0040  0050  
CRR Art. 47b (1), 
(2); Annex V. Part 
1.34, Part 2. 118, 
240-245, 251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); Annex V. 
Part 2.240, 266  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 
265-266  CRR Art. 47a (7); Annex V. 
Part 2. 256, 261  
0225  Other financial corporations  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b)
EN L 97/700 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms and 
conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified from 
non-performing  
0010  0020  0030  0040  0050  
CRR Art. 47b (1), 
(2); Annex V. Part 
1.34, Part 2. 118, 
240-245, 251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); Annex V. 
Part 2.240, 266  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 
265-266  CRR Art. 47a (7); Annex V. 
Part 2. 256, 261  
0231  DEBT INSTRUMENTS AT 
STRICT LOCOM, OR FAIR 
VALUE THROUGH PROFIT 
OR LOSS OR THROUGH 
EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249  
0330  DEBT INSTRUMENTS OTHER 
THAN HELD FOR TRADING 
OR TRADING  Annex V.Part 2.246  
0335  DEBT INSTRUMENTS HELD 
FOR SALE  Annex V.Part 2.247  
0340  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116, 246
EN 19.3.2021 Official Journal of the European Union L 97/701
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  of which:De ­
faulted  of which: 
Impaired  of which: Forbearance of 
exposures non- 
performing prior to 
forbearance  
0060  0070  0080  0090  0100  0110  
Annex V. Part 2. 
259-263  CRR Art. 47b (1); Annex 
V. Part 2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; 
IFRS 9.Appendix 
A; Annex V.Part 
2.264(a)  CRR Art. 47b (2), lett. c; 
Annex V. Part 2. 231, 
263 
0005  Cash balances at central 
banks and other demand 
deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/702 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  of which:De ­
faulted  of which: 
Impaired  of which: Forbearance of 
exposures non- 
performing prior to 
forbearance  
0060  0070  0080  0090  0100  0110  
Annex V. Part 2. 
259-263  CRR Art. 47b (1); Annex 
V. Part 2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; 
IFRS 9.Appendix 
A; Annex V.Part 
2.264(a)  CRR Art. 47b (2), lett. c; 
Annex V. Part 2. 231, 
263 
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/703
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  of which:De ­
faulted  of which: 
Impaired  of which: Forbearance of 
exposures non- 
performing prior to 
forbearance  
0060  0070  0080  0090  0100  0110  
Annex V. Part 2. 
259-263  CRR Art. 47b (1); Annex 
V. Part 2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; 
IFRS 9.Appendix 
A; Annex V.Part 
2.264(a)  CRR Art. 47b (2), lett. c; 
Annex V. Part 2. 231, 
263 
0140  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b) 
0180  DEBT INSTRUMENTS AT 
COST OR AT AMORTISED 
COST  Annex V.Part 2.249(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN L 97/704 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  of which:De ­
faulted  of which: 
Impaired  of which: Forbearance of 
exposures non- 
performing prior to 
forbearance  
0060  0070  0080  0090  0100  0110  
Annex V. Part 2. 
259-263  CRR Art. 47b (1); Annex 
V. Part 2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; 
IFRS 9.Appendix 
A; Annex V.Part 
2.264(a)  CRR Art. 47b (2), lett. c; 
Annex V. Part 2. 231, 
263 
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)
EN 19.3.2021 Official Journal of the European Union L 97/705
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  of which:De ­
faulted  of which: 
Impaired  of which: Forbearance of 
exposures non- 
performing prior to 
forbearance  
0060  0070  0080  0090  0100  0110  
Annex V. Part 2. 
259-263  CRR Art. 47b (1); Annex 
V. Part 2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; 
IFRS 9.Appendix 
A; Annex V.Part 
2.264(a)  CRR Art. 47b (2), lett. c; 
Annex V. Part 2. 231, 
263 
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)
EN L 97/706 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  of which:De ­
faulted  of which: 
Impaired  of which: Forbearance of 
exposures non- 
performing prior to 
forbearance  
0060  0070  0080  0090  0100  0110  
Annex V. Part 2. 
259-263  CRR Art. 47b (1); Annex 
V. Part 2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; 
IFRS 9.Appendix 
A; Annex V.Part 
2.264(a)  CRR Art. 47b (2), lett. c; 
Annex V. Part 2. 231, 
263 
0903  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0913  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b) 
0201  DEBT INSTRUMENTS AT 
FAIR VALUE THROUGH 
OTHER COMPREHENSIVE 
INCOME OR THROUGH 
EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249(b)
EN 19.3.2021 Official Journal of the European Union L 97/707
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  of which:De ­
faulted  of which: 
Impaired  of which: Forbearance of 
exposures non- 
performing prior to 
forbearance  
0060  0070  0080  0090  0100  0110  
Annex V. Part 2. 
259-263  CRR Art. 47b (1); Annex 
V. Part 2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; 
IFRS 9.Appendix 
A; Annex V.Part 
2.264(a)  CRR Art. 47b (2), lett. c; 
Annex V. Part 2. 231, 
263 
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)
EN L 97/708 Official Journal of the European Union 19.3.2021
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  of which:De ­
faulted  of which: 
Impaired  of which: Forbearance of 
exposures non- 
performing prior to 
forbearance  
0060  0070  0080  0090  0100  0110  
Annex V. Part 2. 
259-263  CRR Art. 47b (1); Annex 
V. Part 2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; 
IFRS 9.Appendix 
A; Annex V.Part 
2.264(a)  CRR Art. 47b (2), lett. c; 
Annex V. Part 2. 231, 
263 
0225  Other financial corporations  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b)
EN 19.3.2021 Official Journal of the European Union L 97/709
 References  Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  of which:De ­
faulted  of which: 
Impaired  of which: Forbearance of 
exposures non- 
performing prior to 
forbearance  
0060  0070  0080  0090  0100  0110  
Annex V. Part 2. 
259-263  CRR Art. 47b (1); Annex 
V. Part 2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; 
IFRS 9.Appendix 
A; Annex V.Part 
2.264(a)  CRR Art. 47b (2), lett. c; 
Annex V. Part 2. 231, 
263 
0231  DEBT INSTRUMENTS AT 
STRICT LOCOM, OR FAIR 
VALUE THROUGH PROFIT 
OR LOSS OR THROUGH 
EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249  
0330  DEBT INSTRUMENTS OTHER 
THAN HELD FOR TRADING 
OR TRADING  Annex V.Part 2.246  
0335  DEBT INSTRUMENTS HELD 
FOR SALE  Annex V.Part 2.247  
0340  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116, 246
EN L 97/710 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - Accumulated 
impairment, accumulated negative changes in fair value due to credit 
risk and provisions  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  
0120  0130  0140  0150  0160  
Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); Annex 
V. Part 2. 240, 267  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 267  
0005  Cash balances at central 
banks and other demand 
deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)
EN 19.3.2021 Official Journal of the European Union L 97/711
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - Accumulated 
impairment, accumulated negative changes in fair value due to credit 
risk and provisions  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  
0120  0130  0140  0150  0160  
Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); Annex 
V. Part 2. 240, 267  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 267  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)
EN L 97/712 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - Accumulated 
impairment, accumulated negative changes in fair value due to credit 
risk and provisions  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  
0120  0130  0140  0150  0160  
Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); Annex 
V. Part 2. 240, 267  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 267  
0140  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b) 
0180  DEBT INSTRUMENTS AT 
COST OR AT AMORTISED 
COST  Annex V.Part 2.249(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN 19.3.2021 Official Journal of the European Union L 97/713
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - Accumulated 
impairment, accumulated negative changes in fair value due to credit 
risk and provisions  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  
0120  0130  0140  0150  0160  
Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); Annex 
V. Part 2. 240, 267  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 267  
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)
EN L 97/714 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - Accumulated 
impairment, accumulated negative changes in fair value due to credit 
risk and provisions  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  
0120  0130  0140  0150  0160  
Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); Annex 
V. Part 2. 240, 267  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 267  
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/715
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - Accumulated 
impairment, accumulated negative changes in fair value due to credit 
risk and provisions  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  
0120  0130  0140  0150  0160  
Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); Annex 
V. Part 2. 240, 267  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 267  
0903  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0913  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b) 
0201  DEBT INSTRUMENTS AT 
FAIR VALUE THROUGH 
OTHER COMPREHENSIVE 
INCOME OR THROUGH 
EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249(b)
EN L 97/716 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - Accumulated 
impairment, accumulated negative changes in fair value due to credit 
risk and provisions  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  
0120  0130  0140  0150  0160  
Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); Annex 
V. Part 2. 240, 267  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 267  
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/717
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - Accumulated 
impairment, accumulated negative changes in fair value due to credit 
risk and provisions  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  
0120  0130  0140  0150  0160  
Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); Annex 
V. Part 2. 240, 267  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 267  
0225  Other financial corporations  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b)
EN L 97/718 Official Journal of the European Union 19.3.2021
 References  Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - Accumulated 
impairment, accumulated negative changes in fair value due to credit 
risk and provisions  
Instruments with modifi ­
cations in their terms 
and conditions  Refinancing  
0120  0130  0140  0150  0160  
Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); Annex 
V. Part 2. 240, 267  CRR Art. 47b (1); Annex 
V. Part 2. 240, 244, 267  
0231  DEBT INSTRUMENTS AT 
STRICT LOCOM, OR FAIR 
VALUE THROUGH PROFIT 
OR LOSS OR THROUGH 
EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249  
0330  DEBT INSTRUMENTS OTHER 
THAN HELD FOR TRADING 
OR TRADING  Annex V.Part 2.246  
0335  DEBT INSTRUMENTS HELD 
FOR SALE  Annex V.Part 2.247  
0340  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116, 246
EN 19.3.2021 Official Journal of the European Union L 97/719
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financialguarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financialguarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0005  Cash balances at central 
banks and other demand 
deposits  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/720 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financialguarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financialguarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/721
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financialguarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financialguarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0140  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  
0160  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b) 
0180  DEBT INSTRUMENTS AT 
COST OR AT AMORTISED 
COST  Annex V.Part 2.249(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)
EN L 97/722 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financialguarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financialguarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0182  Central banks  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)
EN 19.3.2021 Official Journal of the European Union L 97/723
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financialguarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financialguarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0192  Central banks  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  
0194  Credit institutions  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  
0900  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)
EN L 97/724 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financialguarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financialguarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0903  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  
0910  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0913  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b) 
0201  DEBT INSTRUMENTS AT 
FAIR VALUE THROUGH 
OTHER COMPREHENSIVE 
INCOME OR THROUGH 
EQUITY SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249(b)
EN 19.3.2021 Official Journal of the European Union L 97/725
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financialguarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financialguarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0211  Debt securities  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)
EN L 97/726 Official Journal of the European Union 19.3.2021
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financialguarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financialguarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0225  Other financial corporations  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  
0920  Of which: Small and 
Medium-sized Enterprises  SME Art 1 2(a)  
0923  Of which: Loans collat ­
eralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  
0930  Of which: Loans collat ­
eralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for 
consumption  Annex V.Part 2.88(a), 234i 
(b)
EN 19.3.2021 Official Journal of the European Union L 97/727
 References  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financialguarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financialguarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0231  DEBT INSTRUMENTS AT 
STRICT LOCOM, OR FAIR 
VALUE THROUGH PROFIT 
OR LOSS OR THROUGH 
EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249  
0330  DEBT INSTRUMENTS OTHER 
THAN HELD FOR TRADING 
OR TRADING  Annex V.Part 2.246  
0335  DEBT INSTRUMENTS HELD 
FOR SALE  Annex V.Part 2.247  
0340  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116, 246
EN L 97/728 Official Journal of the European Union 19.3.2021  
20. Geographical breakdown  
20.1  Geographical breakdown of assets by location of the activities  
References  Carrying amount  
Annex V.Part 1.27  
Domestic 
activitivies  Non-domestic 
activities  
Annex V. 
Part 2.270  Annex V. 
Part 2.270  
0010  0020  
0010  Cash, cash balances at central banks and other demand 
deposits  IAS 1.54 (i)  
0020  Cash on hand  Annex V.Part 2.1  
0030  Cash balances at central banks  Annex V.Part 2.2  
0040  Other demand deposits  Annex V.Part 2.3  
0050  Financial assets held for trading  IFRS 9. Appendix A  
0060  Derivatives  IFRS 9. Appendix A  
0070  Equity instruments  IAS 32.11  
0080  Debt securities  Annex V.Part 1.31  
0090  Loans and advances  Annex V.Part 1.32  
0096  Non-trading financial assets mandatorily at fair value 
through profit or loss  IFRS 7.8(a)(ii); IFRS 9.4.1.4  
0097  Equity instruments  IAS 32.11  
0098  Debt securities  Annex V.Part 1.31  
0099  Loans and advances  Annex V.Part 1.32  
0100  Financial assets designated at fair value through profit 
or loss  IFRS 7.8(a)(i); IFRS 9.4.1.5  
0120  Debt securities  Annex V.Part 1.31  
0130  Loans and advances  Annex V.Part 1.32  
0141  Financial assets at fair value through other compre ­
hensive income  IFRS 7.8(h); IFRS 9.4.1.2A  
0142  Equity instruments  IAS 32.11  
0143  Debt securities  Annex V.Part 1.31
EN 19.3.2021 Official Journal of the European Union L 97/729  
References  Carrying amount  
Annex V.Part 1.27  
Domestic 
activitivies  Non-domestic 
activities  
Annex V. 
Part 2.270  Annex V. 
Part 2.270  
0010  0020  
0144  Loans and advances  Annex V.Part 1.32  
0181  Financial assets at amortised cost  IFRS 7.8(f); IFRS 9.4.1.2  
0182  Debt securities  Annex V.Part 1.31  
0183  Loans and advances  Annex V.Part 1.32  
0240  Derivatives – Hedge accounting  IFRS 9.6.2.1; Annex V.Part 
1.22  
0250  Fair value changes of the hedged items in portfolio 
hedge of interest rate risk  IAS 39.89A(a); IFRS 9.6.5.8  
0260  Tangible assets  
0270  Intangible assets  IAS 1.54(c); CRR art 
4(1)(115)  
0280  Investments in subsidaries, joint ventures and 
associates  IAS 1.54(e); Annex V.Part 
1.21, Part 2.4  
0290  Tax assets  IAS 1.54(n-o)  
0300  Other assets  Annex V.Part 2.5  
0310  Non-current assets and disposal groups classified as 
held for sale  IAS 1.54(j); IFRS 5.38, 
Annex V.Part 2.7  
0320  ASSETS  IAS 1.9(a), IG 6
EN L 97/730 Official Journal of the European Union 19.3.2021  
20.2  Geographical breakdown of liabilities by location of the activities  
References  Carrying amount  
Annex V.Part 1.27  
Domestic 
activitivies  Non-domestic 
activities  
Annex V. 
Part 2.270  Annex V. 
Part 2.270  
0010  0020  
0010  Financial liabilities held for trading  IFRS 7.8 (e) (ii); IFRS 9.BA.6  
0020  Derivatives  IFRS 9.Appendix A; IFRS 
9.4.2.1(a); IFRS 9.BA.7(a)  
0030  Short positions  IFRS 9.BA7(b)  
0040  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  
0050  Debt securities issued  Annex V.Part 1.37  
0060  Other financial liabilities  Annex V.Part 1.38-41  
0070  Financial liabilities designated at fair value through 
profit or loss  IFRS 7.8 (e)(i); IFRS 9.4.2.2  
0080  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  
0090  Debt securities issued  Annex V.Part 1.37  
0100  Other financial liabilities  Annex V.Part 1.38-41  
0110  Financial liabilities measured at amortised cost  IFRS 7.8(g); IFRS 9.4.2.1  
0120  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  
0130  Debt securities issued  Annex V.Part 1.37  
0140  Other financial liabilities  Annex V.Part 1.38-41  
0150  Derivatives – Hedge accounting  IFRS 9.6.2.1; Annex V.Part 
1.26  
0160  Fair value changes of the hedged items in portfolio 
hedge of interest rate risk  IAS 39.89A(b), IFRS 9.6.5.8  
0170  Provisions  IAS 37.10; IAS 1.54(l)
EN 19.3.2021 Official Journal of the European Union L 97/731  
References  Carrying amount  
Annex V.Part 1.27  
Domestic 
activitivies  Non-domestic 
activities  
Annex V. 
Part 2.270  Annex V. 
Part 2.270  
0010  0020  
0180  Tax liabilities  IAS 1.54(n-o)  
0190  Share capital repayable on demand  IAS 32 IE 33; IFRIC 2; 
Annex V.Part 2.12  
0200  Other liabilities  Annex V.Part 2.13  
0210  Liabilities included in disposal groups classified as held 
for sale  IAS 1.54 (p); IFRS 5.38, 
Annex V.Part 2.14  
0220  LIABILITIES  IAS 1.9(b);IG 6  
20.3  Geographical breakdown of statement of profit or loss items by location of the activities  
References  Current period  
Domestic 
activitivies  Non-domestic 
activities  
Annex V. 
Part 2.270  Annex V. 
Part 2.270  
0010  0020  
0010  Interest income  IAS 1.97; Annex V.Part 2.31  
0020  (Interest expenses)  IAS 1.97; Annex V.Part 2.31  
0030  (Expenses on share capital repayable on demand)  IFRIC 2.11  
0040  Dividend income  Annex V.Part 2.40  
0050  Fee and commission income  IFRS 7.20(c)  
0060  (Fee and commission expenses)  IFRS 7.20(c)  
0070  Gains or (-) losses on derecognition of financial assets 
and liabilities not measured at fair value through profit 
or loss, net  Annex V.Part 2.45  
0080  Gains or (-) losses on financial assets and liabilities 
held for trading, net  IFRS 7.20(a)(i); IFRS 9.5.7.1; 
Annex V.Part 2.43, 46
EN L 97/732 Official Journal of the European Union 19.3.2021  
References  Current period  
Domestic 
activitivies  Non-domestic 
activities  
Annex V. 
Part 2.270  Annex V. 
Part 2.270  
0010  0020  
0083  Gains or (-) losses on non-trading financial assets 
mandatorily at fair value through profit or loss  IFRS 9.5.7.1  
0090  Gains or (-) losses on financial assets and liabilities 
designated at fair value through profit or loss, net  IFRS 7.20(a)(i); IFRS 9.5.7.1; 
Annex V.Part 2.44  
0100  Gains or (-) losses from hedge accounting, net  Annex V.Part 2.47-48  
0110  Exchange differences [gain or (-) loss], net  IAS 21.28, 52 (a)  
0120  Gains or (-) losses on derecognition of investments in 
subsidiaries, joint ventures and associates, net  Annex V Part 2.56  
0130  Gains or (-) losses on derecognition of non financial 
assets, net  IAS 1.34  
0140  Other operating income  Annex V.Part 2.314-316  
0150  (Other operating expenses)  Annex V.Part 2.314-316  
0155  TOTAL OPERATING INCOME, NET  
0160  (Administrative expenses)  
0165  (Cash contributions to resolution funds and deposit 
guarantee schemes)  Annex V.Part 2.48i  
0170  (Depreciation)  IAS 1.102, 104  
0171  Modification gains or (-) losses, net  IFRS 9.5.4.3, IFRS 9 
Appendix A; Annex V Part 
2.49  
0180  (Provisions or (-) reversal of provisions)  IAS 37.59, 84; IAS 
1.98(b)(f)(g)  
0190  (Impairment or (-) reversal of impairment on financial 
assets not measured at fair value through profit or 
loss)  IFRS 7.20(a)(viii); Annex V 
Part 2.51, 53  
0200  (Impairment or (-) reversal of impairment of 
investments in subsidaries, joint ventures and associ ­
ates)  IAS 28.40-43
EN 19.3.2021 Official Journal of the European Union L 97/733  
References  Current period  
Domestic 
activitivies  Non-domestic 
activities  
Annex V. 
Part 2.270  Annex V. 
Part 2.270  
0010  0020  
0210  (Impairment or (-) reversal of impairment on non- 
financial assets)  IAS 36.126(a)(b)  
0220  Negative goodwill recognised in profit or loss  IFRS 3.Appendix B64(n)(i)  
0230  Share of the profit or (-) loss of investments in 
subsidaries, joint ventures and associates  Annex V.Part 2.54  
0240  Profit or (-) loss from non-current assets and disposal 
groups classified as held for sale not qualifying as 
discontinued operations  IFRS 5.37; Annex V.Part 2.55  
0250  PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING 
OPERATIONS  IAS 1.102, IG 6; IFRS 
5.33 A  
0260  (Tax expense or (-) income related to profit or loss 
from continuing operations)  IAS 1.82(d); IAS 12.77  
0270  PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING 
OPERATIONS  IAS 1, IG 6  
0280  Profit or (-) loss after tax from discontinued operations  IAS 1.82(ea) ; IFRS 5.33(a), 
5.33 A; Annex V Part 2.56  
0290  PROFIT OR (-) LOSS FOR THE YEAR  IAS 1.81A(a)
EN L 97/734 Official Journal of the European Union 19.3.2021
 20.4  Geographical breakdown of assets by residence of the counterparty  
z-axis  Country of residence of the counterparty  
References  Gross carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in fair 
value due to 
credit risk on 
non- 
performing 
exposures  Of which: held 
for trading or 
trading  of which: 
financial assets 
subject to 
impairment, 
including cash 
balances at 
central banks 
and other 
demand 
deposits  Of which: 
forborne  Of which: non- 
perfoming  of which: 
defaulted  
Annex V.Part 
1.34, Part 
2.271, 275  Annex V.Part 
1.15(a), Part 
2.273  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.275  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0022  0025  0026  0031  0040  
0010  Derivatives  IFRS 9 Appendix A, 
Annex V.Part 2.272  
0020  Of which: credit institu ­
tions  Annex V.Part 1.42(c)  
0030  Of which: other financial 
corporations  Annex V.Part 
1.42(d)  
0040  Equity instruments  IAS 32.11  
0050  Of which: credit institu ­
tions  Annex V.Part 1.42(c)  
0060  Of which: other financial 
corporations  Annex V.Part 
1.42(d)
EN 19.3.2021 Official Journal of the European Union L 97/735
 References  Gross carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in fair 
value due to 
credit risk on 
non- 
performing 
exposures  Of which: held 
for trading or 
trading  of which: 
financial assets 
subject to 
impairment, 
including cash 
balances at 
central banks 
and other 
demand 
deposits  Of which: 
forborne  Of which: non- 
perfoming  of which: 
defaulted  
Annex V.Part 
1.34, Part 
2.271, 275  Annex V.Part 
1.15(a), Part 
2.273  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.275  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0022  0025  0026  0031  0040  
0070  Of which: non-financial 
corporations  Annex V.Part 1.42(e)  
0075  Cash balances at central 
banks and other 
demand deposits  Annex V.Part 2.2, 3  
0080  Debt securities  Annex V.Part 1.31, 
44(b)  
0090  Central banks  Annex V.Part 
1.42(a)  
0100  General governments  Annex V.Part 
1.42(b)  
0110  Credit institutions  Annex V.Part 1.42(c)  
0120  Other financial 
corporations  Annex V.Part 
1.42(d)
EN L 97/736 Official Journal of the European Union 19.3.2021
 References  Gross carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in fair 
value due to 
credit risk on 
non- 
performing 
exposures  Of which: held 
for trading or 
trading  of which: 
financial assets 
subject to 
impairment, 
including cash 
balances at 
central banks 
and other 
demand 
deposits  Of which: 
forborne  Of which: non- 
perfoming  of which: 
defaulted  
Annex V.Part 
1.34, Part 
2.271, 275  Annex V.Part 
1.15(a), Part 
2.273  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.275  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0022  0025  0026  0031  0040  
0130  Non-financial corpor ­
ations  Annex V.Part 1.42(e)  
0140  Loans and advances  Annex V.Part 1.32, 
44(a)  
0150  Central banks  Annex V.Part 
1.42(a)  
0160  General governments  Annex V.Part 
1.42(b)  
0170  Credit institutions  Annex V.Part 1.42(c)  
0180  Other financial 
corporations  Annex V.Part 
1.42(d)  
0190  Non-financial corpor ­
ations  Annex V.Part 1.42(e)  
0200  Of which: Small and 
Medium-sized Enter ­
prises  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/737
 References  Gross carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in fair 
value due to 
credit risk on 
non- 
performing 
exposures  Of which: held 
for trading or 
trading  of which: 
financial assets 
subject to 
impairment, 
including cash 
balances at 
central banks 
and other 
demand 
deposits  Of which: 
forborne  Of which: non- 
perfoming  of which: 
defaulted  
Annex V.Part 
1.34, Part 
2.271, 275  Annex V.Part 
1.15(a), Part 
2.273  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.275  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0022  0025  0026  0031  0040  
0210  Of which: Loans 
collateralized by 
commercial 
immovable property  Annex V.Part 
2.86(a), 87  
0220  Households  Annex V.Part 1.42(f)  
0230  Of which: Loans 
collateralized by resi ­
dential immovable 
property  Annex V.Part 
2.86(a), 87  
0240  Of which: Credit for 
consumption  Annex V.Part 
2.88(a)
EN L 97/738 Official Journal of the European Union 19.3.2021  
20.5  Geographical breakdown of off-balance sheet exposures by residence of the counterparty  
z-axis  Country of residence of the counterparty  
References  Nominal 
amount  Provisions for 
commitments 
and guarantees 
given  Of which: 
forborne  Of which: 
non- 
perfoming  of which: 
defaulted  
Annex 
V.Part 
2.118, 
271  Annex 
V.Part 
2.240-258  Annex 
V.Part 
2.275  CRR art 
178; 
Annex 
V.Part 
2.237(b)  Annex V.Part 
2.276  
0010  0022  0025  0026  0030  
0010  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116  
0020  Financial guarantees given  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116  
0030  Other Commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
115, 116  
20.6  Geographical breakdown of liabilities by residence of the counterparty  
z-axis  Country of residence of the counterparty  
References  Carrying amount  
Annex V.Part 1.27, 2.271  
0010  
0010  Derivatives  IFRS 9 Appendix A, Annex V.Part 
1.44(e), Part 2.272  
0020  Of which: credit institutions  Annex V.Part 1.42(c)  
0030  Of which: other financial corporations  Annex V.Part 1.42(d)  
0040  Short positions  IFRS 9.BA7(b); Annex V.Part 1.44(d)  
0050  Of which: credit institutions  Annex V.Part 1.42(c)  
0060  Of which: other financial corporations  Annex V.Part 1.42(d)
EN 19.3.2021 Official Journal of the European Union L 97/739  
References  Carrying amount  
Annex V.Part 1.27, 2.271  
0010  
0070  Deposits  ECB/2013/33 Annex 2.Part 2.9; Annex 
V.Part 1.36  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Households  Annex V.Part 1.42(f)  
20.7.1  Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to 
non-financial corporations by NACE codes  
z-axis  Country of residence of the counterparty  
References  Non-financial corporations  
Annex V. Part 2.271, 277  
Gross 
carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in fair 
value due to 
credit risk on 
non- 
performing 
exposures  of which: 
loans and 
advances 
subject to 
impairment  Of which: 
non- 
performing  
Annex 
V.Part 
1.34, Part 
2.275  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0021  0022  
0010  A Agriculture, forestry and 
fishing  NACE Regulation  
0020  B Mining and quarrying  NACE Regulation  
0030  C Manufacturing  NACE Regulation  
0040  D Electricity, gas, steam and air 
conditioning supply  NACE Regulation  
0050  E Water supply  NACE Regulation  
0060  F Construction  NACE Regulation
EN L 97/740 Official Journal of the European Union 19.3.2021  
References  Non-financial corporations  
Annex V. Part 2.271, 277  
Gross 
carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in fair 
value due to 
credit risk on 
non- 
performing 
exposures  of which: 
loans and 
advances 
subject to 
impairment  Of which: 
non- 
performing  
Annex 
V.Part 
1.34, Part 
2.275  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0021  0022  
0070  G Wholesale and retail trade  NACE Regulation  
0080  H Transport ans storage  NACE Regulation  
0090  I Accommodation and food 
service activities  NACE Regulation  
0100  J Information and communi ­
cation  NACE Regulation  
0105  K Financial and insurance activ ­
ities  NACE Regulation  
0110  L Real estate activities  NACE Regulation  
0120  M Professional, scientific and 
technical activities  NACE Regulation  
0130  N Administrative and support 
service activities  NACE Regulation  
0140  O Public administration and 
defence, compulsory social 
security  NACE Regulation  
0150  P Education  NACE Regulation  
0160  Q Human health services and 
social work activities  NACE Regulation  
0170  R Arts, entertainment and 
recreation  NACE Regulation
EN 19.3.2021 Official Journal of the European Union L 97/741  
References  Non-financial corporations  
Annex V. Part 2.271, 277  
Gross 
carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in fair 
value due to 
credit risk on 
non- 
performing 
exposures  of which: 
loans and 
advances 
subject to 
impairment  Of which: 
non- 
performing  
Annex 
V.Part 
1.34, Part 
2.275  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0021  0022  
0180  S Other services  NACE Regulation  
0190  LOANS AND ADVANCES  Annex V.Part 1.32  
21. Tangible and intangible assets: assets subject to operating lease  
References  Carrying amount  
Annex V.Part 2.278-279  
0010  
0010  Property plant and equipment  IAS 16.6; IAS 1.54(a)  
0020  Revaluation model  IAS 17.49; IAS 16.31, 73(a)(d)  
0030  Cost model  IAS 17.49; IAS 16.30, 73(a)(d)  
0040  Investment property  IAS 40.IN5; IAS 1.54(b)  
0050  Fair value model  IAS 17.49; IAS 40.33-55, 76  
0060  Cost model  IAS 17.49; IAS 40.56,79(c)  
0070  Other intangible assets  IAS 38.8, 118  
0080  Revaluation model  IAS 17.49; IAS 38.75-87, 124(a)(ii)  
0090  Cost model  IAS 17.49; IAS 38.74
EN L 97/742 Official Journal of the European Union 19.3.2021  
22. Asset management, custody and other service functions  
22.1  Fee and commission income and expenses by activity  
References  Current period  
Annex V.Part 2.280  
IFRS 7.20(c )  0010  
0010  Fee and commission income  Annex V.Part 2.281-284  
0020  Securities  
0030  Issuances  Annex V.Part 2.284(a)  
0040  Transfer orders  Annex V.Part 2.284(b)  
0050  Other fee and commission income in relation to securities  Annex V.Part 2.284(c)  
0051  Corporate Finance  
0052  M&A advisory  Annex V.Part 2.284 (e)  
0053  Treasury services  Annex V.Part 2.284(f)  
0054  Other fee and commission income in relation to corporate 
finance activities  Annex V.Part 2.284(g)  
0055  Fee based advice  Annex V.Part 2.284(h)  
0060  Clearing and settlement  Annex V.Part 2.284(i)  
0070  Asset management  Annex V.Part 2.284(j); 285(a)  
0080  Custody [by type of customer]  Annex V.Part 2.284(j); 285(b)  
0090  Collective investment  
0100  Other fee and commission income in relation to custody 
services  
0110  Central administrative services for collective investment  Annex V.Part 2.284(j); 285(c)  
0120  Fiduciary transactions  Annex V.Part 2.284(j); 285(d)  
0131  Payment services  Annex V.Part 2.284(k), 285(e)  
0132  Current accounts  Annex V.Part 2.284(k), 285(e)  
0133  Credit cards  Annex V.Part 2.284(k), 285(e)  
0134  Debit cards and other card payments  Annex V.Part 2.284(k), 285(e)
EN 19.3.2021 Official Journal of the European Union L 97/743  
References  Current period  
Annex V.Part 2.280  
IFRS 7.20(c )  0010  
0135  Transfers and other payment orders  Annex V.Part 2.284(k), 285(e)  
0136  Other fee and commission income in relation to payment 
services  Annex V.Part 2.284(k), 285(e)  
0140  Customer resources distributed but not managed [by 
type of product]  Annex V.Part 2.284 (l); 285(f)  
0150  Collective investment  
0160  Insurance products  
0170  Other fee and commission income in relation to customer 
resources distributed but not managed  
0180  Structured Finance  Annex V.Part 2.284(n)  
0190  Loan servicing activities  Annex V.Part 2.284(o)  
0200  Loan commitments given  IFRS 9.4.2.1 (c)(ii); Annex V.Part 
2.284(p)  
0210  Financial guarantees given  IFRS 9.4.2.1 (c)(ii); Annex V.Part 
2.284(p)  
0211  Loans granted  Annex V.Part 2.284(r)  
0213  Foreign exchange  Annex V.Part 2.284(s)  
0214  Commodities  Annex V.Part 2.284(t)  
0220  Other fee and commission income  Annex V.Part 2.284(u)  
0230  (Fee and commission expenses)  Annex V.Part 2.281-284  
0235  (Securities)  Annex V.Part 2.284(d)  
0240  (Clearing and settlement)  Annex V.Part 2.284(i)  
0245  (Asset management)  Annex V.Part 2.284(j); 285(a)  
0250  (Custody)  Annex V.Part 2.284(j); 285 (b)  
0255  (Payment services)  Annex V.Part 2.284(k), 285(e)  
0256  (of which: Credit, Debit and other Cards)  
0260  (Loan servicing activities)  Annex V.Part 2.284(o)
EN L 97/744 Official Journal of the European Union 19.3.2021  
References  Current period  
Annex V.Part 2.280  
IFRS 7.20(c )  0010  
0270  (Loan commitments received)  Annex V.Part 2.284(q)  
0280  (Financial guarantees received)  Annex V.Part 2.284(q)  
0281  (Externally provided distribution of products)  Annex V.Part 2.284(m)  
0282  (Foreign exchange)  Annex V.Part 2.284(s)  
0290  (Other fee and commission expenses)  Annex V.Part 2.284(u)  
22.2  Assets involved in the services provided  
References  Amount of the assets involved 
in the services provided  
Annex V.Part 2.285(g)  
0010  
0010  Asset management [by type of customer]  Annex V.Part 2.285(a)  
0020  Collective investment  
0030  Pension funds  
0040  Customer portfolios managed on a discretionary basis  
0050  Other investment vehicles  
0060  Custody assets [by type of customer]  Annex V.Part 2.285(b)  
0070  Collective investment  
0080  Other  
0090  Of which: entrusted to other entities  
0100  Central administrative services for collective investment  Annex V.Part 2.285(c)  
0110  Fiduciary transactions  Annex V.Part 2.285(d)  
0120  Payment services  Annex V.Part 2.285(e)  
0130  Customer resources distributed but not managed [by type of 
product]  Annex V.Part 2.285(f)  
0140  Collective investment  
0150  Insurance products  
0160  Other
EN 19.3.2021 Official Journal of the European Union L 97/745
 23. Loans and advances: additional information  
23.1  Loans and advances: Number of instruments  
Number of instruments  
(Annex V.Part 2.320)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/746 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0080  Loans and advances in pre-litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319, 321  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/747
 Number of instruments  
(Annex V.Part 2.320)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0150  Loans and advances in litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319; 322  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/748 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Unlikely to pay that are not past due or past due 
<= 90 days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/749
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Unlikely to pay that are not past due or past due 
<= 90 days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0080  Loans and advances in pre-litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319, 321  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/750 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Unlikely to pay that are not past due or past due 
<= 90 days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0150  Loans and advances in litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319; 322  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/751
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/752 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0080  Loans and advances in pre-litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319, 321  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/753
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0150  Loans and advances in litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319; 322  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/754 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/755
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0080  Loans and advances in pre-litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319, 321  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/756 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0150  Loans and advances in litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319; 322  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/757
 23.2  Loans and advances: Additional information on gross carrying amounts  
Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/758 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 44(a), 
Part 2.233 (a), 319  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/759
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0150  Loans and advances in pre-liti ­
gation status  Annex V.Part 1.32, 44(a), 
Part 2.319, 321  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/760 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0220  Loans and advances in litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319, 322  
0230  of which: Households  Annex V.Part 1.42(f)  
0240  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0250  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0260  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0270  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0280  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/761
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0290  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 44(a), 
Part 2.319, 323  
0300  of which: Households  Annex V.Part 1.42(f)  
0310  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0320  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0330  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0340  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0350  Loans and advances with an 
accumulated coverage ratio > 90%  Annex V.Part 1.32, 44(a), 
Part 2.319, 324
EN L 97/762 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0360  of which: Households  Annex V.Part 1.42(f)  
0370  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0380  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0390  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0400  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0410  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/763
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/764 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 44(a), 
Part 2.233 (a), 319  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/765
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0150  Loans and advances in pre-liti ­
gation status  Annex V.Part 1.32, 44(a), 
Part 2.319, 321  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/766 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0220  Loans and advances in litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319, 322  
0230  of which: Households  Annex V.Part 1.42(f)  
0240  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0250  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0260  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0270  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0280  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/767
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0290  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 44(a), 
Part 2.319, 323  
0300  of which: Households  Annex V.Part 1.42(f)  
0310  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0320  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0330  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0340  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0350  Loans and advances with an 
accumulated coverage ratio > 90%  Annex V.Part 1.32, 44(a), 
Part 2.319, 324
EN L 97/768 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0360  of which: Households  Annex V.Part 1.42(f)  
0370  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0380  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0390  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0400  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0410  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/769
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/770 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 44(a), 
Part 2.233 (a), 319  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/771
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0150  Loans and advances in pre-liti ­
gation status  Annex V.Part 1.32, 44(a), 
Part 2.319, 321  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/772 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0220  Loans and advances in litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319, 322  
0230  of which: Households  Annex V.Part 1.42(f)  
0240  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0250  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0260  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0270  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0280  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/773
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0290  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 44(a), 
Part 2.319, 323  
0300  of which: Households  Annex V.Part 1.42(f)  
0310  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0320  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0330  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0340  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0350  Loans and advances with an 
accumulated coverage ratio > 90%  Annex V.Part 1.32, 44(a), 
Part 2.319, 324
EN L 97/774 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0360  of which: Households  Annex V.Part 1.42(f)  
0370  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0380  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0390  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0400  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0410  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/775
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/776 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 44(a), 
Part 2.233 (a), 319  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/777
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0150  Loans and advances in pre-liti ­
gation status  Annex V.Part 1.32, 44(a), 
Part 2.319, 321  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/778 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0220  Loans and advances in litigation 
status  Annex V.Part 1.32, 44(a), 
Part 2.319, 322  
0230  of which: Households  Annex V.Part 1.42(f)  
0240  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0250  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0260  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0270  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0280  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/779
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0290  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 44(a), 
Part 2.319, 323  
0300  of which: Households  Annex V.Part 1.42(f)  
0310  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0320  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0330  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0340  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0350  Loans and advances with an 
accumulated coverage ratio > 90%  Annex V.Part 1.32, 44(a), 
Part 2.319, 324
EN L 97/780 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0360  of which: Households  Annex V.Part 1.42(f)  
0370  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0380  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0390  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0400  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0410  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/781
 23.3  Loans and advances collateralised by immovable property: Breakdown by LTV ratios  
Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Loans and advances collateralised 
by immovable property  Annex V.Part 1.32, 44(a), 
Part 2.86(a), 87, 319  
0020  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0030  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0040  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0050  Loans and advances to small and 
medium-sized enterprises (NFCs) 
collateralised by commercial 
immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
319; SME Art 1 2(a)
EN L 97/782 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0060  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0070  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0080  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0090  Loans and advances to non- 
financial corporations (NFCs) other 
than SMEs collateralised by 
commercial immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
319; SME Art 1 2(a)  
0100  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325
EN 19.3.2021 Official Journal of the European Union L 97/783
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0110  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0120  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0130  Commercial Real Estate loans to 
small and medium-sized enterprises 
(NFCs) collateralised by immovable 
property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
239ix, 319; SME Art 1 
2(a)  
0140  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0150  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325
EN L 97/784 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0160  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0170  Commercial Real Estate loans to 
non-financial corporations (NFCs) 
other than SMEs collateralised by 
immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
239ix, 319; SME Art 1 
2(a)  
0180  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0190  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0200  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325
EN 19.3.2021 Official Journal of the European Union L 97/785
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Loans and advances collateralised 
by immovable property  Annex V.Part 1.32, 44(a), 
Part 2.86(a), 87, 319  
0020  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0030  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0040  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0050  Loans and advances to small and 
medium-sized enterprises (NFCs) 
collateralised by commercial 
immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
319; SME Art 1 2(a)
EN L 97/786 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0060  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0070  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0080  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0090  Loans and advances to non- 
financial corporations (NFCs) other 
than SMEs collateralised by 
commercial immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
319; SME Art 1 2(a)  
0100  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325
EN 19.3.2021 Official Journal of the European Union L 97/787
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0110  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0120  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0130  Commercial Real Estate loans to 
small and medium-sized enterprises 
(NFCs) collateralised by immovable 
property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
239ix, 319; SME Art 1 
2(a)  
0140  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0150  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325
EN L 97/788 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0160  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0170  Commercial Real Estate loans to 
non-financial corporations (NFCs) 
other than SMEs collateralised by 
immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
239ix, 319; SME Art 1 
2(a)  
0180  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0190  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0200  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325
EN 19.3.2021 Official Journal of the European Union L 97/789
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0010  Loans and advances collateralised 
by immovable property  Annex V.Part 1.32, 44(a), 
Part 2.86(a), 87, 319  
0020  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0030  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0040  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0050  Loans and advances to small and 
medium-sized enterprises (NFCs) 
collateralised by commercial 
immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
319; SME Art 1 2(a)
EN L 97/790 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0060  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0070  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0080  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0090  Loans and advances to non- 
financial corporations (NFCs) other 
than SMEs collateralised by 
commercial immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
319; SME Art 1 2(a)  
0100  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325
EN 19.3.2021 Official Journal of the European Union L 97/791
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0110  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0120  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0130  Commercial Real Estate loans to 
small and medium-sized enterprises 
(NFCs) collateralised by immovable 
property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
239ix, 319; SME Art 1 
2(a)  
0140  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0150  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325
EN L 97/792 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0160  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0170  Commercial Real Estate loans to 
non-financial corporations (NFCs) 
other than SMEs collateralised by 
immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
239ix, 319; SME Art 1 
2(a)  
0180  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0190  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0200  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325
EN 19.3.2021 Official Journal of the European Union L 97/793
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0010  Loans and advances collateralised 
by immovable property  Annex V.Part 1.32, 44(a), 
Part 2.86(a), 87, 319  
0020  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0030  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0040  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0050  Loans and advances to small and 
medium-sized enterprises (NFCs) 
collateralised by commercial 
immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
319; SME Art 1 2(a)
EN L 97/794 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0060  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0070  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0080  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0090  Loans and advances to non- 
financial corporations (NFCs) other 
than SMEs collateralised by 
commercial immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
319; SME Art 1 2(a)  
0100  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325
EN 19.3.2021 Official Journal of the European Union L 97/795
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0110  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0120  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0130  Commercial Real Estate loans to 
small and medium-sized enterprises 
(NFCs) collateralised by immovable 
property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
239ix, 319; SME Art 1 
2(a)  
0140  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0150  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325
EN L 97/796 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0160  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325  
0170  Commercial Real Estate loans to 
non-financial corporations (NFCs) 
other than SMEs collateralised by 
immovable property  Annex V.Part 1.32, 42 (e), 
44(a), Part 2.86(a), 87, 
239ix, 319; SME Art 1 
2(a)  
0180  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 325  
0190  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 325  
0200  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 325
EN 19.3.2021 Official Journal of the European Union L 97/797
 23.4  Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to cr edit risk  
Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235, 237(f)  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/798 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235, 237(f)  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 44(a), 
Part 2.233 (a), 319  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)
EN 19.3.2021 Official Journal of the European Union L 97/799
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235, 237(f)  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0150  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 44(a), 
Part 2.319, 323  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0180  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0190  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0200  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/800 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/801
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 44(a), 
Part 2.233 (a), 319  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)
EN L 97/802 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0150  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 44(a), 
Part 2.319, 323  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0180  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0190  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0200  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/803
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/804 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 44(a), 
Part 2.233 (a), 319  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)
EN 19.3.2021 Official Journal of the European Union L 97/805
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0150  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 44(a), 
Part 2.319, 323  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0180  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0190  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0200  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/806 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/807
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 44(a), 
Part 2.233 (a), 319  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)
EN L 97/808 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0150  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 44(a), 
Part 2.319, 323  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0180  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0190  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0200  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/809
 23.5  Loans and advances: Collateral received and financial guarantees received  
Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Financial guarantees received on 
loans and advances  Annex V.Part 2.319, 326  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0080  Collateral received on loans and 
advances  Annex V.Part 2.319, 326
EN L 97/810 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0150  Immovable property collateral 
received on loans and advances  Annex V.Part 2.319, 326
EN 19.3.2021 Official Journal of the European Union L 97/811
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0220  Memorandum item: Collateral 
received on loans and advances - 
uncapped amounts  Annex V.Part 2.319, 326, 
327  
0230  of which: Immovable property 
collateral  Annex V.Part 2.319, 326, 
327
EN L 97/812 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Financial guarantees received on 
loans and advances  Annex V.Part 2.319, 326  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0080  Collateral received on loans and 
advances  Annex V.Part 2.319, 326
EN 19.3.2021 Official Journal of the European Union L 97/813
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0150  Immovable property collateral 
received on loans and advances  Annex V.Part 2.319, 326
EN L 97/814 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0220  Memorandum item: Collateral 
received on loans and advances - 
uncapped amounts  Annex V.Part 2.319, 326, 
327  
0230  of which: Immovable property 
collateral  Annex V.Part 2.319, 326, 
327
EN 19.3.2021 Official Journal of the European Union L 97/815
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0010  Financial guarantees received on 
loans and advances  Annex V.Part 2.319, 326  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0080  Collateral received on loans and 
advances  Annex V.Part 2.319, 326
EN L 97/816 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0150  Immovable property collateral 
received on loans and advances  Annex V.Part 2.319, 326
EN 19.3.2021 Official Journal of the European Union L 97/817
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0220  Memorandum item: Collateral 
received on loans and advances - 
uncapped amounts  Annex V.Part 2.319, 326, 
327  
0230  of which: Immovable property 
collateral  Annex V.Part 2.319, 326, 
327
EN L 97/818 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0010  Financial guarantees received on 
loans and advances  Annex V.Part 2.319, 326  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0080  Collateral received on loans and 
advances  Annex V.Part 2.319, 326
EN 19.3.2021 Official Journal of the European Union L 97/819
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0090  of which: Households  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0110  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0120  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0130  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0140  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0150  Immovable property collateral 
received on loans and advances  Annex V.Part 2.319, 326
EN L 97/820 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0160  of which: Households  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0180  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0190  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0200  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0210  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix  
0220  Memorandum item: Collateral 
received on loans and advances - 
uncapped amounts  Annex V.Part 2.319, 326, 
327  
0230  of which: Immovable property 
collateral  Annex V.Part 2.319, 326, 
327
EN 19.3.2021 Official Journal of the European Union L 97/821
 23.6  Loans and advances: Accumulated partial write-offs  
Accumulated partial write-offs  
(Annex V.Part 2.72, 74)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/822 Official Journal of the European Union 19.3.2021
 Accumulated partial write-offs  
(Annex V.Part 2.72, 74)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/823
 Accumulated partial write-offs  
(Annex V.Part 2.72, 74)  
Non Performing  
Past due > 90 days  
of which: Exposures with 
forbearance measures  Past due > 90 days <= 180 
days  Past due > 180 days <= 1 
year  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0100  0110  0120  0130  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN L 97/824 Official Journal of the European Union 19.3.2021
 Accumulated partial write-offs  
(Annex V.Part 2.72, 74)  
Non Performing  
Past due > 90 days  
Past due > 1 years <=2 years  Past due > 2 years <=5 years  Past due > 5 years <=7 years  Past due > 7 years  
References  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236  
0140  0150  0160  0170  
0010  Loans and advances  Annex V.Part 1.32, 44(a), 
Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87  
0040  of which: Non-financial corporations 
- SMEs  Annex V.Part 1.42(e), SME 
Art 1 2(a)  
0050  of which: Commercial Real Estate 
(CRE) loans to SMEs  Annex V.Part 2.239ix  
0060  of which: Non-financial corporations 
- other than SMEs  Annex V.Part 1.42(e)  
0070  of which: Commercial Real Estate 
(CRE) loans to NFCs other than 
SMEs  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/825
 24. Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year  
24.1  Loans and advances: Inflows and outflows of non-performing exposures  
References  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: CRE 
loans to NFCs 
other than 
SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 2(a)  SME Art 1 2(a), 
Annex V.Part 
2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0010  Opening balance  Annex V.Part 2.328  
0020  Inflows  Annex V.Part 2.239ii, 
239iii, 239vi, 329  
0030  Inflow due to reclassification 
from performing not forborne  Annex V.Part 2.239ii, 
239iii, 239vi, 329  
0040  Inflow due to reclassification 
from performing forborne  Annex V.Part 2.239ii, 
239iii, 239vi, 329  
0050  of which: reclassified from 
performing forborne 
exposures under probation 
previously reclassified from 
non-performing  Annex V.Part 2.239ii, 
239iii, 239vi, 329(b)
EN L 97/826 Official Journal of the European Union 19.3.2021
 References  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: CRE 
loans to NFCs 
other than 
SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 2(a)  SME Art 1 2(a), 
Annex V.Part 
2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0060  Inflow due to purchase of 
exposures  Annex V.Part 2.239ii, 
239iii, 239vi, 329  
0070  Inflow due to accrued 
interest  Annex V.Part 2.239ii, 
239iii, 239vi, 329 (a)  
0080  Inflow due to other reasons  Annex V.Part 2.239ii, 
239iii, 239vi, 329 (c)  
0090  Of which: Inflow more than 
once  Annex V.Part 2.239ii, 
239iii, 239vi, 330 (a)  
0100  Of which: Inflow of exposures 
granted in the past 24 months  Annex V.Part 2.239ii, 
239iii, 239vi, 330 (b)  
0110  Of which: Inflow of 
exposures granted during 
the period  Annex V.Part 2.239ii, 
239iii, 239vi, 330 (b)
EN 19.3.2021 Official Journal of the European Union L 97/827
 References  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: CRE 
loans to NFCs 
other than 
SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 2(a)  SME Art 1 2(a), 
Annex V.Part 
2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0120  Outflows  Annex V.Part 2.239iii-239v, 
331, 332  
0130  Outflow due to reclassification 
as performing not forborne  Annex V.Part 2.239iii- 
239v(a), 331, 332  
0140  Outflow due to reclassification 
as performing forborne  Annex V.Part 2.239iii- 
239v(a), 331, 332  
0150  Outflow due to partial or total 
loan repayment  Annex V.Part 2.239iii- 
239v(b), 331, 332  
0160  Outflow due to collateral liqui ­
dations  Annex V.Part 2.239iii- 
239v(c), 331, 332  
0170  Net cumulated recoveries 
from collateral liquidation  Annex V.Part 2.333
EN L 97/828 Official Journal of the European Union 19.3.2021
 References  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: CRE 
loans to NFCs 
other than 
SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 2(a)  SME Art 1 2(a), 
Annex V.Part 
2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0180  of which: Write-offs in the 
context of collateral liquida ­
tions  Annex V.Part 2.239iii- 
239v(c)  
0190  Outflow due to taking 
possession of collateral  Annex V.Part 2.239iii- 
239v(d), 331, 332  
0200  Net cumulated recoveries 
from taking possession of 
collateral  Annex V.Part 2.333  
0210  of which: Write-offs in the 
context of taking possession 
of collateral  Annex V.Part 2.239iii- 
239v(d)  
0220  Outflow due to sale of instru ­
ments  Annex V.Part 2.239iii- 
239v(e), 331, 332  
0230  Net cumulated recoveries 
from sale of instruments  Annex V.Part 2.333
EN 19.3.2021 Official Journal of the European Union L 97/829
 References  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: CRE 
loans to NFCs 
other than 
SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 2(a)  SME Art 1 2(a), 
Annex V.Part 
2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0240  of which: Write-offs in the 
context of sale of instruments  Annex V.Part 2.239iii- 
239v(e)  
0250  Outflow due to risk transfers  Annex V.Part 2.239iii- 
239v(f), 331, 332  
0260  Net cumulated recoveries 
from risk transfers  Annex V.Part 2.333  
0270  of which: Write-offs in the 
context of risk transfers  Annex V.Part 2.239iii- 
239v(f)  
0280  Outflow due to write-offs  Annex V.Part 2.239iii- 
239v(g), 331, 332  
0290  Outflow due to reclassification 
as held for sale  Annex V.Part 2.239iii- 
239vi, 331, 332
EN L 97/830 Official Journal of the European Union 19.3.2021
 References  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: CRE 
loans to NFCs 
other than 
SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 2(a)  SME Art 1 2(a), 
Annex V.Part 
2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0300  Outflow due to other reasons  Annex V.Part 2.239iii- 
239v(h), 331, 332  
0310  Of which: Outflow of non- 
performing exposures that 
became non-performing during 
the period  Annex V.Part 2.334  
0320  Closing balance  Annex V.Part 2.328
EN 19.3.2021 Official Journal of the European Union L 97/831
 24.2  Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing ex posures  
References  Accumulated impairment and accumulated negative changes in fair value due to credit risk  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans to 
NFCs other 
than SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, Part 2.69- 
71, 213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 2(a)  SME Art 1 2(a), 
Annex V.Part 
2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0010  Opening balance  Annex V.Part 2.335  
0020  Increases during the period  Annex V.Part 2.336  
0030  Of which: impairments against 
interest accrued  Annex V.Part 2.337  
0040  Decreases during the period  Annex V.Part 2.338  
0050  Of which: Reversal of 
impairment and negative 
changes in fair value due to 
credit risk  Annex V.Part 2.339(a)  
0060  Of which: Release of allowances 
due to unwinding process  Annex V.Part 2.339(b)  
0070  Closing balance  Annex V.Part 2.335
EN L 97/832 Official Journal of the European Union 19.3.2021
 24.3  Loans and advances: Write-offs of non-performing exposures during the period  
References  Gross Carrying amount  
Non-performing exposures - Loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  Of which: SMEs  Of which: 
Commercial 
Real Estate 
(CRE) loans to 
NFCs other 
than SMEs  Of which:Com ­
mercial Real 
Estate (CRE) 
loans to SMEs  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 2(a)  SME Art 1 2(a), 
Annex V.Part 
2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0010  Write-offs during the period  Annex V.Part 2.340  
0020  Of which: Debt forgiveness  Annex V.Part 2.340
EN 19.3.2021 Official Journal of the European Union L 97/833
 25. Collateral obtained by taking possession and execution processes  
25.1  Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows  
References  Debt balance reduction  Collateral obtained by taking possession other than collateral 
classified as Property Plant and Equipment (PP&E)  
Time passed since recognition 
in balance sheet  
<= 2 years  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative 
changes in fair 
value due to 
credit risk  Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
1.34, Part 
2.343  Annex V.Part 
2.69-71, 343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 
2.175  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  
0010  0020  0030  0040  0050  0060  
0010  Opening balance  Annex V.Part 2.341, 
342  
0020  Inflows of collateral during the period  Annex V.Part 2.345, 
349  
0030  Inflow due to new collateral obtained by taking 
possession  Annex V.Part 2.345, 
349  
0040  Inflow due to positive changes in value  Annex V.Part 2.345, 
349  
0050  Outflows of collateral during the period  Annex V.Part 2.346, 
349  
0060  Outflow for which cash was collected  Annex V.Part 2.347, 
349
EN L 97/834 Official Journal of the European Union 19.3.2021
 References  Debt balance reduction  Collateral obtained by taking possession other than collateral 
classified as Property Plant and Equipment (PP&E)  
Time passed since recognition 
in balance sheet  
<= 2 years  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative 
changes in fair 
value due to 
credit risk  Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
1.34, Part 
2.343  Annex V.Part 
2.69-71, 343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 
2.175  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  
0010  0020  0030  0040  0050  0060  
0070  Cash collected net of costs  Annex V.Part 2.347  
0080  Profits/(-) losses from sale of collateral 
obtained by taking possession  Annex V.Part 2.347  
0090  Outflow with replacement by financial 
instrument  Annex V.Part 2.346, 
349  
0100  Financing granted  Annex V.Part 2.347  
0110  Outflow due to negative changes in value  Annex V.Part 2.346, 
349  
0120  Closing balance  Annex V.Part 2.341, 
342
EN 19.3.2021 Official Journal of the European Union L 97/835
 References  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E)  
Time passed since recognition in balance sheet  Of which: Non-current assets 
held-for-sale  > 2 years <= 5 years  > 5 years  
Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  IFRS 5.6, Annex 
V.Part 2.175, 
175i, 344  IFRS 5.6, Annex 
V.Part 1.27, 
Part 2.175  
0070  0080  0090  0100  0110  0120  
0010  Opening balance  Annex V.Part 2.341, 
342  
0020  Inflows of collateral during the period  Annex V.Part 2.345, 
349  
0030  Inflow due to new collateral obtained by taking 
possession  Annex V.Part 2.345, 
349  
0040  Inflow due to positive changes in value  Annex V.Part 2.345, 
349  
0050  Outflows of collateral during the period  Annex V.Part 2.346, 
349  
0060  Outflow for which cash was collected  Annex V.Part 2.347, 
349
EN L 97/836 Official Journal of the European Union 19.3.2021
 References  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E)  
Time passed since recognition in balance sheet  Of which: Non-current assets 
held-for-sale  > 2 years <= 5 years  > 5 years  
Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  IFRS 5.6, Annex 
V.Part 2.175, 
175i, 344  IFRS 5.6, Annex 
V.Part 1.27, 
Part 2.175  
0070  0080  0090  0100  0110  0120  
0070  Cash collected net of costs  Annex V.Part 2.347  
0080  Profits/(-) losses from sale of collateral 
obtained by taking possession  Annex V.Part 2.347  
0090  Outflow with replacement by financial 
instrument  Annex V.Part 2.346, 
349  
0100  Financing granted  Annex V.Part 2.347  
0110  Outflow due to negative changes in value  Annex V.Part 2.346, 
349  
0120  Closing balance  Annex V.Part 2.341, 
342
EN 19.3.2021 Official Journal of the European Union L 97/837
 25.2  Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of coll ateral obtained  
References  Debt balance reduction  Collateral obtained by taking possession other than collateral classified as Property Plant 
and Equipment (PP&E)  
Time passed since recognition in balance 
sheet  
<= 2 years  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative changes 
in fair value due 
to credit risk  Value at initial 
recognition  Carrying 
amount  Accumulated 
negative 
changes  Value at initial 
recognition  Carrying 
amount  Accumulated 
negative 
changes  
Annex V.Part 
1.34, Part 
2.343  Annex V.Part 
2.69-71, 343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 
2.175  Annex V.Part 
2.175, 175ii  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175ii, 
348  
0010  0020  0030  0040  0050  0060  0070  0080  
0010  Residential immovable 
property  Annex V. Part 2.350, 
351  
0020  Of which: under 
construction / devel ­
opment  Annex V. Part 2.350, 
352(a)  
0030  Commercial immovable 
property  Annex V. Part 2.350, 
351  
0040  Of which: under 
construction / devel ­
opment  Annex V. Part 2.350, 
352(a)  
0050  Of which: Land related to 
commercial real estate 
corporations (excluding 
agricultural land)  Annex V. Part 2.350, 
352(b)  
0060  Of which: Land with 
planning permission 
for development  Annex V. Part 2.350, 
352(b)
EN L 97/838 Official Journal of the European Union 19.3.2021
 References  Debt balance reduction  Collateral obtained by taking possession other than collateral classified as Property Plant 
and Equipment (PP&E)  
Time passed since recognition in balance 
sheet  
<= 2 years  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative changes 
in fair value due 
to credit risk  Value at initial 
recognition  Carrying 
amount  Accumulated 
negative 
changes  Value at initial 
recognition  Carrying 
amount  Accumulated 
negative 
changes  
Annex V.Part 
1.34, Part 
2.343  Annex V.Part 
2.69-71, 343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 
2.175  Annex V.Part 
2.175, 175ii  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175ii, 
348  
0010  0020  0030  0040  0050  0060  0070  0080  
0070  Of which: Land without 
planning permission for 
development  Annex V. Part 2.350, 
352(b)  
0080  Movable property  Annex V. Part 2.350, 
351  
0090  Equity and debt securities  Annex V. Part 2.350, 
351  
0100  Other  Annex V. Part 2.350, 
351  
0110  Total  Annex V. Part 2.350, 
351  
0120  Number of Collateral 
obtained by taking 
possession  Annex V. Part 2.350, 
351
EN 19.3.2021 Official Journal of the European Union L 97/839
 References  Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)  
Time passed since recognition in balance sheet  Of which: Non-current assets 
held-for-sale  > 2 years <= 5 years  > 5 years  
Value at initial 
recognition  Carrying 
amount  Accumulated 
negative changes  Value at initial 
recognition  Carrying 
amount  Accumulated 
negative 
changes  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175ii, 
348  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175ii, 
348  IFRS 5.6, 
Annex V.Part 
2.175, 175i  IFRS 5.6, 
Annex V.Part 
1.27, Part 
2.175  
0090  0100  0110  0120  0130  0140  0150  0160  
0010  Residential immovable 
property  Annex V. Part 2.350, 
351  
0020  Of which: under 
construction / devel ­
opment  Annex V. Part 2.350, 
352(a)  
0030  Commercial immovable 
property  Annex V. Part 2.350, 
351  
0040  Of which: under 
construction / devel ­
opment  Annex V. Part 2.350, 
352(a)  
0050  Of which: Land related to 
commercial real estate 
corporations (excluding 
agricultural land)  Annex V. Part 2.350, 
352(b)  
0060  Of which: Land with 
planning permission 
for development  Annex V. Part 2.350, 
352(b)
EN L 97/840 Official Journal of the European Union 19.3.2021
 References  Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)  
Time passed since recognition in balance sheet  Of which: Non-current assets 
held-for-sale  > 2 years <= 5 years  > 5 years  
Value at initial 
recognition  Carrying 
amount  Accumulated 
negative changes  Value at initial 
recognition  Carrying 
amount  Accumulated 
negative 
changes  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175ii, 
348  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175ii, 
348  IFRS 5.6, 
Annex V.Part 
2.175, 175i  IFRS 5.6, 
Annex V.Part 
1.27, Part 
2.175  
0090  0100  0110  0120  0130  0140  0150  0160  
0070  Of which: Land without 
planning permission for 
development  Annex V. Part 2.350, 
352(b)  
0080  Movable property  Annex V. Part 2.350, 
351  
0090  Equity and debt securities  Annex V. Part 2.350, 
351  
0100  Other  Annex V. Part 2.350, 
351  
0110  Total  Annex V. Part 2.350, 
351  
0120  Number of Collateral 
obtained by taking 
possession  Annex V. Part 2.350, 
351
EN 19.3.2021 Official Journal of the European Union L 97/841
 25.3  Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)  
References  Debt balance reduction  Collateral obtained by taking possession classified 
as Property Plant and Equipment (PP&E)  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative changes 
in fair value due 
to credit risk  Value at initial 
recognition  Carrying amount  Accumulated 
negative changes  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.69-71, 343  IAS 16.6, Annex 
V.Part 2.175, 
175i  IAS 16.6, Annex 
V.Part 1.27, Part 
2.175  IAS 16.6, Annex 
V.Part 2.175, 
175ii  
0010  0020  0030  0040  0050  
0010  Total  Annex V.Part 
2.341, 357-358  
0020  Inflows due to new collateral obtained by taking possession  Annex V.Part 
2.341, 345, 357- 
358
EN L 97/842 Official Journal of the European Union 19.3.2021
 26. Forbearance management and quality of forbearance  
References  Loans and advances with forbearance measures  
of which: Households  of which: Non-financial corporations  
of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  
Annex V.Part 
1.32, Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(f), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  
Annex V.Part 
1.32, Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(f), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  
0010  0020  0030  0040  0050  0060  0070  0080  0090  
0010  Number of instruments  Annex V. Part 2.320, 
355, 356  
0020  Gross carrying amount 
of instruments , for the 
following types of 
forbearance measures:  Annex V.Part 1.34, 
Part 2.355, 357, 359  
0030  Grace period/payment 
moratorium  Annex V.Part 2.358(a)  
0040  Interest rate reduction  Annex V.Part 2.358(b)  
0050  Extension of matur ­
ity/term  Annex V.Part 2.358(c)  
0060  Rescheduled payments  Annex V.Part 2.358(d)
EN 19.3.2021 Official Journal of the European Union L 97/843
 References  Loans and advances with forbearance measures  
of which: Households  of which: Non-financial corporations  
of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  
Annex V.Part 
1.32, Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(f), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  
Annex V.Part 
1.32, Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(f), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  
0010  0020  0030  0040  0050  0060  0070  0080  0090  
0070  Debt forgiveness  Annex V.Part 2.358(e)  
0080  Debt asset swaps  Annex V.Part 2.358(f)  
0090  Other forbearance 
measures  Annex V.Part 2.358(g)  
Gross carrying amount 
of instruments that 
were subject to 
forbearance measures 
at multiple points in 
time  Annex V.Part 1.34, 
Part 2.355
EN L 97/844 Official Journal of the European Union 19.3.2021
 References  Loans and advances with forbearance measures  
of which: Households  of which: Non-financial corporations  
of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  
Annex V.Part 
1.32, Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(f), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  
Annex V.Part 
1.32, Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(f), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  
0010  0020  0030  0040  0050  0060  0070  0080  0090  
0100  Loans and advances 
having been forborne 
twice  Annex V.Part 
2.360(a)(i)  
0110  Loans and advances 
having been forborne 
more than twice  Annex V.Part 
2.360(a)(i)
EN 19.3.2021 Official Journal of the European Union L 97/845
 References  Loans and advances with forbearance measures  
of which: Households  of which: Non-financial corporations  
of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  of which: 
performing  of which: 
having been 
granted 
forbearance 
measures 
during the 
period  
Annex V.Part 
1.32, Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(f), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  
Annex V.Part 
1.32, Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(f), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 
44(a), Part 
2.240-245, 
252-257  Annex V.Part 
2.256, 259- 
261  Annex V.Part 
2.361  
0010  0020  0030  0040  0050  0060  0070  0080  0090  
0120  Loans and advances to 
which forbearance 
measures were granted 
in addition to already 
existing forbearance 
measures  Annex V.Part 
2.360(a)(ii)  
0130  Gross carrying amount 
of non-performing 
forborne loans and 
advances that failed to 
meet the non- 
performing exit criteria  Annex V.Part 1.34, 
Part 2.232, 355, 
360(b)
EN L 97/846 Official Journal of the European Union 19.3.2021
 30. Off-balance sheet activities: Interests in unconsolidated structured entities  
30.1  Interests in unconsolidated structured entities  
References
 
Carrying amount of finan- 
cial assets recognised in 
the balance sheet  
Of which: liquidity sup- 
port drawn  
Fair value of liquidity 
support drawn  
Carrying amount of finan- 
cial liabilities recognised in 
the balance sheet  
Nominal amount of off- 
balance sheet exposures 
given by the reporting 
institution  
Of which: Nominal 
amount of loan commit- 
ments given  
Losses incurred by the 
reporting institution in 
the current period 
IFRS 12.29(a)  IFRS 12.29(a); 
Annex V.Part 
2.286  IFRS 12.29(a)  IFRS 12.B26(e)  IFRS 12 B26(b); 
Annex V.Part 
2.287  
0010  0020  0030  0040  0050  0060  0080  
0010  Total  
30.2  Breakdown of interests in unconsolidated structured entities by nature of the activities  
By nature of the activities  References  Carrying amount  
Securitisation Special 
Purpose Entities  Asset management  Other activities  
CRR art 4(1)(66)  Annex V.Part 2.285(a)  
IFRS 12.24, B6.(a)  0010  0020  0030  
0010  Selected financial assets recognised in the 
reporting institution's balance sheet  IFRS 12.29(a),(b)  
0021  of which: non-performing  Annex V.Part 2.213-239  
0030  Derivatives  IFRS 9 Appendix A; Annex V.Part 2.272
EN 19.3.2021 Official Journal of the European Union L 97/847
 By nature of the activities  References  Carrying amount  
Securitisation Special 
Purpose Entities  Asset management  Other activities  
CRR art 4(1)(66)  Annex V.Part 2.285(a)  
IFRS 12.24, B6.(a)  0010  0020  0030  
0040  Equity instruments  IAS 32.11  
0050  Debt securities  Annex V.Part 1.31  
0060  Loans and advances  Annex V.Part 1.32  
0070  Selected equity and financial liabilites recognised 
in the reporting institution's balance sheet  IFRS 12.29(a),(b)  
0080  Equity instruments issued  IAS 32.11  
0090  Derivatives  IFRS 9 Appendix A; Annex V.Part 2.272  
0100  Deposits  ECB/2013/33 Annex 2.Part 2.9; Annex 
V.Part 1.36  
0110  Debt securities issued  Annex V.Part 1.37  
Nominal amount  
0120  Off-balance sheet exposures given by the 
reporting institution  IFRS 12.B26.(e); CRR Annex I; Annex 
V.Part 2.102-105, 113-115, 118  
0131  of which: non-performing  Annex V.Part 2.117
EN L 97/848 Official Journal of the European Union 19.3.2021
 31. Related parties  
31.1  Related parties: amounts payable to and amounts receivable from  
References  
Annex V.Part 2.288-291  Outstanding balances
 Parent and entities with 
joint control or significant 
influence  
Subsidiaries and other en- 
tities of the same group  
Associates and joint ven- 
tures  
Key management of the 
institution or its parent  
Other related parties 
IAS 24.19(a),(b)  IAS 24.19(c); Annex 
V.Part 2.289  IAS 24.19(d),(e); 
Annex V.Part 2.289  IAS 24.19(f)  IAS 24.19(g)  
0010  0020  0030  0040  0050  
0010  Selected financial assets  IAS 24.18(b)  
0020  Equity instruments  IAS 32.11  
0030  Debt securities  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  
0050  of which: non- 
performing  Annex V. Part 2.213-239  
0060  Selected financial liabil ­
ities  IAS 24.18(b)  
0070  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  
0080  Debt securities issued  Annex V.Part 1.37  
0090  Nominal amount of loan 
commitments, financial 
guarantees and other 
commitments given  IAS 24.18(b); CRR Annex I; 
Annex V.Part 2.102-105, 
113-115, 118
EN 19.3.2021 Official Journal of the European Union L 97/849
 References  
Annex V.Part 2.288-291  Outstanding balances
 Parent and entities with 
joint control or significant 
influence  
Subsidiaries and other en- 
tities of the same group  
Associates and joint ven- 
tures  
Key management of the 
institution or its parent  
Other related parties 
IAS 24.19(a),(b)  IAS 24.19(c); Annex 
V.Part 2.289  IAS 24.19(d),(e); 
Annex V.Part 2.289  IAS 24.19(f)  IAS 24.19(g)  
0010  0020  0030  0040  0050  
0100  of which: non- 
performing  IAS 24.18(b); Annex V. Part 
2.117  
0110  Loan commitments, 
financial guarantees and 
other commitments 
received  IAS 24.18(b); Annex V.Part 
2.290  
0120  Notional amount of 
derivatives  Annex V.Part 2.133-135  
0131  Accumulated impairment 
and accumulated 
negative changes in fair 
value due to credit risk 
on non-performing 
exposures  IAS 24.1(c); Annex V.Part 
2.69-71, 291  
0132  Provisions on non- 
performing off-balance 
sheet exposures  Annex V.Part 2.11, 106, 
291
EN L 97/850 Official Journal of the European Union 19.3.2021
 31.2  Related parties: expenses and income generated by transactions with  
References  
Annex V.Part 2.288-289, 292- 
293  Current period
 Parent and entities with 
joint control or significant 
influence  
Subsidiaries and other en- 
tities of the same group  
Associates and joint ven- 
tures  
Key management of the 
institution or its parent  
Other related parties 
IAS 24.19(a),(b)  IAS 24.19(c)  IAS 24.19(d),(e)  IAS 24.19(f)  IAS 24.19(g)  
0010  0020  0030  0040  0050  
0010  Interest income  IAS 24.18(a); Annex V.Part 
2.31  
0020  Interest expenses  IAS 24.18(a); IAS 1.97; 
Annex V.Part 2.31  
0030  Dividend income  IAS 24.18(a); Annex V.Part 
2.40  
0040  Fee and commission 
income  IAS 24.18(a); IFRS 7.20(c)  
0050  Fee and commission 
expenses  IAS 24.18(a); IFRS 7.20(c)  
0060  Gains or (-) losses on de- 
recognition of financial 
assets and liabilities not 
measured at fair value 
through profit or loss  IAS 24.18(a)
EN 19.3.2021 Official Journal of the European Union L 97/851
 References  
Annex V.Part 2.288-289, 292- 
293  Current period
 Parent and entities with 
joint control or significant 
influence  
Subsidiaries and other en- 
tities of the same group  
Associates and joint ven- 
tures  
Key management of the 
institution or its parent  
Other related parties 
IAS 24.19(a),(b)  IAS 24.19(c)  IAS 24.19(d),(e)  IAS 24.19(f)  IAS 24.19(g)  
0010  0020  0030  0040  0050  
0070  Gains or (-) losses on de- 
recognition of other than 
financial assets  IAS 24.18(a); Annex V.Part 
2.292  
0080  Impairment or (-) 
reversal of impairment 
on non-performing 
exposures  IAS 24.18(d); Annex V.Part 
2.293  
0090  Provisions or (-) reversal 
of provisions on non- 
performing exposures  Annex V. Part 2.50, 293
EN L 97/852 Official Journal of the European Union 19.3.2021
 40. Group structure  
40.1  Group structure: ‘entity-by-entity’  
Code  Type of code  National code  Entity name  Entry date  Share capital of 
investee  Equity of 
investee  Total assets of 
investee  Profit or (-) loss 
of investee  Residence of 
investee  Sector of 
investee  
Annex V.Part 
2.294-295, 
296(a)  Annex V.Part 
2.294-295, 
296(b)  Annex V.Part 
2.294-295, 
296(c)  IFRS 12.12(a), 
21(a)(i); Annex 
V.Part 2.294- 
295, 296(d)  Annex V.Part 
2.294-295, 
296(e)  Annex V.Part 
2.294-295, 
296(f)  IFRS 12.B12(b); 
Annex V.Part 
2.294-295, 
296(g)  IFRS 12.B12(b); 
Annex V.Part 
2.294-295, 
296(g)  IFRS 12.B12(b); 
Annex V.Part 
2.294-295, 
296(g)  IFRS 12.12.(b), 
21.(a).(iii); Annex 
V.Part 2.294- 
295, 296(h)  Annex V.Part 
2.294-295, 296(i)  
0011  0015  0025  0030  0040  0050  0060  0070  0080  0090  0095  
NACE Code  Accumulated 
equity interest 
[%] Voting rights [%]  Group structure 
[relationship]  Accounting 
treatment 
[Accounting 
Group]  Accounting 
treatment [CRR 
Group]  Carrying amount  Acquisition cost  Goodwill link to 
Investee  Fair value of 
investments for 
which there are 
published price 
quotations  
Annex V.Part 
2.294-295, 296(j)  IFRS 12.21(a)(iv); 
Annex V.Part 
2.294-295, 296(k)  IFRS 12.21(a)(iv); 
Annex V.Part 
2.294-295, 296(l)  IFRS 12.10(a)(i); 
Annex V.Part 
2.294-295, 296(m)  IFRS 12.21(b); 
Annex V.Part 
2.294-295, 296(n)  CRR art 18; Annex 
V.Part 2.294-295, 
296(o)  Annex V.Part 
2.294-295, 296(p)  Annex V.Part 
2.294-295, 
296(q)  Annex V.Part 
2.294-295, 296(r)  IFRS 12.21(b)(iii); 
Annex V.Part 2.294- 
295, 296(s)  
0100  0110  0120  0130  0140  0150  0160  0170  0180  0190  
40.2  Group structure: ‘instrument-by-instrument’  
Security 
code  Investee  Holding company  Accumulated 
equity 
interest (%)  Carrying amount  Acquisition cost  
Code  Type of code  Code  Type of code  National code  Holding company 
name  
Annex 
V.Part 
2.297(a)  Annex V.Part 2.296(a), 
297(e)  Annex V.Part 2.296(b), 
297(e)  Annex V.Part 
2.297(b)  Annex V.Part 
2.297(c)  Annex V.Part 
2.297(d)  Annex V.Part 
2.296(j), 297(e)  Annex V.Part 
2.296(o), 297(e)  Annex V.Part 
2.296(p), 297(e)  
0010  0021  0025  0031  0035  0045  0050  0060  0070  0080
EN 19.3.2021 Official Journal of the European Union L 97/853
 41. Fair value  
41.1  Fair value hierarchy: financial instruments at amortised cost  
References  
Annex V.Part 2.298  Fair value  
IFRS 7.25-26  Fair value hierarchy  
IFRS 13.97, 93(b)  
Level 1  
IFRS 13.76  Level 2  
IFRS 13.81  Level 3  
IFRS 13.86  
0010  0020  0030  0040  
ASSETS  
0015  Financial assets at amortised cost  IFRS 7.8(f); IFRS 9.4.1.2  
0016  Debt securities  Annex V.Part 1.31  
0017  Loans and advances  Annex V.Part 1.32  
LIABILITIES  
0070  Financial liabilities measured at amortised cost  IFRS 7.8(g); IFRS 9.4.2.1  
0080  Deposits  ECB/2013/33 Annex 2.Part 2.9; Annex 
V.Part 1.36  
0090  Debt securities issued  Annex V.Part 1.37  
0100  Other financial liabilities  Annex V.Part 1.38-41
EN L 97/854 Official Journal of the European Union 19.3.2021
 41.2  Use of the Fair Value Option  
References  Carrying amount  
Annex V.Part 1.27  
Accounting 
mismatch  Managed on a fair 
value basis  Hybrid contracts  Managed for credit 
risk  
IFRS 9.B4.1.29  IFRS 9.B4.1.33  IFRS 9.4.3.6; IFRS 
9.4.3.7; Annex V.Part 
2.300  IFRS 9.6.7; IFRS 
7.8(a)(e); Annex 
V.Part 2.301  
0010  0020  0030  0040  
ASSETS  
0010  Financial assets designated at fair value through 
profit or loss  IFRS 7.8(a)(i); IFRS 9.4.1.5  
0030  Debt securities  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  
ASSETS  
0050  Financial liabilities designated at fair value 
through profit or loss  IFRS 7.8 (e)(i); IFRS 9.4.2.2  
0060  Deposits  ECB/2013/33 Annex 2.Part 2.9; Annex 
V.Part 1.36  
0070  Debt securities issued  Annex V.Part 1.37  
0080  Other financial liabilities  Annex V.Part 1.38-41
EN 19.3.2021 Official Journal of the European Union L 97/855
 42. Tangible and intangible assets: carrying amount by measurement method  
References  
Annex V.Part 2.302  Carrying amount  of which: right-of-use assets  
IFRS 16.47(a), 53(j), Annex V.Part 2.303i  
0010  0020  
0010  Property plant and equipment  IAS 16.6; IAS 16.29; IAS 1.54(a)  
0015  Of which: Software assets  IAS 38.4; Annex V.Part 2.303  
0020  Revaluation model  IAS 16.31, 73(a),(d)  
0030  Cost model  IAS 16.30, 73(a),(d)  
0040  Investment property  IAS 40.5, 30; IAS 1.54(b)  
0050  Fair value model  IAS 40.33-55, 76  
0060  Cost model  IAS 40.56, 79(c)  
0070  Other intangible assets  IAS 38.8, 118, 122 ; Annex V.Part 
2.303  
0075  Of which: Software assets  IAS 38.9; Annex V.Part 2.303  
0080  Revaluation model  IAS 38.75-87, 124(a)(ii)  
0090  Cost model  IAS 38.74
EN L 97/856 Official Journal of the European Union 19.3.2021
 43. Provisions  
References National GAAP 
compatible IFRS  Carrying amount  
Annex V.Part 1.27  
Pensions and other post 
employment defined 
benefit obligations  Other long 
term 
employee 
benefits  Restruc­
turing  Pending legal 
issues and 
tax litigation  Other commitments 
and guarantees given 
measured under IAS 
37 and guarantees 
given measured under 
IFRS 4  Other 
provisions  
IAS 19.63; IAS 1.78(d); 
Annex V.Part 2.9  IAS 19.153; 
IAS 1.78(d); 
Annex V.Part 
2.10  IAS 37.70-83, 
84 (a)  IAS 37.14, 
84(a)  IAS 37; IFRS 4; Annex V. 
Part 2.304-305  IAS 37.14  
0010  0020  0030  0040  0055  0060  
0010  Opening balance [carrying amount 
at the beginning of the period]  IAS 37.84 (a)  
0020  Additions, including increases in 
existing provisions  IAS 37.84 (b)  
0030  (-) Amounts used  IAS 37.84 (c)  
0040  (-) Unused amounts reversed during 
the period  IAS 37.84 (d)  
0050  Increase in the discounted amount 
[passage of time] and effect of any 
change in the discount rate  IAS 37.84 (e)  
0060  Other movements  
0070  Closing balance [carrying amount at 
the end of the period]  IAS 37.84 (a)
EN 19.3.2021 Official Journal of the European Union L 97/857  
44. Defined benefit plans and employee benefits  
44.1  Components of net defined benefit plan assets and liabilities  
References  Amount  
Annex V.Part 2.306-307  
0010  
0010  Fair value of defined benefit plan assets  IAS 19.140(a)(i), 142  
0020  Of which: Financial instruments issued by the institution  IAS 19.143  
0030  Equity instruments  IAS 19.142(b)  
0040  Debt instruments  IAS 19.142(c)  
0050  Real estate  IAS 19.142(d)  
0060  Other defined benefit plan assets  
0070  Present value of defined benefit obligations  IAS 19.140(a)(ii)  
0080  Effect of the asset ceiling  IAS 19.140(a)(iii)  
0090  Net defined benefit assets [Carrying amount]  IAS 19.63; Annex V.Part 
2.308  
0100  Provisions for pensions and other post-employment 
defined benefit obligations [Carrying amount]  IAS 19.63, IAS 1.78(d); 
Annex V.Part 2.9  
0110  Fair value of any right to reimbursement recognised as an 
asset  IAS 19.140(b)  
44.2  Movements in defined benefit obligations  
References  Defined benefit 
obligations  
Annex V.Part 2.306, 309  
0010  
0010  Opening balance [present value]  IAS 19.140(a)(ii)  
0020  Current service cost  IAS 19.141(a)  
0030  Interest cost  IAS 19.141(b)  
0040  Contributions paid  IAS 19.141(f)  
0050  Actuarial (-) gains or losses from changes in demographic 
assumptions  IAS 19.141(c)(ii)  
0060  Actuarial (-) gains or losses from changes in financial 
assumptions  IAS 19.141(c)(iii)
EN L 97/858 Official Journal of the European Union 19.3.2021  
References  Defined benefit 
obligations  
Annex V.Part 2.306, 309  
0010  
0070  Foreign currency exchange increase or (-) decrease  IAS 19.141(e)  
0080  Benefits paid  IAS 19.141(g)  
0090  Past service cost, including gains and losses arising from 
settlements  IAS 19.141(d)  
0100  Increase or (-) decrease through business combinations 
and disposals  IAS 19.141(h)  
0110  Other increases or (-) decreases  
0120  Closing balance [present value]  IAS 19.140(a)(ii); Annex 
V.Part 2.310  
44.3  Staff expenses by type of benefits  
References  Current period  
0010  
0010  Pension and similar expenses  Annex V.Part 2.311(a)  
0020  Share based payments  IFRS 2.44; Annex V.Part 
2.311(b)  
0030  Wages and salaries  Annex V.Part 2.311(c)  
0040  Social security contributions  Annex V.Part 2.311(d)  
0050  Severance payments  IAS 19.8, Annex V.Part 
2.311(e)  
0060  Other types of staff expenses  Annex V.Part 2.311(f)  
0070  STAFF EXPENSES
EN 19.3.2021 Official Journal of the European Union L 97/859  
44.4  Staff expenses by category of remuneration and category of staff  
References  Current period  
Total staff  
of which: 
Identified staff  of which: 
Management body (in 
its management 
function) and senior 
management  of which: Management 
body (in its super ­
visory function)  
Annex V.Part 
2.311i (a)  Annex V.Part 2.311i  Annex V.Part 2.311i 
(b) 
0010  0020  0030  0040  
0010  Fixed remuneration  Annex V.Part 2.311i 
(a) 
0020  Variable remuneration  Annex V.Part 2.311i 
(a) 
0030  Staff expenses other 
than remuneration  
0040  STAFF EXPENSES  
0050  NUMBER OF STAFF  Annex V.Part 2.311ii  
45 Breakdown of selected items of statement of profit or loss  
45.1  Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting 
portfolio  
References  Current 
period  Changes in fair value 
due to credit risk  
Annex V.Part 2.312  
0010  0020  
0010  Financial assets designated at fair value through 
profit or loss  IFRS 7.20(a)(i); IFRS 9.4.1.5  
0020  Financial liabilities designated at fair value 
through profit or loss  IFRS 7.20(a)(i); IFRS 9.4.2.2  
0030  GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND 
LIABILITIES DESIGNATED AT FAIR VALUE 
THROUGH PROFIT OR LOSS  IFRS 7.20(a)(i)
EN L 97/860 Official Journal of the European Union 19.3.2021  
45.2  Gains or losses on derecognition of non-financial assets  
References  Current period  
Annex V.Part 2.313  
0010  
0010  Property, Plant and Equipment  IAS 16.68, 71  
0020  Investment property  IAS 40.69; IAS 1.34(a), 98(d)  
0030  Intangible assets  IAS 38.113-115A; IAS 1.34(a)  
0040  Other assets  IAS 1.34 (a)  
0050  GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL 
ASSETS  IAS 1.34  
45.3  Other operating income and expenses  
References  Income  Expenses  
0010  0020  
0010  Changes in fair value in tangible assets measured 
using the fair value model  IAS 40.76(d); Annex V.Part 
2.314  
0020  Investment property  IAS 40.75(f); Annex V.Part 
2.314  
0030  Operating Leases other than investment property  IFRS 16.81,82; Annex V.Part 
2.315  
0040  Other  Annex V.Part 2.316  
0050  OTHER OPERATING INCOME OR EXPENSES  Annex V.Part 2.314-316
EN 19.3.2021 Official Journal of the European Union L 97/861
 46. Statement of changes in equity  
Sources of equity changes  References
 
Capital  
Share premium  
Equity instruments is- 
sued other than Capital  
Other equity  
Accumulated other com- 
prehensive income 
IAS 1.106, 
54(r)  IAS 1.106, 
78(e)  IAS 1.106, 
Annex V.Part 
2.18-19  IAS 1.106; 
Annex V.Part 
2.20  IAS 1.106  
0010  0020  0030  0040  0050  
0010  Opening balance [before restatement]  
0020  Effects of corrections of errors  IAS 1.106.(b); IAS 8.42  
0030  Effects of changes in accounting policies  IAS 1.106.(b); IAS 1.IG6; 
IAS 8.22  
0040  Opening balance [current period]  
0050  Issuance of ordinary shares  IAS 1.106.(d).(iii)  
0060  Issuance of preference shares  IAS 1.106.(d).(iii)  
0070  Issuance of other equity instruments  IAS 1.106.(d).(iii)  
0080  Exercise or expiration of other equity instruments issued  IAS 1.106.(d).(iii)  
0090  Conversion of debt to equity  IAS 1.106.(d).(iii)  
0100  Capital reduction  IAS 1.106.(d).(iii)  
0110  Dividends  IAS 1.106.(d).(iii); IAS 
32.35; IAS 1.IG6
EN L 97/862 Official Journal of the European Union 19.3.2021
 Sources of equity changes  References
 
Capital  
Share premium  
Equity instruments is- 
sued other than Capital  
Other equity  
Accumulated other com- 
prehensive income 
IAS 1.106, 
54(r)  IAS 1.106, 
78(e)  IAS 1.106, 
Annex V.Part 
2.18-19  IAS 1.106; 
Annex V.Part 
2.20  IAS 1.106  
0010  0020  0030  0040  0050  
0120  Purchase of treasury shares  IAS 1.106.(d).(iii); IAS 
32.33  
0130  Sale or cancellation of treasury shares  IAS 1.106.(d).(iii); IAS 
32.33  
0140  Reclassification of financial instruments from equity to 
liability  IAS 1.106.(d).(iii)  
0150  Reclassification of financial instruments from liability to 
equity  IAS 1.106.(d).(iii)  
0160  Transfers among components of equity  IAS 1.106.(d).(iii); Annex 
V.Part 2.318  
0170  Equity increase or (-) decrease resulting from business 
combinations  IAS 1.106.(d).(iii)  
0180  Share based payments  IAS 1.106.(d).(iii); IFRS 
2.10  
0190  Other increase or (-) decrease in equity  IAS 1.106.(d)  
0200  Total comprehensive income for the year  IAS 1.106.(d).(i)-(ii); IAS 
1.81A.(c); IAS 1.IG6  
0210  Closing balance [current period]
EN 19.3.2021 Official Journal of the European Union L 97/863
 Sources of equity changes  References
 
Retained earnings  
Revaluation reserves  
Other reserves  
(-) Treasury shares  
Profit or (-) loss atribu- 
table to owners of the 
parent 
CRR art 
4(1)(123)  IFRS 1.30 
D5-D8  IAS 1.106, 
54(c)  IAS 1.106; IAS 
32.34, 33; 
Annex V.Part 
2.30  IAS 1.106(a)  
0060  0070  0080  0090  0100  
0010  Opening balance [before restatement]  
0020  Effects of corrections of errors  IAS 1.106.(b); IAS 8.42  
0030  Effects of changes in accounting policies  IAS 1.106.(b); IAS 1.IG6; 
IAS 8.22  
0040  Opening balance [current period]  
0050  Issuance of ordinary shares  IAS 1.106.(d).(iii)  
0060  Issuance of preference shares  IAS 1.106.(d).(iii)  
0070  Issuance of other equity instruments  IAS 1.106.(d).(iii)  
0080  Exercise or expiration of other equity instruments issued  IAS 1.106.(d).(iii)  
0090  Conversion of debt to equity  IAS 1.106.(d).(iii)  
0100  Capital reduction  IAS 1.106.(d).(iii)  
0110  Dividends  IAS 1.106.(d).(iii); IAS 
32.35; IAS 1.IG6
EN L 97/864 Official Journal of the European Union 19.3.2021
 Sources of equity changes  References
 
Retained earnings  
Revaluation reserves  
Other reserves  
(-) Treasury shares  
Profit or (-) loss atribu- 
table to owners of the 
parent 
CRR art 
4(1)(123)  IFRS 1.30 
D5-D8  IAS 1.106, 
54(c)  IAS 1.106; IAS 
32.34, 33; 
Annex V.Part 
2.30  IAS 1.106(a)  
0060  0070  0080  0090  0100  
0120  Purchase of treasury shares  IAS 1.106.(d).(iii); IAS 
32.33  
0130  Sale or cancellation of treasury shares  IAS 1.106.(d).(iii); IAS 
32.33  
0140  Reclassification of financial instruments from equity to 
liability  IAS 1.106.(d).(iii)  
0150  Reclassification of financial instruments from liability to 
equity  IAS 1.106.(d).(iii)  
0160  Transfers among components of equity  IAS 1.106.(d).(iii); Annex 
V.Part 2.318  
0170  Equity increase or (-) decrease resulting from business 
combinations  IAS 1.106.(d).(iii)  
0180  Share based payments  IAS 1.106.(d).(iii); IFRS 
2.10  
0190  Other increase or (-) decrease in equity  IAS 1.106.(d)  
0200  Total comprehensive income for the year  IAS 1.106.(d).(i)-(ii); IAS 
1.81A.(c); IAS 1.IG6  
0210  Closing balance [current period]
EN 19.3.2021 Official Journal of the European Union L 97/865
 Sources of equity changes  References
 
(-) Interim dividends Minority interests
 
Total  Accumulated Other 
Comprehensive Income  
Other items 
IAS 1.106; IAS 
32.35  IAS 1.54(q), 106(a)  IAS 1.54(q), 106(a)  IAS 1.9(c), IG6  
0110  0120  0130  0140  
0010  Opening balance [before restatement]  
0020  Effects of corrections of errors  IAS 1.106.(b); IAS 8.42  
0030  Effects of changes in accounting policies  IAS 1.106.(b); IAS 1.IG6; 
IAS 8.22  
0040  Opening balance [current period]  
0050  Issuance of ordinary shares  IAS 1.106.(d).(iii)  
0060  Issuance of preference shares  IAS 1.106.(d).(iii)  
0070  Issuance of other equity instruments  IAS 1.106.(d).(iii)  
0080  Exercise or expiration of other equity instruments issued  IAS 1.106.(d).(iii)  
0090  Conversion of debt to equity  IAS 1.106.(d).(iii)  
0100  Capital reduction  IAS 1.106.(d).(iii)  
0110  Dividends  IAS 1.106.(d).(iii); IAS 
32.35; IAS 1.IG6
EN L 97/866 Official Journal of the European Union 19.3.2021
 Sources of equity changes  References
 
(-) Interim dividends Minority interests
 
Total  Accumulated Other 
Comprehensive Income  
Other items 
IAS 1.106; IAS 
32.35  IAS 1.54(q), 106(a)  IAS 1.54(q), 106(a)  IAS 1.9(c), IG6  
0110  0120  0130  0140  
0120  Purchase of treasury shares  IAS 1.106.(d).(iii); IAS 
32.33  
0130  Sale or cancellation of treasury shares  IAS 1.106.(d).(iii); IAS 
32.33  
0140  Reclassification of financial instruments from equity to 
liability  IAS 1.106.(d).(iii)  
0150  Reclassification of financial instruments from liability to 
equity  IAS 1.106.(d).(iii)  
0160  Transfers among components of equity  IAS 1.106.(d).(iii); Annex 
V.Part 2.318  
0170  Equity increase or (-) decrease resulting from business 
combinations  IAS 1.106.(d).(iii)  
0180  Share based payments  IAS 1.106.(d).(iii); IFRS 
2.10  
0190  Other increase or (-) decrease in equity  IAS 1.106.(d)  
0200  Total comprehensive income for the year  IAS 1.106.(d).(i)-(ii); IAS 
1.81A.(c); IAS 1.IG6  
0210  Closing balance [current period]
EN 19.3.2021 Official Journal of the European Union L 97/867
 47. Loans and advances: Average duration and recovery periods  
References  TOTAL  
of which: Households  of which: Non-financial corporations  
of which: loans 
collateralised by 
residential 
immovable property  of which: SMEs  Of which: 
Commercial 
Real Estate 
(CRE) loans 
to NFCs 
other than 
SMEs  of which: 
Commercial Real 
Estate (CRE) loans  
Annex V.Part 
1.42(f)  Annex V.Part 2.86(a), 
87 Annex V.Part 
1.42(e)  SME Art 1 
2(a)  SME Art 1 2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0010  Non-performing loans and 
advances: weighted average 
time since past due date (in 
years)  Annex V.Part 2.362, 
363  
0020  Net cumulated recoveries 
from litigation procedures 
concluded during the 
period  Annex V.Part 2.362, 
364(a)  
0030  Gross carrying amount 
reduction from litigation 
procedures concluded 
during the period  Annex V.Part 2.362, 
364(b)  
0040  Average duration of liti ­
gation procedures 
concluded in the period (in 
years)  Annex V.Part 2.362, 
364(c)
EN L 97/868 Official Journal of the European Union 19.3.2021  
ANNEX IV  
REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS 
FINREP TEMPLATES FOR GAAP  
TEMPLATE 
NUMBER  TEMPLATE 
CODE  NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE  
PART 1 [QUARTERLY FREQUENCY]  
Balance Sheet Statement [Statement of Financial Position]  
1.1 F 01.01  Balance Sheet Statement: assets  
1.2 F 01.02  Balance Sheet Statement: liabilities  
1.3 F 01.03  Balance Sheet Statement: equity  
2 F 02.00  Statement of profit or loss  
3 F 03.00  Statement of comprehensive income  
Breakdown of financial assets by instrument and by counterparty sector  
4.1 F 04.01  Breakdown of financial assets by instrument and by counterparty sector: financial assets held for 
trading  
4.2.1  F 04.02.1  Breakdown of financial assets by instrument and by counterparty sector: non-trading financial 
assets mandatorily at fair value through profit or loss  
4.2.2  F 04.02.2  Breakdown of financial assets by instrument and by counterparty sector: financial assets designated 
at fair value through profit or loss  
4.3.1  F 04.03.1  Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair 
value through other comprehensive income  
4.4.1  F 04.04.1  Breakdown of financial assets by instrument and by counterparty sector: financial assets at 
amortised cost  
4.5 F 04.05  Subordinated financial assets  
4.6 F 04.06  Breakdown of financial assets by instrument and by counterparty sector: trading financial assets  
4.7 F 04.07  Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative 
financial assets measured at fair value through profit or loss  
4.8 F 04.08  Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative 
financial assets measured at fair value to equity  
4.9 F 04.09  Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative 
financial assets measured at a cost-based method  
4.10  F 04.10  Breakdown of financial assets by instrument and by counterparty sector: other non-trading non- 
derivative financial assets  
5.1 F 05.01  Loans and advances other than held for trading, trading or held for sale assets by product  
6.1 F 06.01  Breakdown of loans and advances other than held for trading, trading or held for sale assets 
to non-financial corporations by NACE codes  
Financial assets subject to impairment that are past due  
7.1 F 07.01  Financial assets subject to impairment that are past due  
7.2 F 07.02  Financial assets subject to impairment that are past due under national GAAP
EN 19.3.2021 Official Journal of the European Union L 97/869  
FINREP TEMPLATES FOR GAAP  
TEMPLATE 
NUMBER  TEMPLATE 
CODE  NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE  
Breakdown of financial liabilities  
8.1 F 08.01  Breakdown of financial liabilities by product and by counterparty sector  
8.2 F 08.02  Subordinated financial liabilities  
Loan commitments, financial guarantees and other commitments  
9.1 F 09.01  Off-balance sheet exposures under national GAAP: loan commitments, financial guarantees and 
other commitments given  
9.1.1  F 09.01.1  Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given  
9.2 F 09.02  Loan commitments, financial guarantees and other commitments received  
10 F 10.00  Derivatives - Trading and economic hedges  
Hedge accounting  
11.1  F 11.01  Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge  
11.2  F 11.02  Derivatives - Hedge accounting under national GAAP: Breakdown by type of risk  
11.3  F 11.03  Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge  
11.3.1  F 11.03.1  Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio  
11.4  F 11.04  Hedged items in fair value hedges  
Movements in allowances and provisions for credit losses  
12 F 12.00  Movements in allowances for credit losses and impairment of equity instruments under national 
GAAP  
12.1  F 12.01  Movements in allowances and provisions for credit losses  
12.2  F 12.02  Transfers between impairment stages (gross basis presentation)  
Collateral and guarantees received  
13.1  F 13.01  Breakdown of collateral and guarantees by loans and advances other than held for trading  
13.2.1  F 13.02.1  Collateral obtained by taking possession during the period [held at the reference date]  
13.3.1  F 13.03.1  Collateral obtained by taking possession accumulated  
14 F 14.00  Fair value hierarchy: financial instruments at fair value  
15 F 15.00  Derecognition and financial liabilities associated with transferred financial assets  
Breakdown of selected statement of profit or loss items  
16.1  F 16.01  Interest income and expenses by instrument and counterparty sector  
16.2  F 16.02  Gains or losses on derecognition of financial assets and liabilities not measured at fair value 
through profit or loss by instrument  
16.3  F 16.03  Gains or losses on financial assets and liabilities held for trading and trading financial assets and 
trading financial liabilities by instrument  
16.4  F 16.04  Gains or losses on financial assets and liabilities held for trading and trading financial assets and 
trading financial liabilities by risk  
16.4.1  F 16.04.1  Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by 
instrument
EN L 97/870 Official Journal of the European Union 19.3.2021  
FINREP TEMPLATES FOR GAAP  
TEMPLATE 
NUMBER  TEMPLATE 
CODE  NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE  
16.5  F 16.05  Gains or losses on financial assets and liabilities designated at fair value through profit or loss by 
instrument  
16.6  F 16.06  Gains or losses from hedge accounting  
16.7  F 16.07  Impairment on non-financial assets  
16.8  F 16.08  Other administrative expenses  
Reconciliation between accounting and CRR scope of consolidation: Balance Sheet  
17.1  F 17.01  Reconciliation between accounting and CRR scope of consolidation: Assets  
17.2  F 17.02  Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - 
loan commitments, financial guarantees and other commitments given  
17.3  F 17.03  Reconciliation between accounting and CRR scope of consolidation: Liabilities  
Information on performing and non-performing exposures  
18 F 18.00  Information on performing and non-performing exposures  
18.1  F 18.01  Inflows and outflows of non-performing exposures - loans and advances by counterparty sector  
18.2  F 18.02  Commercial Real Estate (CRE) loans and additional information on loans secured by immovable 
property  
19 F 19.00  Forborne exposures  
PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]  
Geographical breakdown  
20.1  F 20.01  Geographical breakdown of assets by location of the activities  
20.2  F 20.02  Geographical breakdown of liabilities by location of the activities  
20.3  F 20.03  Geographical breakdown of main statement of profit or loss items by location of the activities  
20.4  F 20.04  Geographical breakdown of assets by residence of the counterparty  
20.5  F 20.05  Geographical breakdown of off-balance sheet exposures by residence of the counterparty  
20.6  F 20.06  Geographical breakdown of liabilities by residence of the counterparty  
20.7.1  F 20.07.1  Geographical breakdown by residence of the counterparty of loans and advances other than held 
for trading to non-financial corporations by NACE codes  
21 F 21.00  Tangible and intangible assets: assets subject to operating lease  
Asset management, custody and other service functions  
22.1  F 22.01  Fee and commission income and expenses by activity  
22.2  F 22.02  Assets involved in the services provided  
Loans and advances: additional information  
23.1  F 23.01  Loans and advances: Number of instruments  
23.2  F 23.02  Loans and advances: Additional information on gross carrying amounts  
23.3  F 23.03  Loans and advances collateralised by immovable property: Breakdown by LTV ratios  
23.4  F 23.04  Loans and advances: Additional information on accumulated impairments and accumulated 
negative changes in fair value due to credit risk
EN 19.3.2021 Official Journal of the European Union L 97/871  
FINREP TEMPLATES FOR GAAP  
TEMPLATE 
NUMBER  TEMPLATE 
CODE  NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE  
23.5  F 23.05  Loans and advances: Collateral received and financial guarantees received  
23.6  F 23.06  Loans and advances: Accumulated partial write-offs  
Loans and advances: Flows of non performing exposures, impairment & write offs since the 
end of the last financial year  
24.1  F 24.01  Loans and advances: Inflows and outflows of non-performing exposures  
24.2  F 24.02  Loans and advances: Flow of impairments and accumulated negative changes in fair value due to 
credit risk on non-performing exposures  
24.3  F 24.03  Loans and advances: Inflow of write-offs of non-performing exposures  
Collateral obtained by taking possession and execution processes  
25.1  F 25.01  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E): Inflows and Outflows  
25.2  F 25.02  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E): Type of collateral obtained  
25.3  F 25.03  Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)  
26 F 26.00  Forbearance management and quality of forbearance  
PART 3 [SEMI-ANNUAL]  
Off-balance sheet activities: interests in unconsolidated structured entities  
30.1  F 30.01  Interests in unconsolidated structured entities  
30.2  F 30.02  Breakdown of interests in unconsolidated structured entities by nature of the activities  
Related parties  
31.1  F 31.01  Related parties: amounts payable to and amounts receivable from  
31.2  F 31.02  Related parties: expenses and income generated by transactions with  
PART 4 [ANNUAL]  
Group structure  
40.1  F 40.01  Group structure: ‘entity-by-entity’  
40.2  F 40.02  Group structure: ‘instrument-by-instrument’  
Fair value  
41.1  F 41.01  Fair value hierarchy: financial instruments at amortised cost  
41.2  F 41.02  Use of the Fair Value Option  
42 F 42.00  Tangible and intangible assets: carrying amount by measurement method  
43 F 43.00  Provisions  
Defined benefit plans and employee benefits  
44.1  F 44.01  Components of net defined benefit plan assets and liabilities  
44.2  F 44.02  Movements in defined benefit plan obligations  
44.3  F 44.03  Staff expenses by type of benefits  
44.4  F 44.04  Staff expenses by structure and category of staff
EN L 97/872 Official Journal of the European Union 19.3.2021  
FINREP TEMPLATES FOR GAAP  
TEMPLATE 
NUMBER  TEMPLATE 
CODE  NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE  
Breakdown of selected items of statement of profit or loss  
45.1  F 45.01  Gains or losses on financial assets and liabilities designated at fair value through profit or loss by 
accounting portfolio  
45.2  F 45.02  Gains or losses on derecognition of non-financial assets other than held for sale and investments in 
subsidiaries, joint ventures and associates  
45.3  F 45.03  Other operating income and expenses  
46 F 46.00  Statement of changes in equity  
47 F 47.00  Average duration and recovery periods
EN 19.3.2021 Official Journal of the European Union L 97/873  
1. Balance Sheet Statement [Statement of Financial Position]  
1.1 Assets  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
Annex V.Part 
1.27-28  
0010  
0010  Cash, cash balances at central banks and 
other demand deposits  BAD art 4.Assets(1)  IAS 1.54 (i)  
0020  Cash on hand  Annex V.Part 2.1  Annex V.Part 2.1  
0030  Cash balances at central banks  BAD art 13(2); 
Annex V.Part 2.2  Annex V.Part 2.2  
0040  Other demand deposits  Annex V.Part 2.3  Annex V.Part 2.3  5  
0050  Financial assets held for trading  Accounting Directive 
art 8(1)(a), (5); IAS 
39.9  IFRS 9.Appendix A  
0060  Derivatives  CRR Annex II  IFRS 9.Appendix A  10  
0070  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  IAS 32.11  4  
0080  Debt securities  Annex V.Part 1.24, 
26 Annex V.Part 1.31  4  
0090  Loans and advances  Annex V.Part 1.24, 
27 Annex V.Part 1.32  4  
0091  Trading financial assets  BAD Article 32-33; 
Annex V.Part 1.17  
0092  Derivatives  CRR Annex II; Annex 
V.Part 1.17, 27  10 
0093  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  4
EN L 97/874 Official Journal of the European Union 19.3.2021  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
Annex V.Part 
1.27-28  
0010  
0094  Debt securities  Annex V.Part 1.31  4  
0095  Loans and advances  Annex V.Part 1.32  4  
0096  Non-trading financial assets mandatorily at 
fair value through profit or loss  IFRS 7.8(a)(ii); IFRS 
9.4.1.4  4 
0097  Equity instruments  IAS 32.11  4  
0098  Debt securities  Annex V.Part 1.31  4  
0099  Loans and advances  Annex V.Part 1.32  4  
0100  Financial assets designated at fair value 
through profit or loss  Accounting Directive 
art 8(1)(a), (6)  IFRS 7.8(a)(i); IFRS 
9.4.1.5  4 
0110  Equity instruments  IAS 
32.11;ECB/2013/33 
Annex 2.Part 2.4-5  4 
0120  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  4  
0130  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  4  
0141  Financial assets at fair value through other 
comprehensive income  IFRS 7.8(h); IFRS 
9.4.1.2A  4 
0142  Equity instruments  IAS 32.11  4  
0143  Debt securities  Annex V.Part 1.31  4  
0144  Loans and advances  Annex V.Part 1.32  4  
0171  Non-trading non-derivative financial assets 
measured at fair value through profit or 
loss  BAD art 36(2)  4  
0172  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  4 
0173  Debt securities  Annex V.Part 1.31  4  
0174  Loans and advances  Accounting Directive 
art 8(1)(a), (4)(b); 
Annex V.Part 1.32  4 
0175  Non-trading non-derivative financial assets 
measured at fair value to equity  Accounting Directive 
art 8(1)(a), (8)  4 
0176  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  4
EN 19.3.2021 Official Journal of the European Union L 97/875  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
Annex V.Part 
1.27-28  
0010  
0177  Debt securities  Annex V.Part 1.31  4  
0178  Loans and advances  Accounting Directive 
art 8(1)(a), (4)(b); 
Annex V.Part 1.32  4 
0181  Financial assets at amortised cost  IFRS 7.8(f); IFRS 
9.4.1.2  4 
0182  Debt securities  Annex V.Part 1.31  4  
0183  Loans and advances  Annex V.Part 1.32  4  
0231  Non-trading non-derivative financial assets 
measured at a cost-based method  BAD art 35;Ac ­
counting Directive 
Article 6(1)(i) and 
Article 8(2); Annex 
V.Part1.18, 19  4 
0390  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  4 
0232  Debt securities  Annex V.Part 1.31  4  
0233  Loans and advances  Annex V.Part 1.32  4  
0234  Other non-trading non-derivative financial 
assets  BAD art 37; 
Accounting Directive 
Article 12(7); Annex 
V.Part 1.20  4 
0235  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  4 
0236  Debt securities  Annex V.Part 1.31  4  
0237  Loans and advances  Annex V.Part 1.32  4  
0240  Derivatives – Hedge accounting  Accounting Directive 
art 8(1)(a), (6), (8); 
IAS 39.9; Annex 
V.Part 1.22  IFRS 9.6.2.1; Annex 
V.Part 1.22  11 
0250  Fair value changes of the hedged items in 
portfolio hedge of interest rate risk  Accounting Directive 
art 8(5), (6); IAS 
39.89A (a)  IAS 39.89A(a); IFRS 
9.6.5.8  
0260  Investments in subsidiaries, joint ventures 
and associates  BAD art 4.Assets(7)- 
(8); Accounting 
Directive art 2(2); 
Annex V.Part 1.21, 
Part 2.4  IAS 1.54(e); Annex 
V.Part 1.21, Part 2.4  40
EN L 97/876 Official Journal of the European Union 19.3.2021  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
Annex V.Part 
1.27-28  
0010  
0270  Tangible assets  BAD art 4.Assets(10)  
0280  Property, Plant and Equipment  IAS 16.6; IAS 
1.54(a); IFRS 
16.47(a)  21, 42  
0290  Investment property  IAS 40.5; IAS 
1.54(b); IFRS 16.48  21, 42  
0300  Intangible assets  BAD art 4.Assets(9); 
CRR art 4(1)(115)  IAS 1.54(c); CRR art 
4(1)(115)  
0310  Goodwill  BAD art 4.Assets(9); 
CRR art 4(1)(113)  IFRS 3.B67(d); CRR 
art 4(1)(113)  
0320  Other intangible assets  BAD art 4.Assets(9)  IAS 38.8,118; IFRS 
16.47 (a)  21, 42  
0330  Tax assets  IAS 1.54(n-o)  
0340  Current tax assets  IAS 1.54(n); IAS 
12.5  
0350  Deferred tax assets  Accounting Directive 
art 17(1)(f); CRR art 
4(1)(106)  IAS 1.54(o); IAS 
12.5; CRR art 
4(1)(106)  
0360  Other assets  Annex V.Part 2.5, 6  Annex V.Part 2.5  
0370  Non-current assets and disposal groups 
classified as held for sale  IAS 1.54(j); IFRS 
5.38, Annex V.Part 
2.7 
0375  (-)  Haircuts for trading assets at fair value  Annex V Part 1.29  
0380  TOTAL ASSETS  BAD art 4 Assets  IAS 1.9(a), IG 6  
1.2 Liabilities  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
Annex V.Part 
1.27-28  
0010  
0010  Financial liabilities held for trading  IFRS 7.8 (e) (ii); IFRS 
9.BA.6  8 
0020  Derivatives  IFRS 9.Appendix A; 
IFRS 9.4.2.1(a); IFRS 
9.BA.7(a)  10
EN 19.3.2021 Official Journal of the European Union L 97/877  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
Annex V.Part 
1.27-28  
0010  
0030  Short positions  IFRS 9.BA7(b)  8  
0040  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.36  8 
0050  Debt securities issued  Annex V.Part 1.37  8  
0060  Other financial liabilities  Annex V.Part 1.38-41  8  
0061  Trading financial liabilities  Accounting Directive 
art 8(1)(a),(3),(6)  8 
0062  Derivatives  CRR Annex II; Annex 
V.Part 1.25  10 
0063  Short positions  8 
0064  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.36  8 
0065  Debt securities issued  Annex V.Part 1.37  8  
0066  Other financial liabilities  Annex V.Part 1.38-41  8  
0070  Financial liabilities designated at fair value 
through profit or loss  Accounting Directive 
art 8(1)(a), (6); IAS 
39.9  IFRS 7.8 (e)(i); IFRS 
9.4.2.2  8 
0080  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.36  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.36  8 
0090  Debt securities issued  Annex V.Part 1.37  Annex V.Part 1.37  8  
0100  Other financial liabilities  Annex V.Part 1.38-41  Annex V.Part 1.38-41  8  
0110  Financial liabilities measured at amortised 
cost  Accounting Directive 
art 8(3), (6); IAS 
39.47  IFRS 7.8(g); IFRS 
9.4.2.1  8 
0120  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.30  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.36  8 
0130  Debt securities issued  Annex V.Part 1.31  Annex V.Part 1.37  8  
0140  Other financial liabilities  Annex V.Part 1.32-34  Annex V.Part 1.38-41  8
EN L 97/878 Official Journal of the European Union 19.3.2021  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
Annex V.Part 
1.27-28  
0010  
0141  Non-trading non-derivative financial liabilities 
measured at a cost-based method  Accounting Directive 
art 8(3)  8 
0142  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.36  8 
0143  Debt securities issued  Annex V.Part 1.37  8  
0144  Other financial liabilities  Annex V.Part 1.38-41  8  
0150  Derivatives – Hedge accounting  Accounting Directive 
art 8(1)(a), (6), (8)(a); 
Annex V.Part 1.26  IFRS 9.6.2.1; Annex 
V.Part 1.26  11 
0160  Fair value changes of the hedged items in 
portfolio hedge of interest rate risk  Accounting Directive 
art 8(5), (6); Annex 
V.Part 2.8; IAS 
39.89A(b)  IAS 39.89A(b), IFRS 
9.6.5.8  
0170  Provisions  BAD art 4.Liabil ­
ities(6)  IAS 37.10; IAS 
1.54(l)  43 
0175  Funds for general banking risks [if presented 
within liabilities]  BAD art 38.1; CRR 
art 4(112); Annex 
V.Part 2.15  
0180  Pensions and other post employment defined 
benefit obligations  Annex V.Part 2.9  IAS 19.63; IAS 
1.78(d); Annex V.Part 
2.9 43 
0190  Other long term employee benefits  Annex V.Part 2.10  IAS 19.153; IAS 
1.78(d); Annex V.Part 
2.10  43 
0200  Restructuring  IAS 37.71  43  
0210  Pending legal issues and tax litigation  IAS 37.14, Appendix 
C. Examples 6 and 10  43 
0220  Commitments and guarantees given  BAD Article 4 
Liabilities (6)(c ), Off 
balance sheet items, 
Article 27(11), 
Article 28(8), 
Article 33  IFRS 9.4.2.1(c),(d), 
9.5.5, 9.B2.5; IAS 
37, IFRS 4, Annex 
V.Part 2.11  9 
12 
43
EN 19.3.2021 Official Journal of the European Union L 97/879  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
Annex V.Part 
1.27-28  
0010  
0230  Other provisions  BAD Article 4 
Liabilities (6)(c ), Off 
balance sheet items  IAS 37.14  43  
0240  Tax liabilities  IAS 1.54(n-o)  
0250  Current tax liabilities  IAS 1.54(n); IAS 
12.5  
0260  Deferred tax liabilities  Accounting Directive 
art 17(1)(f); CRR art 
4(1)(108)  IAS 1.54(o); IAS 
12.5; CRR art 
4(1)(108)  
0270  Share capital repayable on demand  IAS 32 IE 33; IFRIC 
2; Annex V.Part 2.12  
0280  Other liabilities  Annex V.Part 2.13  Annex V.Part 2.13  
0290  Liabilities included in disposal groups clas ­
sified as held for sale  IAS 1.54 (p); IFRS 
5.38, Annex V.Part 
2.14  
0295  Haircuts for trading liabilities at fair value  Annex V Part 1.29  
0300  TOTAL LIABILITIES  IAS 1.9(b);IG 6  
1.3 Equity  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
0010  
0010  Capital  BAD art 4.Liabil ­
ities(9), BAD art 22  IAS 1.54(r), BAD art 
22 46 
0020  Paid up capital  BAD art 4.Liabil ­
ities(9)  IAS 1.78(e)  
0030  Unpaid capital which has been called up  BAD art 4.Liabil ­
ities(9); Annex V.Part 
2.17  Annex V.Part 2.14  
0040  Share premium  BAD art 4.Liabil ­
ities(10); CRR art 
4(1)(124)  IAS 1.78(e); CRR art 
4(1)(124)  46 
0050  Equity instruments issued other than capital  Annex V.Part 2.18-19  Annex V.Part 2.18-19  46
EN L 97/880 Official Journal of the European Union 19.3.2021  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
0010  
0060  Equity component of compound financial 
instruments  Accounting Directive 
art 8(6); Annex 
V.Part 2.18  IAS 32.28-29; Annex 
V.Part 2.18  
0070  Other equity instruments issued  Annex V.Part 2.19  Annex V.Part 2.19  
0080  Other equity  Annex V.Part 2.20  IFRS 2.10; Annex 
V.Part 2.20  
0090  Accumulated other comprehensive income  CRR art 4(1)(100)  CRR art 4(1)(100)  46  
0095  Items that will not be reclassified to profit or 
loss IAS 1.82A(a)  
0100  Tangible assets  IAS 16.39-41  
0110  Intangible assets  IAS 38.85-87  
0120  Actuarial gains or (-) losses on defined benefit 
pension plans  IAS 1.7, IG6; IAS 
19.120(c)  
0122  Non-current assets and disposal groups clas ­
sified as held for sale  IFRS 5.38, IG 
Example 12  
0124  Share of other recognised income and expense of 
investments in subsidaries, joint ventures and 
associates  IAS 1.IG6; IAS 28.10  
0320  Fair value changes of equity instruments 
measured at fair value through other compre ­
hensive income  IAS 1.7(d); IFRS 9 
5.7.5, B5.7.1; Annex 
V.Part 2.21  
0330  Hedge ineffectiveness of fair value hedges for 
equity instruments measured at fair value 
through other comprehensive income  IAS 1.7(e);IFRS 
9.5.7.5;.6.5.3; IFRS 
7.24C; Annex V.Part 
2.22  
0340  Fair value changes of equity instruments 
measured at fair value through other 
comprehensive income [hedged item]  IFRS 
9.5.7.5;.6.5.8(b); 
Annex V.Part 2.22  
0350  Fair value changes of equity instruments 
measured at fair value through other 
comprehensive income [hedging instrument]  IAS 1.7(e);IFRS 
9.5.7.5;.6.5.8(a);Ann ­
ex V.Part 2.57  
0360  Fair value changes of financial liabilities at fair 
value through profit or loss attributable to 
changes in their credit risk  IAS 1.7(f); IFRS 9 
5.7.7;Annex V.Part 
2.23  
0128  Items that may be reclassified to profit or 
loss IAS 1.82A(a) (ii)
EN 19.3.2021 Official Journal of the European Union L 97/881  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
0010  
0130  Hedge of net investments in foreign operations 
[effective portion]  Accounting Directive 
art 8(1)(a), (6)(8)  IFRS9.6.5.13(a); 
IFRS7.24B(b)(ii)(iii); 
IFRS 
7.24C(b)(i)(iv),.24E(a); 
Annex V.Part 2.24  
0140  Foreign currency translation  BAD art 39(6)  IAS 21.52(b); IAS 
21.32, 38-49  
0150  Hedging derivatives. Cash flow hedges reserve 
[effective portion]  Accounting Directive 
art 8(1)(a), (6)(8)  IAS 1.7 (e); IFRS 
7.24B(b)(ii)(iii); IFRS 
7.24C(b)(i);.24E; IFRS 
9.6.5.11(b); Annex 
V.Part 2.25  
0155  Fair value changes of debt instruments measured 
at fair value through other comprehensive 
income  IAS 1.7(da); IFRS 
9.4.1.2A; 5.7.10; 
Annex V.Part 2.26  
0165  Hedging instruments [not designated elements]  IAS 1.7(g)(h); IFRS 
9.6.5.15,.6.5.16; 
IFRS 7.24E (b)(c); 
Annex V.Part 2.60  
0170  Non-current assets and disposal groups clas ­
sified as held for sale  IFRS 5.38, IG 
Example 12  
0180  Share of other recognised income and expense of 
investments in subsidaries, joint ventures and 
associates  IAS 1.IG6; IAS 28.10  
0190  Retained earnings  BAD art 4.Liabil ­
ities(13); CRR art 
4(1)(123)  CRR art 4(1)(123)  
0200  Revaluation reserves  BAD art 4.Liabil ­
ities(12)  IFRS 1.30, D5-D8; 
Annex V.Part 2.28  
0201  Tangible assets  Accounting Directive 
art 7(1)  
0202  Equity instruments  Accounting Directive 
art 7(1)  
0203  Debt securities  Accounting Directive 
art 7(1)  
0204  Other  Accounting Directive 
art 7(1)  
0205  Fair value reserves  Accounting Directive 
art 8(1)(a)
EN L 97/882 Official Journal of the European Union 19.3.2021  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS
 
Breakdown 
in table Carrying amount  
0010  
0206  Hedge of net investments in foreign operations  Accounting Directive 
art 8(1)(a), (8)(b)  
0207  Hedging derivatives.Cash flow hedges  Accounting Directive 
art 8(1)(a), (8)(a); 
CRR article 30(a)  
0208  Hedging derivatives. Other hedges  Accounting Directive 
art 8(1)(a), (8)(a)  
0209  Non-trading non-derivative financial assets 
measured at fair value to equity  Accounting Directive 
art 8(1)(a), 8(2)  
0210  Other reserves  BAD art 4 Liabil ­
ities(11)-(13)  IAS 1.54; IAS 1.78(e)  
0215  Funds for general banking risks [if presented 
within equity]  BAD art 38.1; CRR 
art 4(112); Annex 
V.Part 2.15  
0220  Reserves or accumulated losses of 
investments in subsidaries, joint ventures 
and associates accounted for using the 
equity method  Accounting Directive 
art 9(7)(a); art 27; 
Annex V.Part 2.29  IAS 28.11; Annex 
V.Part 2.29  
0230  Other  Annex V.Part 2.29  Annex V.Part 2.29  
0235  First consolidation differences  Accounting Directive 
art 24(3)(c)  
0240  (-)  Treasury shares  Accounting Directive 
Annex III Annex III 
Assets D(III)(2); BAD 
art 4 Assets (12); 
Annex V.Part 2.30  IAS 1.79(a)(vi); IAS 
32.33-34, AG 14, 
AG 36; Annex V.Part 
2.30  46 
0250  Profit or loss attributable to owners of the 
parent  BAD art 4.Liabil ­
ities(14)  IAS 1.81B (b)(ii)  2  
0260  (-)  Interim dividends  CRR Article 26(2b)  IAS 32.35  
0270  Minority interests [Non-controlling interests]  Accounting Directive 
art 24(4)  IAS 1.54(q)  
0280  Accumulated Other Comprehensive Income  CRR art 4(1)(100)  CRR art 4(1)(100)  46  
0290  Other items  46 
0300  TOTAL EQUITY  IAS 1.9(c), IG 6  46  
0310  TOTAL EQUITY AND TOTAL LIABILITIES  BAD art 4.Liabilities  IAS 1.IG6
EN 19.3.2021 Official Journal of the European Union L 97/883  
2. Statement of profit or loss  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS
 
Breakdown in table 
Current 
period  
0010  
0010  Interest income  BAD art 27.Vertical 
layout(1); Annex V.Part 
2.31  IAS 1.97; Annex V.Part 
2.31  16 
0020  Financial assets held for trading  IFRS 7.20(a)(i), B5(e); 
Annex V.Part 2.33, 34  
0025  Non-trading financial assets mandatorily at 
fair value through profit or loss  IFRS 7.20(a)(i), B5(e), 
IFRS 9.5.7.1  
0030  Financial assets designated at fair value 
through profit or loss  IFRS 7.20(a)(i), B5(e)  
0041  Financial assets at fair value through other 
comprehensive income  IFRS 7.20(b); IFRS 
9.5.7.10-11; IFRS 
9.4.1.2A  
0051  Financial assets at amortised cost  IFRS 7.20(b);IFRS 9.4.1.2; 
IFRS 9.5.7.2  
0070  Derivatives - Hedge accounting, interest rate 
risk IFRS 9.Appendix A; 
.B6.6.16; Annex V.Part 
2.35  
0080  Other assets  Annex V.Part 2.36  
0085  Interest income on liabilities  Annex V.Part 2.37  IFRS 9.5.7.1, Annex 
V.Part 2.37  
0090  (Interest expenses)  BAD art 27.Vertical 
layout(2); Annex V.Part 
2.31  IAS 1.97; Annex V.Part 
2.31  16 
0100  (Financial liabilities held for trading)  IFRS 7.20(a)(i), B5(e); 
Annex V.Part 2.33, 34  
0110  (Financial liabilities designated at fair value 
through profit or loss)  IFRS 7.20(a)(i), B5(e)  
0120  (Financial liabilities measured at amortised 
cost)  IFRS 7.20(b); IFRS 
9.5.7.2  
0130  (Derivatives - Hedge accounting, interest rate 
risk)  IAS 39.9; Annex V.Part 
2.35  
0140  (Other liabilities)  Annex V.Part 2.38
EN L 97/884 Official Journal of the European Union 19.3.2021  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS
 
Breakdown in table 
Current 
period  
0010  
0145  (Interest expense on assets)  Annex V.Part 2.39  IFRS 9.5.7.1, Annex 
V.Part 2.39  
0150  (Expenses on share capital repayable on 
demand)  IFRIC 2.11  
0160  Dividend income  BAD art 27.Vertical 
layout(3); Annex V.Part 
2.40  Annex V.Part 2.40  31  
0170  Financial assets held for trading  IFRS 7.20(a)(i), B5(e); 
Annex V.Part 2.40  
0175  Non-trading financial assets mandatorily at 
fair value through profit or loss  IFRS 7.20(a)(i), B5(e),IFRS 
9.5.7.1A; Annex V.Part 
2.40  
0191  Financial assets at fair value through other 
comprehensive income  IFRS 7.20(a)(ii); IFRS 
9.4.1.2A; IFRS 9.5.7.1A; 
Annex V.Part 2.41  
0192  Investments in subsidiaries, joint ventures and 
associates accounted for using other than 
equity method  Annex V Part 2 .42  Annex V Part 2 .42  
0200  Fee and commission income  BAD art 27.Vertical 
layout(4)  IFRS 7.20(c)  22  
0210  (Fee and commission expenses)  BAD art 27.Vertical 
layout(5)  IFRS 7.20(c)  22  
0220  Gains or (-) losses on derecognition of 
financial assets and liabilities not measured 
at fair value through profit or loss, net  BAD art 27.Vertical 
layout(6)  Annex V.Part 2.45  16  
0231  Financial assets at fair value through other 
comprehensive income  IFRS 9.4.12A; IFRS 
9.5.7.10-11  
0241  Financial assets at amortised cost  IFRS 7.20(a)(v);IFRS 
9.4.1.2; IFRS 9.5.7.2  
0260  Financial liabilities measured at amortised cost  IFRS 7.20(a)(v); IFRS 
9.5.7.2  
0270  Other  
0280  Gains or (-) losses on financial assets and 
liabilities held for trading, net  BAD art 27.Vertical 
layout(6)  IFRS 7.20(a)(i); IFRS 
9.5.7.1; Annex V.Part 
2.43, 46  16
EN 19.3.2021 Official Journal of the European Union L 97/885  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS
 
Breakdown in table 
Current 
period  
0010  
0285  Gains or (-) losses on trading financial 
assets and liabilities, net  BAD art 27.Vertical 
layout(6)  16 
0287  Gains or (-) losses on non-trading financial 
assets mandatorily at fair value through 
profit or loss, net  IFRS 7.20(a)(i); IFRS 
9.5.7.1; Annex V.Part 
2.46  
0290  Gains or (-) losses on financial assets and 
liabilities designated at fair value through 
profit or loss, net  IFRS 7.20(a)(i); IFRS 
9.5.7.1; Annex V.Part 
2.44  16, 
45 
0295  Gains or (-) losses on non-trading financial 
assets and liabilities, net  BAD art 27.Vertical 
layout(6)  16 
0300  Gains or (-) losses from hedge accounting, 
net Accounting Directive art 
8(1)(a), (6), (8)  Annex V.Part 2.47  16  
0310  Exchange differences [gain or (-) loss], net  BAD art 39  IAS 21.28, 52 (a)  
0320  Gains or (-) losses on derecognition of 
investments in subsidiaries, joint ventures 
and associates, net  BAD art 27.Vertical 
layout(13)-(14); Annex V 
Part 2.56  Annex V.Part 2.56  
0330  Gains or (-) losses on derecognition of 
non-financial assets, net  Annex V. Part 2.48  IAS 1.34; Annex V. Part 
2.48  45 
0340  Other operating income  BAD art 27.Vertical 
layout(7); Annex V.Part 
2.314-316  Annex V.Part 2.314-316  45  
0350  (Other operating expenses)  BAD art 27.Vertical 
layout(10); Annex V.Part 
2.314-316  Annex V.Part 2.314-316  45  
0355  TOTAL OPERATING INCOME, NET  
0360  (Administrative expenses)  BAD art 27.Vertical 
layout(8)  
0370  (Staff expenses)  BAD art 27.Vertical 
layout(8)(a)  IAS 19.7; IAS 1.102, IG 
6 44 
0380  (Other administrative expenses)  BAD art 27.Vertical 
layout(8)(b);  16 
0385  (Cash contributions to resolution funds 
and deposit guarantee schemes)  Annex V.Part 2.48i  Annex V.Part 2.48i  
0390  (Depreciation)  IAS 1.102, 104
EN L 97/886 Official Journal of the European Union 19.3.2021  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS
 
Breakdown in table 
Current 
period  
0010  
0400  (Property, Plant and Equipment)  BAD art 27.Vertical 
layout(9)  IAS 1.104; IAS 
16.73(e)(vii)  
0410  (Investment Properties)  BAD art 27.Vertical 
layout(9)  IAS 1.104; IAS 
40.79(d)(iv)  
0415  (Goodwill)  BAD art 27.Vertical 
layout(9)  
0420  (Other intangible assets)  BAD art 27.Vertical 
layout(9)  IAS 1.104; IAS 
38.118(e)(vi)  
0425  Modification gains or (-) losses, net  IFRS 9.5.4.3, IFRS 9 
Appendix A; Annex V Part 
2.49  
0426  Financial assets at fair value through other 
comprehensive income  IFRS 7.35J  
0427  Financial assets at amortised cost  IFRS 7.35J  
0430  (Provisions or (-) reversal of provisions)  IAS 37.59, 84; IAS 
1.98(b)(f)(g)  9 
12 
43 
0435  (payment commitments to resolution funds 
and deposit guarantee schemes)  Annex V.Part 2.48i  Annex V.Part 2.48i  
0440  (Commitments and guarantees given)  BAD art 27.Vertical 
layout(11)-(12)  IFRS 9.4.2.1(c),(d),9.B2.5; 
IAS 37, IFRS 4, Annex 
V.Part 2.50  
0450  (Other provisions)  
0455  (Increases or (-) decreases of the fund for 
general banking risks, net)  BAD art 38.2  
0460  (Impairment or (-) reversal of impairment 
on financial assets not measured at fair 
value through profit or loss)  BAD art 35-37, Annex 
V.Part 2.52, 53  IFRS 7.20(a)(viii); IFRS 
9.5.4.4; Annex V Part 
2.51, 53  12 
0481  (Financial assets at fair value through other 
comprehensive income)  IFRS 9.5.4.4, 9.5.5.1, 
9.5.5.2, 9.5.5.8  12 
0491  (Financial assets at amortised cost)  IFRS 9.5.4.4, 9.5.5.1, 
9.5.5.8  12 
0510  (Impairment or (-) reversal of impairment 
of investments in subsidiaries, joint 
ventures and associates)  BAD art 27.Vertical 
layout(13)-(14)  IAS 28.40-43  16  
0520  (Impairment or (-) reversal of impairment 
on non-financial assets)  IAS 36.126(a)(b)  16
EN 19.3.2021 Official Journal of the European Union L 97/887  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS
 
Breakdown in table 
Current 
period  
0010  
0530  (Property, plant and equipment)  BAD art 27.Vertical 
layout(9)  IAS 16.73(e)(v-vi)  
0540  (Investment properties)  BAD art 27.Vertical 
layout(9)  IAS 40.79(d)(v)  
0550  (Goodwill)  BAD art 27.Vertical 
layout(9)  IFRS 3.Appendix 
B67(d)(v); IAS 36.124  
0560  (Other intangible assets)  BAD art 27.Vertical 
layout(9)  IAS 38.118 (e)(iv)(v)  
0570  (Other)  IAS 36.126 (a)(b)  
0580  Negative goodwill recognised in profit or 
loss  Accounting Directive art 
24(3)(f)  IFRS 3.Appendix B64(n)(i)  
0590  Share of the profit or (-) loss of 
investments in subsidaries, joint ventures 
and associates accounted for using the 
equity method  BAD art 27.Vertical 
layout(13)-(14)  Annex V.Part 2.54  
0600  Profit or (-) loss from non-current assets 
and disposal groups classified as held for 
sale not qualifying as discontinued oper ­
ations  IFRS 5.37; Annex V.Part 
2.55  
0610  PROFIT OR (-) LOSS BEFORE TAX FROM 
CONTINUING OPERATIONS  IAS 1.102, IG 6; IFRS 
5.33 A  
0620  (Tax expense or (-) income related to 
profit or loss from continuing operations)  BAD art 27.Vertical 
layout(15)  IAS 1.82(d); IAS 12.77  
0630  PROFIT OR (-) LOSS AFTER TAX FROM 
CONTINUING OPERATIONS  BAD art 27.Vertical 
layout(16)  IAS 1, IG 6  
0632  Extraordinary profit or (-) loss after tax  BAD art 27.Vertical 
layout(21)  
0633  Extraordinary profit or loss before tax  BAD art 27.Vertical 
layout(19)  
0634  (Tax expense or (-) income related to extra ­
ordinary profit or loss)  BAD art 27.Vertical 
layout(20)  
0640  Profit or (-) loss after tax from discon ­
tinued operations  IAS 1.82(ea) ; IFRS 
5.33(a), 5.33 A; Annex V 
Part 2.56  
0650  Profit or (-) loss before tax from discontinued 
operations  IFRS 5.33(b)(i)
EN L 97/888 Official Journal of the European Union 19.3.2021  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS
 
Breakdown in table 
Current 
period  
0010  
0660  (Tax expense or (-) income related to discon ­
tinued operations)  IFRS 5.33 (b)(ii),(iv)  
0670  PROFIT OR (-) LOSS FOR THE YEAR  BAD art 27.Vertical 
layout(23)  IAS 1.81A(a)  
0680  Attributable to minority interest [non- 
controlling interests]  IAS 1.81B (b)(i)  
0690  Attributable to owners of the parent  IAS 1.81B (b)(ii)
EN 19.3.2021 Official Journal of the European Union L 97/889  
3. Statement of comprehensive income  
References National GAAP 
compatible IFRS  Current period  
0010  
0010  Profit or (-) loss for the year  IAS 1.7, IG6  
0020  Other comprehensive income  IAS 1.7, IG6  
0030  Items that will not be reclassified to profit or loss  IAS 1.82A(a)(i)  
0040  Tangible assets  IAS 1.7, IG6; IAS 
16.39-40  
0050  Intangible assets  IAS 1.7; IAS 38.85-86  
0060  Actuarial gains or (-) losses on defined benefit pension plans  IAS 1.7, IG6; IAS 
19.120(c)  
0070  Non-current assets and disposal groups held for sale  IFRS 5.38  
0080  Share of other recognised income and expense of entities accounted for 
using the equity method  IAS 1.IG6; IAS 28.10  
0081  Fair value changes of equity instruments measured at fair value through 
other comprehensive income  IAS 1.7(d)  
0083  Gains or (-) losses from hedge accounting of equity instruments at fair 
value through other comprehensive income, net  IFRS 9.5.7.5;.6.5.3; IFRS 
7.24C; Annex V.Part 
2.57  
0084  Fair value changes of equity instruments measured at fair value through other 
comprehensive income [hedged item]  IFRS 9.5.7.5;.6.5.8(b); 
Annex V.Part 2.57  
0085  Fair value changes of equity instruments measured at fair value through other 
comprehensive income [hedging instrument]  IFRS 9.5.7.5;.6.5.8(a); 
Annex V.Part 2.57  
0086  Fair value changes of financial liabilities at fair value through profit or loss 
attributable to changes in their credit risk  IAS 1.7(f)  
0090  Income tax relating to items that will not be reclassified  IAS 1.91(b); Annex 
V.Part 2.66  
0100  Items that may be reclassified to profit or loss  IAS 1.82A(a)(ii)  
0110  Hedge of net investments in foreign operations [effective portion]  IFRS 9.6.5.13(a); IFRS 
7.24C(b)(i)(iv),.24E(a); 
Annex V.Part 2.58  
0120  Valuation gains or (-) losses taken to equity  IAS 1.IG6;IFRS 
9.6.5.13(a); IFRS 
7.24C(b)(i);.24E(a); 
Annex V.Part 2.58
EN L 97/890 Official Journal of the European Union 19.3.2021  
References National GAAP 
compatible IFRS  Current period  
0010  
0130  Transferred to profit or loss  IAS 1.7, 92-95; IAS 
21.48-49; IFRS 
9.6.5.14; Annex V.Part 
2.59  
0140  Other reclassifications  Annex V.Part 2.65  
0150  Foreign currency translation  IAS 1.7, IG6; IAS 
21.52(b)  
0160  Translation gains or (-) losses taken to equity  IAS 21.32, 38-47  
0170  Transferred to profit or loss  IAS 1.7, 92-95; IAS 
21.48-49  
0180  Other reclassifications  Annex V.Part 2.65  
0190  Cash flow hedges [effective portion]  IAS 1.7, IG6; IAS 
39.95(a)-96 IFRS 
9.6.5.11(b); IFRS 
7.24C(b)(i);.24E(a);  
0200  Valuation gains or (-) losses taken to equity  IAS 1.7(e),IG6; IFRS 
9.6.5.11(a)(b)(d); IFRS 
7.24C(b)(i), .24E(a)  
0210  Transferred to profit or loss  IAS 1.7, 92-95, IG6; 
IFRS 
9.6.5.11(d)(ii)(iii);IFRS 
7.24C(b)(iv),.24E(a) 
Annex V.Part 2.59  
0220  Transferred to initial carrying amount of hedged items  IAS 1.IG6;IFRS 
9.6.5.11(d)(i)  
0230  Other reclassifications  Annex V.Part 2.65  
0231  Hedging instruments [not designated elements]  IAS 1.7(g)(h);IFRS 
9.6.5.15,.6.5.16;IFRS 
7.24E (b)(c); Annex 
V.Part 2.60  
0232  Valuation gains or (-) losses taken to equity  IAS 1.7(g)(h);IFRS 
9.6.5.15,.6.5.16;IFRS 
7.24E (b)(c)  
0233  Transferred to profit or loss  IAS 1.7(g)(h);IFRS 
9.6.5.15,.6.5.16;IFRS 
7.24E(b)(c); Annex V.Part 
2.61  
0234  Other reclassifications  Annex V.Part 2.65  
0241  Debt instruments at fair value through other comprehensive income  IAS 1.7(da), IG 6; IAS 
1.IG6; IFRS 9.5.6.4; 
Annex V.Part 2.62-63
EN 19.3.2021 Official Journal of the European Union L 97/891  
References National GAAP 
compatible IFRS  Current period  
0010  
0251  Valuation gains or (-) losses taken to equity  IFRS 7.20(a)(ii); IAS 
1.IG6; IFRS 9.5.6.4  
0261  Transferred to profit or loss  IAS 1.7, IAS 1.92-95, 
IAS 1.IG6; IFRS 9.5.6.7; 
Annex V.Part 2.64  
0270  Other reclassifications  IFRS 5.IG Example 
12;IFRS 9.5.6.5; Annex 
V.Part 2.64-65  
0280  Non-current assets and disposal groups held for sale  IFRS 5.38  
0290  Valuation gains or (-) losses taken to equity  IFRS 5.38  
0300  Transferred to profit or loss  IAS 1.7, 92-95; IFRS 
5.38  
0310  Other reclassifications  IFRS 5.IG Example 12  
0320  Share of other recognised income and expense of Investments in 
subsidaries, joint ventures and associates  IAS 1.IG6; IAS 28.10  
0330  Income tax relating to items that may be reclassified to profit or (-) loss  IAS 1.91(b), IG6; Annex 
V.Part 2.66  
0340  Total comprehensive income for the year  IAS 1.7, 81A(a), IG6  
0350  Attributable to minority interest [Non-controlling interest]  IAS 1.83(b)(i), IG6  
0360  Attributable to owners of the parent  IAS 1.83(b)(ii), IG6
EN L 97/892 Official Journal of the European Union 19.3.2021  
4. Breakdown of financial assets by instrument and by counterparty sector  
4.1 Financial assets held for trading  
References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27  
0010  
0005  Derivatives  
0010  Equity instruments  ECB/2013/33 
Annex 2.Part 2.4-5  IAS 32.11, Annex 
V.Part 1.44(b)  
0030  of which: credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0040  of which: other financial corporations  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(d)  
0050  of which: non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0060  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31, 
44(b)  
0070  Central banks  Annex V.Part 
1.42(a)  Annex V.Part 
1.42(a)  
0080  General governments  Annex V.Part 
1.42(b)  Annex V.Part 
1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0120  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32, 
44(a)  
0130  Central banks  Annex V.Part 
1.42(a)  Annex V.Part 
1.42(a)  
0140  General governments  Annex V.Part 
1.42(b)  Annex V.Part 
1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0180  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0190  FINANCIAL ASSETS HELD FOR TRADING  Annex V.Part 
1.15(a)  IFRS 9.Appendix A
EN 19.3.2021 Official Journal of the European Union L 97/893  
4.2.1  Non-trading financial assets mandatorily at fair value through profit or loss  
References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Carrying amount  Accumulated 
negative changes 
in fair value due 
to credit risk on 
non-performing 
exposures  
Annex V.Part 1.27  Annex V.Part 2.69  
0010  0020  
0010  Equity instruments  IAS 32.11, Annex 
V.Part 1.44(b)  
0020  of which: credit institutions  Annex V.Part 1.42(c)  
0030  of which: other financial corporations  Annex V.Part 
1.42(d)  
0040  of which: non-financial corporations  Annex V.Part 1.42(e)  
0050  Debt securities  Annex V.Part 1.31, 
44(b)  
0060  Central banks  Annex V.Part 
1.42(a)  
0070  General governments  Annex V.Part 
1.42(b)  
0080  Credit institutions  Annex V.Part 1.42(c)  
0090  Other financial corporations  Annex V.Part 
1.42(d)  
0100  Non-financial corporations  Annex V.Part 1.42(e)  
0110  Loans and advances  Annex V.Part 1.32, 
44(a)  
0120  Central banks  Annex V.Part 
1.42(a)  
0130  General governments  Annex V.Part 
1.42(b)  
0140  Credit institutions  Annex V.Part 1.42(c)  
0150  Other financial corporations  Annex V.Part 
1.42(d)  
0160  Non-financial corporations  Annex V.Part 1.42(e)  
0170  Households  Annex V.Part 1.42(f)  
0180  NON-TRADING FINANCIAL ASSETS 
MANDATORILY AT FAIR VALUE 
THROUGH PROFIT OR LOSS  IFRS 7.8(a)(ii); IFRS 
9.4.1.4
EN L 97/894 Official Journal of the European Union 19.3.2021  
4.2.2  Financial assets designated at fair value through profit or loss  
References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Carrying amount  Accumulated 
negative changes 
in fair value due 
to credit risk on 
non-performing 
exposures  
Annex V.Part 1.27  Annex V.Part 2.69  
0010  0020  
0010  Equity instruments  ECB/2013/33 
Annex 2.Part 2.4-5  IAS 32.11  
0020  of which: at cost  IAS 39.46(c)  
0030  of which: credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.38(c)  
0040  of which: other financial corporations  Annex V.Part 
1.42(d)  Annex V.Part 
1.38(d)  
0050  of which: non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.38(e)  
0060  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)  
0070  Central banks  Annex V.Part 
1.42(a)  Annex V.Part 
1.42(a)  
0080  General governments  Annex V.Part 
1.42(b)  Annex V.Part 
1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0120  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0130  Central banks  Annex V.Part 
1.42(a)  Annex V.Part 
1.42(a)  
0140  General governments  Annex V.Part 
1.42(b)  Annex V.Part 
1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0180  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0190  FINANCIAL ASSETS DESIGNATED AT 
FAIR VALUE THROUGH PROFIT OR LOSS  Accounting Directive 
art 8(1)(a), (6)  IFRS 7.8(a)(i); IFRS 
9.4.1.5
EN 19.3.2021 Official Journal of the European Union L 97/895
 4.3.1  Financial assets at fair value through other comprehensive income  
References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Carrying 
amount  Gross carrying amount  
Annex V.Part 1.34(b)  
Assets without 
significant 
increase in 
credit risk since 
initial recog ­
nition (Stage 1)  Assets with 
significant 
increase in 
credit risk since 
initial recog ­
nition but not 
credit-impaired 
(Stage 2)  of which: 
instruments 
with low credit 
risk  
Annex V.Part 1.27  IFRS 9.5.5.5; IFRS 
7.35M(a)  IFRS 9.B5.5.22- 
24; Annex V.Part 
2.75  IFRS 9.5.5.3, IFRS 
7.35M(b)(i)  
0010  0015  0020  0030  
0010  Equity instruments  IAS 32.11; Annex V.Part 
1.44(b)  
0020  of which: credit institutions  Annex V.Part 1.42(c)  
0030  of which: other financial corporations  Annex V.Part 1.42(d)  
0040  of which: non-financial corporations  Annex V.Part 1.42(e)  
0050  Debt securities  Annex V.Part 1.31, 44(b)  
0060  Central banks  Annex V.Part 1.42(a)  
0070  General governments  Annex V.Part 1.42(b)  
0080  Credit institutions  Annex V.Part 1.42(c)  
0090  Other financial corporations  Annex V.Part 1.42(d)  
0100  Non-financial corporations  Annex V.Part 1.42(e)  
0110  Loans and advances  Annex V.Part 1.32, 44(a)  
0120  Central banks  Annex V.Part 1.42(a)
EN L 97/896 Official Journal of the European Union 19.3.2021
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Carrying 
amount  Gross carrying amount  
Annex V.Part 1.34(b)  
Assets without 
significant 
increase in 
credit risk since 
initial recog ­
nition (Stage 1)  Assets with 
significant 
increase in 
credit risk since 
initial recog ­
nition but not 
credit-impaired 
(Stage 2)  of which: 
instruments 
with low credit 
risk  
Annex V.Part 1.27  IFRS 9.5.5.5; IFRS 
7.35M(a)  IFRS 9.B5.5.22- 
24; Annex V.Part 
2.75  IFRS 9.5.5.3, IFRS 
7.35M(b)(i)  
0010  0015  0020  0030  
0130  General governments  Annex V.Part 1.42(b)  
0140  Credit institutions  Annex V.Part 1.42(c)  
0150  Other financial corporations  Annex V.Part 1.42(d)  
0160  Non-financial corporations  Annex V.Part 1.42(e)  
0165  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0170  Households  Annex V.Part 1.42(f)  
0180  FINANCIAL ASSETS AT FAIR VALUE THROUGH 
OTHER COMPREHENSIVE INCOME  IFRS 7.8(h); IFRS 9.4.1.2A
EN 19.3.2021 Official Journal of the European Union L 97/897
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  
Annex V.Part 1.34(b)  Accumulated impairment  
Annex V.Part 2.70(b), 71  
Credit-impaired 
assets (Stage 3)  Purchased or 
originated 
credit-impaired 
financial assets  Assets without 
significant 
increase in 
credit risk since 
initial recog ­
nition (Stage 1)  Assets with 
significant 
increase in 
credit risk since 
initial recog ­
nition but not 
credit-impaired 
(Stage 2)  
IFRS 9.5.5.1, 
7.35M(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 2.67  IFRS 9.5.5.5; 
IFRS7.35H(a); 
IFRS 7.16A  IFRS 9.5.5.3; IFRS 
9.5.5.15; IFRS 
7.35H(b)(i); IFRS 
7.16A  
0040  0041  0050  0060  
0010  Equity instruments  IAS 32.11; Annex V.Part 
1.44(b)  
0020  of which: credit institutions  Annex V.Part 1.42(c)  
0030  of which: other financial corporations  Annex V.Part 1.42(d)  
0040  of which: non-financial corporations  Annex V.Part 1.42(e)  
0050  Debt securities  Annex V.Part 1.31, 44(b)  
0060  Central banks  Annex V.Part 1.42(a)  
0070  General governments  Annex V.Part 1.42(b)  
0080  Credit institutions  Annex V.Part 1.42(c)  
0090  Other financial corporations  Annex V.Part 1.42(d)  
0100  Non-financial corporations  Annex V.Part 1.42(e)  
0110  Loans and advances  Annex V.Part 1.32, 44(a)  
0120  Central banks  Annex V.Part 1.42(a)
EN L 97/898 Official Journal of the European Union 19.3.2021
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  
Annex V.Part 1.34(b)  Accumulated impairment  
Annex V.Part 2.70(b), 71  
Credit-impaired 
assets (Stage 3)  Purchased or 
originated 
credit-impaired 
financial assets  Assets without 
significant 
increase in 
credit risk since 
initial recog ­
nition (Stage 1)  Assets with 
significant 
increase in 
credit risk since 
initial recog ­
nition but not 
credit-impaired 
(Stage 2)  
IFRS 9.5.5.1, 
7.35M(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 2.67  IFRS 9.5.5.5; 
IFRS7.35H(a); 
IFRS 7.16A  IFRS 9.5.5.3; IFRS 
9.5.5.15; IFRS 
7.35H(b)(i); IFRS 
7.16A  
0040  0041  0050  0060  
0130  General governments  Annex V.Part 1.42(b)  
0140  Credit institutions  Annex V.Part 1.42(c)  
0150  Other financial corporations  Annex V.Part 1.42(d)  
0160  Non-financial corporations  Annex V.Part 1.42(e)  
0165  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0170  Households  Annex V.Part 1.42(f)  
0180  FINANCIAL ASSETS AT FAIR VALUE THROUGH 
OTHER COMPREHENSIVE INCOME  IFRS 7.8(h); IFRS 9.4.1.2A
EN 19.3.2021 Official Journal of the European Union L 97/899
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Accumulated impairment  
Annex V.Part 2.70(b), 71  
Accumulated 
partial write-offs  Accumulated 
total write-offs  Credit-impaired 
assets 
(Stage 3)  Purchased or 
originated 
credit-impaired 
financial assets  
IFRS 9.5.5.1; IFRS 
9.5.5.15; IFRS 
7.35H(b)(ii), IFRS 
7.16A  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.67,70(d)  IFRS 9.5.4.4 and 
B5.4.9 ; Annex 
V.Part 2.72-74  IFRS 9.5.4.4 and 
B5.4.9; Annex 
V.Part 2.72-74  
0070  0071  0080  0090  
0010  Equity instruments  IAS 32.11; Annex V.Part 
1.44(b)  
0020  of which: credit institutions  Annex V.Part 1.42(c)  
0030  of which: other financial corporations  Annex V.Part 1.42(d)  
0040  of which: non-financial corporations  Annex V.Part 1.42(e)  
0050  Debt securities  Annex V.Part 1.31, 44(b)  
0060  Central banks  Annex V.Part 1.42(a)  
0070  General governments  Annex V.Part 1.42(b)  
0080  Credit institutions  Annex V.Part 1.42(c)  
0090  Other financial corporations  Annex V.Part 1.42(d)  
0100  Non-financial corporations  Annex V.Part 1.42(e)  
0110  Loans and advances  Annex V.Part 1.32, 44(a)  
0120  Central banks  Annex V.Part 1.42(a)
EN L 97/900 Official Journal of the European Union 19.3.2021
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Accumulated impairment  
Annex V.Part 2.70(b), 71  
Accumulated 
partial write-offs  Accumulated 
total write-offs  Credit-impaired 
assets 
(Stage 3)  Purchased or 
originated 
credit-impaired 
financial assets  
IFRS 9.5.5.1; IFRS 
9.5.5.15; IFRS 
7.35H(b)(ii), IFRS 
7.16A  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.67,70(d)  IFRS 9.5.4.4 and 
B5.4.9 ; Annex 
V.Part 2.72-74  IFRS 9.5.4.4 and 
B5.4.9; Annex 
V.Part 2.72-74  
0070  0071  0080  0090  
0130  General governments  Annex V.Part 1.42(b)  
0140  Credit institutions  Annex V.Part 1.42(c)  
0150  Other financial corporations  Annex V.Part 1.42(d)  
0160  Non-financial corporations  Annex V.Part 1.42(e)  
0165  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0170  Households  Annex V.Part 1.42(f)  
0180  FINANCIAL ASSETS AT FAIR VALUE THROUGH 
OTHER COMPREHENSIVE INCOME  IFRS 7.8(h); IFRS 9.4.1.2A
EN 19.3.2021 Official Journal of the European Union L 97/901
 4.4.1  Financial assets at amortised cost  
References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Carrying 
amount  Gross carrying amount  
Annex V.Part 1.34(b)  
Assets without 
significant 
increase in 
credit risk since 
initial recog ­
nition (Stage 1)  Assets with 
significant 
increase in 
credit risk since 
initial recog ­
nition but not 
credit-impaired 
(Stage 2)  of which: 
instruments 
with low credit 
risk  
Annex V.Part 1.27  IFRS 9.5.5.5; IFRS 
7.35M(a)  IFRS 9.B5.5.22- 
24; Annex V.Part 
2.75  IFRS 9.5.5.3, IFRS 
7.35M(b)(i)  
0010  0015  0020  0030  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/902 Official Journal of the European Union 19.3.2021
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Carrying 
amount  Gross carrying amount  
Annex V.Part 1.34(b)  
Assets without 
significant 
increase in 
credit risk since 
initial recog ­
nition (Stage 1)  Assets with 
significant 
increase in 
credit risk since 
initial recog ­
nition but not 
credit-impaired 
(Stage 2)  of which: 
instruments 
with low credit 
risk  
Annex V.Part 1.27  IFRS 9.5.5.5; IFRS 
7.35M(a)  IFRS 9.B5.5.22- 
24; Annex V.Part 
2.75  IFRS 9.5.5.3, IFRS 
7.35M(b)(i)  
0010  0015  0020  0030  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0125  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0130  Households  Annex V.Part 1.42(f)  
0140  FINANCIAL ASSETS AT AMORTISED COST  IFRS 7.8(f); IFRS 9.4.1.2
EN 19.3.2021 Official Journal of the European Union L 97/903
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  
Annex V.Part 1.34(b)  Accumulated impairment  
Annex V.Part 2.70(a), 71  
Credit-impaired 
assets 
(Stage 3)  Purchased or 
originated 
credit-impaired 
financial assets  Assets without 
significant 
increase in 
credit risk since 
initial recog ­
nition (Stage 1)  Assets with 
significant 
increase in 
credit risk since 
initial recog ­
nition but not 
credit-impaired 
(Stage 2)  
IFRS 9.5.5.1, 
7.35M(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 2.67  IFRS 9.5.5.5; 
IFRS7.35H(a)  IFRS 9.5.5.3; IFRS 
9.5.5.15; IFRS 
7.35H(b)(i)  
0040  0041  0050  0060  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/904 Official Journal of the European Union 19.3.2021
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  
Annex V.Part 1.34(b)  Accumulated impairment  
Annex V.Part 2.70(a), 71  
Credit-impaired 
assets 
(Stage 3)  Purchased or 
originated 
credit-impaired 
financial assets  Assets without 
significant 
increase in 
credit risk since 
initial recog ­
nition (Stage 1)  Assets with 
significant 
increase in 
credit risk since 
initial recog ­
nition but not 
credit-impaired 
(Stage 2)  
IFRS 9.5.5.1, 
7.35M(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 2.67  IFRS 9.5.5.5; 
IFRS7.35H(a)  IFRS 9.5.5.3; IFRS 
9.5.5.15; IFRS 
7.35H(b)(i)  
0040  0041  0050  0060  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0125  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0130  Households  Annex V.Part 1.42(f)  
0140  FINANCIAL ASSETS AT AMORTISED COST  IFRS 7.8(f); IFRS 9.4.1.2
EN 19.3.2021 Official Journal of the European Union L 97/905
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Accumulated impairment  
Annex V.Part 2.70(a), 71  
Accumulated 
partial write-offs  Accumulated 
total write-offs  Credit-impaired 
assets (Stage 3)  Purchased or 
originated 
credit-impaired 
financial assets  
IFRS 5.5.1; IFRS 
9.5.5.15; IFRS 
7.35H(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.67,70(d)  IFRS 9.5.4.4 and 
B5.4.9 ; Annex 
V.Part 2.72-74  IFRS 9.5.4.4 and 
B5.4.9; Annex 
V.Part 2.72-74  
0070  0071  0080  0090  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/906 Official Journal of the European Union 19.3.2021
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Accumulated impairment  
Annex V.Part 2.70(a), 71  
Accumulated 
partial write-offs  Accumulated 
total write-offs  Credit-impaired 
assets (Stage 3)  Purchased or 
originated 
credit-impaired 
financial assets  
IFRS 5.5.1; IFRS 
9.5.5.15; IFRS 
7.35H(b)(ii)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.67,70(d)  IFRS 9.5.4.4 and 
B5.4.9 ; Annex 
V.Part 2.72-74  IFRS 9.5.4.4 and 
B5.4.9; Annex 
V.Part 2.72-74  
0070  0071  0080  0090  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0125  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0130  Households  Annex V.Part 1.42(f)  
0140  FINANCIAL ASSETS AT AMORTISED COST  IFRS 7.8(f); IFRS 9.4.1.2
EN 19.3.2021 Official Journal of the European Union L 97/907  
4.5 Subordinated financial assets  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Carrying amount  
Annex V.Part 1.27-28  
0010  
0010  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  
0020  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0030  SUBORDINATED [FOR THE ISSUER] 
FINANCIAL ASSETS  Accounting Directive art 
8(1)(a); Annex V.Part 
2.78, 100  Annex V.Part 2.78, 
100  
4.6 Trading Financial assets  
References National 
GAAP based on BAD  Carrying amount  
Annex V.Part 1.27-28  
0010  
0005  Derivatives  CRR Annex II; Annex 
V.Part 1.17, Part 2.68  
0010  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5; Annex V 
Part 1.44(b)  
0020  of which: unquoted  
0030  of which: credit institutions  Annex V.Part 1.42(c)  
0040  of which: other financial corporations  Annex V.Part 1.42(d)  
0050  of which: non-financial corporations  Annex V.Part 1.42(e)  
0060  Debt securities  Annex V.Part 1.31, 
44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)  
0120  Loans and advances  Annex V.Part 1.32, 
44(a)  
0130  Central banks  Annex V.Part 1.42(a)  
0140  General governments  Annex V.Part 1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)
EN L 97/908 Official Journal of the European Union 19.3.2021  
References National 
GAAP based on BAD  Carrying amount  
Annex V.Part 1.27-28  
0010  
0180  Households  Annex V.Part 1.42(f)  
0190  TRADING FINANCIAL ASSETS  BAD Article 32-33; 
Annex V.Part 1.17  
4.7 Non-trading non-derivative financial assets measured at fair value through profit or loss  
References National 
GAAP based on BAD  Carrying amount  Accumulated negative 
changes in fair value due 
to credit risk on non- 
performing exposures  
Annex V.Part 1.27-28  Annex V.Part 2.69  
0010  0021  
0010  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5; Annex V 
Part 1.44(b)  
0020  of which: unquoted  
0030  of which: credit institutions  Annex V.Part 1.42(c)  
0040  of which: other financial corporations  Annex V.Part 1.42(d)  
0050  of which: non-financial corporations  Annex V.Part 1.42(e)  
0060  Debt securities  Annex V.Part 1.31, 
44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)  
0120  Loans and advances  Annex V.Part 1.32, 
44(a)  
0130  Central banks  Annex V.Part 1.42(a)  
0140  General governments  Annex V.Part 1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  
0180  Households  Annex V.Part 1.42(f)  
0190  NON-TRADING NON-DERIVATIVE FINANCIAL 
ASSETS MEASURED AT FAIR VALUE 
THROUGH PROFIT OR LOSS  BAD art 36(2)
EN 19.3.2021 Official Journal of the European Union L 97/909
 4.8 Non-trading non-derivative financial assets measured at fair value to equity  
References National GAAP based on 
BAD  Financial assets not subject to 
impairment  
Annex V.Part 1.34(d), Part 2.79  Financial assets subject to impairment  
Annex V.Part 2.79  
Carrying amount  Accumulated 
negative changes 
in fair value due 
to credit risk on 
non-performing 
exposures  Carrying amount  Gross carrying amount  
Annex V Part 1.34(d)  
Unimpaired assets  Impaired assets  
Annex V.Part 
1.27-28  Annex V.Part 2.69  Annex V.Part 
1.27-28  CRR art 4(95)  
0010  0030  0035  0040  0050  
0010  Equity instruments  ECB/2013/33 Annex 2. 
Part 2.4-5; Annex V Part 1.44(b)  
0020  of which: unquoted  
0030  of which: credit institutions  Annex V.Part 1.42(c)  
0040  of which: other financial corporations  Annex V.Part 1.42(d)  
0050  of which: non-financial corporations  Annex V.Part 1.42(e)  
0060  Debt securities  Annex V.Part 1.31, 44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)
EN L 97/910 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  Financial assets not subject to 
impairment  
Annex V.Part 1.34(d), Part 2.79  Financial assets subject to impairment  
Annex V.Part 2.79  
Carrying amount  Accumulated 
negative changes 
in fair value due 
to credit risk on 
non-performing 
exposures  Carrying amount  Gross carrying amount  
Annex V Part 1.34(d)  
Unimpaired assets  Impaired assets  
Annex V.Part 
1.27-28  Annex V.Part 2.69  Annex V.Part 
1.27-28  CRR art 4(95)  
0010  0030  0035  0040  0050  
0120  Loans and advances  Annex V.Part 1.32, 44(a)  
0130  Central banks  Annex V.Part 1.42(a)  
0140  General governments  Annex V.Part 1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  
0175  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0180  Households  Annex V.Part 1.42(f)  
0190  NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS 
MEASURED AT FAIR VALUE TO EQUITY  Accounting Directive art 8(1)(a), 
8(2)
EN 19.3.2021 Official Journal of the European Union L 97/911
 References National GAAP based on 
BAD  Financial assets subject to impairment  
Annex V.Part 2.79  
Specific 
allowances for 
credit risk  General 
allowances for 
credit risk 
affecting carrying 
amount  General 
allowances for 
banking risk 
affecting carrying 
amount  Accumulated 
partial write-offs  Accumulated total 
write-offs  
CRR art 4(95), 
Annex V Part 
2.70(c),71  CRR art 4(95); 
Annex V.Part 
2.70(c),71  CRR art 4(95); 
Annex V. 
Part 2.70(c), 71, 82  CRR art 4(95); 
Annex V. 
Part 2.72-74  CRR art 4(95); 
Annex V. 
Part 2.72-74  
0060  0070  0080  0090  0100  
0010  Equity instruments  ECB/2013/33 Annex 2. 
Part 2.4-5; Annex V Part 1.44(b)  
0020  of which: unquoted  
0030  of which: credit institutions  Annex V.Part 1.42(c)  
0040  of which: other financial corporations  Annex V.Part 1.42(d)  
0050  of which: non-financial corporations  Annex V.Part 1.42(e)  
0060  Debt securities  Annex V.Part 1.31, 44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)
EN L 97/912 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  Financial assets subject to impairment  
Annex V.Part 2.79  
Specific 
allowances for 
credit risk  General 
allowances for 
credit risk 
affecting carrying 
amount  General 
allowances for 
banking risk 
affecting carrying 
amount  Accumulated 
partial write-offs  Accumulated total 
write-offs  
CRR art 4(95), 
Annex V Part 
2.70(c),71  CRR art 4(95); 
Annex V.Part 
2.70(c),71  CRR art 4(95); 
Annex V. 
Part 2.70(c), 71, 82  CRR art 4(95); 
Annex V. 
Part 2.72-74  CRR art 4(95); 
Annex V. 
Part 2.72-74  
0060  0070  0080  0090  0100  
0120  Loans and advances  Annex V.Part 1.32, 44(a)  
0130  Central banks  Annex V.Part 1.42(a)  
0140  General governments  Annex V.Part 1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  
0175  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0180  Households  Annex V.Part 1.42(f)  
0190  NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS 
MEASURED AT FAIR VALUE TO EQUITY  Accounting Directive art 8(1)(a), 
8(2)
EN 19.3.2021 Official Journal of the European Union L 97/913
 4.9 Non-trading non-derivative financial assets measured at a cost-based method  
References National GAAP based on 
BAD  Gross carrying amount  
Annex V.Part 1.34(c),34(e)  
Unimpaired assets  Impaired assets  of which: assets under 
LOCOM  of which: assets under 
LOCOM  
Annex V.Part 2.80  Annex V.Part 1.19  CRR art 4(95), Annex 
V.Part 2.80  Annex V.Part 1.19  
0010  0015  0020  0025  
0005  Equity instruments  ECB/2013/33 Annex 2.Part 2.4-5; 
Annex V Part 1.44(b)  
0006  of which: unquoted  
0007  of which: credit institutions  Annex V.Part 1.42(c)  
0008  of which: other financial corporations  Annex V.Part 1.42(d)  
0009  of which: non-financial corporations  Annex V.Part 1.42(e)  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)
EN L 97/914 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  Gross carrying amount  
Annex V.Part 1.34(c),34(e)  
Unimpaired assets  Impaired assets  of which: assets under 
LOCOM  of which: assets under 
LOCOM  
Annex V.Part 2.80  Annex V.Part 1.19  CRR art 4(95), Annex 
V.Part 2.80  Annex V.Part 1.19  
0010  0015  0020  0025  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0125  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0130  Households  Annex V.Part 1.42(f)  
0140  NON-TRADING FINANCIAL ASSETS MEASURED AT A 
COST-BASED METHOD  BAD art 37.1; art 42a(4)(b); Annex 
V.Part 1.19
EN 19.3.2021 Official Journal of the European Union L 97/915
 References National GAAP based on 
BAD  Specific 
allowances for 
credit risk  General 
allowances for 
credit risk 
affecting carrying 
amount  General 
allowances for 
banking risk 
affecting carrying 
amount  Carrying amount  of which: assets 
under LOCOM  
CRR art 4(95); 
Annex V.Part 
2.70(c), 71  CRR art 4(95); 
Annex V.Part 
2.70(c),71  CRR art 4(95); 
Annex V.Part 
2.70(c), 71, 82  Annex V.Part 1.27- 
28 Annex V.Part 1.19  
0030  0041  0045  0050  0060  
0005  Equity instruments  ECB/2013/33 Annex 2.Part 2.4-5; 
Annex V Part 1.44(b)  
0006  of which: unquoted  
0007  of which: credit institutions  Annex V.Part 1.42(c)  
0008  of which: other financial corporations  Annex V.Part 1.42(d)  
0009  of which: non-financial corporations  Annex V.Part 1.42(e)  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)
EN L 97/916 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  Specific 
allowances for 
credit risk  General 
allowances for 
credit risk 
affecting carrying 
amount  General 
allowances for 
banking risk 
affecting carrying 
amount  Carrying amount  of which: assets 
under LOCOM  
CRR art 4(95); 
Annex V.Part 
2.70(c), 71  CRR art 4(95); 
Annex V.Part 
2.70(c),71  CRR art 4(95); 
Annex V.Part 
2.70(c), 71, 82  Annex V.Part 1.27- 
28 Annex V.Part 1.19  
0030  0041  0045  0050  0060  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0125  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0130  Households  Annex V.Part 1.42(f)  
0140  NON-TRADING FINANCIAL ASSETS MEASURED AT A 
COST-BASED METHOD  BAD art 37.1; art 42a(4)(b); Annex 
V.Part 1.19
EN 19.3.2021 Official Journal of the European Union L 97/917
 References National GAAP based on 
BAD  Accumulated negative 
value adjustments on 
LOCOM assets - 
market risk induced  Accumulated negative 
value adjustments on 
LOCOM assets - credit 
risk induced  Accumulated partial 
write-offs  Accumulated total 
write-offs  
Annex V.Part 2.80  Annex V.Part 2.80  CRR art 4(95); Annex 
V.Part 2.72-74  CRR art 4(95); Annex 
V.Part 2.72-74  
0070  0080  0090  0100  
0005  Equity instruments  ECB/2013/33 Annex 2.Part 2.4-5; 
Annex V Part 1.44(b)  
0006  of which: unquoted  
0007  of which: credit institutions  Annex V.Part 1.42(c)  
0008  of which: other financial corporations  Annex V.Part 1.42(d)  
0009  of which: non-financial corporations  Annex V.Part 1.42(e)  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)
EN L 97/918 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  Accumulated negative 
value adjustments on 
LOCOM assets - 
market risk induced  Accumulated negative 
value adjustments on 
LOCOM assets - credit 
risk induced  Accumulated partial 
write-offs  Accumulated total 
write-offs  
Annex V.Part 2.80  Annex V.Part 2.80  CRR art 4(95); Annex 
V.Part 2.72-74  CRR art 4(95); Annex 
V.Part 2.72-74  
0070  0080  0090  0100  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0125  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0130  Households  Annex V.Part 1.42(f)  
0140  NON-TRADING FINANCIAL ASSETS MEASURED AT A 
COST-BASED METHOD  BAD art 37.1; art 42a(4)(b); Annex 
V.Part 1.19
EN 19.3.2021 Official Journal of the European Union L 97/919
 4.10  Other non-trading non-derivative financial assets  
References National GAAP based on 
BAD  Gross carrying amount  
Annex V.Part 1.34(e),34(f)  
Unimpaired assets  Impaired assets  of which: assets under 
LOCOM  of which: assets under 
LOCOM  
Annex V.Part 2.81  Annex V.Part 1.20  Annex V.Part 2.81  CRR art 4(95); Annex 
V.Part 1.20  
0015  0016  0020  0025  
0010  Equity instruments  ECB/2013/33 Annex 2.Part 2.4-5; 
Annex V.Part 1.44(b)  
0020  of which: unquoted  
0030  of which: credit institutions  Annex V.Part 1.42(c)  
0040  of which: other financial corporations  Annex V.Part 1.42(d)  
0050  of which: non-financial corporations  Annex V.Part 1.42(e)  
0060  Debt securities  Annex V.Part 1.31, 44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)
EN L 97/920 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  Gross carrying amount  
Annex V.Part 1.34(e),34(f)  
Unimpaired assets  Impaired assets  of which: assets under 
LOCOM  of which: assets under 
LOCOM  
Annex V.Part 2.81  Annex V.Part 1.20  Annex V.Part 2.81  CRR art 4(95); Annex 
V.Part 1.20  
0015  0016  0020  0025  
0120  Loans and advances  Annex V.Part 1.32, 44(a)  
0130  Central banks  Annex V.Part 1.42(a)  
0140  General governments  Annex V.Part 1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  
0175  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0180  Households  Annex V.Part 1.42(f)  
0190  OTHER NON-TRADING NON-DERIVATIVE FINANCIAL 
ASSETS  Accounting Directive art 8(1)(a), 8(2); 
Annex V.Part 1.20
EN 19.3.2021 Official Journal of the European Union L 97/921
 References National GAAP based on 
BAD  Specific 
allowances for 
credit risk  General 
allowances for 
credit risk 
affecting carrying 
amount  General 
allowances for 
banking risk 
affecting carrying 
amount  Carrying amount  of which: assets 
under LOCOM  
CRR art 4(95); 
Annex V.Part 
2.70(c), 71  CRR art 4(95); 
Annex V.Part 
2.70(c),71  CRR art 4(95); 
Annex V.Part 
2.70(c), 71, 82  Annex V.Part 1.27- 
28 Annex V.Part 1.20  
0030  0040  0050  0010  0070  
0010  Equity instruments  ECB/2013/33 Annex 2.Part 2.4-5; 
Annex V.Part 1.44(b)  
0020  of which: unquoted  
0030  of which: credit institutions  Annex V.Part 1.42(c)  
0040  of which: other financial corporations  Annex V.Part 1.42(d)  
0050  of which: non-financial corporations  Annex V.Part 1.42(e)  
0060  Debt securities  Annex V.Part 1.31, 44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)
EN L 97/922 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  Specific 
allowances for 
credit risk  General 
allowances for 
credit risk 
affecting carrying 
amount  General 
allowances for 
banking risk 
affecting carrying 
amount  Carrying amount  of which: assets 
under LOCOM  
CRR art 4(95); 
Annex V.Part 
2.70(c), 71  CRR art 4(95); 
Annex V.Part 
2.70(c),71  CRR art 4(95); 
Annex V.Part 
2.70(c), 71, 82  Annex V.Part 1.27- 
28 Annex V.Part 1.20  
0030  0040  0050  0010  0070  
0120  Loans and advances  Annex V.Part 1.32, 44(a)  
0130  Central banks  Annex V.Part 1.42(a)  
0140  General governments  Annex V.Part 1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  
0175  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0180  Households  Annex V.Part 1.42(f)  
0190  OTHER NON-TRADING NON-DERIVATIVE FINANCIAL 
ASSETS  Accounting Directive art 8(1)(a), 8(2); 
Annex V.Part 1.20
EN 19.3.2021 Official Journal of the European Union L 97/923
 References National GAAP based on 
BAD  Accumulated negative 
value adjustments on 
LOCOM assets - 
market risk induced  Accumulated negative 
value adjustments on 
LOCOM assets - credit 
risk induced  Accumulated partial 
write-offs  Accumulated total 
write-offs  
Annex V.Part 2.81  Annex V.Part 2.81  CRR art 4(95); Annex 
V.Part 2.72-74  CRR art 4(95); Annex 
V.Part 2.72-74  
0080  0090  0100  0110  
0010  Equity instruments  ECB/2013/33 Annex 2.Part 2.4-5; 
Annex V.Part 1.44(b)  
0020  of which: unquoted  
0030  of which: credit institutions  Annex V.Part 1.42(c)  
0040  of which: other financial corporations  Annex V.Part 1.42(d)  
0050  of which: non-financial corporations  Annex V.Part 1.42(e)  
0060  Debt securities  Annex V.Part 1.31, 44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)
EN L 97/924 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  Accumulated negative 
value adjustments on 
LOCOM assets - 
market risk induced  Accumulated negative 
value adjustments on 
LOCOM assets - credit 
risk induced  Accumulated partial 
write-offs  Accumulated total 
write-offs  
Annex V.Part 2.81  Annex V.Part 2.81  CRR art 4(95); Annex 
V.Part 2.72-74  CRR art 4(95); Annex 
V.Part 2.72-74  
0080  0090  0100  0110  
0120  Loans and advances  Annex V.Part 1.32, 44(a)  
0130  Central banks  Annex V.Part 1.42(a)  
0140  General governments  Annex V.Part 1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  
0175  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  
0180  Households  Annex V.Part 1.42(f)  
0190  OTHER NON-TRADING NON-DERIVATIVE FINANCIAL 
ASSETS  Accounting Directive art 8(1)(a), 8(2); 
Annex V.Part 1.20
EN 19.3.2021 Official Journal of the European Union L 97/925
 5. Breakdown of non-trading loans and advances by product  
5.1 Loans and advances other than held for trading, trading or held for sale assets by product  
References  Gross 
carrying 
amount  Carrying amount  
Annex V.Part 1.27-28  
Central 
banks  General 
govern­
ments  Credit 
institu­
tions  Other 
financial 
corpor­
ations  Non- 
financial 
corpor­
ations  House­
holds  
Annex 
V.Part 1.34  Annex 
V.Part 
1.42(a)  Annex 
V.Part 
1.42(b)  Annex 
V.Part 
1.42(c)  Annex 
V.Part 
1.42(d)  Annex 
V.Part 
1.42(e)  Annex 
V.Part 
1.42(f)  
0005  0010  0020  0030  0040  0050  0060  
By product  0010  On demand [call] and short notice 
[current account]  Annex V.Part 2.85(a)  
0020  Credit card debt  Annex V.Part 2.85(b)  
0030  Trade receivables  Annex V.Part 2.85(c)  
0040  Finance leases  Annex V.Part 2.85(d)  
0050  Reverse repurchase loans  Annex V.Part 2.85(e)  
0060  Other term loans  Annex V.Part 2.85(f)  
0070  Advances that are not loans  Annex V.Part 2.85(g)  
0080  LOANS AND ADVANCES  Annex V.Part 1.32, 44(a)  
By collateral  0090  of which: Loans collateralized by immovable 
property  Annex V.Part 2.86(a), 87  
0100  of which: other collateralized loans  Annex V.Part 2.86(b), 87  
By purpose  0110  of which: credit for consumption  Annex V.Part 2.88(a)  
0120  of which: lending for house purchase  Annex V.Part 2.88(b)  
By subordination  0130  of which: project finance loans  Annex V.Part 2.89; CRR 
Art 147(8)
EN L 97/926 Official Journal of the European Union 19.3.2021
 6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes  
6.1 Breakdown of loans and advances other than held for trading, trading or held for sale assets to non-financial corporations by NACE codes  
References  Non-financial corporations  
Annex V.Part 1.42(e), Part 2.91  
Gross 
carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in fair 
value due to 
credit risk on 
non- 
performing 
exposures  of which: 
loans and 
advances 
subject to 
impairment  Of which: 
non- 
performing  
of which: 
defaulted  
Annex V.Part 
1.34  Annex V.Part 
2.93  Annex V.Part 2. 
213-232  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 
2.70-71  Annex V.Part 
2.69  
0010  0011  0012  0013  0021  0022  
0010  A Agriculture, forestry and fishing  NACE Regulation  
0020  B Mining and quarrying  NACE Regulation  
0030  C Manufacturing  NACE Regulation  
0040  D Electricity, gas, steam and air conditioning supply  NACE Regulation  
0050  E Water supply  NACE Regulation  
0060  F Construction  NACE Regulation  
0070  G Wholesale and retail trade  NACE Regulation  
0080  H Transport and storage  NACE Regulation
EN 19.3.2021 Official Journal of the European Union L 97/927
 References  Non-financial corporations  
Annex V.Part 1.42(e), Part 2.91  
Gross 
carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in fair 
value due to 
credit risk on 
non- 
performing 
exposures  of which: 
loans and 
advances 
subject to 
impairment  Of which: 
non- 
performing  
of which: 
defaulted  
Annex V.Part 
1.34  Annex V.Part 
2.93  Annex V.Part 2. 
213-232  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 
2.70-71  Annex V.Part 
2.69  
0010  0011  0012  0013  0021  0022  
0090  I Accommodation and food service activities  NACE Regulation  
0100  J Information and communication  NACE Regulation  
0105  K Financial and insurance activities  NACE Regulation, Annex 
V.Part 2.92  
0110  L Real estate activities  NACE Regulation  
0120  M Professional, scientific and technical activities  NACE Regulation  
0130  N Administrative and support service activities  NACE Regulation  
0140  O Public administration and defence, compulsory 
social security  NACE Regulation  
0150  P Education  NACE Regulation  
0160  Q Human health services and social work activities  NACE Regulation  
0170  R Arts, entertainment and recreation  NACE Regulation  
0180  S Other services  NACE Regulation  
0190  LOANS AND ADVANCES  Annex V.Part 1.32, Part 
2.90
EN L 97/928 Official Journal of the European Union 19.3.2021
 7. Financial assets subject to impairment that are past due  
7.1 Financial assets subject to impairment that are past due  
References National GAAP 
compatible IFRS  Carrying amount  
Annex V.Part 1.27  
Assets without significant 
increase in credit risk since 
initial recognition (Stage 1)  Assets with significant 
increase in credit risk since 
initial recognition but not 
credit-impaired (Stage 2)  Credit-impaired assets 
(Stage 3)  Purchased or originated 
credit-impaired financial 
assets
 ≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s 
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96  
0010  0020  0030  0040  0050  0060  0070  0080  0090  0100  0110  0120  
0060  Debt securities  Annex V.Part 1.31, 
44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)  
0120  Loans and advances  Annex V.Part 1.32, 
44(a)  
0130  Central banks  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/929
 References National GAAP 
compatible IFRS  Carrying amount  
Annex V.Part 1.27  
Assets without significant 
increase in credit risk since 
initial recognition (Stage 1)  Assets with significant 
increase in credit risk since 
initial recognition but not 
credit-impaired (Stage 2)  Credit-impaired assets 
(Stage 3)  Purchased or originated 
credit-impaired financial 
assets
 ≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s 
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96  
0010  0020  0030  0040  0050  0060  0070  0080  0090  0100  0110  0120  
0140  General governments  Annex V.Part 1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)  
0180  Households  Annex V.Part 1.42(f)  
0190  TOTAL DEBT INSTRUMENTS  Annex V Part 
2.94-95  
Loans and advances by product, by collateral and by 
subordination  
0200  On demand [call] and short 
notice [current account]  Annex V.Part 2.85(a)  
0210  Credit card debt  Annex V.Part 2.85(b)  
0220  Trade receivables  Annex V.Part 2.85(c)  
0230  Finance leases  Annex V.Part 2.85(d)
EN L 97/930 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS  Carrying amount  
Annex V.Part 1.27  
Assets without significant 
increase in credit risk since 
initial recognition (Stage 1)  Assets with significant 
increase in credit risk since 
initial recognition but not 
credit-impaired (Stage 2)  Credit-impaired assets 
(Stage 3)  Purchased or originated 
credit-impaired financial 
assets
 ≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s 
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96  
0010  0020  0030  0040  0050  0060  0070  0080  0090  0100  0110  0120  
0240  Reverse repurchase loans  Annex V.Part 2.85(e)  
0250  Other term loans  Annex V.Part 2.85(f)  
0260  Advances that are not loans  Annex V.Part 2.85(g)  
0270  of which: Loans collateralized by 
inmovable property  Annex V.Part 2.86(a), 
87 
0280  of which: other collateralized 
loans  Annex V.Part 2.86(b), 
87 
0290  of which: credit for consumption  Annex V.Part 2.88(a)  
0300  of which: lending for house 
purchase  Annex V.Part 2.88(b)  
0310  of which: project finance loans  Annex V.Part 2.89; CRR 
Art 147(8)
EN 19.3.2021 Official Journal of the European Union L 97/931
 7.2 Financial assets subject to impairment that are past due under national GAAP  
References National GAAP based 
on BAD  Carrying amount  
Annex V.Part 1.27-28  
Past due but not impaired  Past due impaired
 ≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s 
CRR art 4(95); Annex V.Part 2.96  
0010  0020  0030  0040  0050  0060  
0060  Debt securities  Annex V.Part 1.31, 44(b)  
0070  Central banks  Annex V.Part 1.42(a)  
0080  General governments  Annex V.Part 1.42(b)  
0090  Credit institutions  Annex V.Part 1.42(c)  
0100  Other financial corporations  Annex V.Part 1.42(d)  
0110  Non-financial corporations  Annex V.Part 1.42(e)  
0120  Loans and advances  Annex V.Part 1.32, 44(a)  
0130  Central banks  Annex V.Part 1.42(a)  
0140  General governments  Annex V.Part 1.42(b)  
0150  Credit institutions  Annex V.Part 1.42(c)  
0160  Other financial corporations  Annex V.Part 1.42(d)  
0170  Non-financial corporations  Annex V.Part 1.42(e)
EN L 97/932 Official Journal of the European Union 19.3.2021
 References National GAAP based 
on BAD  Carrying amount  
Annex V.Part 1.27-28  
Past due but not impaired  Past due impaired
 ≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s 
CRR art 4(95); Annex V.Part 2.96  
0010  0020  0030  0040  0050  0060  
0180  Households  Annex V.Part 1.42(f)  
0190  TOTAL DEBT INSTRUMENTS  Annex V Part 2.94-95  
Loans and advances by product, by 
collateral and by subordination  
0200  On demand [call] and short notice [current 
account]  Annex V.Part 2.85(a)  
0210  Credit card debt  Annex V.Part 2.85(b)  
0220  Trade receivables  Annex V.Part 2.85(c)  
0230  Finance leases  Annex V.Part 2.85(d)  
0240  Reverse repurchase loans  Annex V.Part 2.85(e)  
0250  Other term loans  Annex V.Part 2.85(f)  
0260  Advances that are not loans  Annex V.Part 2.85(g)  
0270  of which: Loans collateralized by inmovable 
property  Annex V.Part 2.86(a), 87
EN 19.3.2021 Official Journal of the European Union L 97/933
 References National GAAP based 
on BAD  Carrying amount  
Annex V.Part 1.27-28  
Past due but not impaired  Past due impaired
 ≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s  
≤30 days  
>3 0d a y s ≤90 days  
>9 0d a y s 
CRR art 4(95); Annex V.Part 2.96  
0010  0020  0030  0040  0050  0060  
0280  of which: other collateralized loans  Annex V.Part 2.86(b), 87  
0290  of which: credit for consumption  Annex V.Part 2.88(a)  
0300  of which: lending for house purchase  Annex V.Part 2.88(b)  
0310  of which: project finance loans  Annex V.Part 2.89; CRR Art 
147(8)
EN L 97/934 Official Journal of the European Union 19.3.2021
 8. Breakdown of financial liabilities  
8.1 Breakdown of financial liabilities by product and by counterparty sector  
References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  Accumulat ­
ed changes 
in fair value 
due to 
credit risk  Held for 
trading  Designated 
at fair value 
through 
profit or 
loss  Amortised 
cost  Trading  At a cost- 
based 
method  Hedge 
accounting  
IFRS 
7.8(e)(ii); 
IFRS 9 
Appendix A, 
IFRS 
9.BA.6- 
BA.7, IFRS 
9.6.7  IFRS 
7.8(e)(i); 
IFRS 
9.4.2.2, 
IFRS 9.4.3.5  IFRS 7.8(g); 
IFRS 9.4.2.1  IFRS 
7.24A(a); 
IFRS 9.6  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.101  
Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9, 
AG 14-15  Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9  Accounting 
Directive art 
8(3), (6); 
IAS 39.47  Accounting 
Directive art 
8(3); Annex 
V.Part 1.25  Accounting 
Directive art 
8(3)  Accounting 
Directive art 
8(1)(a), (6), 
(8)(1)(a)  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.102  
0010  0020  0030  0034  0035  0037  0040  
0010  Derivatives  CRR Annex II  IFRS 9.BA.7(a)  
0020  Short positions  FRS 9.BA.7(b)  
0030  Equity instruments  ECB/2013/33 
Annex 2.Part 2.4-5  IAS 32.11  
0040  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0050  Deposits  ECB/2013/33 
Annex 2.Part 2.9; 
Annex V.Part 1.36  ECB/2013/33 
Annex 2.Part 2.9; 
Annex V.Part 1.36  
0060  Central banks  Annex V.Part 
1.42(a), 44(c)  Annex V.Part 
1.42(a), 44(c)
EN 19.3.2021 Official Journal of the European Union L 97/935
 References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  Accumulat ­
ed changes 
in fair value 
due to 
credit risk  Held for 
trading  Designated 
at fair value 
through 
profit or 
loss  Amortised 
cost  Trading  At a cost- 
based 
method  Hedge 
accounting  
IFRS 
7.8(e)(ii); 
IFRS 9 
Appendix A, 
IFRS 
9.BA.6- 
BA.7, IFRS 
9.6.7  IFRS 
7.8(e)(i); 
IFRS 
9.4.2.2, 
IFRS 9.4.3.5  IFRS 7.8(g); 
IFRS 9.4.2.1  IFRS 
7.24A(a); 
IFRS 9.6  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.101  
Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9, 
AG 14-15  Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9  Accounting 
Directive art 
8(3), (6); 
IAS 39.47  Accounting 
Directive art 
8(3); Annex 
V.Part 1.25  Accounting 
Directive art 
8(3)  Accounting 
Directive art 
8(1)(a), (6), 
(8)(1)(a)  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.102  
0010  0020  0030  0034  0035  0037  0040  
0070  Current accounts / overnight deposits  ECB/2013/33 
Annex 2.Part 2.9.1  ECB/2013/33 
Annex 2.Part 2.9.1  
0080  Deposits with agreed maturity  ECB/2013/33 
Annex 2.Part 2.9.2  ECB/2013/33 
Annex 2.Part 2.9.2  
0090  Deposits redeemable at notice  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  
0100  Repurchase agreements  ECB/2013/33 
Annex 2.Part 2.9.4  ECB/2013/33 
Annex 2.Part 2.9.4  
0110  General governments  Annex V.Part 
1.42(b), 44(c)  Annex V.Part 
1.42(b), 44(c)  
0120  Current accounts / overnight deposits  ECB/2013/33 
Annex 2.Part 2.9.1  ECB/2013/33 
Annex 2.Part 2.9.1
EN L 97/936 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  Accumulat ­
ed changes 
in fair value 
due to 
credit risk  Held for 
trading  Designated 
at fair value 
through 
profit or 
loss  Amortised 
cost  Trading  At a cost- 
based 
method  Hedge 
accounting  
IFRS 
7.8(e)(ii); 
IFRS 9 
Appendix A, 
IFRS 
9.BA.6- 
BA.7, IFRS 
9.6.7  IFRS 
7.8(e)(i); 
IFRS 
9.4.2.2, 
IFRS 9.4.3.5  IFRS 7.8(g); 
IFRS 9.4.2.1  IFRS 
7.24A(a); 
IFRS 9.6  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.101  
Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9, 
AG 14-15  Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9  Accounting 
Directive art 
8(3), (6); 
IAS 39.47  Accounting 
Directive art 
8(3); Annex 
V.Part 1.25  Accounting 
Directive art 
8(3)  Accounting 
Directive art 
8(1)(a), (6), 
(8)(1)(a)  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.102  
0010  0020  0030  0034  0035  0037  0040  
0130  Deposits with agreed maturity  ECB/2013/33 
Annex 2.Part 2.9.2  ECB/2013/33 
Annex 2.Part 2.9.2  
0140  Deposits redeemable at notice  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  
0150  Repurchase agreements  ECB/2013/33 
Annex 2.Part 2.9.4  ECB/2013/33 
Annex 2.Part 2.9.4  
0160  Credit institutions  Annex V.Part 
1.42(c),44(c)  Annex V.Part 
1.42(c),44(c)  
0170  Current accounts / overnight deposits  ECB/2013/33 
Annex 2.Part 2.9.1  ECB/2013/33 
Annex 2.Part 2.9.1  
0180  Deposits with agreed maturity  ECB/2013/33 
Annex 2.Part 2.9.2  ECB/2013/33 
Annex 2.Part 2.9.2
EN 19.3.2021 Official Journal of the European Union L 97/937
 References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  Accumulat ­
ed changes 
in fair value 
due to 
credit risk  Held for 
trading  Designated 
at fair value 
through 
profit or 
loss  Amortised 
cost  Trading  At a cost- 
based 
method  Hedge 
accounting  
IFRS 
7.8(e)(ii); 
IFRS 9 
Appendix A, 
IFRS 
9.BA.6- 
BA.7, IFRS 
9.6.7  IFRS 
7.8(e)(i); 
IFRS 
9.4.2.2, 
IFRS 9.4.3.5  IFRS 7.8(g); 
IFRS 9.4.2.1  IFRS 
7.24A(a); 
IFRS 9.6  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.101  
Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9, 
AG 14-15  Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9  Accounting 
Directive art 
8(3), (6); 
IAS 39.47  Accounting 
Directive art 
8(3); Annex 
V.Part 1.25  Accounting 
Directive art 
8(3)  Accounting 
Directive art 
8(1)(a), (6), 
(8)(1)(a)  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.102  
0010  0020  0030  0034  0035  0037  0040  
0190  Deposits redeemable at notice  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  
0200  Repurchase agreements  ECB/2013/33 
Annex 2.Part 2.9.4  ECB/2013/33 
Annex 2.Part 2.9.4  
0210  Other financial corporations  Annex V.Part 
1.42(d),44(c)  Annex V.Part 
1.42(d),44(c)  
0220  Current accounts / overnight deposits  ECB/2013/33 
Annex 2.Part 2.9.1  ECB/2013/33 
Annex 2.Part 2.9.1  
0230  Deposits with agreed maturity  ECB/2013/33 
Annex 2.Part 2.9.2  ECB/2013/33 
Annex 2.Part 2.9.2
EN L 97/938 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  Accumulat ­
ed changes 
in fair value 
due to 
credit risk  Held for 
trading  Designated 
at fair value 
through 
profit or 
loss  Amortised 
cost  Trading  At a cost- 
based 
method  Hedge 
accounting  
IFRS 
7.8(e)(ii); 
IFRS 9 
Appendix A, 
IFRS 
9.BA.6- 
BA.7, IFRS 
9.6.7  IFRS 
7.8(e)(i); 
IFRS 
9.4.2.2, 
IFRS 9.4.3.5  IFRS 7.8(g); 
IFRS 9.4.2.1  IFRS 
7.24A(a); 
IFRS 9.6  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.101  
Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9, 
AG 14-15  Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9  Accounting 
Directive art 
8(3), (6); 
IAS 39.47  Accounting 
Directive art 
8(3); Annex 
V.Part 1.25  Accounting 
Directive art 
8(3)  Accounting 
Directive art 
8(1)(a), (6), 
(8)(1)(a)  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.102  
0010  0020  0030  0034  0035  0037  0040  
0240  Deposits redeemable at notice  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  
0250  Repurchase agreements  ECB/2013/33 
Annex 2.Part 2.9.4  ECB/2013/33 
Annex 2.Part 2.9.4  
0260  Non-financial corporations  Annex V.Part 
1.42(e), 44(c)  Annex V.Part 
1.42(e), 44(c)  
0270  Current accounts / overnight deposits  ECB/2013/33 
Annex 2.Part 2.9.1  ECB/2013/33 
Annex 2.Part 2.9.1  
0280  Deposits with agreed maturity  ECB/2013/33 
Annex 2.Part 2.9.2  ECB/2013/33 
Annex 2.Part 2.9.2
EN 19.3.2021 Official Journal of the European Union L 97/939
 References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  Accumulat ­
ed changes 
in fair value 
due to 
credit risk  Held for 
trading  Designated 
at fair value 
through 
profit or 
loss  Amortised 
cost  Trading  At a cost- 
based 
method  Hedge 
accounting  
IFRS 
7.8(e)(ii); 
IFRS 9 
Appendix A, 
IFRS 
9.BA.6- 
BA.7, IFRS 
9.6.7  IFRS 
7.8(e)(i); 
IFRS 
9.4.2.2, 
IFRS 9.4.3.5  IFRS 7.8(g); 
IFRS 9.4.2.1  IFRS 
7.24A(a); 
IFRS 9.6  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.101  
Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9, 
AG 14-15  Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9  Accounting 
Directive art 
8(3), (6); 
IAS 39.47  Accounting 
Directive art 
8(3); Annex 
V.Part 1.25  Accounting 
Directive art 
8(3)  Accounting 
Directive art 
8(1)(a), (6), 
(8)(1)(a)  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.102  
0010  0020  0030  0034  0035  0037  0040  
0290  Deposits redeemable at notice  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  
0300  Repurchase agreements  ECB/2013/33 
Annex 2.Part 2.9.4  ECB/2013/33 
Annex 2.Part 2.9.4  
0310  Households  Annex V.Part 
1.42(f), 44(c)  Annex V.Part 
1.42(f), 44(c)  
0320  Current accounts / overnight deposits  ECB/2013/33 
Annex 2.Part 2.9.1  ECB/2013/33 
Annex 2.Part 2.9.1  
0330  Deposits with agreed maturity  ECB/2013/33 
Annex 2.Part 2.9.2  ECB/2013/33 
Annex 2.Part 2.9.2
EN L 97/940 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  Accumulat ­
ed changes 
in fair value 
due to 
credit risk  Held for 
trading  Designated 
at fair value 
through 
profit or 
loss  Amortised 
cost  Trading  At a cost- 
based 
method  Hedge 
accounting  
IFRS 
7.8(e)(ii); 
IFRS 9 
Appendix A, 
IFRS 
9.BA.6- 
BA.7, IFRS 
9.6.7  IFRS 
7.8(e)(i); 
IFRS 
9.4.2.2, 
IFRS 9.4.3.5  IFRS 7.8(g); 
IFRS 9.4.2.1  IFRS 
7.24A(a); 
IFRS 9.6  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.101  
Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9, 
AG 14-15  Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9  Accounting 
Directive art 
8(3), (6); 
IAS 39.47  Accounting 
Directive art 
8(3); Annex 
V.Part 1.25  Accounting 
Directive art 
8(3)  Accounting 
Directive art 
8(1)(a), (6), 
(8)(1)(a)  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.102  
0010  0020  0030  0034  0035  0037  0040  
0340  Deposits redeemable at notice  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  ECB/2013/33 
Annex 2.Part 
2.9.3; Annex 
V.Part 2.97  
0350  Repurchase agreements  ECB/2013/33 
Annex 2.Part 2.9.4  ECB/2013/33 
Annex 2.Part 2.9.4  
0360  Debt securities issued  Annex V.1.37, Part 
2.98  Annex V.Part 1.37, 
Part 2.98  
0370  Certificates of deposits  Annex V.Part 
2.98(a)  Annex V.Part 
2.98(a)  
0380  Asset-backed securities  CRR art 4(61)  CRR art 4(1)(61)  
0390  Covered bonds  CRR art 129  CRR art 129  
0400  Hybrid contracts  Annex V.Part 
2.98(d)  Annex V.Part 
2.98(d)
EN 19.3.2021 Official Journal of the European Union L 97/941
 References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  Accumulat ­
ed changes 
in fair value 
due to 
credit risk  Held for 
trading  Designated 
at fair value 
through 
profit or 
loss  Amortised 
cost  Trading  At a cost- 
based 
method  Hedge 
accounting  
IFRS 
7.8(e)(ii); 
IFRS 9 
Appendix A, 
IFRS 
9.BA.6- 
BA.7, IFRS 
9.6.7  IFRS 
7.8(e)(i); 
IFRS 
9.4.2.2, 
IFRS 9.4.3.5  IFRS 7.8(g); 
IFRS 9.4.2.1  IFRS 
7.24A(a); 
IFRS 9.6  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.101  
Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9, 
AG 14-15  Accounting 
Directive art 
8(1)(a), (6); 
IAS 39.9  Accounting 
Directive art 
8(3), (6); 
IAS 39.47  Accounting 
Directive art 
8(3); Annex 
V.Part 1.25  Accounting 
Directive art 
8(3)  Accounting 
Directive art 
8(1)(a), (6), 
(8)(1)(a)  CRR art 
33(1)(b), art 
33(1)(c); 
Annex V.Part 
2.102  
0010  0020  0030  0034  0035  0037  0040  
0410  Other debt securities issued  Annex V.Part 
2.98(e)  Annex V.Part 
2.98(e)  
0420  Convertible compound financial instruments  IAS 32.AG 31  
0430  Non-convertible  
0440  Other financial liabilities  Annex V.Part 
1.38-41  Annex V.Part 
1.38-41  
0445  of which: lease liabilities  IFRS 16.22, 26- 
28, 47(b)  
0450  FINANCIAL LIABILITIES
EN L 97/942 Official Journal of the European Union 19.3.2021
 8.2 Subordinated financial liabilities  
References National GAAP  References National GAAP 
compatible IFRS  Carriyng amount  
Designated at 
fair value 
through profit or 
loss  At amortized 
cost  At a cost-based 
method  
IFRS 7.8(e)(i); IFRS 
9.4.2.2, IFRS 
9.4.3.5  IFRS 7.8(g); IFRS 
9.4.2.1  
Accounting 
Directive art 
8(1)(a), (6); IAS 
39.9  Accounting 
Directive art 8(3), 
(6); IAS 39.47  Accounting 
Directive art 8(3)  
0010  0020  0030  
0010  Deposits  ECB/2013/33 Annex 2.Part 2.9; 
Annex V.Part 1.36  ECB/2013/33 Annex 2.Part 2.9; 
Annex V.Part 1.36  
0020  Debt securities issued  Annex V.Part 1.37  Annex V.Part 1.37  
0030  SUBORDINATED FINANCIAL LIABILITIES  Annex V.Part 2.99-100  Annex V.Part 2.99-100
EN 19.3.2021 Official Journal of the European Union L 97/943
 9. Loan commitments, financial guarantees and other commitments  
9.1.1  Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given  
References National GAAP 
compatible IFRS  Nominal amount of off-balance sheet commitments and financial 
guarantees under IFRS 9 impairment  
Annex V.Part 2.107-108, 118  
Instruments without 
significant increase in 
credit risk since 
initial recognition 
(Stage 1)  Instruments with 
significant increase in 
credit risk since 
initial recognition but 
not credit-impaired 
(Stage 2)  Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated 
credit-impaired 
instruments  
IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS 9.B2.5; IFRS 
7.35M  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS 9.B2.5; IFRS 
7.35M  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS9.B2.5; IFRS 
7.35M  IFRS 7.35M; Annex 
V.Part 2.107  
0010  0020  0030  0035  
0010  Loan commitments given  CRR Annex I; Annex V.Part 1.44(g), 
Part 2.102-105, 113, 116  
0021  of which: non-performing  Annex V.Part 2.117  
0030  Central banks  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)
EN L 97/944 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS  Nominal amount of off-balance sheet commitments and financial 
guarantees under IFRS 9 impairment  
Annex V.Part 2.107-108, 118  
Instruments without 
significant increase in 
credit risk since 
initial recognition 
(Stage 1)  Instruments with 
significant increase in 
credit risk since 
initial recognition but 
not credit-impaired 
(Stage 2)  Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated 
credit-impaired 
instruments  
IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS 9.B2.5; IFRS 
7.35M  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS 9.B2.5; IFRS 
7.35M  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS9.B2.5; IFRS 
7.35M  IFRS 7.35M; Annex 
V.Part 2.107  
0010  0020  0030  0035  
0060  Other financial corporations  Annex V.Part 1.42(d)  
0070  Non-financial corporations  Annex V.Part 1.42(e)  
0080  Households  Annex V.Part 1.42(f)  
0090  Financial guarantees given  IFRS 4 Annex A; CRR Annex I; Annex 
V.Part 1.44(f), Part 2.102-105, 114, 
116  
0101  of which: non-performing  Annex V.Part 2.117  
0110  Central banks  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/945
 References National GAAP 
compatible IFRS  Nominal amount of off-balance sheet commitments and financial 
guarantees under IFRS 9 impairment  
Annex V.Part 2.107-108, 118  
Instruments without 
significant increase in 
credit risk since 
initial recognition 
(Stage 1)  Instruments with 
significant increase in 
credit risk since 
initial recognition but 
not credit-impaired 
(Stage 2)  Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated 
credit-impaired 
instruments  
IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS 9.B2.5; IFRS 
7.35M  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS 9.B2.5; IFRS 
7.35M  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS9.B2.5; IFRS 
7.35M  IFRS 7.35M; Annex 
V.Part 2.107  
0010  0020  0030  0035  
0120  General governments  Annex V.Part 1.42(b)  
0130  Credit institutions  Annex V.Part 1.42(c)  
0140  Other financial corporations  Annex V.Part 1.42(d)  
0150  Non-financial corporations  Annex V.Part 1.42(e)  
0160  Households  Annex V.Part 1.42(f)  
0170  Other Commitments given  CRR Annex I; Annex V.Part 1.44(g), 
Part 2.102-105, 115, 116  
0181  of which: non-performing  Annex V.Part 2.117
EN L 97/946 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS  Nominal amount of off-balance sheet commitments and financial 
guarantees under IFRS 9 impairment  
Annex V.Part 2.107-108, 118  
Instruments without 
significant increase in 
credit risk since 
initial recognition 
(Stage 1)  Instruments with 
significant increase in 
credit risk since 
initial recognition but 
not credit-impaired 
(Stage 2)  Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated 
credit-impaired 
instruments  
IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS 9.B2.5; IFRS 
7.35M  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS 9.B2.5; IFRS 
7.35M  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS 9.5.5, 
IFRS9.B2.5; IFRS 
7.35M  IFRS 7.35M; Annex 
V.Part 2.107  
0010  0020  0030  0035  
0190  Central banks  Annex V.Part 1.42(a)  
0200  General governments  Annex V.Part 1.42(b)  
0210  Credit institutions  Annex V.Part 1.42(c)  
0220  Other financial corporations  Annex V.Part 1.42(d)  
0230  Non-financial corporations  Annex V.Part 1.42(e)  
0240  Households  Annex V.Part 1.42(f)
EN 19.3.2021 Official Journal of the European Union L 97/947
 References National GAAP 
compatible IFRS  Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 
impairment  
Annex V Part 2.106-109  
Instruments without 
significant increase in 
credit risk since 
initial recognition 
(Stage 1)  Instruments with 
significant increase in 
credit risk since 
initial recognition but 
not credit-impaired 
(Stage 2)  Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated 
credit-impaired 
instruments  
IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(a)  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(i)  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(ii)  IFRS 7.35M; Annex 
V.Part 2.107  
0040  0050  0060  0065  
0010  Loan commitments given  CRR Annex I; Annex V.Part 1.44(g), 
Part 2.102-105, 113, 116  
0021  of which: non-performing  Annex V.Part 2.117  
0030  Central banks  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)
EN L 97/948 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS  Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 
impairment  
Annex V Part 2.106-109  
Instruments without 
significant increase in 
credit risk since 
initial recognition 
(Stage 1)  Instruments with 
significant increase in 
credit risk since 
initial recognition but 
not credit-impaired 
(Stage 2)  Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated 
credit-impaired 
instruments  
IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(a)  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(i)  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(ii)  IFRS 7.35M; Annex 
V.Part 2.107  
0040  0050  0060  0065  
0060  Other financial corporations  Annex V.Part 1.42(d)  
0070  Non-financial corporations  Annex V.Part 1.42(e)  
0080  Households  Annex V.Part 1.42(f)  
0090  Financial guarantees given  IFRS 4 Annex A; CRR Annex I; Annex 
V.Part 1.44(f), Part 2.102-105, 114, 
116  
0101  of which: non-performing  Annex V.Part 2.117  
0110  Central banks  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/949
 References National GAAP 
compatible IFRS  Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 
impairment  
Annex V Part 2.106-109  
Instruments without 
significant increase in 
credit risk since 
initial recognition 
(Stage 1)  Instruments with 
significant increase in 
credit risk since 
initial recognition but 
not credit-impaired 
(Stage 2)  Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated 
credit-impaired 
instruments  
IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(a)  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(i)  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(ii)  IFRS 7.35M; Annex 
V.Part 2.107  
0040  0050  0060  0065  
0120  General governments  Annex V.Part 1.42(b)  
0130  Credit institutions  Annex V.Part 1.42(c)  
0140  Other financial corporations  Annex V.Part 1.42(d)  
0150  Non-financial corporations  Annex V.Part 1.42(e)  
0160  Households  Annex V.Part 1.42(f)  
0170  Other Commitments given  CRR Annex I; Annex V.Part 1.44(g), 
Part 2.102-105, 115, 116  
0181  of which: non-performing  Annex V.Part 2.117
EN L 97/950 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS  Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 
impairment  
Annex V Part 2.106-109  
Instruments without 
significant increase in 
credit risk since 
initial recognition 
(Stage 1)  Instruments with 
significant increase in 
credit risk since 
initial recognition but 
not credit-impaired 
(Stage 2)  Credit-impaired 
instruments 
(Stage 3)  Purchased or 
originated 
credit-impaired 
instruments  
IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c), IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(a)  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(i)  IFRS 9.2.1(e),(g), IFRS 
9.4.2.(c),IFRS9.5.5, 
IFRS 9.B2.5; IFRS 
7.35H(b)(ii)  IFRS 7.35M; Annex 
V.Part 2.107  
0040  0050  0060  0065  
0190  Central banks  Annex V.Part 1.42(a)  
0200  General governments  Annex V.Part 1.42(b)  
0210  Credit institutions  Annex V.Part 1.42(c)  
0220  Other financial corporations  Annex V.Part 1.42(d)  
0230  Non-financial corporations  Annex V.Part 1.42(e)  
0240  Households  Annex V.Part 1.42(f)
EN 19.3.2021 Official Journal of the European Union L 97/951
 References National GAAP 
compatible IFRS  Other commitments measured under IAS 37 
and financial guarantees measured under 
IFRS 4  Commitments and financial guarantees 
measured at fair value  
Nominal amount  Provision  Nominal amount  Accumulated negative 
changes in fair value 
due to credit risk on 
non-performing 
commitments  
IAS 37, IFRS 9.2.1(e), 
IFRS 9.B2.5; IFRS 4; 
Annex V.Part 2.111, 
118  IAS 37, IFRS 9.2.1(e), 
IFRS 9.B2.5; IFRS 4; 
Annex V.Part 2.106, 
111  IFRS 9.2.3(a), 9.B2.5; 
Annex V Part 2.110, 
118  Annex V Part 2.69  
0100  0110  0120  0130  
0010  Loan commitments given  CRR Annex I; Annex V.Part 1.44(g), 
Part 2.102-105, 113, 116  
0021  of which: non-performing  Annex V.Part 2.117  
0030  Central banks  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)
EN L 97/952 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS  Other commitments measured under IAS 37 
and financial guarantees measured under 
IFRS 4  Commitments and financial guarantees 
measured at fair value  
Nominal amount  Provision  Nominal amount  Accumulated negative 
changes in fair value 
due to credit risk on 
non-performing 
commitments  
IAS 37, IFRS 9.2.1(e), 
IFRS 9.B2.5; IFRS 4; 
Annex V.Part 2.111, 
118  IAS 37, IFRS 9.2.1(e), 
IFRS 9.B2.5; IFRS 4; 
Annex V.Part 2.106, 
111  IFRS 9.2.3(a), 9.B2.5; 
Annex V Part 2.110, 
118  Annex V Part 2.69  
0100  0110  0120  0130  
0060  Other financial corporations  Annex V.Part 1.42(d)  
0070  Non-financial corporations  Annex V.Part 1.42(e)  
0080  Households  Annex V.Part 1.42(f)  
0090  Financial guarantees given  IFRS 4 Annex A; CRR Annex I; Annex 
V.Part 1.44(f), Part 2.102-105, 114, 
116  
0101  of which: non-performing  Annex V.Part 2.117  
0110  Central banks  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/953
 References National GAAP 
compatible IFRS  Other commitments measured under IAS 37 
and financial guarantees measured under 
IFRS 4  Commitments and financial guarantees 
measured at fair value  
Nominal amount  Provision  Nominal amount  Accumulated negative 
changes in fair value 
due to credit risk on 
non-performing 
commitments  
IAS 37, IFRS 9.2.1(e), 
IFRS 9.B2.5; IFRS 4; 
Annex V.Part 2.111, 
118  IAS 37, IFRS 9.2.1(e), 
IFRS 9.B2.5; IFRS 4; 
Annex V.Part 2.106, 
111  IFRS 9.2.3(a), 9.B2.5; 
Annex V Part 2.110, 
118  Annex V Part 2.69  
0100  0110  0120  0130  
0120  General governments  Annex V.Part 1.42(b)  
0130  Credit institutions  Annex V.Part 1.42(c)  
0140  Other financial corporations  Annex V.Part 1.42(d)  
0150  Non-financial corporations  Annex V.Part 1.42(e)  
0160  Households  Annex V.Part 1.42(f)  
0170  Other Commitments given  CRR Annex I; Annex V.Part 1.44(g), 
Part 2.102-105, 115, 116  
0181  of which: non-performing  Annex V.Part 2.117
EN L 97/954 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS  Other commitments measured under IAS 37 
and financial guarantees measured under 
IFRS 4  Commitments and financial guarantees 
measured at fair value  
Nominal amount  Provision  Nominal amount  Accumulated negative 
changes in fair value 
due to credit risk on 
non-performing 
commitments  
IAS 37, IFRS 9.2.1(e), 
IFRS 9.B2.5; IFRS 4; 
Annex V.Part 2.111, 
118  IAS 37, IFRS 9.2.1(e), 
IFRS 9.B2.5; IFRS 4; 
Annex V.Part 2.106, 
111  IFRS 9.2.3(a), 9.B2.5; 
Annex V Part 2.110, 
118  Annex V Part 2.69  
0100  0110  0120  0130  
0190  Central banks  Annex V.Part 1.42(a)  
0200  General governments  Annex V.Part 1.42(b)  
0210  Credit institutions  Annex V.Part 1.42(c)  
0220  Other financial corporations  Annex V.Part 1.42(d)  
0230  Non-financial corporations  Annex V.Part 1.42(e)  
0240  Households  Annex V.Part 1.42(f)
EN 19.3.2021 Official Journal of the European Union L 97/955  
9.1 Off-balance sheet exposures under national GAAP: Loan commitments, financial guarantees and other 
commitments given  
References National GAAP  Nominal amount  Provisions  
CRR Annex I; Annex 
V.Part 2.118  CRR Annex I; Annex 
V.Part 2.11  
0010  0020  
0010  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.112, 113  
0021  of which: non-performing  Annex V. Part 2.117  
0030  Central banks  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)  
0060  Other financial corporations  Annex V.Part 1.42(d)  
0070  Non-financial corporations  Annex V.Part 1.42(e)  
0080  Households  Annex V.Part 1.42(f)  
0090  Financial guarantees given  CRR Annex I; Annex 
V.Part 1.44(f), Part 2.112, 
114  
0101  of which: non-performing  Annex V. Part 2.117  
0110  Central banks  Annex V.Part 1.42(a)  
0120  General governments  Annex V.Part 1.42(b)  
0130  Credit institutions  Annex V.Part 1.42(c)  
0140  Other financial corporations  Annex V.Part 1.42(d)  
0150  Non-financial corporations  Annex V.Part 1.42(e)
EN L 97/956 Official Journal of the European Union 19.3.2021  
References National GAAP  Nominal amount  Provisions  
CRR Annex I; Annex 
V.Part 2.118  CRR Annex I; Annex 
V.Part 2.11  
0010  0020  
0160  Households  Annex V.Part 1.42(f)  
0170  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.112, 115  
0181  of which: non-performing  Annex V. Part 2.117  
0190  Central banks  Annex V.Part 1.42(a)  
0200  General governments  Annex V.Part 1.42(b)  
0210  Credit institutions  Annex V.Part 1.42(c)  
0220  Other financial corporations  Annex V.Part 1.42(d)  
0230  Non-financial corporations  Annex V.Part 1.42(e)  
0240  Households  Annex V.Part 1.42(f)
EN 19.3.2021 Official Journal of the European Union L 97/957
 9.2 Loan commitments, financial guarantees and other commitments received  
References National GAAP  References National GAAP 
compatible IFRS  Maximum amount of the 
guarantee that can be 
considered  Nominal amount  
IFRS 7.36 (b); Annex V.Part 
2.119  Annex V.Part 2.119  
Annex V.Part 2.119  Annex V.Part 2.119  
0010  0020  
0010  Loan commitments received  Annex V.Part 1.44(h), Part 
2.102-103, 113  IFRS 9.2.1(g), .BCZ2.2; Annex 
V.Part 1.44(h), Part 2.102-103, 
113  
0020  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0080  Financial guarantees received  Annex V.Part 1.44(h), Part 
2.102-103, 114  IFRS 9.2.1(e ), .B2.5, .BC2.17, 
IFRS 8.Appendix A; IFRS 4 
Annex A; Annex V.Part 1.44(h), 
Part 2.102-103, 114  
0090  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0100  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0110  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0120  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)
EN L 97/958 Official Journal of the European Union 19.3.2021
 References National GAAP  References National GAAP 
compatible IFRS  Maximum amount of the 
guarantee that can be 
considered  Nominal amount  
IFRS 7.36 (b); Annex V.Part 
2.119  Annex V.Part 2.119  
Annex V.Part 2.119  Annex V.Part 2.119  
0010  0020  
0130  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0150  Other Commitments received  Annex V.Part 1.44(h), Part 
2.102-103, 115  Annex V.Part 1.44(h), Part 
2.102-103, 115  
0160  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0170  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0180  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0190  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0200  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0210  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)
EN 19.3.2021 Official Journal of the European Union L 97/959
 10. Derivatives - Trading and economic hedges  
By type of risk / By product or by type of market  References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Carrying amount  Fair value  Notional amount  
Financial 
assets 
Held for 
trading 
and 
trading  Financial 
liabilities 
Held for 
trading 
and 
trading  Positive 
value  Negative 
value  Total 
Trading  of which: 
sold  of which: 
Financial 
assets 
measured 
at a cost- 
based 
method / 
LOCOM  of which: 
Financial 
liabilities 
measured 
at a cost- 
based 
method / 
LOCOM  
Annex 
V.Part 
2.120, 
131  IFRS 
9.BA.7 (a); 
Annex 
V.Part 
2.120, 131  Annex 
V.Part 
2.133-135  Annex 
V.Part 
2.133-135  
Annex 
V.Part 
1.17, Part 
2.120  Annex 
V.Part 
2.124  Annex 
V.Part 
1.25, Part 
2.120  Annex 
V.Part 
2.124  Annex 
V.Part 
2.132  Annex 
V.Part 
2.132  Annex 
V.Part 
2.133-135  Annex 
V.Part 
2.133-135  
0010  0011  0020  0016  0022  0025  0030  0040  
0010  Interest rate  Annex V.Part 
2.129(a)  Annex V.Part 
2.129(a)  
0020  of which: economic hedges  Annex V.Part 2.137- 
139  Annex V.Part 2.137- 
139  
0030  OTC options  Annex V.Part 2.136  Annex V.Part 2.136  
0040  OTC other  Annex V.Part 2.136  Annex V.Part 2.136  
0050  Organized market options  Annex V.Part 2.136  Annex V.Part 2.136  
0060  Organized market other  Annex V.Part 2.136  Annex V.Part 2.136
EN L 97/960 Official Journal of the European Union 19.3.2021
 By type of risk / By product or by type of market  References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Carrying amount  Fair value  Notional amount  
Financial 
assets 
Held for 
trading 
and 
trading  Financial 
liabilities 
Held for 
trading 
and 
trading  Positive 
value  Negative 
value  Total 
Trading  of which: 
sold  of which: 
Financial 
assets 
measured 
at a cost- 
based 
method / 
LOCOM  of which: 
Financial 
liabilities 
measured 
at a cost- 
based 
method / 
LOCOM  
Annex 
V.Part 
2.120, 
131  IFRS 
9.BA.7 (a); 
Annex 
V.Part 
2.120, 131  Annex 
V.Part 
2.133-135  Annex 
V.Part 
2.133-135  
Annex 
V.Part 
1.17, Part 
2.120  Annex 
V.Part 
2.124  Annex 
V.Part 
1.25, Part 
2.120  Annex 
V.Part 
2.124  Annex 
V.Part 
2.132  Annex 
V.Part 
2.132  Annex 
V.Part 
2.133-135  Annex 
V.Part 
2.133-135  
0010  0011  0020  0016  0022  0025  0030  0040  
0070  Equity  Annex V.Part 
2.129(b)  Annex V.Part 
2.129(b)  
0080  of which: economic hedges  Annex V.Part 2.137- 
139  Annex V.Part 2.137- 
139  
0090  OTC options  Annex V.Part 2.136  Annex V.Part 2.136  
0100  OTC other  Annex V.Part 2.136  Annex V.Part 2.136  
0110  Organized market options  Annex V.Part 2.136  Annex V.Part 2.136  
0120  Organized market other  Annex V.Part 2.136  Annex V.Part 2.136  
0130  Foreign exchange and gold  Annex V.Part 
2.129(c)  Annex V.Part 
2.129(c)
EN 19.3.2021 Official Journal of the European Union L 97/961
 By type of risk / By product or by type of market  References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Carrying amount  Fair value  Notional amount  
Financial 
assets 
Held for 
trading 
and 
trading  Financial 
liabilities 
Held for 
trading 
and 
trading  Positive 
value  Negative 
value  Total 
Trading  of which: 
sold  of which: 
Financial 
assets 
measured 
at a cost- 
based 
method / 
LOCOM  of which: 
Financial 
liabilities 
measured 
at a cost- 
based 
method / 
LOCOM  
Annex 
V.Part 
2.120, 
131  IFRS 
9.BA.7 (a); 
Annex 
V.Part 
2.120, 131  Annex 
V.Part 
2.133-135  Annex 
V.Part 
2.133-135  
Annex 
V.Part 
1.17, Part 
2.120  Annex 
V.Part 
2.124  Annex 
V.Part 
1.25, Part 
2.120  Annex 
V.Part 
2.124  Annex 
V.Part 
2.132  Annex 
V.Part 
2.132  Annex 
V.Part 
2.133-135  Annex 
V.Part 
2.133-135  
0010  0011  0020  0016  0022  0025  0030  0040  
0140  of which: economic hedges  Annex V.Part 2.137- 
139  Annex V.Part 2.137- 
139  
0150  OTC options  Annex V.Part 2.136  Annex V.Part 2.136  
0160  OTC other  Annex V.Part 2.136  Annex V.Part 2.136  
0170  Organized market options  Annex V.Part 2.136  Annex V.Part 2.136  
0180  Organized market other  Annex V.Part 2.136  Annex V.Part 2.136  
0190  Credit  Annex V.Part 
2.129(d)  Annex V.Part 
2.129(d)  
0195  of which: economic hedges with use of 
the fair value option  Annex V.Part 2.140  IFRS 9.6.7.1; Annex 
V.Part 2.140
EN L 97/962 Official Journal of the European Union 19.3.2021
 By type of risk / By product or by type of market  References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Carrying amount  Fair value  Notional amount  
Financial 
assets 
Held for 
trading 
and 
trading  Financial 
liabilities 
Held for 
trading 
and 
trading  Positive 
value  Negative 
value  Total 
Trading  of which: 
sold  of which: 
Financial 
assets 
measured 
at a cost- 
based 
method / 
LOCOM  of which: 
Financial 
liabilities 
measured 
at a cost- 
based 
method / 
LOCOM  
Annex 
V.Part 
2.120, 
131  IFRS 
9.BA.7 (a); 
Annex 
V.Part 
2.120, 131  Annex 
V.Part 
2.133-135  Annex 
V.Part 
2.133-135  
Annex 
V.Part 
1.17, Part 
2.120  Annex 
V.Part 
2.124  Annex 
V.Part 
1.25, Part 
2.120  Annex 
V.Part 
2.124  Annex 
V.Part 
2.132  Annex 
V.Part 
2.132  Annex 
V.Part 
2.133-135  Annex 
V.Part 
2.133-135  
0010  0011  0020  0016  0022  0025  0030  0040  
0201  of which: other economic hedges  Annex V.Part 2.137- 
140  Annex V.Part 2.137- 
140  
0210  Credit default swap  
0220  Credit spread option  
0230  Total return swap  
0240  Other  
0250  Commodity  Annex V.Part 
2.129(e)  Annex V.Part 
2.129(e)  
0260  of which: economic hedges  Annex V.Part 2.137- 
139  Annex V.Part 2.137- 
139  
0270  Other  Annex V.Part 
2.129(f)  Annex V.Part 
2.129(f)
EN 19.3.2021 Official Journal of the European Union L 97/963
 By type of risk / By product or by type of market  References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Carrying amount  Fair value  Notional amount  
Financial 
assets 
Held for 
trading 
and 
trading  Financial 
liabilities 
Held for 
trading 
and 
trading  Positive 
value  Negative 
value  Total 
Trading  of which: 
sold  of which: 
Financial 
assets 
measured 
at a cost- 
based 
method / 
LOCOM  of which: 
Financial 
liabilities 
measured 
at a cost- 
based 
method / 
LOCOM  
Annex 
V.Part 
2.120, 
131  IFRS 
9.BA.7 (a); 
Annex 
V.Part 
2.120, 131  Annex 
V.Part 
2.133-135  Annex 
V.Part 
2.133-135  
Annex 
V.Part 
1.17, Part 
2.120  Annex 
V.Part 
2.124  Annex 
V.Part 
1.25, Part 
2.120  Annex 
V.Part 
2.124  Annex 
V.Part 
2.132  Annex 
V.Part 
2.132  Annex 
V.Part 
2.133-135  Annex 
V.Part 
2.133-135  
0010  0011  0020  0016  0022  0025  0030  0040  
0280  of which: economic hedges  Annex V.Part 2.137- 
139  Annex V.Part 2.137- 
139  
0290  DERIVATIVES  CRR Annex II; 
Annex V.Part 1.16(a)  IFRS 9.Appendix A  
0300  of which: OTC - credit institutions  Annex V.Part 
1.42(c), 44(e), Part 
2.141 (a), 142  Annex V.Part 
1.42(c), 44(e), Part 
2.141(a), 142  
0310  of which: OTC - other financial 
corporations  Annex V.Part 
1.42(d), 44(e), Part 
2.141(b)  Annex V.Part 
1.42(d), 44(e), Part 
2.141(b)  
0320  of which: OTC - rest  Annex V.Part 
1.44(e), Part 
2.141(c)  Annex V.Part 
1.44(e), Part 
2.141(c)
EN L 97/964 Official Journal of the European Union 19.3.2021  
11. Hedge accounting  
11.1  Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge  
By product or by type of market  References National 
GAAP compatible IFRS  Carrying amount  Notional amount  
Assets  Liabilities  Total Hedging  of which: sold  
IFRS 7.24A; 
Annex V.Part 
2.120, 131  IFRS 7.24A; 
Annex V.Part 
2.120, 131  Annex V.Part 
2.133-135  Annex V.Part 
2.133-135  
0010  0020  0030  0040  
0010  Interest rate  Annex V.Part 2.129(a)  
0020  OTC options  Annex V.Part 2.136  
0030  OTC other  Annex V.Part 2.136  
0040  Organized market options  Annex V.Part 2.136  
0050  Organized market other  Annex V.Part 2.136  
0060  Equity  Annex V.Part 2.129(b)  
0070  OTC options  Annex V.Part 2.136  
0080  OTC other  Annex V.Part 2.136  
0090  Organized market options  Annex V.Part 2.136  
0100  Organized market other  Annex V.Part 2.136  
0110  Foreign exchange and gold  Annex V.Part 2.129(c)  
0120  OTC options  Annex V.Part 2.136  
0130  OTC other  Annex V.Part 2.136  
0140  Organized market options  Annex V.Part 2.136  
0150  Organized market other  Annex V.Part 2.136  
0160  Credit  Annex V.Part 2.129(d)  
0170  Credit default swap  Annex V.Part 2.136  
0180  Credit spread option  Annex V.Part 2.136  
0190  Total return swap  Annex V.Part 2.136  
0200  Other  Annex V.Part 2.136
EN 19.3.2021 Official Journal of the European Union L 97/965  
By product or by type of market  References National 
GAAP compatible IFRS  Carrying amount  Notional amount  
Assets  Liabilities  Total Hedging  of which: sold  
IFRS 7.24A; 
Annex V.Part 
2.120, 131  IFRS 7.24A; 
Annex V.Part 
2.120, 131  Annex V.Part 
2.133-135  Annex V.Part 
2.133-135  
0010  0020  0030  0040  
0210  Commodity  Annex V.Part 2.129(e)  
0220  Other  Annex V.Part 2.129(f)  
0230  FAIR VALUE HEDGES  IFRS 7.24A; IAS 
39.86(a); IFRS 
9.6.5.2(a)  
0240  Interest rate  Annex V.Part 2.129(a)  
0250  OTC options  Annex V.Part 2.136  
0260  OTC other  Annex V.Part 2.136  
0270  Organized market options  Annex V.Part 2.136  
0280  Organized market other  Annex V.Part 2.136  
0290  Equity  Annex V.Part 2.129(b)  
0300  OTC options  Annex V.Part 2.136  
0310  OTC other  Annex V.Part 2.136  
0320  Organized market options  Annex V.Part 2.136  
0330  Organized market other  Annex V.Part 2.136  
0340  Foreign exchange and gold  Annex V.Part 2.129(c)  
0350  OTC options  Annex V.Part 2.136  
0360  OTC other  Annex V.Part 2.136  
0370  Organized market options  Annex V.Part 2.136  
0380  Organized market other  Annex V.Part 2.136  
0390  Credit  Annex V.Part 2.129(d)  
0400  Credit default swap  Annex V.Part 2.136  
0410  Credit spread option  Annex V.Part 2.136  
0420  Total return swap  Annex V.Part 2.136  
0430  Other  Annex V.Part 2.136
EN L 97/966 Official Journal of the European Union 19.3.2021  
By product or by type of market  References National 
GAAP compatible IFRS  Carrying amount  Notional amount  
Assets  Liabilities  Total Hedging  of which: sold  
IFRS 7.24A; 
Annex V.Part 
2.120, 131  IFRS 7.24A; 
Annex V.Part 
2.120, 131  Annex V.Part 
2.133-135  Annex V.Part 
2.133-135  
0010  0020  0030  0040  
0440  Commodity  Annex V.Part 2.129(e)  
0450  Other  Annex V.Part 2.129(f)  
0460  CASH FLOW HEDGES  IFRS 7.24A; IAS 
39.86(b); IFRS 
9.6.5.2(b)  
0470  HEDGE OF NET INVESTMENTS IN A 
FOREIGN OPERATION  IFRS 7.24A; IAS 
39.86(c); IFRS 
9.6.5.2(c)  
0480  PORTFOLIO FAIR VALUE HEDGES 
OF INTEREST RATE RISK  IAS 39.71, 81A, 89A, 
AG 114-132  
0490  PORTFOLIO CASH FLOW HEDGES 
OF INTEREST RATE RISK  IAS 39.71  
0500  DERIVATIVES-HEDGE 
ACCOUNTING  IFRS 7.24A; IAS 39.9; 
IFRS 9.6.1  
0510  of which: OTC - credit institutions  Annex V.Part 1.42(c), 
44(e), Part 2.141(a), 
142  
0520  of which: OTC - other financial 
corporations  Annex V.Part 1.42(d), 
44(e), Part 2.141(b)  
0530  of which: OTC - rest  Annex V.Part 1.44(e), 
Part 2.141(c)
EN 19.3.2021 Official Journal of the European Union L 97/967
 11.2  Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk  
By product or by type of market  References National GAAP based on 
BAD  Carrying amount  
Assets  Liabilities  of which: assets carried 
at amortised 
cost / LOCOM  of which: liabilities 
carried at amortised 
cost / LOCOM  
Annex V.Part 1.17, Part 
2.120  Annex V.Part 2.124  Annex V.Part 1.25, Part 
2.120  Annex V.Part 2.124  
0005  0006  0007  0008  
0010  Interest rate  Annex V.Part 2.129(a)  
0020  OTC options  Annex V.Part 2.136  
0030  OTC other  Annex V.Part 2.136  
0040  Organized market options  Annex V.Part 2.136  
0050  Organized market other  Annex V.Part 2.136  
0060  Equity  Annex V.Part 2.129(b)  
0070  OTC options  Annex V.Part 2.136  
0080  OTC other  Annex V.Part 2.136  
0090  Organized market options  Annex V.Part 2.136  
0100  Organized market other  Annex V.Part 2.136  
0110  Foreign exchange and gold  Annex V.Part 2.129(c)
EN L 97/968 Official Journal of the European Union 19.3.2021
 By product or by type of market  References National GAAP based on 
BAD  Carrying amount  
Assets  Liabilities  of which: assets carried 
at amortised 
cost / LOCOM  of which: liabilities 
carried at amortised 
cost / LOCOM  
Annex V.Part 1.17, Part 
2.120  Annex V.Part 2.124  Annex V.Part 1.25, Part 
2.120  Annex V.Part 2.124  
0005  0006  0007  0008  
0120  OTC options  Annex V.Part 2.136  
0130  OTC other  Annex V.Part 2.136  
0140  Organized market options  Annex V.Part 2.136  
0150  Organized market other  Annex V.Part 2.136  
0160  Credit  Annex V.Part 2.129(d)  
0170  Credit default swap  Annex V.Part 2.136  
0180  Credit spread option  Annex V.Part 2.136  
0190  Total return swap  Annex V.Part 2.136  
0200  Other  Annex V.Part 2.136  
0210  Commodity  Annex V.Part 2.129(e)  
0220  Other  Annex V.Part 2.129(f)  
0230  DERIVATIVES-HEDGE ACCOUNTING  Annex V.Part 1.22, 26  
0231  of which: fair value hedges  Annex V.Part 2.143
EN 19.3.2021 Official Journal of the European Union L 97/969
 By product or by type of market  References National GAAP based on 
BAD  Carrying amount  
Assets  Liabilities  of which: assets carried 
at amortised 
cost / LOCOM  of which: liabilities 
carried at amortised 
cost / LOCOM  
Annex V.Part 1.17, Part 
2.120  Annex V.Part 2.124  Annex V.Part 1.25, Part 
2.120  Annex V.Part 2.124  
0005  0006  0007  0008  
0232  of which: cash flow hedges  Annex V.Part 2.143  
0233  of which: cost-price hedges  Annex V.Part 2.143, 144  
0234  of which: hedge in net investments in a foreign operation  Annex V.Part 2.143  
0235  of which: portfolio fair value hedges of interest rate risk  Annex V.Part 2.143  
0236  of which: portfolio cash flow hedges of interest rate risk  Annex V.Part 2.143  
0240  of which: OTC - credit institutions  Annex V.Part 1.42(c), 44(e), Part 
2.141(a), 142  
0250  of which: OTC - other financial corporations  Annex V.Part 1.42(d), 44(e), Part 
2.141(b)  
0260  of which: OTC - rest  Annex V.Part 1.44(e), Part 
2.141(c)
EN L 97/970 Official Journal of the European Union 19.3.2021
 By product or by type of market  References National GAAP based on 
BAD  Notional amount  Fair value  
Total Hedging  of which: sold  Positive value  Negative value  of which: 
derivatives 
carried at 
amortised cost 
/ LOCOM  of which: 
derivatives 
carried at 
amortised cost 
/ LOCOM  
Annex V.Part 
2.133-135  Annex V.Part 
2.124  Annex V.Part 
2.133-135  Annex V.Part 
2.124  Annex V.Part 
2.132  Annex V.Part 
2.132  
0010  0011  0020  0021  0030  0040  
0010  Interest rate  Annex V.Part 2.129(a)  
0020  OTC options  Annex V.Part 2.136  
0030  OTC other  Annex V.Part 2.136  
0040  Organized market options  Annex V.Part 2.136  
0050  Organized market other  Annex V.Part 2.136  
0060  Equity  Annex V.Part 2.129(b)  
0070  OTC options  Annex V.Part 2.136  
0080  OTC other  Annex V.Part 2.136  
0090  Organized market options  Annex V.Part 2.136  
0100  Organized market other  Annex V.Part 2.136  
0110  Foreign exchange and gold  Annex V.Part 2.129(c)
EN 19.3.2021 Official Journal of the European Union L 97/971
 By product or by type of market  References National GAAP based on 
BAD  Notional amount  Fair value  
Total Hedging  of which: sold  Positive value  Negative value  of which: 
derivatives 
carried at 
amortised cost 
/ LOCOM  of which: 
derivatives 
carried at 
amortised cost 
/ LOCOM  
Annex V.Part 
2.133-135  Annex V.Part 
2.124  Annex V.Part 
2.133-135  Annex V.Part 
2.124  Annex V.Part 
2.132  Annex V.Part 
2.132  
0010  0011  0020  0021  0030  0040  
0120  OTC options  Annex V.Part 2.136  
0130  OTC other  Annex V.Part 2.136  
0140  Organized market options  Annex V.Part 2.136  
0150  Organized market other  Annex V.Part 2.136  
0160  Credit  Annex V.Part 2.129(d)  
0170  Credit default swap  Annex V.Part 2.136  
0180  Credit spread option  Annex V.Part 2.136  
0190  Total return swap  Annex V.Part 2.136  
0200  Other  Annex V.Part 2.136  
0210  Commodity  Annex V.Part 2.129(e)  
0220  Other  Annex V.Part 2.129(f)  
0230  DERIVATIVES-HEDGE ACCOUNTING  Annex V.Part 1.22, 26  
0231  of which: fair value hedges  Annex V.Part 2.143
EN L 97/972 Official Journal of the European Union 19.3.2021
 By product or by type of market  References National GAAP based on 
BAD  Notional amount  Fair value  
Total Hedging  of which: sold  Positive value  Negative value  of which: 
derivatives 
carried at 
amortised cost 
/ LOCOM  of which: 
derivatives 
carried at 
amortised cost 
/ LOCOM  
Annex V.Part 
2.133-135  Annex V.Part 
2.124  Annex V.Part 
2.133-135  Annex V.Part 
2.124  Annex V.Part 
2.132  Annex V.Part 
2.132  
0010  0011  0020  0021  0030  0040  
0232  of which: cash flow hedges  Annex V.Part 2.143  
0233  of which: cost-price hedges  Annex V.Part 2.143, 144  
0234  of which: hedge in net investments in a foreign operation  Annex V.Part 2.143  
0235  of which: portfolio fair value hedges of interest rate risk  Annex V.Part 2.143  
0236  of which: portfolio cash flow hedges of interest rate risk  Annex V.Part 2.143  
0240  of which: OTC - credit institutions  Annex V.Part 1.42(c), 44(e), Part 
2.141(a), 142  
0250  of which: OTC - other financial corporations  Annex V.Part 1.42(d), 44(e), Part 
2.141(b)  
0260  of which: OTC - rest  Annex V.Part 1.44(e), Part 
2.141(c)
EN 19.3.2021 Official Journal of the European Union L 97/973
 11.3  Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge  
References National GAAP 
compatible IFRS  Carrying amount  
Fair value hedge  Cash flow hedge  Hedge of net 
investment in a foreign 
operation  
Annex V.Part 2.145  Annex V.Part 2.145  Annex V.Part 2.145  
0010  0020  0030  
0010  Non-derivative financial assets  IFRS 7.24A; IFRS 9.6.1; IFRS 
9.6.2.2  
0020  of which: Financial assets held for trading  IFRS 9.Appendix A  
0030  of which: Non-trading financial assets mandatorily at fair value 
through profit or loss  IFRS 9.4.1.4; IFRS 7.8(a)(ii)  
0040  of which: Financial assets designated at fair value through profit or loss  IFRS 9.4.1.5; IFRS 7.8(a)(i)  
0050  Non-derivative financial liabilities  IFRS 7.24A; IFRS 9.6.1; IFRS 
9.6.2.2  
0060  Financial liabilities held for trading  IFRS 9.Appendix A  
0070  Financial liabilities designated at fair value through profit or loss  IFRS 9.4.2.1; IFRS 9.6.2.2  
0080  Financial assets at amortised cost  IFRS 9.4.2.1; IFRS 9.6.2.2
EN L 97/974 Official Journal of the European Union 19.3.2021
 11.3.1  Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio  
References National GAAP based on BAD  Carrying amount  
Annex V.Part 2.145  
0010  
0010  Non-derivative financial assets  
0020  of which: Trading financial assets  BAD Article 32-33; Annex V.Part 1.17  
0030  of which: Non-trading non-derivative financial assets measured at fair value through profit or loss  BAD art 36(2)  
0040  of which: Non-trading non-derivative financial assets measured at fair value to equity  Accounting Directive art 8(1)(a), (8)  
0050  of which: Other non-trading non-derivative financial assets  BAD art 37; Accounting Directive 
Article 12(7); Annex V.Part 1.20  
0060  Non-derivative financial liabilities  
0070  of which: Trading financial liabilities  Accounting Directive art 8(1)(a),(3),(6)  
0080  of which: Non-trading non-derivative financial liabilities measured at a cost-based method  Accounting Directive art 8(3)
EN 19.3.2021 Official Journal of the European Union L 97/975
 11.4  Hedged items in fair value hedges  
References National GAAP 
compatible IFRS  Micro-hedges  Micro-hedges - 
Net position 
hedge  Hedge adjustments on micro- 
hedges  Macro hedges  
Carrying 
amount  Assets or 
liabilities 
included in 
hedge of a net 
position (before 
netting)  Hedge 
adjustments 
included in the 
carrying amount 
of assets/liabil ­
ities  Remaining 
adjustments for 
discontinued 
micro hedges 
including hedges 
of net positions  Hedged items in 
portfolio hedge 
of interest rate 
risk  
IFRS 7.24B(a), 
Annex V.Part 
2.146, 147  IFRS 9.6.6.1; IFRS 
9.6.6.6; Annex 
V.Part 2.147, 151  IFRS 7.24B(a)(ii); 
Annex V.Part 
2.148, 149  IFRS 7.24B(a)(v); 
Annex V.Part 
2.148, 150  IFRS 9.6.1.3; IFRS 
9.6.6.1; Annex 
V.Part 2.152  
0010  0020  0030  0040  0050  
ASSETS  
0010  Financial assets measured at fair value through other 
comprehensive income  IFRS 9.4.1.2A; IFRS 
7.8(h); Annex V. Part 
2.146, 151  
0020  Interest rate  Annex V.Part 2.129(a)  
0030  Equity  Annex V.Part 2.129(b)  
0040  Foreign exchange and gold  Annex V.Part 2.129(c)  
0050  Credit  Annex V.Part 2.129(d)  
0060  Commodity  Annex V.Part 2.129(e)  
0070  Other  Annex V.Part 2.129(f)  
0080  Financial assets measured at amortised cost  IFRS 9.4.1.2A; IFRS 
7.8(f); Annex V. Part 
2.146, 151  
0090  Interest rate  Annex V.Part 2.129(a)  
0100  Equity  Annex V.Part 2.129(b)  
0110  Foreign exchange and gold  Annex V.Part 2.129(c)
EN L 97/976 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS  Micro-hedges  Micro-hedges - 
Net position 
hedge  Hedge adjustments on micro- 
hedges  Macro hedges  
Carrying 
amount  Assets or 
liabilities 
included in 
hedge of a net 
position (before 
netting)  Hedge 
adjustments 
included in the 
carrying amount 
of assets/liabil ­
ities  Remaining 
adjustments for 
discontinued 
micro hedges 
including hedges 
of net positions  Hedged items in 
portfolio hedge 
of interest rate 
risk  
IFRS 7.24B(a), 
Annex V.Part 
2.146, 147  IFRS 9.6.6.1; IFRS 
9.6.6.6; Annex 
V.Part 2.147, 151  IFRS 7.24B(a)(ii); 
Annex V.Part 
2.148, 149  IFRS 7.24B(a)(v); 
Annex V.Part 
2.148, 150  IFRS 9.6.1.3; IFRS 
9.6.6.1; Annex 
V.Part 2.152  
0010  0020  0030  0040  0050  
0120  Credit  Annex V.Part 2.129(d)  
0130  Commodity  Annex V.Part 2.129(e)  
0140  Other  Annex V.Part 2.129(f)  
LIABILITIES  
0150  Financial liabilities measured at amortised costs  IFRS 9.4.2.1; IFRS 7.8(g); 
Annex V. Part 2.146, 151  
0160  Interest rate  Annex V.Part 2.129(a)  
0170  Equity  Annex V.Part 2.129(b)  
0180  Foreign exchange and gold  Annex V.Part 2.129(c)  
0190  Credit  Annex V.Part 2.129(d)  
0200  Commodity  Annex V.Part 2.129(e)  
0210  Other  Annex V.Part 2.129(f)
EN 19.3.2021 Official Journal of the European Union L 97/977
 12. Movements in allowances and provisions for credit losses  
12.0  Movements in allowances for credit losses and impairment of equity instruments under national GAAP  
References National GAAP based on 
BAD  
CRR article 442(i); Annex V.Part 2.153
 
Opening balance  
Increases due to amounts 
set aside for estimated 
loan losses during 
the period  
Decreases due to amounts 
reversed for estimated loan 
losses during the period  
Decrease in allowance 
account due to 
write-offs  
Transfers between allowances 
Annex V.Part 2.154  Annex V.Part 2.154  
0010  0020  0030  0040  0050  
0010  Equity instruments  ECB/2013/33 Annex 2.Part 2.4-5  
0330  Specific allowances for credit risk  CRR art 428 (g)(ii)  
0335  Cash balances at central banks and other demand 
deposits  BAD art 13(2); Annex V.Part 2.2, 3  
0340  Debt securities  Annex V.Part 1.31, 44(b)  
0350  Central banks  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  
0400  Loans and advances  Annex V.Part 1.32, 44(a)  
0410  Central banks  Annex V.Part 1.42(a)  
0420  General governments  Annex V.Part 1.42(b)
EN L 97/978 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  
CRR article 442(i); Annex V.Part 2.153
 
Opening balance  
Increases due to amounts 
set aside for estimated 
loan losses during 
the period  
Decreases due to amounts 
reversed for estimated loan 
losses during the period  
Decrease in allowance 
account due to 
write-offs  
Transfers between allowances 
Annex V.Part 2.154  Annex V.Part 2.154  
0010  0020  0030  0040  0050  
0430  Credit institutions  Annex V.Part 1.42(c)  
0440  Other financial corporations  Annex V.Part 1.42(d)  
0450  Non-financial corporations  Annex V.Part 1.42(e)  
0460  Households  Annex V.Part 1.42(f)  
0470  General allowances for credit risk  CRR art 4(1)(95)  
0475  Cash balances at central banks and other demand 
deposits  BAD art 13(2); Annex V.Part 2.2, 3  
0480  Debt securities  Annex V.Part 1.31  
0490  Loans and advances  Annex V.Part 1.32  
0500  General allowance for banking risks  BAD art 37.2; CRR art 4(95)  
0505  Cash balances at central banks and other demand 
deposits  BAD art 13(2); Annex V.Part 2.2, 3  
0510  Debt securities  Annex V.Part 1.31  
0520  Loans and advances  Annex V.Part 1.32  
0530  Total
EN 19.3.2021 Official Journal of the European Union L 97/979
 References National GAAP based on 
BAD  
CRR article 442(i); Annex V.Part 2.153
 
Other adjustments  
Closing balance  
Recoveries recorded directly 
to the statement of 
profit or loss  
Value adjustments recorded 
directly to the statement 
of profit or loss  
Amounts written-off 
directly to the statement 
of profit or loss 
Annex V.Part 2.155  Annex V.Part 2.78  
0060  0070  0080  0090  0100  
0010  Equity instruments  ECB/2013/33 Annex 2.Part 2.4-5  
0330  Specific allowances for credit risk  CRR art 428 (g)(ii)  
0335  Cash balances at central banks and other demand 
deposits  BAD art 13(2); Annex V.Part 2.2, 3  
0340  Debt securities  Annex V.Part 1.31, 44(b)  
0350  Central banks  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  
0400  Loans and advances  Annex V.Part 1.32, 44(a)  
0410  Central banks  Annex V.Part 1.42(a)  
0420  General governments  Annex V.Part 1.42(b)
EN L 97/980 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  
CRR article 442(i); Annex V.Part 2.153
 
Other adjustments  
Closing balance  
Recoveries recorded directly 
to the statement of 
profit or loss  
Value adjustments recorded 
directly to the statement 
of profit or loss  
Amounts written-off 
directly to the statement 
of profit or loss 
Annex V.Part 2.155  Annex V.Part 2.78  
0060  0070  0080  0090  0100  
0430  Credit institutions  Annex V.Part 1.42(c)  
0440  Other financial corporations  Annex V.Part 1.42(d)  
0450  Non-financial corporations  Annex V.Part 1.42(e)  
0460  Households  Annex V.Part 1.42(f)  
0470  General allowances for credit risk  CRR art 4(1)(95)  
0475  Cash balances at central banks and other demand 
deposits  BAD art 13(2); Annex V.Part 2.2, 3  
0480  Debt securities  Annex V.Part 1.31  
0490  Loans and advances  Annex V.Part 1.32  
0500  General allowance for banking risks  BAD art 37.2; CRR art 4(95)  
0505  Cash balances at central banks and other demand 
deposits  BAD art 13(2); Annex V.Part 2.2, 3  
0510  Debt securities  Annex V.Part 1.31  
0520  Loans and advances  Annex V.Part 1.32  
0530  Total
EN 19.3.2021 Official Journal of the European Union L 97/981
 12.1  Movements in allowances and provisions for credit losses  
References National GAAP 
compatible IFRS
 
Opening balance  
Increases due to origination 
and acquisition  
Decreases due to derecogni- 
tion  
Changes due to change in 
credit risk (net)  
Changes due to modifica- 
tions without derecognition 
(net)  
Changes due to update in the 
institution's methodology 
for estimation (net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.161- 
162  IFRS 7.35I; IFRS 
7.35J; IFRS 
9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.163  
0010  0020  0030  0040  0050  0070  
0010  Allowances for financial assets without increase in credit risk 
since initial recognition (Stage 1)  IFRS 9.5.5.5  
0015  Cash balances at central banks and other demand deposits  Annex V.Part 2.2, 3  
0020  Debt securities  Annex V.Part 1.31, 44(b)  
0030  Central banks  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)  
0060  Other financial corporations  Annex V.Part 1.42(d)  
0070  Non-financial corporations  Annex V.Part 1.42(e)  
0080  Loans and advances  Annex V.Part 1.32, 44(a)  
0090  Central banks  Annex V.Part 1.42(a)  
0100  General governments  Annex V.Part 1.42(b)
EN L 97/982 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS
 
Opening balance  
Increases due to origination 
and acquisition  
Decreases due to derecogni- 
tion  
Changes due to change in 
credit risk (net)  
Changes due to modifica- 
tions without derecognition 
(net)  
Changes due to update in the 
institution's methodology 
for estimation (net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.161- 
162  IFRS 7.35I; IFRS 
7.35J; IFRS 
9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.163  
0010  0020  0030  0040  0050  0070  
0110  Credit institutions  Annex V.Part 1.42(c)  
0120  Other financial corporations  Annex V.Part 1.42(d)  
0130  Non-financial corporations  Annex V.Part 1.42(e)  
0140  Households  Annex V.Part 1.42(f)  
0160  of which: collectively measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0170  of which: individually measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0180  Allowances for debt instruments with significant increase in 
credit risk since initial recognition but not credit-impaired 
(Stage 2)  IFRS 9.5.5.3  
0185  Cash balances at central banks and other demand deposits  Annex V.Part 2.2, 3  
0190  Debt securities  Annex V.Part 1.31, 44(b)  
0200  Central banks  Annex V.Part 1.42(a)  
0210  General governments  Annex V.Part 1.42(b)  
0220  Credit institutions  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/983
 References National GAAP 
compatible IFRS
 
Opening balance  
Increases due to origination 
and acquisition  
Decreases due to derecogni- 
tion  
Changes due to change in 
credit risk (net)  
Changes due to modifica- 
tions without derecognition 
(net)  
Changes due to update in the 
institution's methodology 
for estimation (net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.161- 
162  IFRS 7.35I; IFRS 
7.35J; IFRS 
9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.163  
0010  0020  0030  0040  0050  0070  
0230  Other financial corporations  Annex V.Part 1.42(d)  
0240  Non-financial corporations  Annex V.Part 1.42(e)  
0250  Loans and advances  Annex V.Part 1.32, 44(a)  
0260  Central banks  Annex V.Part 1.42(a)  
0270  General governments  Annex V.Part 1.42(b)  
0280  Credit institutions  Annex V.Part 1.42(c)  
0290  Other financial corporations  Annex V.Part 1.42(d)  
0300  Non-financial corporations  Annex V.Part 1.42(e)  
0310  Households  Annex V.Part 1.42(f)  
0330  of which: collectively measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0340  of which: individually measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0350  of which: non-performing  Annex V.Part 2.213-232
EN L 97/984 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS
 
Opening balance  
Increases due to origination 
and acquisition  
Decreases due to derecogni- 
tion  
Changes due to change in 
credit risk (net)  
Changes due to modifica- 
tions without derecognition 
(net)  
Changes due to update in the 
institution's methodology 
for estimation (net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.161- 
162  IFRS 7.35I; IFRS 
7.35J; IFRS 
9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.163  
0010  0020  0030  0040  0050  0070  
0360  Allowances for credit-impaired debt instruments (Stage 3)  IFRS 9.5.5.1, 9. Appendix A  
0365  Cash balances at central banks and other demand deposits  Annex V.Part 2.2, 3  
0370  Debt securities  Annex V.Part 1.31, 44(b)  
0380  Central banks  Annex V.Part 1.42(a)  
0390  General governments  Annex V.Part 1.42(b)  
0400  Credit institutions  Annex V.Part 1.42(c)  
0410  Other financial corporations  Annex V.Part 1.42(d)  
0420  Non-financial corporations  Annex V.Part 1.42(e)  
0430  Loans and advances  Annex V.Part 1.32, 44(a)  
0440  Central banks  Annex V.Part 1.42(a)  
0450  General governments  Annex V.Part 1.42(b)  
0460  Credit institutions  Annex V.Part 1.42(c)  
0470  Other financial corporations  Annex V.Part 1.42(d)
EN 19.3.2021 Official Journal of the European Union L 97/985
 References National GAAP 
compatible IFRS
 
Opening balance  
Increases due to origination 
and acquisition  
Decreases due to derecogni- 
tion  
Changes due to change in 
credit risk (net)  
Changes due to modifica- 
tions without derecognition 
(net)  
Changes due to update in the 
institution's methodology 
for estimation (net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.161- 
162  IFRS 7.35I; IFRS 
7.35J; IFRS 
9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.163  
0010  0020  0030  0040  0050  0070  
0480  Non-financial corporations  Annex V.Part 1.42(e)  
0490  Households  Annex V.Part 1.42(f)  
0500  of which: collectively measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0510  of which: individually measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0600  Allowances for purchased or originated credit-impaired 
financial assets  Annex V.Part 2.156  
0610  Debt securities  Annex V.Part 1.31, 44(b)  
0620  Central banks  Annex V.Part 1.42(a)  
0630  General governments  Annex V.Part 1.42(b)  
0640  Credit institutions  Annex V.Part 1.42(c)  
0650  Other financial corporations  Annex V.Part 1.42(d)  
0660  Non-financial corporations  Annex V.Part 1.42(e)  
0670  Loans and advances  Annex V.Part 1.32, 44(a)
EN L 97/986 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS
 
Opening balance  
Increases due to origination 
and acquisition  
Decreases due to derecogni- 
tion  
Changes due to change in 
credit risk (net)  
Changes due to modifica- 
tions without derecognition 
(net)  
Changes due to update in the 
institution's methodology 
for estimation (net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.161- 
162  IFRS 7.35I; IFRS 
7.35J; IFRS 
9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.163  
0010  0020  0030  0040  0050  0070  
0680  Central banks  Annex V.Part 1.42(a)  
0690  General governments  Annex V.Part 1.42(b)  
0700  Credit institutions  Annex V.Part 1.42(c)  
0710  Other financial corporations  Annex V.Part 1.42(d)  
0720  Non-financial corporations  Annex V.Part 1.42(e)  
0730  Households  Annex V.Part 1.42(f)  
0740  of which: collectively measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0750  of which: individually measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0520  Total allowance for debt instruments  IFRS 7.B8E  
0530  Commitments and financial guarantees given (Stage 1)  IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; 
Annex V.Part 2.157  
0540  Commitments and financial guarantees given (Stage 2)  IFRS 9.2.1|(g); 2.3(c); 5.5.3, 
B2.5; Annex V.Part 2.157  
0550  of which: non-performing  Annex V.Part 2.117
EN 19.3.2021 Official Journal of the European Union L 97/987
 References National GAAP 
compatible IFRS
 
Opening balance  
Increases due to origination 
and acquisition  
Decreases due to derecogni- 
tion  
Changes due to change in 
credit risk (net)  
Changes due to modifica- 
tions without derecognition 
(net)  
Changes due to update in the 
institution's methodology 
for estimation (net) 
IFRS 7.35I; 
Annex V.Part 
2.159, 164(b)  IFRS 7.35I; 
Annex V.Part 
2.160, 164(b)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.161- 
162  IFRS 7.35I; IFRS 
7.35J; IFRS 
9.5.5.12, 
B5.5.25, 
B5.5.27; Annex 
V.Part 2.164(c)  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.163  
0010  0020  0030  0040  0050  0070  
0560  Commitments and financial guarantees given (Stage 3)  IFRS 9.2.1|(g); 2.3(c); 5.5.1, 
B2.5; Annex V.Part 2.157  
0565  Commitments and financial guarantees given (Purchased or orig ­
inated credit-impaired)  Annex V.Part 2.156  
0570  Total provisions on commitments and financial guarantees 
given  IFRS 7.B8E; Annex V.Part 2.157
EN L 97/988 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS
 
Decrease in allowance ac- 
count due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the state- 
ment of profit or loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on derecog- 
nition of debt instruments 
IFRS 7.35I; IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0010  Allowances for financial assets without increase in credit risk 
since initial recognition (Stage 1)  IFRS 9.5.5.5  
0015  Cash balances at central banks and other demand deposits  Annex V.Part 2.2, 3  
0020  Debt securities  Annex V.Part 1.31, 44(b)  
0030  Central banks  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)  
0060  Other financial corporations  Annex V.Part 1.42(d)  
0070  Non-financial corporations  Annex V.Part 1.42(e)  
0080  Loans and advances  Annex V.Part 1.32, 44(a)  
0090  Central banks  Annex V.Part 1.42(a)  
0100  General governments  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/989
 References National GAAP 
compatible IFRS
 
Decrease in allowance ac- 
count due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the state- 
ment of profit or loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on derecog- 
nition of debt instruments 
IFRS 7.35I; IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0110  Credit institutions  Annex V.Part 1.42(c)  
0120  Other financial corporations  Annex V.Part 1.42(d)  
0130  Non-financial corporations  Annex V.Part 1.42(e)  
0140  Households  Annex V.Part 1.42(f)  
0160  of which: collectively measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0170  of which: individually measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0180  Allowances for debt instruments with significant increase in 
credit risk since initial recognition but not credit-impaired 
(Stage 2)  IFRS 9.5.5.3  
0185  Cash balances at central banks and other demand deposits  Annex V.Part 2.2, 3  
0190  Debt securities  Annex V.Part 1.31, 44(b)  
0200  Central banks  Annex V.Part 1.42(a)  
0210  General governments  Annex V.Part 1.42(b)  
0220  Credit institutions  Annex V.Part 1.42(c)
EN L 97/990 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS
 
Decrease in allowance ac- 
count due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the state- 
ment of profit or loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on derecog- 
nition of debt instruments 
IFRS 7.35I; IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0230  Other financial corporations  Annex V.Part 1.42(d)  
0240  Non-financial corporations  Annex V.Part 1.42(e)  
0250  Loans and advances  Annex V.Part 1.32, 44(a)  
0260  Central banks  Annex V.Part 1.42(a)  
0270  General governments  Annex V.Part 1.42(b)  
0280  Credit institutions  Annex V.Part 1.42(c)  
0290  Other financial corporations  Annex V.Part 1.42(d)  
0300  Non-financial corporations  Annex V.Part 1.42(e)  
0310  Households  Annex V.Part 1.42(f)  
0330  of which: collectively measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0340  of which: individually measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0350  of which: non-performing  Annex V.Part 2.213-232
EN 19.3.2021 Official Journal of the European Union L 97/991
 References National GAAP 
compatible IFRS
 
Decrease in allowance ac- 
count due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the state- 
ment of profit or loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on derecog- 
nition of debt instruments 
IFRS 7.35I; IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0360  Allowances for credit-impaired debt instruments (Stage 3)  IFRS 9.5.5.1, 9. Appendix A  
0365  Cash balances at central banks and other demand deposits  Annex V.Part 2.2, 3  
0370  Debt securities  Annex V.Part 1.31, 44(b)  
0380  Central banks  Annex V.Part 1.42(a)  
0390  General governments  Annex V.Part 1.42(b)  
0400  Credit institutions  Annex V.Part 1.42(c)  
0410  Other financial corporations  Annex V.Part 1.42(d)  
0420  Non-financial corporations  Annex V.Part 1.42(e)  
0430  Loans and advances  Annex V.Part 1.32, 44(a)  
0440  Central banks  Annex V.Part 1.42(a)  
0450  General governments  Annex V.Part 1.42(b)  
0460  Credit institutions  Annex V.Part 1.42(c)  
0470  Other financial corporations  Annex V.Part 1.42(d)
EN L 97/992 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS
 
Decrease in allowance ac- 
count due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the state- 
ment of profit or loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on derecog- 
nition of debt instruments 
IFRS 7.35I; IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0480  Non-financial corporations  Annex V.Part 1.42(e)  
0490  Households  Annex V.Part 1.42(f)  
0500  of which: collectively measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0510  of which: individually measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0600  Allowances for purchased or originated credit-impaired 
financial assets  Annex V.Part 2.156  
0610  Debt securities  Annex V.Part 1.31, 44(b)  
0620  Central banks  Annex V.Part 1.42(a)  
0630  General governments  Annex V.Part 1.42(b)  
0640  Credit institutions  Annex V.Part 1.42(c)  
0650  Other financial corporations  Annex V.Part 1.42(d)  
0660  Non-financial corporations  Annex V.Part 1.42(e)  
0670  Loans and advances  Annex V.Part 1.32, 44(a)
EN 19.3.2021 Official Journal of the European Union L 97/993
 References National GAAP 
compatible IFRS
 
Decrease in allowance ac- 
count due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the state- 
ment of profit or loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on derecog- 
nition of debt instruments 
IFRS 7.35I; IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0680  Central banks  Annex V.Part 1.42(a)  
0690  General governments  Annex V.Part 1.42(b)  
0700  Credit institutions  Annex V.Part 1.42(c)  
0710  Other financial corporations  Annex V.Part 1.42(d)  
0720  Non-financial corporations  Annex V.Part 1.42(e)  
0730  Households  Annex V.Part 1.42(f)  
0740  of which: collectively measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0750  of which: individually measured allowances  IFRS 9.B5.5.1 - B5.5.6; Annex 
V.Part 2.158  
0520  Total allowance for debt instruments  IFRS 7.B8E  
0530  Commitments and financial guarantees given (Stage 1)  IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; 
Annex V.Part 2.157  
0540  Commitments and financial guarantees given (Stage 2)  IFRS 9.2.1|(g); 2.3(c); 5.5.3, 
B2.5; Annex V.Part 2.157  
0550  of which: non-performing  Annex V.Part 2.117
EN L 97/994 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS
 
Decrease in allowance ac- 
count due to write-offs  
Other adjustments  
Closing balance  
Recoveries of previously 
written-off amounts re- 
corded directly to the state- 
ment of profit or loss  
Amounts written-off di- 
rectly to the statement of 
profit or loss  
Gains or losses on derecog- 
nition of debt instruments 
IFRS 7.35I; IFRS 
9.5.4.4;IFRS 
7.35L; Annex 
V.Part 2.72, 74, 
164(a), 165  IFRS 7.35I; IFRS 
7.35B(b); Annex 
V.Part 2.166  IFRS 9.5.4.4; 
Annex V.Part 
2.165  Annex V.Part 
2.166i  
0080  0090  0100  0110  0120  0125  
0560  Commitments and financial guarantees given (Stage 3)  IFRS 9.2.1|(g); 2.3(c); 5.5.1, 
B2.5; Annex V.Part 2.157  
0565  Commitments and financial guarantees given (Purchased or orig ­
inated credit-impaired)  Annex V.Part 2.156  
0570  Total provisions on commitments and financial guarantees 
given  IFRS 7.B8E; Annex V.Part 2.157
EN 19.3.2021 Official Journal of the European Union L 97/995
 12.2  Transfers between impairment stages (gross basis presentation)  
References National GAAP 
compatible IFRS  Gross carrying amount / nominal amount  
Annex V.Part 1.34, Part 2.118, 167, 170  
Transfers between Stage 1 
and Stage 2  Transfers between Stage 2 
and Stage 3  Transfers between Stage 1 
and Stage 3
 To Stage 2 from Stage 1  
To Stage 1 from Stage 2  
To Stage 3 from Stage 2  
To Stage 2 from Stage 3  
To Stage 3 from Stage 1  
To Stage 1 from Stage 3 
Annex V.Part 2.168-169  
0010  0020  0030  0040  0050  0060  
0010  Debt securities  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)
EN L 97/996 Official Journal of the European Union 19.3.2021
 References National GAAP 
compatible IFRS  Gross carrying amount / nominal amount  
Annex V.Part 1.34, Part 2.118, 167, 170  
Transfers between Stage 1 
and Stage 2  Transfers between Stage 2 
and Stage 3  Transfers between Stage 1 
and Stage 3
 To Stage 2 from Stage 1  
To Stage 1 from Stage 2  
To Stage 3 from Stage 2  
To Stage 2 from Stage 3  
To Stage 3 from Stage 1  
To Stage 1 from Stage 3 
Annex V.Part 2.168-169  
0010  0020  0030  0040  0050  0060  
0110  Other financial corporations  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  
0130  Households  Annex V.Part 1.42(f)  
0140  Total debt instruments  
0150  Commitments and financial guarantees given  IFRS 9.2.1|(g); 2.3(c); 5.5.1, 
5.5.3, 5.5.5
EN 19.3.2021 Official Journal of the European Union L 97/997
 13. Collateral and guarantees received  
13.1  Breakdown of collateral and guarantees by loans and advances other than held for trading  
Guarantees and collateral  References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Loans collateralized 
by immovable 
property  Other collateralised loans  
Financial 
guar­
antees 
received  Resi­
dential 
immova­
ble 
property  Comme­
rcial 
immova­
ble 
property  Cash, 
deposits, 
[debt 
securities 
issued]  Movable 
property  Equity 
and debt 
secur­
ities  Rest  of 
which: 
credit 
deriva­
tives  
IFRS 7.36(b)  Annex 
V.Part 
2.173(a)  Annex 
V.Part 
2.173(a)  Annex 
V.Part 
2.173(b)(­
i) Annex 
V.Part 
2.173(b)(­
ii) Annex 
V.Part 
2.173(b)(­
iii) Annex 
V.Part 
2.173(b)(­
iv) Annex 
V.Part 
2.173(c)  Annex 
V.Part 
2.114(b)  
0010  0020  0030  0031  0032  0041  0050  0055  
0010  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0015  of which: non-performing  CRR Art. 47a (3); 
Annex V. Part 2. 
213-239, 260  CRR Art. 47a (3); 
Annex V. Part 2. 
213-239, 260  
0020  of which: Other financial corporations  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(d)  
0030  of which: Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0035  of which: Small and Medium-sized Enter ­
prises (SMEs)  SME Art 1 2(a)  SME Art 1 2(a)
EN L 97/998 Official Journal of the European Union 19.3.2021
 Guarantees and collateral  References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Loans collateralized 
by immovable 
property  Other collateralised loans  
Financial 
guar­
antees 
received  Resi­
dential 
immova­
ble 
property  Comme­
rcial 
immova­
ble 
property  Cash, 
deposits, 
[debt 
securities 
issued]  Movable 
property  Equity 
and debt 
secur­
ities  Rest  of 
which: 
credit 
deriva­
tives  
IFRS 7.36(b)  Annex 
V.Part 
2.173(a)  Annex 
V.Part 
2.173(a)  Annex 
V.Part 
2.173(b)(­
i) Annex 
V.Part 
2.173(b)(­
ii) Annex 
V.Part 
2.173(b)(­
iii) Annex 
V.Part 
2.173(b)(­
iv) Annex 
V.Part 
2.173(c)  Annex 
V.Part 
2.114(b)  
0010  0020  0030  0031  0032  0041  0050  0055  
0036  of which: Commercial real estate (CRE) 
loans to small and medium-sized enter ­
prises  SME Art 1 2(a); 
Annex V.Part 
2.239ix  SME Art 1 2(a); 
Annex V.Part 
2.239ix  
0037  of which: Commercial real estate (CRE) 
loans to non-financial corporations other 
than SMEs  Annex V.Part 
2.239ix  Annex V.Part 
2.239ix  
0040  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0050  of which: Lending for house purchase  Annex V.Part 
2.88(b)  Annex V.Part 
2.88(b)  
0060  of which: Credit for consumption  Annex V.Part 
2.88(a)  Annex V.Part 
2.88(a)
EN 19.3.2021 Official Journal of the European Union L 97/999
 13.2.1  Collateral obtained by taking possession during the period [held at the reference date]  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Collateral obtained by taking possession during the period [held at the 
reference date]  
(Annex V.Part 2.175)  
Of which: Non current assets 
held for sale  
(IFRS 5.38, Annex V.Part 2.7)  
Value at 
initial recog ­
nition  Carrying 
amount  Accumulated 
negative 
changes  Value at 
initial recog ­
nition  Carrying 
amount  
Annex V.Part 
2.175i  Annex V.Part 
1.27-28  Annex V.Part 
2.175ii  Annex V.Part 
2.175i  Annex V.Part 
1.27-28  
0010  0020  0030  0040  0050  
0010  Property, Plant and Equipment  IAS 16.6  
0020  Other than Property Plant and Equipment  IFRS 7.38(a)  
0030  Residential immovable property  Annex V.Part 2.173(a)  IFRS 7.38(a), Annex 
V.Part 2.173(a)  
0040  Commercial immovable property  Annex V.Part 2.173(a)  IFRS 7.38(a), Annex 
V.Part 2.173(a)  
0050  Movable property  Annex V.Part 
2.173(b)(ii)  IFRS 7.38(a), Annex 
V.Part 2.173(b)(ii)  
0060  Equity and debt securities  Annex V.Part 
2.173(b)(iii)  IFRS 7.38(a), Annex 
V.Part 2.173(b)(iii)  
0070  Other  Annex V.Part 
2.173(b)(iv)  IFRS 7.38(a), Annex 
V.Part 2.173(b)(iv)  
0080  Total
EN L 97/1000 Official Journal of the European Union 19.3.2021
 13.3.1  Collateral obtained by taking possession accumulated  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Collateral obtained by taking possession accumulated  
(Annex V.Part 2.176)  
Of which: Non current assets 
held for sale  
(IFRS 5.38, Annex V.Part 2.7)  
Value at 
initial recog ­
nition  Carrying 
amount  Accumulated 
negative 
changes  Value at 
initial recog ­
nition  Carrying 
amount  
Annex V.Part 
2.175i  Annex V.Part 
1.27-28  Annex V.Part 
2.175ii  Annex V.Part 
2.175i  Annex V.Part 
1.27-28  
0010  0020  0030  0040  0050  
0010  Property, Plant and Equipment  IAS 16.6  
0020  Other than Property Plant and Equipment  IFRS 7.38(a)  
0030  Residential immovable property  Annex V.Part 2.173(a)  IFRS 7.38(a), Annex 
V.Part 2.173(a)  
0040  Commercial immovable property  Annex V.Part 2.173(a)  IFRS 7.38(a), Annex 
V.Part 2.173(a)  
0050  Movable property  Annex V.Part 
2.173(b)(ii)  IFRS 7.38(a), Annex 
V.Part 2.173(b)(ii)  
0060  Equity and debt securities  Annex V.Part 
2.173(b)(iii)  IFRS 7.38(a), Annex 
V.Part 2.173(b)(iii)  
0070  Other  Annex V.Part 
2.173(b)(iv)  IFRS 7.38(a), Annex 
V.Part 2.173(b)(iv)  
0080  Total
EN 19.3.2021 Official Journal of the European Union L 97/1001
 14. Fair value hierachy: financial instruments at fair value  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Fair value hierarchy  
IFRS 13.93 (b)  Change in fair value 
for the period  
Annex V.Part 2.178  Accumulated change in fair 
value before taxes  
Annex V.Part 2.179  
Level 1  Level 2  Level 3  Level 2  Level 3  Level 1  Level 2  Level 3  
IFRS 
13.76  IFRS 
13.81  IFRS 
13.86  IFRS 
13.81  IFRS 
13.86, 
93(f)  IFRS 
13.76  IFRS 
13.81  IFRS 
13.86  
0010  0020  0030  0040  0050  0060  0070  0080  
ASSETS  
0010  Financial assets held for trading  IFRS 7.8(a)(ii);IFRS 
9.Appendix A  
0020  Derivatives  IFRS 9.Appendix A  
0030  Equity instruments  IAS 32.11 , 
0040  Debt securities  Annex V.Part 1.31  
0050  Loans and advances  Annex V.Part 1.32  
0051  Trading financial assets  BAD Article 32-33; 
Annex V.Part 1.17  
0052  Derivatives  CRR Annex II; Annex 
V.Part 1.17  
0053  Equity instruments  ECB/2013/33; Annex 
2.Part 2.4-5  
0054  Debt securities  Annex V.Part 1.31  
0055  Loans and advances  Annex V.Part 1.32  
0056  Non-trading financial assets mandatorily 
at fair value through profit or loss  IFRS 9.4.1.4; IFRS 
7.8(a)(ii)
EN L 97/1002 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Fair value hierarchy  
IFRS 13.93 (b)  Change in fair value 
for the period  
Annex V.Part 2.178  Accumulated change in fair 
value before taxes  
Annex V.Part 2.179  
Level 1  Level 2  Level 3  Level 2  Level 3  Level 1  Level 2  Level 3  
IFRS 
13.76  IFRS 
13.81  IFRS 
13.86  IFRS 
13.81  IFRS 
13.86, 
93(f)  IFRS 
13.76  IFRS 
13.81  IFRS 
13.86  
0010  0020  0030  0040  0050  0060  0070  0080  
0057  Equity instruments  IAS 32.11  
0058  Debt securities  Annex V.Part 1.31  
0059  Loans and advances  Annex V.Part 1.32  
0060  Financial assets designated at fair value 
through profit or loss  Accounting Directive art 
8(1)(a), (6); IAS 39.9  IFRS 7.8(a)(i); IFRS 
9.4.1.5  
0070  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  IAS 32.11  
0080  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0090  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  
0101  Financial assets at fair value through 
other comprehensive income  IFRS 7.8 (h); IFRS 
9.4.1.2A  
0102  Equity instruments  IAS 32.11  
0103  Debt securities  Annex V.Part 1.31  
0104  Loans and advances  Annex V.Part 1.32  
0121  Non-trading non-derivative financial 
assets measured at fair value through 
profit or loss  Accounting Directive art 
8(1)(a), (4)
EN 19.3.2021 Official Journal of the European Union L 97/1003
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Fair value hierarchy  
IFRS 13.93 (b)  Change in fair value 
for the period  
Annex V.Part 2.178  Accumulated change in fair 
value before taxes  
Annex V.Part 2.179  
Level 1  Level 2  Level 3  Level 2  Level 3  Level 1  Level 2  Level 3  
IFRS 
13.76  IFRS 
13.81  IFRS 
13.86  IFRS 
13.81  IFRS 
13.86, 
93(f)  IFRS 
13.76  IFRS 
13.81  IFRS 
13.86  
0010  0020  0030  0040  0050  0060  0070  0080  
0122  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  
0123  Debt securities  Annex V.Part 1.31  
0124  Loans and advances  Accounting Directive art 
8(1)(a), (4)(b); Annex 
V.Part 1.32  
0125  Non-trading non-derivative financial 
assets measured at fair value to equity  Accounting Directive art 
8(1)(a), (6),(8)  
0126  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  
0127  Debt securities  Annex V.Part 1.31  
0128  Loans and advances  Accounting Directive art 
8(1)(a), (4)(b); Annex 
V.Part 1.32  
0140  Derivatives – Hedge accounting  Accounting Directive art 
8(1)(a), (6), (8); IAS 
39.9; Annex V.Part 
1.22  IFRS 9.6.2.1; Annex 
V.Part 1.22
EN L 97/1004 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Fair value hierarchy  
IFRS 13.93 (b)  Change in fair value 
for the period  
Annex V.Part 2.178  Accumulated change in fair 
value before taxes  
Annex V.Part 2.179  
Level 1  Level 2  Level 3  Level 2  Level 3  Level 1  Level 2  Level 3  
IFRS 
13.76  IFRS 
13.81  IFRS 
13.86  IFRS 
13.81  IFRS 
13.86, 
93(f)  IFRS 
13.76  IFRS 
13.81  IFRS 
13.86  
0010  0020  0030  0040  0050  0060  0070  0080  
LIABILITIES  
0150  Financial liabilities held for trading  Accounting Directive art 
4art 8(1)(a), (6); IAS 
39.9, AG 14-15  IFRS 7.8 (e) (ii); IFRS 
9.BA.6  
0160  Derivatives  CRR Annex II  IFRS 9.BA.7(a)  
0170  Short positions  IFRS 9.BA.7(b)  
0180  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.30  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.36  
0190  Debt securities issued  Annex V.Part 1.31  Annex V.Part 1.37  
0200  Other financial liabilities  Annex V.Part 1.32-34  Annex V.Part 1.38-41  
0201  Trading financial liabilities  Accounting Directive art 
8(1)(a),(3),(6)  
0202  Derivatives  CRR Annex II; Annex 
V.Part 1.25, 27  
0203  Short positions
EN 19.3.2021 Official Journal of the European Union L 97/1005
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Fair value hierarchy  
IFRS 13.93 (b)  Change in fair value 
for the period  
Annex V.Part 2.178  Accumulated change in fair 
value before taxes  
Annex V.Part 2.179  
Level 1  Level 2  Level 3  Level 2  Level 3  Level 1  Level 2  Level 3  
IFRS 
13.76  IFRS 
13.81  IFRS 
13.86  IFRS 
13.81  IFRS 
13.86, 
93(f)  IFRS 
13.76  IFRS 
13.81  IFRS 
13.86  
0010  0020  0030  0040  0050  0060  0070  0080  
0204  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.36  
0205  Debt securities issued  Annex V.Part 1.37  
0206  Other financial liabilities  Annex V.Part 1.38-41  
0210  Financial liabilities designated at fair value 
through profit or loss  Accounting Directive art 
8(1)(a), (6); IAS 39.9  IFRS 7.8 (e) (i); IFRS 
9.4.1.5  
0220  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.36  ECB/2013/33 Annex 
2.Part 2.9; Annex 
V.Part 1.36  
0230  Debt securities issued  Annex V.Part 1.37  Annex V.Part 1.37  
0240  Other financial liabilities  Annex V.Part 1.38-41  Annex V.Part 1.38-41  
0250  Derivatives – Hedge accounting  Accounting Directive art 
art 8(1)(a), (6), 
(8)(1)(a); IAS 39.9; 
Annex V.Part 1.26  IFRS 9.6.2.1; Annex 
V.Part 1.26
EN L 97/1006 Official Journal of the European Union 19.3.2021
 15. Derecognition and financial liabilities associated with transferred financial assets  
References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial assets entirely recognized  
Transferred assets  Associated 
liabilities  
ITS V.Part 2.181  
Carrying amount  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  Carrying amount  
IFRS 7.42D.(e), 
Annex V.Part 1.27  IFRS 7.42D(e); 
CRR art 4(1)(61)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(e)  
Annex V.Part 1.27- 
28 CRR art 4(61)  Annex V.Part 
2.183-184  
0010  0020  0030  0040  
0010  Financial assets held for trading  IFRS 7.8(a)(ii);IFRS 9.Appendix 
A 
0020  Equity instruments  IAS 32.11  
0030  Debt securities  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  
0041  Trading financial assets  Accounting Directive art 8(1)(a), 
(6); Annex V.Part 1.15  
0042  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0043  Debt securities  Annex V.Part 1.31  
0044  Loans and advances  Annex V.Part 1.32
EN 19.3.2021 Official Journal of the European Union L 97/1007
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial assets entirely recognized  
Transferred assets  Associated 
liabilities  
ITS V.Part 2.181  
Carrying amount  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  Carrying amount  
IFRS 7.42D.(e), 
Annex V.Part 1.27  IFRS 7.42D(e); 
CRR art 4(1)(61)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(e)  
Annex V.Part 1.27- 
28 CRR art 4(61)  Annex V.Part 
2.183-184  
0010  0020  0030  0040  
0045  Non-trading financial assets mandatorily at fair 
value through profit or loss  IFRS 9.4.1.4  
0046  Equity instruments  IAS 32.11  
0047  Debt securities  Annex V.Part 1.31  
0048  Loans and advances  Annex V.Part 1.32  
0050  Financial assets designated at fair value through 
profit or loss  Accounting Directive art 8(1)(a), 
(6); IAS 39.9  IFRS 7.8(a)(i); IFRS 9.4.1.5  
0060  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 IAS 32.11  
0070  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0080  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  
0091  Financial assets at fair value through other 
comprehensive income  IFRS 7.8(h); IFRS 9.4.1.2A
EN L 97/1008 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial assets entirely recognized  
Transferred assets  Associated 
liabilities  
ITS V.Part 2.181  
Carrying amount  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  Carrying amount  
IFRS 7.42D.(e), 
Annex V.Part 1.27  IFRS 7.42D(e); 
CRR art 4(1)(61)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(e)  
Annex V.Part 1.27- 
28 CRR art 4(61)  Annex V.Part 
2.183-184  
0010  0020  0030  0040  
0092  Equity instruments  IAS 32.11  
0093  Debt securities  Annex V.Part 1.31  
0094  Loans and advances  Annex V.Part 1.32  
0121  Non-trading non-derivative financial assets 
measured at fair value through profit or loss  Accounting Directive art 8(1)(a), 
(4) 
0122  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0123  Debt securities  Annex V.Part 1.31  
0124  Loans and advances  Accounting Directive art 8(1)(a), 
(4)(b); part 1.14, part 3.35  
0125  Non-trading non-derivative financial assets 
measured at fair value to equity  Accounting Directive art 8(1)(a), 
8(2)
EN 19.3.2021 Official Journal of the European Union L 97/1009
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial assets entirely recognized  
Transferred assets  Associated 
liabilities  
ITS V.Part 2.181  
Carrying amount  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  Carrying amount  
IFRS 7.42D.(e), 
Annex V.Part 1.27  IFRS 7.42D(e); 
CRR art 4(1)(61)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(e)  
Annex V.Part 1.27- 
28 CRR art 4(61)  Annex V.Part 
2.183-184  
0010  0020  0030  0040  
0126  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0127  Debt securities  Annex V.Part 1.31  
0128  Loans and advances  Accounting Directive art 8(1)(a), 
(4)(b);part 1.14, part 3.35  
0131  Financial assets at amortised cost  Accounting Directive art 
42a(4)(b),(5a); IAS 39.9  IFRS 7.8 (f); IFRS 9.4.1.2  
0132  Debt securities  Annex V.Part 1.24, 26  Annex V.Part 1.31  
0133  Loans and advances  Annex V.Part 1.24, 27  Annex V.Part 1.32  
0181  Non-trading non-derivative financial assets 
measured at a cost-based method  BAD art 37.1; art 42a(4)(b); 
Annex V.Part 1.16  
0200  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5
EN L 97/1010 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial assets entirely recognized  
Transferred assets  Associated 
liabilities  
ITS V.Part 2.181  
Carrying amount  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  Carrying amount  
IFRS 7.42D.(e), 
Annex V.Part 1.27  IFRS 7.42D(e); 
CRR art 4(1)(61)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(e)  
Annex V.Part 1.27- 
28 CRR art 4(61)  Annex V.Part 
2.183-184  
0010  0020  0030  0040  
0182  Debt securities  Annex V.Part 1.31  
0183  Loans and advances  Annex V.Part 1.32  
0184  Other non-trading non-derivative financial assets  BAD art 35-37  
0185  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0186  Debt securities  Annex V.Part 1.31  
0187  Loans and advances  Annex V.Part 1.32  
0190  Total
EN 19.3.2021 Official Journal of the European Union L 97/1011
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial assets entirely 
recognized  Transferred financial assets 
recognized to the extent of the 
instution's continuing involvement  
Associated liabilities  
ITS V.Part 2.181  Principal amount 
outstanding of 
the original assets  Carrying amount 
of assets still 
recognised [con ­
tinuing involve ­
ment]  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  
IFRS 7.42D.(e)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(f)  
CRR art 4(61)  Annex V.Part 
2.183-184  
0050  0060  0070  0080  
0010  Financial assets held for trading  IFRS 7.8(a)(ii);IFRS 9.Appendix 
A 
0020  Equity instruments  IAS 32.11  
0030  Debt securities  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  
0041  Trading financial assets  Accounting Directive art 8(1)(a), 
(6); Annex V.Part 1.15  
0042  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0043  Debt securities  Annex V.Part 1.31  
0044  Loans and advances  Annex V.Part 1.32
EN L 97/1012 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial assets entirely 
recognized  Transferred financial assets 
recognized to the extent of the 
instution's continuing involvement  
Associated liabilities  
ITS V.Part 2.181  Principal amount 
outstanding of 
the original assets  Carrying amount 
of assets still 
recognised [con ­
tinuing involve ­
ment]  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  
IFRS 7.42D.(e)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(f)  
CRR art 4(61)  Annex V.Part 
2.183-184  
0050  0060  0070  0080  
0045  Non-trading financial assets mandatorily at fair 
value through profit or loss  IFRS 9.4.1.4  
0046  Equity instruments  IAS 32.11  
0047  Debt securities  Annex V.Part 1.31  
0048  Loans and advances  Annex V.Part 1.32  
0050  Financial assets designated at fair value through 
profit or loss  Accounting Directive art 8(1)(a), 
(6); IAS 39.9  IFRS 7.8(a)(i); IFRS 9.4.1.5  
0060  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 IAS 32.11  
0070  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0080  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  
0091  Financial assets at fair value through other 
comprehensive income  IFRS 7.8(h); IFRS 9.4.1.2A
EN 19.3.2021 Official Journal of the European Union L 97/1013
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial assets entirely 
recognized  Transferred financial assets 
recognized to the extent of the 
instution's continuing involvement  
Associated liabilities  
ITS V.Part 2.181  Principal amount 
outstanding of 
the original assets  Carrying amount 
of assets still 
recognised [con ­
tinuing involve ­
ment]  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  
IFRS 7.42D.(e)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(f)  
CRR art 4(61)  Annex V.Part 
2.183-184  
0050  0060  0070  0080  
0092  Equity instruments  IAS 32.11  
0093  Debt securities  Annex V.Part 1.31  
0094  Loans and advances  Annex V.Part 1.32  
0121  Non-trading non-derivative financial assets 
measured at fair value through profit or loss  Accounting Directive art 8(1)(a), 
(4) 
0122  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0123  Debt securities  Annex V.Part 1.31  
0124  Loans and advances  Accounting Directive art 8(1)(a), 
(4)(b); part 1.14, part 3.35  
0125  Non-trading non-derivative financial assets 
measured at fair value to equity  Accounting Directive art 8(1)(a), 
8(2)
EN L 97/1014 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial assets entirely 
recognized  Transferred financial assets 
recognized to the extent of the 
instution's continuing involvement  
Associated liabilities  
ITS V.Part 2.181  Principal amount 
outstanding of 
the original assets  Carrying amount 
of assets still 
recognised [con ­
tinuing involve ­
ment]  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  
IFRS 7.42D.(e)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(f)  
CRR art 4(61)  Annex V.Part 
2.183-184  
0050  0060  0070  0080  
0126  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0127  Debt securities  Annex V.Part 1.31  
0128  Loans and advances  Accounting Directive art 8(1)(a), 
(4)(b);part 1.14, part 3.35  
0131  Financial assets at amortised cost  Accounting Directive art 
42a(4)(b),(5a); IAS 39.9  IFRS 7.8 (f); IFRS 9.4.1.2  
0132  Debt securities  Annex V.Part 1.24, 26  Annex V.Part 1.31  
0133  Loans and advances  Annex V.Part 1.24, 27  Annex V.Part 1.32  
0181  Non-trading non-derivative financial assets 
measured at a cost-based method  BAD art 37.1; art 42a(4)(b); 
Annex V.Part 1.16  
0200  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5
EN 19.3.2021 Official Journal of the European Union L 97/1015
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial assets entirely 
recognized  Transferred financial assets 
recognized to the extent of the 
instution's continuing involvement  
Associated liabilities  
ITS V.Part 2.181  Principal amount 
outstanding of 
the original assets  Carrying amount 
of assets still 
recognised [con ­
tinuing involve ­
ment]  Of which: secu ­
ritizations  Of which: 
repurchase 
agreements  
IFRS 7.42D.(e)  IFRS 7.42D(e); 
Annex V.Part 
2.183-184  IFRS 7.42D(f)  
CRR art 4(61)  Annex V.Part 
2.183-184  
0050  0060  0070  0080  
0182  Debt securities  Annex V.Part 1.31  
0183  Loans and advances  Annex V.Part 1.32  
0184  Other non-trading non-derivative financial assets  BAD art 35-37  
0185  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0186  Debt securities  Annex V.Part 1.31  
0187  Loans and advances  Annex V.Part 1.32  
0190  Total
EN L 97/1016 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial 
assets recognized to the 
extent of the instution's 
continuing involvement  Principal amount 
outstanting of trans ­
ferred financial assets 
entirely derecognised 
for which the intitution 
retains servicing rights  Amounts derecognised 
for capital purposes  
Carrying amount of 
associated liabilites  
IFRS 7.42D(f); Annex 
V.Part 1.27, Part 2.181  CRR art 109; Annex V.Part 
2.182  
CRR art 109; Annex V.Part 
2.182  
0090  0100  0110  
0010  Financial assets held for trading  IFRS 7.8(a)(ii);IFRS 9.Appendix 
A 
0020  Equity instruments  IAS 32.11  
0030  Debt securities  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  
0041  Trading financial assets  Accounting Directive art 8(1)(a), 
(6); Annex V.Part 1.15  
0042  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0043  Debt securities  Annex V.Part 1.31  
0044  Loans and advances  Annex V.Part 1.32
EN 19.3.2021 Official Journal of the European Union L 97/1017
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial 
assets recognized to the 
extent of the instution's 
continuing involvement  Principal amount 
outstanting of trans ­
ferred financial assets 
entirely derecognised 
for which the intitution 
retains servicing rights  Amounts derecognised 
for capital purposes  
Carrying amount of 
associated liabilites  
IFRS 7.42D(f); Annex 
V.Part 1.27, Part 2.181  CRR art 109; Annex V.Part 
2.182  
CRR art 109; Annex V.Part 
2.182  
0090  0100  0110  
0045  Non-trading financial assets mandatorily at fair 
value through profit or loss  IFRS 9.4.1.4  
0046  Equity instruments  IAS 32.11  
0047  Debt securities  Annex V.Part 1.31  
0048  Loans and advances  Annex V.Part 1.32  
0050  Financial assets designated at fair value through 
profit or loss  Accounting Directive art 8(1)(a), 
(6); IAS 39.9  IFRS 7.8(a)(i); IFRS 9.4.1.5  
0060  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 IAS 32.11  
0070  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0080  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  
0091  Financial assets at fair value through other 
comprehensive income  IFRS 7.8(h); IFRS 9.4.1.2A
EN L 97/1018 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial 
assets recognized to the 
extent of the instution's 
continuing involvement  Principal amount 
outstanting of trans ­
ferred financial assets 
entirely derecognised 
for which the intitution 
retains servicing rights  Amounts derecognised 
for capital purposes  
Carrying amount of 
associated liabilites  
IFRS 7.42D(f); Annex 
V.Part 1.27, Part 2.181  CRR art 109; Annex V.Part 
2.182  
CRR art 109; Annex V.Part 
2.182  
0090  0100  0110  
0092  Equity instruments  IAS 32.11  
0093  Debt securities  Annex V.Part 1.31  
0094  Loans and advances  Annex V.Part 1.32  
0121  Non-trading non-derivative financial assets 
measured at fair value through profit or loss  Accounting Directive art 8(1)(a), 
(4) 
0122  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0123  Debt securities  Annex V.Part 1.31  
0124  Loans and advances  Accounting Directive art 8(1)(a), 
(4)(b); part 1.14, part 3.35  
0125  Non-trading non-derivative financial assets 
measured at fair value to equity  Accounting Directive art 8(1)(a), 
8(2)
EN 19.3.2021 Official Journal of the European Union L 97/1019
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial 
assets recognized to the 
extent of the instution's 
continuing involvement  Principal amount 
outstanting of trans ­
ferred financial assets 
entirely derecognised 
for which the intitution 
retains servicing rights  Amounts derecognised 
for capital purposes  
Carrying amount of 
associated liabilites  
IFRS 7.42D(f); Annex 
V.Part 1.27, Part 2.181  CRR art 109; Annex V.Part 
2.182  
CRR art 109; Annex V.Part 
2.182  
0090  0100  0110  
0126  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0127  Debt securities  Annex V.Part 1.31  
0128  Loans and advances  Accounting Directive art 8(1)(a), 
(4)(b);part 1.14, part 3.35  
0131  Financial assets at amortised cost  Accounting Directive art 
42a(4)(b),(5a); IAS 39.9  IFRS 7.8 (f); IFRS 9.4.1.2  
0132  Debt securities  Annex V.Part 1.24, 26  Annex V.Part 1.31  
0133  Loans and advances  Annex V.Part 1.24, 27  Annex V.Part 1.32  
0181  Non-trading non-derivative financial assets 
measured at a cost-based method  BAD art 37.1; art 42a(4)(b); 
Annex V.Part 1.16  
0200  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5
EN L 97/1020 Official Journal of the European Union 19.3.2021
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Transferred financial 
assets recognized to the 
extent of the instution's 
continuing involvement  Principal amount 
outstanting of trans ­
ferred financial assets 
entirely derecognised 
for which the intitution 
retains servicing rights  Amounts derecognised 
for capital purposes  
Carrying amount of 
associated liabilites  
IFRS 7.42D(f); Annex 
V.Part 1.27, Part 2.181  CRR art 109; Annex V.Part 
2.182  
CRR art 109; Annex V.Part 
2.182  
0090  0100  0110  
0182  Debt securities  Annex V.Part 1.31  
0183  Loans and advances  Annex V.Part 1.32  
0184  Other non-trading non-derivative financial assets  BAD art 35-37  
0185  Equity instruments  ECB/2013/33 Annex 2.Part 2.4- 
5 
0186  Debt securities  Annex V.Part 1.31  
0187  Loans and advances  Annex V.Part 1.32  
0190  Total
EN 19.3.2021 Official Journal of the European Union L 97/1021  
16. Breakdown of selected statement of profit or loss items  
16.1  Interest income and expenses by instrument and counterparty sector  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period  
Income  Expenses  
Annex V.Part 
2.187, 189  Annex V.Part 2.188, 
190  
0010  0020  
0010  Derivatives -Trading  CRR Annex II; Annex 
V.Part 2.193  IFRS 9.Appendix A, .BA.1, 
.BA.6; Annex V.Part 
2.193  
0015  of which: interest income 
from derivatives in 
economic hedges  Annex V.Part 2.193  Annex V.Part 2.193  
0020  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0030  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0040  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0050  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0060  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0070  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0080  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0090  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0100  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0110  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0120  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0130  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0141  of which: lending for 
house purchase  Annex V.Part 2.88(b), 
194i  Annex V.Part 2.88(b), 
194i  
0142  of which: credit for 
consumption  Annex V.Part 2.88(a), 
194i  Annex V.Part 2.88(a), 
194i  
0150  Other assets  Annex V.Part 2.5  Annex V.Part 2.5
EN L 97/1022 Official Journal of the European Union 19.3.2021  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period  
Income  Expenses  
Annex V.Part 
2.187, 189  Annex V.Part 2.188, 
190  
0010  0020  
0160  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0170  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0180  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0190  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0200  Other financial corpor ­
ations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0210  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0220  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0230  Debt securities issued  Annex V.1.37  Annex V.Part 1.37  
0240  Other financial liabilities  Annex V.Part 1.32-34, 
Part 2.191  Annex V.Part 1.32-34, 
Part 2.191  
0250  Derivatives - Hedge 
accounting, interest rate risk  Annex V.Part 2.192  Annex V.Part 2.192  
0260  Other Liabilities  Annex V.Part 1.38-41  Annex V.Part 1.38-41  
0270  INTEREST  BAD art 27.Vertical 
layout(1), (2)  IAS 1.97  
0280  of which: interest-income 
on credit impaired 
financial assets  IFRS 9.5.4.1; .B5.4.7; 
Annex V.Part 2.194  
0290  of which: interest from 
leases  Annex V.Part 2.194ii  IFRS 16.38 (a), 49, Annex 
V.Part 2.194ii  
16.2  Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or 
loss by instrument  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period  
Annex V. Part 2.195- 
196  
0010  
0010  Equity instruments  ECB/2013/33 Annex 2.Part 
2.4-5  Annex V.Part 1.28  
0020  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0030  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32
EN 19.3.2021 Official Journal of the European Union L 97/1023  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period  
Annex V. Part 2.195- 
196  
0010  
0040  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  
0050  Debt securities issued  Annex V.Part 1.37  Annex V.Part 1.37  
0060  Other financial liabilities  Annex V.Part 1.38-41  Annex V.Part 1.38-41  
0070  GAINS OR (-) LOSSES ON DERECOG ­
NITION OF FINANCIAL ASSETS AND 
LIABILITIES NOT MEASURED AT FAIR 
VALUE THROUGH PROFIT OR LOSS, 
NET  BAD art 27.Vertical layout(6); 
Annex V.Part 2.45  Annex V.Part 2.45  
16.3  Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial 
liabilities by instrument  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period  
Annex V. Part 2.197- 
198  
0010  
0010  Derivatives  IFRS 9.Appendix A, .BA.1, 
.BA.7(a)  
0015  of which: Economic hedges with 
use of the fair value option  IFRS 9.6.7.1; IFRS 7.9(d); 
Annex V.Part 2.199  
0020  Equity instruments  IAS 32.11  
0030  Debt securities  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  
0050  Short positions  IFRS 9.BA.7(b)  
0060  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36
EN L 97/1024 Official Journal of the European Union 19.3.2021  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period  
Annex V. Part 2.197- 
198  
0010  
0070  Debt securities issued  Annex V.Part 1.37  
0080  Other financial liabilities  Annex V.Part 1.38-41  
0090  GAINS OR (-) LOSSES ON FINANCIAL 
ASSETS AND LIABILITIES HELD FOR 
TRADING, NET  IFRS 9.Appendix A, 
.BA.6;IFRS 7.20(a)(i)  
0095  of which: gains and losses due to 
the reclassification of assets at 
amortised cost  IFRS 9.5.6.2; annex V.Part 
2.199  
0100  Derivatives  CRR Annex II  
0110  Equity instruments  ECB/2013/33 Annex 2.Part 
2.4-5  
0120  Debt securities  Annex V.Part 1.31  
0130  Loans and advances  Annex V.Part 1.32  
0140  Short positions  
0150  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  
0160  Debt securities issued  Annex V.Part 1.37  
0170  Other financial liabilities  Annex V.Part 1.38-41  
0180  GAINS OR (-) LOSSES ON TRADING 
FINANCIAL ASSETS AND LIABILITIES, 
NET  BAD art 27.Vertical layout(6); 
Annex V.Part 1.17  
16.4  Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial 
liabilities by risk  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period  
0010  
0010  Interest rate instruments and related 
derivatives  Annex V.Part 2.200(a)  
0020  Equity instruments and related 
derivatives  Annex V.Part 2.200(b)  
0030  Foreign exchange trading and 
derivatives related with foreign 
exchange and gold  Annex V.Part 2.200(c)
EN 19.3.2021 Official Journal of the European Union L 97/1025  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period  
0010  
0040  Credit risk instruments and related 
derivatives  Annex V.Part 2.200(d)  
0050  Derivatives related with commod ­
ities  Annex V.Part 2.200(e)  
0060  Other  Annex V.Part 2.200(f)  
0070  GAINS OR (-) LOSSES ON FINANCIAL 
ASSETS AND LIABILITIES HELD FOR 
TRADING, NET  BAD art 27.Vertical layout(6)  IFRS 7.20(a)(i)  
0080  Interest rate instruments and related 
derivatives  Annex V.Part 2.200(a)  
0090  Equity instruments and related 
derivatives  Annex V.Part 2.200(b)  
0100  Foreign exchange trading and 
derivatives related with foreign 
exchange and gold  Annex V.Part 2.200(c)  
0110  Credit risk instruments and related 
derivatives  Annex V.Part 2.200(d)  
0120  Derivatives related with commod ­
ities  Annex V.Part 2.200(e)  
0130  Other  Annex V.Part 2.200(f)  
0140  GAINS OR (-) LOSSES ON TRADING 
FINANCIAL ASSETS AND LIABILITIES, 
NET  BAD art 27.Vertical layout(6)  
16.4.1  Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period  
Annex V.Part 2.201  
0010  
0020  Equity instruments  IAS 32.11  
0030  Debt securities  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32
EN L 97/1026 Official Journal of the European Union 19.3.2021  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period  
Annex V.Part 2.201  
0010  
0090  GAINS OR (-) LOSSES ON NON- 
TRADING FINANCIAL ASSETS 
MANDATORILY AT FAIR VALUE 
THROUGH PROFIT AND LOSS, NET  IFRS 7.20(a)(i)  
0100  of which: gains and losses due to 
the reclassification of assets at 
amortised cost  IFRS 9.6.5.2; Annex V.Part 
2.202  
16.5  Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current 
period  Changes in fair 
value due to credit 
risk  
Annex V.Part 
2.203  Annex V.Part 2.203  
0010  0020  
0010  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  IAS 32.11  
0020  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0030  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  
0040  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0050  Debt securities issued  Annex V.Part 1.37  Annex V.Part 1.37  
0060  Other financial liabilities  Annex V.Part 1.38-41  Annex V.Part 1.38-41  
0070  GAINS OR (-) LOSSES ON 
FINANCIAL ASSETS AND 
LIABILITIES DESIGNATED AT 
FAIR VALUE THROUGH PROFIT 
OR LOSS, NET  BAD art 27.Vertical 
layout(6)  IFRS 7.20(a)(i)  
0071  of which: gains or (-) losses 
upon designation of 
financial assets and liabilities 
designated at fair value 
through profit or loss for 
hedging purposes, net  IFRS 9.6.7;IFRS 7.24G(b); 
Annex V.Part 2.204
EN 19.3.2021 Official Journal of the European Union L 97/1027  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current 
period  Changes in fair 
value due to credit 
risk  
Annex V.Part 
2.203  Annex V.Part 2.203  
0010  0020  
0072  of which: gains or (-) losses 
after designation on 
financial assets and liabilities 
designated at fair value 
through profit or loss for 
hedging purposes, net  IFRS 9.6.7; IFRS 
7.20(a)(i); Annex V.Part 
2.204  
0080  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  
0090  Debt securities  Annex V.Part 1.31  
0100  Loans and advances  Annex V.Part 1.32  
0110  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0120  Debt securities issued  Annex V.Part 1.37  
0130  Other financial liabilities  Annex V.Part 1.38-41  
0140  GAINS OR (-) LOSSES ON NON- 
TRADING FINANCIAL ASSETS 
AND LIABILITIES, NET  BAD art 27.Vertical 
layout(6)  
16.6  Gains or losses from hedge accounting  
References National GAAP 
based on BAD  
Annex V.Part 2.207  References National GAAP 
compatible IFRS  Current period  
Annex V.Part 2.205  
0010  
0010  Fair value changes of the hedging 
instrument [including discontinu ­
ation]  Accounting Directive art 
8(1)(a), (6), (8)(a)  IFRS 7.24A(c);IFRS 
7.24C(b)(vi)  
0020  Fair value changes of the hedged 
item attributable to the hedged risk  Accounting Directive art 
8(1)(a), (6), (8)(a)  IFRS 9.6.3.7; .6.5.8; .B6.4.1; 
IFRS 7.24B(a)(iv); IFRS 
7.24C(b)(vi); Annex V.Part 
2.206  
0030  Ineffectiveness in profit or loss from 
cash flow hedges  Accounting Directive art 
8(1)(a), (6), (8)(a)  IFRS 7.24C(b)ii; IFRS 
7.24C(b)(vi)
EN L 97/1028 Official Journal of the European Union 19.3.2021  
References National GAAP 
based on BAD  
Annex V.Part 2.207  References National GAAP 
compatible IFRS  Current period  
Annex V.Part 2.205  
0010  
0040  Ineffectiveness in profit or loss from 
hedges of net investments in foreign 
operations  Accounting Directive art 
8(1)(a)  IFRS 7.24C(b)(ii); IFRS 
7.24C(b)(vi)  
0050  GAINS OR (-) LOSSES FROM HEDGE 
ACCOUNTING, NET  Accounting Directive art 
8(1)(a), (6), (8)(a)  
16.7  Impairment on non-financial assets  
References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Current period  
Additions  Reversals  Accumulated 
impairment  
Annex V.Part 
2.208  Annex V.Part 
2.208  
0010  0020  0040  
0060  Impairment or (-) reversal of 
impairment of investments in 
subsidaries, joint ventures and 
associates  BAD art 27.Vertical 
layout(13)-(14)  IAS 28.40-43  
0070  Subsidiaries  IFRS 10 Appendix A  
0080  Joint ventures  IAS 28.3  
0090  Associates  IAS 28.3  
0100  Impairment or (-) reversal of 
impairment on non-financial 
assets  IAS 36.126(a),(b)  
0110  Property, plant and equipment  BAD art 27.Vertical 
layout(9)  IAS 16.73(e)(v-vi)  
0120  Investment properties  BAD art 27.Vertical 
layout(9)  IAS 40.79(d)(v)  
0130  Goodwill  BAD art 27.Vertical 
layout(9)  IAS 36.10b; IAS 
36.88-99, 124; 
IFRS 3 Appendix 
B67(d)(v)  
0140  Other intangible assets  BAD art 27.Vertical 
layout(9)  IAS 38.118(e)(iv)(v)  
0145  Other  IAS 36.126(a),(b)  
0150  TOTAL
EN 19.3.2021 Official Journal of the European Union L 97/1029  
16.8  Other administrative expenses  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period  
Expenses  
0010  
0010  Information Technology expenses  Annex V.Part 2.208i  Annex V.Part 2.208i  
0020  IT outsourcing  Annex V.Part 2.208i-208ii  Annex V.Part 2.208i-208ii  
0030  IT expenses other than IT 
outsourcing expenses  Annex V.Part 2.208i  Annex V.Part 2.208i  
0040  Taxes and duties (other)  Annex V.Part 2.208iii  Annex V.Part 2.208iii  
0050  Consulting and professional services  Annex V.Part 2.208iv  Annex V.Part 2.208iv  
0060  Advertising, marketing and 
communication  Annex V.Part 2.208v  Annex V.Part 2.208v  
0070  Expenses related to credit risk  Annex V.Part 2.208vi  Annex V.Part 2.208vi  
0080  Litigation expenses not covered by 
provisions  Annex V.Part 2.208vii  Annex V.Part 2.208vii  
0090  Real estate expenses  Annex V.Part 2.208viii  Annex V.Part 2.208viii  
0100  Leasing expenses  Annex V.Part 2.208ix  Annex V.Part 2.208ix  
0110  Other admininstrative expenses - 
Rest  Annex V.Part 2.208x  Annex V.Part 2.208x  
0120  OTHER ADMINISTRATIVE EXPENSES
EN L 97/1030 Official Journal of the European Union 19.3.2021  
17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet  
17.1  Assets  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accounting scope 
of consolidation 
[Carrying 
amount]  
Annex V.Part 1.27- 
28, Part 2.209  
0010  
0010  Cash, cash balances at central banks and other 
demand deposits  BAD art 4.Assets(1)  IAS 1.54 (i)  
0020  Cash on hand  Annex V.Part 2.1  Annex V.Part 2.1  
0030  Cash balances at central banks  BAD art 13(2); Annex 
V.Part 2.2  Annex V.Part 2.2  
0040  Other demand deposits  Annex V.Part 2.3  Annex V.Part 2.3  
0050  Financial assets held for trading  Accounting Directive art 
8(1)(a), (5); IAS 39.9  IFRS 7.8(a)(ii);IFRS 9.Ap ­
pendix A  
0060  Derivatives  CRR Annex II  IFRS 9.Appendix A  
0070  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  IAS 32.11  
0080  Debt securities  Annex V.Part 1.24, 26  Annex V.Part 1.31  
0090  Loans and advances  Annex V.Part 1.24, 27  Annex V.Part 1.32  
0091  Trading financial assets  BAD Article 32-33; 
Annex V.Part 1.17  
0092  Derivatives  CRR Annex II; Annex 
V.Part 1.17  
0093  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  
0094  Debt securities  Annex V.Part 1.31  
0095  Loans and advances  Annex V.Part 1.32
EN 19.3.2021 Official Journal of the European Union L 97/1031  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accounting scope 
of consolidation 
[Carrying 
amount]  
Annex V.Part 1.27- 
28, Part 2.209  
0010  
0096  Non-trading financial assets mandatorily at 
fair value through profit or loss  IFRS 9.4.1.4  
0097  Equity instruments  IAS 32.11  
0098  Debt securities  Annex V.Part 1.31  
0099  Loans and advances  Annex V.Part 1.32  
0100  Financial assets designated at fair value 
through profit or loss  Accounting Directive art 
8(1)(a), (6)  IFRS 7.8(a)(i); IFRS 
9.4.1.5  
0110  Equity instruments  IAS 32.11;ECB/2013/33 
Annex 2.Part 2.4-5  
0120  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0130  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  
0141  Financial assets at fair value through other 
comprehensive income  IFRS 7.8(h); IFRS 
9.4.1.2A  
0142  Equity instruments  IAS 32.11  
0143  Debt securities  Annex V.Part 1.31  
0144  Loans and advances  Annex V.Part 1.32  
0171  Non-trading non-derivative financial assets 
measured at fair value through profit or loss  BAD art 36(2)  
0172  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  
0173  Debt securities  Annex V.Part 1.31  
0174  Loans and advances  Accounting Directive art 
8(1)(a), (4)(b); Annex 
V.Part 1.32
EN L 97/1032 Official Journal of the European Union 19.3.2021  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accounting scope 
of consolidation 
[Carrying 
amount]  
Annex V.Part 1.27- 
28, Part 2.209  
0010  
0175  Non-trading non-derivative financial assets 
measured at fair value to equity  Accounting Directive art 
8(1)(a), (8)  
0176  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  
0177  Debt securities  Annex V.Part 1.31  
0178  Loans and advances  Accounting Directive art 
8(1)(a), (4)(b); Annex 
V.Part 1.32  
0181  Financial assets at amortised cost  IFRS 7.8(f); IFRS 9.4.1.2  
0182  Debt securities  Annex V.Part 1.31  
0183  Loans and advances  Annex V.Part 1.32  
0231  Non-trading non-derivative financial assets 
measured at a cost-based method  BAD art 35;Accounting 
Directive Article 6(1)(i) 
and Article 8(2); Annex 
V.Part1.18, 19  
0380  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  
0232  Debt securities  Annex V.Part 1.31  
0233  Loans and advances  Annex V.Part 1.32  
0234  Other non-trading non-derivative financial 
assets  BAD art 37; Accounting 
Directive Article 12(7); 
Annex V.Part 1.20  
0235  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  
0236  Debt securities  Annex V.Part 1.31  
0237  Loans and advances  Annex V.Part 1.32  
0240  Derivatives – Hedge accounting  Accounting Directive art 
8(1)(a), (6), (8); IAS 39.9; 
Annex V.Part 1.22  IFRS 9.6.2.1; Annex 
V.Part 1.22
EN 19.3.2021 Official Journal of the European Union L 97/1033  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accounting scope 
of consolidation 
[Carrying 
amount]  
Annex V.Part 1.27- 
28, Part 2.209  
0010  
0250  Fair value changes of the hedged items in 
portfolio hedge of interest rate risk  Accounting Directive art 
8(5), (6); IAS 39.89A (a)  IAS 39.89A(a); IFRS 
9.6.5.8  
0260  Investments in subsidaries, joint ventures and 
associates  BAD art 4.Assets(7)-(8); 
Accounting Directive art 
2(2); Annex V.Part 1.21, 
Part 2.4, 210  IAS 1.54(e); Annex V.Part 
1.21, Part 2.4, 210  
0270  Assets under reinsurance and insurance 
contracts  Annex V.Part 2.211  IFRS 4.IG20.(b)-(c); Annex 
V.Part 2.211  
0280  Tangible assets  BAD art 4.Assets(10)  
0290  Intangible assets  BAD art 4.Assets(9); CRR 
art 4(1)(115)  IAS 1.54(c); CRR art 
4(1)(115)  
0300  Goodwill  BAD art 4.Assets(9); CRR 
art 4(1)(113)  IFRS 3.B67(d); CRR art 
4(1)(113)  
0310  Other intangible assets  BAD art 4.Assets(9)  IAS 38.8,118  
0320  Tax assets  IAS 1.54(n-o)  
0330  Current tax assets  IAS 1.54(n); IAS 12.5  
0340  Deferred tax assets  Accounting Directive art 
17(1)(f); CRR art 
4(1)(106)  IAS 1.54(o); IAS 12.5; 
CRR art 4(1)(106)  
0350  Other assets  Annex V.Part 2.5, 6  Annex V.Part 2.5  
0360  Non-current assets and disposal groups clas ­
sified as held for sale  IAS 1.54(j); IFRS 5.38, 
Annex V.Part 2.6  
0365  (-)  Haircuts for trading assets valued at fair 
value  Annex V Part 1.29  
0370  TOTAL ASSETS  BAD art 4 Assets  IAS 1.9(a), IG 6
EN L 97/1034 Official Journal of the European Union 19.3.2021  
17.2  Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accounting scope 
of consolidation 
[Nominal 
amount]  
Annex V.Part 
2.118, 209  
0010  
0010  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.112, 113  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 116  
0020  Financial guarantees given  CRR Annex I; Annex 
V.Part 1.44(f), Part 2.112, 
114  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116  
0030  Other Commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.112, 115  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 115, 116  
0040  OFF-BALANCE SHEET EXPOSURES  
17.3  Liabilities and equity  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accounting scope 
of consolidation 
[Carrying 
amount]  
Annex V.Part 1.27- 
28, Part 2.209  
0010  
0010  Financial liabilities held for trading  IFRS 7.8 (e) (ii); IFRS 
9.BA.6  
0020  Derivatives  IFRS 9.Appendix A; IFRS 
9.4.2.1(a); IFRS 9.BA.7(a)  
0030  Short positions  IFRS 9.BA7(b)  
0040  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0050  Debt securities issued  Annex V.Part 1.37  
0060  Other financial liabilities  Annex V.Part 1.38-41  
0061  Trading financial liabilities  Accounting Directive art 
8(1)(a),(3),(6)  
0062  Derivatives  CRR Annex II; Annex 
V.Part 1.25, 27
EN 19.3.2021 Official Journal of the European Union L 97/1035  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accounting scope 
of consolidation 
[Carrying 
amount]  
Annex V.Part 1.27- 
28, Part 2.209  
0010  
0063  Short positions  
0064  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0065  Debt securities issued  Annex V.Part 1.37  
0066  Other financial liabilities  Annex V.Part 1.38-41  
0070  Financial liabilities designated at fair value 
through profit or loss  Accounting Directive art 
8(1)(a), (6); IAS 39.9  IFRS 7.8 (e)(i); IFRS 
9.4.2.2  
0080  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0090  Debt securities issued  Annex V.Part 1.37  Annex V.Part 1.37  
0100  Other financial liabilities  Annex V.Part 1.38-41  Annex V.Part 1.38-41  
0110  Financial liabilities measured at amortised 
cost  Accounting Directive art 
8(3), (6); IAS 39.47  IFRS 7.8(g); IFRS 9.4.2.1  
0120  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.30  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0130  Debt securities issued  Annex V.Part 1.31  Annex V.Part 1.37  
0140  Other financial liabilities  Annex V.Part 1.32-34  Annex V.Part 1.38-41  
0141  Non-trading non-derivative financial liabilities 
measured at a cost-based method  Accounting Directive art 
8(3)  
0142  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0143  Debt securities issued  Annex V.Part 1.37  
0144  Other financial liabilities  Annex V.Part 1.38-41
EN L 97/1036 Official Journal of the European Union 19.3.2021  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accounting scope 
of consolidation 
[Carrying 
amount]  
Annex V.Part 1.27- 
28, Part 2.209  
0010  
0150  Derivatives – Hedge accounting  Accounting Directive art 
8(1)(a), (6), (8)(a); Annex 
V.Part 1.26  IFRS 9.6.2.1; Annex 
V.Part 1.26  
0160  Fair value changes of the hedged items in 
portfolio hedge of interest rate risk  Accounting Directive art 
8(5), (6); Annex V.Part 
2.8; IAS 39.89A(b)  IAS 39.89A(b), IFRS 
9.6.5.8  
0170  Liabilities under insurance and reinsurance 
contracts  Annex V.Part 2.212  IFRS 4.IG20(a); Annex 
V.Part 2.212  
0180  Provisions  BAD art 4.Liabilities(6)  IAS 37.10; IAS 1.54(l)  
0190  Tax liabilities  IAS 1.54(n-o)  
0200  Current tax liabilities  IAS 1.54(n); IAS 12.5  
0210  Deferred tax liabilities  Accounting Directive art 
17(1)(f); CRR art 
4(1)(108)  IAS 1.54(o); IAS 12.5; 
CRR art 4(1)(108)  
0220  Share capital repayable on demand  IAS 32 IE 33; IFRIC 2; 
Annex V.Part 2.12  
0230  Other liabilities  Annex V.Part 2.13  Annex V.Part 2.13  
0240  Liabilities included in disposal groups clas ­
sified as held for sale  IAS 1.54 (p); IFRS 5.38, 
Annex V.Part 2.14  
0245  Haircuts for trading liabilities valued at fair 
value  Annex V Part 1.29  
0250  LIABILITIES  IAS 1.9(b);IG 6  
0260  Capital  BAD art 4.Liabilities(9), 
BAD art 22  IAS 1.54(r), BAD art 22  
0270  Share premium  BAD art 4.Liabilities(10); 
CRR art 4(124)  IAS 1.78(e); CRR art 
4(1)(124)  
0280  Equity instruments issued other than capital  Annex V.Part 2.18-19  Annex V.Part 2.18-19
EN 19.3.2021 Official Journal of the European Union L 97/1037  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accounting scope 
of consolidation 
[Carrying 
amount]  
Annex V.Part 1.27- 
28, Part 2.209  
0010  
0290  Other equity  Annex V.Part 2.20  IFRS 2.10; Annex V.Part 
2.20  
0300  Accumulated other comprehensive income  CRR art 4(1)(100)  CRR art 4(1)(100)  
0310  Retained earnings  CRR art 4(1)(123)  CRR art 4(1)(123)  
0320  Revaluation reserves  BAD art 4.Liabilities(12)  IFRS 1.33, D5-D8  
0325  Fair value reserves  Accounting Directive art 
8(1)(a)  
0330  Other reserves  BAD art 4.Liabilities (11)- 
(13)  IAS 1.54; IAS 1.78 (e)  
0335  First consolidation differences  Accounting Directive art 
24(3)(c)  
0340  (-)  Treasury shares  Accounting Directive Annex 
III Annex III Assets 
D(III)(2); BAD art 4 
Assets (12); Annex V.Part 
2.20  IAS 1.79(a)(vi); IAS 
32.33-34, AG 14, AG 
36; Annex V.Part 2.28  
0350  Profit or loss attributable to owners of the 
parent  BAD art 4.Liabilities(14)  IFRS 10.B94  
0360  (-)  Interim dividends  CRR Article 26 (2)  IAS 32.35  
0370  Minority interests [Non-controlling interests]  Accounting Directive art 
24(4)  IAS 1.54(q); IFRS 10.22, 
.B94  
0380  TOTAL EQUITY  IAS 1.9(c), IG 6  
0390  TOTAL EQUITY AND TOTAL LIABILITIES  BAD art 4.Liabilities  IAS 1.IG6
EN L 97/1038 Official Journal of the European Union 19.3.2021
 18 Information on performing and non-performing exposures  
18.0  Information on performing and non-performing exposures  
Gross carrying amount / Nominal amount  
Performing  
Not past due or 
Past due <= 30 
days  Past due > 30 
days <= 90 
days  Of which: 
Instruments without 
significant increase in 
credit risk since initial 
recognition (Stage 1)  Of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  Of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0010  0020  0030  0055  0056  0057  0058  
References National GAAP 
compatible IFRS  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
0005  Cash balances at central banks and 
other demand deposits  BAD art 13(2); Annex 
V.Part 2.2, 3  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/1039
 Gross carrying amount / Nominal amount  
Performing  
Not past due or 
Past due <= 30 
days  Past due > 30 
days <= 90 
days  Of which: 
Instruments without 
significant increase in 
credit risk since initial 
recognition (Stage 1)  Of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  Of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0010  0020  0030  0055  0056  0057  0058  
References National GAAP 
compatible IFRS  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
0090  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0140  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b)
EN L 97/1040 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Performing  
Not past due or 
Past due <= 30 
days  Past due > 30 
days <= 90 
days  Of which: 
Instruments without 
significant increase in 
credit risk since initial 
recognition (Stage 1)  Of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  Of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0010  0020  0030  0055  0056  0057  0058  
References National GAAP 
compatible IFRS  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
0180  DEBT INSTRUMENTS AT COST 
OR AT AMORTISED COST  Annex V.Part 2.233(a)  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0182  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/1041
 Gross carrying amount / Nominal amount  
Performing  
Not past due or 
Past due <= 30 
days  Past due > 30 
days <= 90 
days  Of which: 
Instruments without 
significant increase in 
credit risk since initial 
recognition (Stage 1)  Of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  Of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0010  0020  0030  0055  0056  0057  0058  
References National GAAP 
compatible IFRS  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
0194  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0903  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0201  DEBT INSTRUMENTS AT FAIR 
VALUE THROUGH OTHER 
COMPREHENSIVE INCOME OR 
THROUGH EQUITY SUBJECT 
TO IMPAIRMENT  Annex V.Part 2.233(b)  Annex V.Part 2.233(b)
EN L 97/1042 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Performing  
Not past due or 
Past due <= 30 
days  Past due > 30 
days <= 90 
days  Of which: 
Instruments without 
significant increase in 
credit risk since initial 
recognition (Stage 1)  Of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  Of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0010  0020  0030  0055  0056  0057  0058  
References National GAAP 
compatible IFRS  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
0211  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/1043
 Gross carrying amount / Nominal amount  
Performing  
Not past due or 
Past due <= 30 
days  Past due > 30 
days <= 90 
days  Of which: 
Instruments without 
significant increase in 
credit risk since initial 
recognition (Stage 1)  Of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  Of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0010  0020  0030  0055  0056  0057  0058  
References National GAAP 
compatible IFRS  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
0225  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0923  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0231  DEBT INSTRUMENTS AT 
STRICT LOCOM, OR FAIR 
VALUE THROUGH PROFIT OR 
LOSS OR THROUGH EQUITY 
NOT SUBJECT TO IMPAIRMENT  Annex V.Part 2.233(c), 234  Annex V.Part 2.233(c), 234
EN L 97/1044 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Performing  
Not past due or 
Past due <= 30 
days  Past due > 30 
days <= 90 
days  Of which: 
Instruments without 
significant increase in 
credit risk since initial 
recognition (Stage 1)  Of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  Of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0010  0020  0030  0055  0056  0057  0058  
References National GAAP 
compatible IFRS  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
0330  DEBT INSTRUMENTS OTHER 
THAN HELD FOR TRADING 
OR TRADING  Annex V.Part 2.217  Annex V.Part 
2.217  
0335  DEBT INSTRUMENTS HELD FOR 
SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 113  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116  
0350  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)
EN 19.3.2021 Official Journal of the European Union L 97/1045
 Gross carrying amount / Nominal amount  
Performing  
Not past due or 
Past due <= 30 
days  Past due > 30 
days <= 90 
days  Of which: 
Instruments without 
significant increase in 
credit risk since initial 
recognition (Stage 1)  Of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  Of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0010  0020  0030  0055  0056  0057  0058  
References National GAAP 
compatible IFRS  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
0410  Financial guarantees given  CRR Annex I; Annex V.Part 
1.44(f), Part 2.112, 114  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116  
0420  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 115  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
115, 116
EN L 97/1046 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Performing  
Not past due or 
Past due <= 30 
days  Past due > 30 
days <= 90 
days  Of which: 
Instruments without 
significant increase in 
credit risk since initial 
recognition (Stage 1)  Of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  Of which: 
purchased or 
originated credit- 
impaired financial 
assets  
0010  0020  0030  0055  0056  0057  0058  
References National GAAP 
compatible IFRS  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 
1.34, Part 2.118, 
221  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
0490  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET 
EXPOSURES  Annex V.Part 2.217  Annex V.Part 2.217
EN 19.3.2021 Official Journal of the European Union L 97/1047
 Gross carrying amount / Nominal amount  
Non-performing  
Unlikely to pay that 
are not past-due or 
past-due < = 90 days  Past due > 90 days 
<= 180 days  Past due > 180 days 
<= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  
0060  0070  0080  0090  0101  0102  
References National GAAP 
compatible IFRS  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
References National GAAP 
based on BAD  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
0005  Cash balances at central banks and 
other demand deposits  BAD art 13(2); Annex 
V.Part 2.2, 3  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)
EN L 97/1048 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Non-performing  
Unlikely to pay that 
are not past-due or 
past-due < = 90 days  Past due > 90 days 
<= 180 days  Past due > 180 days 
<= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  
0060  0070  0080  0090  0101  0102  
References National GAAP 
compatible IFRS  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
References National GAAP 
based on BAD  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
0090  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0140  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b)
EN 19.3.2021 Official Journal of the European Union L 97/1049
 Gross carrying amount / Nominal amount  
Non-performing  
Unlikely to pay that 
are not past-due or 
past-due < = 90 days  Past due > 90 days 
<= 180 days  Past due > 180 days 
<= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  
0060  0070  0080  0090  0101  0102  
References National GAAP 
compatible IFRS  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
References National GAAP 
based on BAD  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
0180  DEBT INSTRUMENTS AT COST 
OR AT AMORTISED COST  Annex V.Part 2.233(a)  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0182  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)
EN L 97/1050 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Non-performing  
Unlikely to pay that 
are not past-due or 
past-due < = 90 days  Past due > 90 days 
<= 180 days  Past due > 180 days 
<= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  
0060  0070  0080  0090  0101  0102  
References National GAAP 
compatible IFRS  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
References National GAAP 
based on BAD  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
0194  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0903  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0201  DEBT INSTRUMENTS AT FAIR 
VALUE THROUGH OTHER 
COMPREHENSIVE INCOME OR 
THROUGH EQUITY SUBJECT 
TO IMPAIRMENT  Annex V.Part 2.233(b)  Annex V.Part 2.233(b)
EN 19.3.2021 Official Journal of the European Union L 97/1051
 Gross carrying amount / Nominal amount  
Non-performing  
Unlikely to pay that 
are not past-due or 
past-due < = 90 days  Past due > 90 days 
<= 180 days  Past due > 180 days 
<= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  
0060  0070  0080  0090  0101  0102  
References National GAAP 
compatible IFRS  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
References National GAAP 
based on BAD  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
0211  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)
EN L 97/1052 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Non-performing  
Unlikely to pay that 
are not past-due or 
past-due < = 90 days  Past due > 90 days 
<= 180 days  Past due > 180 days 
<= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  
0060  0070  0080  0090  0101  0102  
References National GAAP 
compatible IFRS  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
References National GAAP 
based on BAD  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
0225  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0923  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0231  DEBT INSTRUMENTS AT 
STRICT LOCOM, OR FAIR 
VALUE THROUGH PROFIT OR 
LOSS OR THROUGH EQUITY 
NOT SUBJECT TO IMPAIRMENT  Annex V.Part 2.233(c), 234  Annex V.Part 2.233(c), 234
EN 19.3.2021 Official Journal of the European Union L 97/1053
 Gross carrying amount / Nominal amount  
Non-performing  
Unlikely to pay that 
are not past-due or 
past-due < = 90 days  Past due > 90 days 
<= 180 days  Past due > 180 days 
<= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  
0060  0070  0080  0090  0101  0102  
References National GAAP 
compatible IFRS  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
References National GAAP 
based on BAD  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
0330  DEBT INSTRUMENTS OTHER 
THAN HELD FOR TRADING 
OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR 
SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 113  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116  
0350  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)
EN L 97/1054 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Non-performing  
Unlikely to pay that 
are not past-due or 
past-due < = 90 days  Past due > 90 days 
<= 180 days  Past due > 180 days 
<= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  
0060  0070  0080  0090  0101  0102  
References National GAAP 
compatible IFRS  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
References National GAAP 
based on BAD  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
0410  Financial guarantees given  CRR Annex I; Annex V.Part 
1.44(f), Part 2.112, 114  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116  
0420  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 115  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
115, 116
EN 19.3.2021 Official Journal of the European Union L 97/1055
 Gross carrying amount / Nominal amount  
Non-performing  
Unlikely to pay that 
are not past-due or 
past-due < = 90 days  Past due > 90 days 
<= 180 days  Past due > 180 days 
<= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  
0060  0070  0080  0090  0101  0102  
References National GAAP 
compatible IFRS  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
References National GAAP 
based on BAD  CRR Art. 47a (3); 
Annex V. Part 2. 213- 
216, 223-239  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  Annex V. Part 2. 222, 
235-236  
0490  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET 
EXPOSURES  Annex V.Part 2.217  Annex V.Part 2.217
EN L 97/1056 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Non-performing  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: 
defaulted  of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  of which: 
impaired  
0106  0107  0109  0110  0121  0900  0122  
References National GAAP 
compatible IFRS  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  CRR art 4(95); 
Annex V.Part 
2.237(a)  
0005  Cash balances at central banks and 
other demand deposits  BAD art 13(2); Annex 
V.Part 2.2, 3  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/1057
 Gross carrying amount / Nominal amount  
Non-performing  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: 
defaulted  of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  of which: 
impaired  
0106  0107  0109  0110  0121  0900  0122  
References National GAAP 
compatible IFRS  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  CRR art 4(95); 
Annex V.Part 
2.237(a)  
0090  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0140  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b)
EN L 97/1058 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Non-performing  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: 
defaulted  of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  of which: 
impaired  
0106  0107  0109  0110  0121  0900  0122  
References National GAAP 
compatible IFRS  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  CRR art 4(95); 
Annex V.Part 
2.237(a)  
0180  DEBT INSTRUMENTS AT COST 
OR AT AMORTISED COST  Annex V.Part 2.233(a)  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0182  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/1059
 Gross carrying amount / Nominal amount  
Non-performing  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: 
defaulted  of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  of which: 
impaired  
0106  0107  0109  0110  0121  0900  0122  
References National GAAP 
compatible IFRS  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  CRR art 4(95); 
Annex V.Part 
2.237(a)  
0194  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0903  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0201  DEBT INSTRUMENTS AT FAIR 
VALUE THROUGH OTHER 
COMPREHENSIVE INCOME OR 
THROUGH EQUITY SUBJECT 
TO IMPAIRMENT  Annex V.Part 2.233(b)  Annex V.Part 2.233(b)
EN L 97/1060 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Non-performing  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: 
defaulted  of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  of which: 
impaired  
0106  0107  0109  0110  0121  0900  0122  
References National GAAP 
compatible IFRS  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  CRR art 4(95); 
Annex V.Part 
2.237(a)  
0211  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/1061
 Gross carrying amount / Nominal amount  
Non-performing  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: 
defaulted  of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  of which: 
impaired  
0106  0107  0109  0110  0121  0900  0122  
References National GAAP 
compatible IFRS  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  CRR art 4(95); 
Annex V.Part 
2.237(a)  
0225  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0923  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0231  DEBT INSTRUMENTS AT 
STRICT LOCOM, OR FAIR 
VALUE THROUGH PROFIT OR 
LOSS OR THROUGH EQUITY 
NOT SUBJECT TO IMPAIRMENT  Annex V.Part 2.233(c), 234  Annex V.Part 2.233(c), 234
EN L 97/1062 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Non-performing  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: 
defaulted  of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  of which: 
impaired  
0106  0107  0109  0110  0121  0900  0122  
References National GAAP 
compatible IFRS  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  CRR art 4(95); 
Annex V.Part 
2.237(a)  
0330  DEBT INSTRUMENTS OTHER 
THAN HELD FOR TRADING 
OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR 
SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 113  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116  
0350  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)
EN 19.3.2021 Official Journal of the European Union L 97/1063
 Gross carrying amount / Nominal amount  
Non-performing  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: 
defaulted  of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  of which: 
impaired  
0106  0107  0109  0110  0121  0900  0122  
References National GAAP 
compatible IFRS  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  CRR art 4(95); 
Annex V.Part 
2.237(a)  
0410  Financial guarantees given  CRR Annex I; Annex V.Part 
1.44(f), Part 2.112, 114  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116  
0420  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 115  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
115, 116
EN L 97/1064 Official Journal of the European Union 19.3.2021
 Gross carrying amount / Nominal amount  
Non-performing  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: 
defaulted  of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  of which: 
impaired  
0106  0107  0109  0110  0121  0900  0122  
References National GAAP 
compatible IFRS  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  CRR art 178; 
Annex V.Part 
2.237(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  CRR art 4(95); 
Annex V.Part 
2.237(a)  
0490  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET 
EXPOSURES  Annex V.Part 2.217  Annex V.Part 2.217
EN 19.3.2021 Official Journal of the European Union L 97/1065
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures - Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: Instruments 
without significant 
increase in credit risk 
since initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0130  0140  0910  0141  0142  0143  
References National GAAP 
compatible IFRS  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235 
0005  Cash balances at central banks and 
other demand deposits  BAD art 13(2); Annex 
V.Part 2.2, 3  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)
EN L 97/1066 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures - Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: Instruments 
without significant 
increase in credit risk 
since initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0130  0140  0910  0141  0142  0143  
References National GAAP 
compatible IFRS  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235 
0090  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0140  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b)
EN 19.3.2021 Official Journal of the European Union L 97/1067
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures - Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: Instruments 
without significant 
increase in credit risk 
since initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0130  0140  0910  0141  0142  0143  
References National GAAP 
compatible IFRS  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235 
0180  DEBT INSTRUMENTS AT COST 
OR AT AMORTISED COST  Annex V.Part 2.233(a)  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0182  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)
EN L 97/1068 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures - Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: Instruments 
without significant 
increase in credit risk 
since initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0130  0140  0910  0141  0142  0143  
References National GAAP 
compatible IFRS  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235 
0194  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0903  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0201  DEBT INSTRUMENTS AT FAIR 
VALUE THROUGH OTHER 
COMPREHENSIVE INCOME OR 
THROUGH EQUITY SUBJECT 
TO IMPAIRMENT  Annex V.Part 2.233(b)  Annex V.Part 2.233(b)
EN 19.3.2021 Official Journal of the European Union L 97/1069
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures - Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: Instruments 
without significant 
increase in credit risk 
since initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0130  0140  0910  0141  0142  0143  
References National GAAP 
compatible IFRS  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235 
0211  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)
EN L 97/1070 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures - Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: Instruments 
without significant 
increase in credit risk 
since initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0130  0140  0910  0141  0142  0143  
References National GAAP 
compatible IFRS  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235 
0225  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0923  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0231  DEBT INSTRUMENTS AT 
STRICT LOCOM, OR FAIR 
VALUE THROUGH PROFIT OR 
LOSS OR THROUGH EQUITY 
NOT SUBJECT TO IMPAIRMENT  Annex V.Part 2.233(c), 234  Annex V.Part 2.233(c), 234
EN 19.3.2021 Official Journal of the European Union L 97/1071
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures - Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: Instruments 
without significant 
increase in credit risk 
since initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0130  0140  0910  0141  0142  0143  
References National GAAP 
compatible IFRS  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235 
0330  DEBT INSTRUMENTS OTHER 
THAN HELD FOR TRADING 
OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR 
SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 113  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116  
0350  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)
EN L 97/1072 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures - Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: Instruments 
without significant 
increase in credit risk 
since initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0130  0140  0910  0141  0142  0143  
References National GAAP 
compatible IFRS  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235 
0410  Financial guarantees given  CRR Annex I; Annex V.Part 
1.44(f), Part 2.112, 114  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116  
0420  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 115  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
115, 116
EN 19.3.2021 Official Journal of the European Union L 97/1073
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Performing exposures - Accumulated impairment and provisions  
of which: Past due > 
30 days <= 90 days  of which: Instruments 
without significant 
increase in credit risk 
since initial recognition 
(Stage 1)  of which: 
Instruments with 
significant increase in 
credit risk since initial 
recognition but not 
credit-impaired 
(Stage 2)  of which: purchased 
or originated credit- 
impaired financial 
assets  
0130  0140  0910  0141  0142  0143  
References National GAAP 
compatible IFRS  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235, 237(f)  IFRS 9.5.5.5; IFRS 
7.35M(a); Annex V. 
Part 2. 237(d)  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex V. 
Part 2. 237(c)  IFRS 9.5.5.13; IFRS 
7.35M(c); Annex 
V.Part 2.215, 237(e)  
References National GAAP 
based on BAD  Annex V. Part 2. 238  Annex V. Part 2. 238  Annex V. Part 2. 222, 
235 
0490  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET 
EXPOSURES  Annex V.Part 2.217  Annex V.Part 2.217
EN L 97/1074 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year < = 2 year  Past due > 2 
year < = 5 year  Past due > 5 
year <= 7 years  Past due > 7 
years  
0150  0160  0170  0180  0191  0192  0196  0197  
References National GAAP 
compatible IFRS  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
References National GAAP 
based on BAD  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
0005  Cash balances at central banks and 
other demand deposits  BAD art 13(2); Annex 
V.Part 2.2, 3  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)
EN 19.3.2021 Official Journal of the European Union L 97/1075
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year < = 2 year  Past due > 2 
year < = 5 year  Past due > 5 
year <= 7 years  Past due > 7 
years  
0150  0160  0170  0180  0191  0192  0196  0197  
References National GAAP 
compatible IFRS  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
References National GAAP 
based on BAD  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
0090  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0140  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b)
EN L 97/1076 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year < = 2 year  Past due > 2 
year < = 5 year  Past due > 5 
year <= 7 years  Past due > 7 
years  
0150  0160  0170  0180  0191  0192  0196  0197  
References National GAAP 
compatible IFRS  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
References National GAAP 
based on BAD  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
0180  DEBT INSTRUMENTS AT COST 
OR AT AMORTISED COST  Annex V.Part 2.233(a)  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0182  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/1077
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year < = 2 year  Past due > 2 
year < = 5 year  Past due > 5 
year <= 7 years  Past due > 7 
years  
0150  0160  0170  0180  0191  0192  0196  0197  
References National GAAP 
compatible IFRS  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
References National GAAP 
based on BAD  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
0194  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0903  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0201  DEBT INSTRUMENTS AT FAIR 
VALUE THROUGH OTHER 
COMPREHENSIVE INCOME OR 
THROUGH EQUITY SUBJECT 
TO IMPAIRMENT  Annex V.Part 2.233(b)  Annex V.Part 2.233(b)
EN L 97/1078 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year < = 2 year  Past due > 2 
year < = 5 year  Past due > 5 
year <= 7 years  Past due > 7 
years  
0150  0160  0170  0180  0191  0192  0196  0197  
References National GAAP 
compatible IFRS  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
References National GAAP 
based on BAD  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
0211  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/1079
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year < = 2 year  Past due > 2 
year < = 5 year  Past due > 5 
year <= 7 years  Past due > 7 
years  
0150  0160  0170  0180  0191  0192  0196  0197  
References National GAAP 
compatible IFRS  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
References National GAAP 
based on BAD  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
0225  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0923  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0231  DEBT INSTRUMENTS AT 
STRICT LOCOM, OR FAIR 
VALUE THROUGH PROFIT OR 
LOSS OR THROUGH EQUITY 
NOT SUBJECT TO IMPAIRMENT  Annex V.Part 2.233(c), 234  Annex V.Part 2.233(c), 234
EN L 97/1080 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year < = 2 year  Past due > 2 
year < = 5 year  Past due > 5 
year <= 7 years  Past due > 7 
years  
0150  0160  0170  0180  0191  0192  0196  0197  
References National GAAP 
compatible IFRS  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
References National GAAP 
based on BAD  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
0330  DEBT INSTRUMENTS OTHER 
THAN HELD FOR TRADING 
OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR 
SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 113  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116  
0350  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)
EN 19.3.2021 Official Journal of the European Union L 97/1081
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year < = 2 year  Past due > 2 
year < = 5 year  Past due > 5 
year <= 7 years  Past due > 7 
years  
0150  0160  0170  0180  0191  0192  0196  0197  
References National GAAP 
compatible IFRS  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
References National GAAP 
based on BAD  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
0410  Financial guarantees given  CRR Annex I; Annex V.Part 
1.44(f), Part 2.112, 114  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116  
0420  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 115  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
115, 116
EN L 97/1082 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Unlikely to pay 
that are not past- 
due or past-due 
< = 90 days  Past due > 90 
days <= 180 
days  Past due > 180 
days <= 1 year  Past due > 1 
year < = 2 year  Past due > 2 
year < = 5 year  Past due > 5 
year <= 7 years  Past due > 7 
years  
0150  0160  0170  0180  0191  0192  0196  0197  
References National GAAP 
compatible IFRS  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
References National GAAP 
based on BAD  Annex V. Part 
2. 238  Annex V. Part 2. 
236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  Annex V. Part 
2. 236, 238  
0490  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET 
EXPOSURES  Annex V.Part 2.217  Annex V.Part 2.217
EN 19.3.2021 Official Journal of the European Union L 97/1083
 Accumulated impairment, accumulated negative changes 
in fair value due to credit risk and provisions  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Non-performing exposures - Accumulated impairment, 
accumulated negative changes in fair value due to credit 
risk and provisions  Collateral received and financial guarantees received  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  Collateral received 
on performing 
exposues  Collateral received 
on non- 
performing 
exposues  Financial guar ­
antees received on 
performing 
exposures  Financial 
guarantees 
received on non- 
performing 
exposures  
0950  0951  0952  0201  0200  0205  0210  
References National GAAP 
compatible IFRS  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  
References National GAAP 
based on BAD  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239 
0005  Cash balances at central banks and 
other demand deposits  BAD art 13(2); Annex 
V.Part 2.2, 3  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0020  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0060  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0080  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)
EN L 97/1084 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes 
in fair value due to credit risk and provisions  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Non-performing exposures - Accumulated impairment, 
accumulated negative changes in fair value due to credit 
risk and provisions  Collateral received and financial guarantees received  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  Collateral received 
on performing 
exposues  Collateral received 
on non- 
performing 
exposues  Financial guar ­
antees received on 
performing 
exposures  Financial 
guarantees 
received on non- 
performing 
exposures  
0950  0951  0952  0201  0200  0205  0210  
References National GAAP 
compatible IFRS  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  
References National GAAP 
based on BAD  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239 
0090  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0140  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0150  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b)
EN 19.3.2021 Official Journal of the European Union L 97/1085
 Accumulated impairment, accumulated negative changes 
in fair value due to credit risk and provisions  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Non-performing exposures - Accumulated impairment, 
accumulated negative changes in fair value due to credit 
risk and provisions  Collateral received and financial guarantees received  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  Collateral received 
on performing 
exposues  Collateral received 
on non- 
performing 
exposues  Financial guar ­
antees received on 
performing 
exposures  Financial 
guarantees 
received on non- 
performing 
exposures  
0950  0951  0952  0201  0200  0205  0210  
References National GAAP 
compatible IFRS  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  
References National GAAP 
based on BAD  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239 
0180  DEBT INSTRUMENTS AT COST 
OR AT AMORTISED COST  Annex V.Part 2.233(a)  Annex V.Part 2.233(a)  
0181  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0182  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0192  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)
EN L 97/1086 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes 
in fair value due to credit risk and provisions  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Non-performing exposures - Accumulated impairment, 
accumulated negative changes in fair value due to credit 
risk and provisions  Collateral received and financial guarantees received  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  Collateral received 
on performing 
exposues  Collateral received 
on non- 
performing 
exposues  Financial guar ­
antees received on 
performing 
exposures  Financial 
guarantees 
received on non- 
performing 
exposures  
0950  0951  0952  0201  0200  0205  0210  
References National GAAP 
compatible IFRS  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  
References National GAAP 
based on BAD  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239 
0194  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0903  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0197  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0201  DEBT INSTRUMENTS AT FAIR 
VALUE THROUGH OTHER 
COMPREHENSIVE INCOME OR 
THROUGH EQUITY SUBJECT 
TO IMPAIRMENT  Annex V.Part 2.233(b)  Annex V.Part 2.233(b)
EN 19.3.2021 Official Journal of the European Union L 97/1087
 Accumulated impairment, accumulated negative changes 
in fair value due to credit risk and provisions  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Non-performing exposures - Accumulated impairment, 
accumulated negative changes in fair value due to credit 
risk and provisions  Collateral received and financial guarantees received  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  Collateral received 
on performing 
exposues  Collateral received 
on non- 
performing 
exposues  Financial guar ­
antees received on 
performing 
exposures  Financial 
guarantees 
received on non- 
performing 
exposures  
0950  0951  0952  0201  0200  0205  0210  
References National GAAP 
compatible IFRS  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  
References National GAAP 
based on BAD  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239 
0211  Debt securities  Annex V.Part 1.31, 44(b)  Annex V.Part 1.31, 44(b)  
0212  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0216  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 44(a)  Annex V.Part 1.32, 44(a)  
0222  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)
EN L 97/1088 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes 
in fair value due to credit risk and provisions  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Non-performing exposures - Accumulated impairment, 
accumulated negative changes in fair value due to credit 
risk and provisions  Collateral received and financial guarantees received  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  Collateral received 
on performing 
exposues  Collateral received 
on non- 
performing 
exposues  Financial guar ­
antees received on 
performing 
exposures  Financial 
guarantees 
received on non- 
performing 
exposures  
0950  0951  0952  0201  0200  0205  0210  
References National GAAP 
compatible IFRS  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  
References National GAAP 
based on BAD  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239 
0225  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0923  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0227  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by 
residential immovable property  Annex V.Part 2.86(a), 87, 
234i (a)  Annex V.Part 2.86(a), 87, 
234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 234i 
(b) Annex V.Part 2.88(a), 234i 
(b) 
0231  DEBT INSTRUMENTS AT 
STRICT LOCOM, OR FAIR 
VALUE THROUGH PROFIT OR 
LOSS OR THROUGH EQUITY 
NOT SUBJECT TO IMPAIRMENT  Annex V.Part 2.233(c), 234  Annex V.Part 2.233(c), 234
EN 19.3.2021 Official Journal of the European Union L 97/1089
 Accumulated impairment, accumulated negative changes 
in fair value due to credit risk and provisions  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Non-performing exposures - Accumulated impairment, 
accumulated negative changes in fair value due to credit 
risk and provisions  Collateral received and financial guarantees received  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  Collateral received 
on performing 
exposues  Collateral received 
on non- 
performing 
exposues  Financial guar ­
antees received on 
performing 
exposures  Financial 
guarantees 
received on non- 
performing 
exposures  
0950  0951  0952  0201  0200  0205  0210  
References National GAAP 
compatible IFRS  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  
References National GAAP 
based on BAD  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239 
0330  DEBT INSTRUMENTS OTHER 
THAN HELD FOR TRADING 
OR TRADING  Annex V.Part 2.217  
0335  DEBT INSTRUMENTS HELD FOR 
SALE  Annex V.Part 2.220  
0340  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 113  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116  
0350  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0360  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0370  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0380  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0390  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0400  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)
EN L 97/1090 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes 
in fair value due to credit risk and provisions  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Non-performing exposures - Accumulated impairment, 
accumulated negative changes in fair value due to credit 
risk and provisions  Collateral received and financial guarantees received  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  Collateral received 
on performing 
exposues  Collateral received 
on non- 
performing 
exposues  Financial guar ­
antees received on 
performing 
exposures  Financial 
guarantees 
received on non- 
performing 
exposures  
0950  0951  0952  0201  0200  0205  0210  
References National GAAP 
compatible IFRS  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  
References National GAAP 
based on BAD  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239 
0410  Financial guarantees given  CRR Annex I; Annex V.Part 
1.44(f), Part 2.112, 114  IFRS 4 Annex A; CRR 
Annex I; Annex V.Part 
1.44(f), Part 2.102-105, 
114, 116  
0420  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0430  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0440  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0450  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0460  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0470  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0480  Other Commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 115  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
115, 116
EN 19.3.2021 Official Journal of the European Union L 97/1091
 Accumulated impairment, accumulated negative changes 
in fair value due to credit risk and provisions  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Non-performing exposures - Accumulated impairment, 
accumulated negative changes in fair value due to credit 
risk and provisions  Collateral received and financial guarantees received  
Of which: 
Instruments with 
significant increase 
in credit risk since 
initial recognition 
but not credit- 
impaired 
(Stage 2)  Of which: Credit- 
impaired 
instruments 
(Stage 3)  of which: 
purchased or 
originated 
credit-impaired 
financial assets  Collateral received 
on performing 
exposues  Collateral received 
on non- 
performing 
exposues  Financial guar ­
antees received on 
performing 
exposures  Financial 
guarantees 
received on non- 
performing 
exposures  
0950  0951  0952  0201  0200  0205  0210  
References National GAAP 
compatible IFRS  IFRS 9.5.5.3; IFRS 
7.35M(b)(i); Annex 
V. Part 2. 237(c)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.237(a)  IFRS 9.5.5.13; 
IFRS 7.35M(c); 
Annex V.Part 
2.215, 237(e)  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  
References National GAAP 
based on BAD  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239  Annex V. Part 2. 
239 
0490  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0500  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0510  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0520  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0530  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0540  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0550  OFF-BALANCE SHEET 
EXPOSURES  Annex V.Part 2.217  Annex V.Part 2.217
EN L 97/1092 Official Journal of the European Union 19.3.2021
 18.1  Inflows and outflows of non-performing exposures - loans and advances by counterparty sector  
References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Gross carrying amount of loans and advances  
Inflows to non-performing 
exposures  (-) Outflows from non- 
performing exposures  
0010  0020  
Annex V. Part 2.213-216, 
224-234, 239i-239iii, 239vi  Annex V. Part 2.213-216, 
224-234, 239i, 239iv- 239vi  
Annex V. Part 2.213-216, 
224-234, 239i-239iii, 239vi  Annex V. Part 2.213-216, 
224-234, 239i, 239iv- 239vi  
0010  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0020  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0030  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0040  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0050  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0060  Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0070  Of which: Commercial real estate (CRE) loans 
to small and medium-sized enterprises  SME Art 1 2(a); Annex V.Part 
2.239vii (a), 239ix  SME Art 1 2(a); Annex 
V.Part 2.239vii (a), 239ix  
0080  Of which: Commercial real estate (CRE) loans 
to non-financial corporations other than SMEs  Annex V.Part 2.239vii (a), 239ix  Annex V.Part 2.239vii (a), 
239ix
EN 19.3.2021 Official Journal of the European Union L 97/1093
 References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Gross carrying amount of loans and advances  
Inflows to non-performing 
exposures  (-) Outflows from non- 
performing exposures  
0010  0020  
Annex V. Part 2.213-216, 
224-234, 239i-239iii, 239vi  Annex V. Part 2.213-216, 
224-234, 239i, 239iv- 239vi  
Annex V. Part 2.213-216, 
224-234, 239i-239iii, 239vi  Annex V. Part 2.213-216, 
224-234, 239i, 239iv- 239vi  
0090  Of which: Loans collateralised by commercial 
immovable property  Annex V.Part 2.86(a), 87, 239vii 
(b) Annex V.Part 2.86(a), 87, 
239vii (b)  
0100  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0110  Of which: Loans collateralised by residential 
immovable property  Annex V.Part 2.86(a), 87, 239vii 
(b) Annex V.Part 2.86(a), 87, 
239vii (b)  
0120  Of which: Credit for consumption  Annex V.Part 2.88(a), 239vii (c)  Annex V.Part 2.88(a), 239vii 
(c) 
0130  LOANS AND ADVANCES OTHER THAN HELD FOR 
TRADING OR TRADING  Annex V.Part 2.217  Annex V.Part 2.217  
0140  LOANS AND ADVANCES HELD FOR SALE  Annex V.Part 2.220  
0150  TOTAL INFLOWS / OUTFLOWS
EN L 97/1094 Official Journal of the European Union 19.3.2021
 18.2  Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  
of which: 
exposures with 
forbearance 
measures  Performing  
Not past due or 
Past due <= 30 
days  Past due 
> 30 days 
<= 90 days  
0010  0020  0030  0040  0050  
Annex V. Part 
1.34, Part 
2.118, 221  Annex V. Part 
1.34, Part 2. 
118, 240-245, 
251-258  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
Annex V. Part 
1.34, Part 
2.118, 221  Annex V. Part 
1.34, Part 2. 
118, 240-245, 
251-255  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
0010  
Non-finan-cial 
corpo-rations  Commercial real estate (CRE) loans to small 
and medium-sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  
0020  Commercial real estate (CRE) loans to non- 
financial corporations other than SMEs  Annex V.Part 2.239vi 
(a), 239vii  Annex V.Part 2.239vi 
(a), 239vii  
0030  Loans collateralised by commercial immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0040  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0050  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/1095
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  
of which: 
exposures with 
forbearance 
measures  Performing  
Not past due or 
Past due <= 30 
days  Past due 
> 30 days 
<= 90 days  
0010  0020  0030  0040  0050  
Annex V. Part 
1.34, Part 
2.118, 221  Annex V. Part 
1.34, Part 2. 
118, 240-245, 
251-258  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
Annex V. Part 
1.34, Part 
2.118, 221  Annex V. Part 
1.34, Part 2. 
118, 240-245, 
251-255  Annex V. Part 2. 
213-216, 223- 
239  Annex V. Part 2. 
222, 235  Annex V. Part 2. 
222, 235  
0060  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0070  
House-holds  Loans collateralised by residential immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0080  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0090  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0100  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN L 97/1096 Official Journal of the European Union 19.3.2021
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  
Performing  Non-performing  
of which: 
performing 
exposures with 
forbearance 
measures  Unlikely to pay 
that are not 
past-due or 
past-due < = 90 
days  Past due > 90 
days <= 180 
days  of which: 
Performing 
forborne 
exposures under 
probation reclas ­
sified from non- 
performing  
0060  0070  0080  0090  0100  
Annex V. Part 2. 
256, 259-262  Annex V. Part 2. 
256(b), 261  Annex V. Part 
2. 213-216, 
223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
Annex V. Part 2. 
256, 259-262  Annex V. Part 2. 
256(b), 261  Annex V. Part 
2. 213-216, 
223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0010  
Non-finan-cial 
corpo-rations  Commercial real estate (CRE) loans to small 
and medium-sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  
0020  Commercial real estate (CRE) loans to non- 
financial corporations other than SMEs  Annex V.Part 2.239vi 
(a), 239vii  Annex V.Part 2.239vi 
(a), 239vii  
0030  Loans collateralised by commercial immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0040  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0050  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/1097
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  
Performing  Non-performing  
of which: 
performing 
exposures with 
forbearance 
measures  Unlikely to pay 
that are not 
past-due or 
past-due < = 90 
days  Past due > 90 
days <= 180 
days  of which: 
Performing 
forborne 
exposures under 
probation reclas ­
sified from non- 
performing  
0060  0070  0080  0090  0100  
Annex V. Part 2. 
256, 259-262  Annex V. Part 2. 
256(b), 261  Annex V. Part 
2. 213-216, 
223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
Annex V. Part 2. 
256, 259-262  Annex V. Part 2. 
256(b), 261  Annex V. Part 
2. 213-216, 
223-239  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  
0060  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0070  
House-holds  Loans collateralised by residential immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0080  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0090  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0100  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN L 97/1098 Official Journal of the European Union 19.3.2021
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  Past due > 5 year <= 
7 years  
0110  0120  0130  0140  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 222, 
235-236  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 222, 
235-236  
0010  
Non-finan-cial 
corpo-rations  Commercial real estate (CRE) loans to small 
and medium-sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  
0020  Commercial real estate (CRE) loans to non- 
financial corporations other than SMEs  Annex V.Part 2.239vi 
(a), 239vii  Annex V.Part 2.239vi 
(a), 239vii  
0030  Loans collateralised by commercial immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0040  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0050  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/1099
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  
Non-performing  
Past due > 180 days 
<= 1 year  Past due > 1 year 
<= 2 years  Past due > 2 year 
<= 5 years  Past due > 5 year <= 
7 years  
0110  0120  0130  0140  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 222, 
235-236  
Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 
222, 235-236  Annex V. Part 2. 222, 
235-236  
0060  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0070  
House-holds  Loans collateralised by residential immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0080  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0090  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0100  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN L 97/1100 Official Journal of the European Union 19.3.2021
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  Accumulated impairment, 
accumulated negative changes 
in fair value due to credit risk  
Non-performing  
Of which: 
Exposures with 
forbearance 
measures  Past due > 7 
years  Of which: 
defaulted  Of which: Non- 
performing 
exposures with 
forbearance 
measures  
0150  0160  0170  0180  0190  
Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V. Part 2. 
259-263  Annex V. Part 2. 
238  Annex V. Part 2. 
267  
Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V. Part 2. 
259-263  Annex V. Part 2. 
238  Annex V. Part 2. 
267 
0010  
Non-finan-cial 
corpo-rations  Commercial real estate (CRE) loans to small 
and medium-sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  
0020  Commercial real estate (CRE) loans to non- 
financial corporations other than SMEs  Annex V.Part 2.239vi 
(a), 239vii  Annex V.Part 2.239vi 
(a), 239vii  
0030  Loans collateralised by commercial immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0040  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0050  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/1101
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Gross carrying amount  Accumulated impairment, 
accumulated negative changes 
in fair value due to credit risk  
Non-performing  
Of which: 
Exposures with 
forbearance 
measures  Past due > 7 
years  Of which: 
defaulted  Of which: Non- 
performing 
exposures with 
forbearance 
measures  
0150  0160  0170  0180  0190  
Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V. Part 2. 
259-263  Annex V. Part 2. 
238  Annex V. Part 2. 
267  
Annex V. Part 2. 
222, 235-236  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V. Part 2. 
259-263  Annex V. Part 2. 
238  Annex V. Part 2. 
267 
0060  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0070  
House-holds  Loans collateralised by residential immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0080  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0090  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0100  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN L 97/1102 Official Journal of the European Union 19.3.2021
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accumulated impairment, accumulated negative changes in fair value due to 
credit risk  
Performing 
exposures - 
Accumulated 
impairments  Non-performing exposures - 
Accumulated impairment, accumulated 
negative changes in fair value due to 
credit risk and provisions  
Of which: 
Performing 
exposures with 
forbearance 
measures  Unlikely to pay that 
are not past-due or 
past-due < = 90 days  
0200  0210  0220  0230  
Annex V. Part 2. 
238  Annex V. Part 2. 
207  Annex V. Part 2. 
238  Annex V. Part 2. 236, 
238  
Annex V. Part 2. 
238  Annex V. Part 2. 
207  Annex V. Part 2. 
238  Annex V. Part 2. 236, 
238 
0010  
Non-finan-cial 
corpo-rations  Commercial real estate (CRE) loans to small 
and medium-sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  
0020  Commercial real estate (CRE) loans to non- 
financial corporations other than SMEs  Annex V.Part 2.239vi 
(a), 239vii  Annex V.Part 2.239vi 
(a), 239vii  
0030  Loans collateralised by commercial immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0040  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0050  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/1103
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accumulated impairment, accumulated negative changes in fair value due to 
credit risk  
Performing 
exposures - 
Accumulated 
impairments  Non-performing exposures - 
Accumulated impairment, accumulated 
negative changes in fair value due to 
credit risk and provisions  
Of which: 
Performing 
exposures with 
forbearance 
measures  Unlikely to pay that 
are not past-due or 
past-due < = 90 days  
0200  0210  0220  0230  
Annex V. Part 2. 
238  Annex V. Part 2. 
207  Annex V. Part 2. 
238  Annex V. Part 2. 236, 
238  
Annex V. Part 2. 
238  Annex V. Part 2. 
207  Annex V. Part 2. 
238  Annex V. Part 2. 236, 
238 
0060  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0070  
House-holds  Loans collateralised by residential immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0080  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0090  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0100  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN L 97/1104 Official Journal of the European Union 19.3.2021
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accumulated impairment, accumulated negative changes in fair value due to 
credit risk  
Non-performing exposures - Accumulated impairment, accumulated negative 
changes in fair value due to credit risk and provisions  
Past due > 90 days 
<= 180 days  Past due > 180 days 
<= 1 year  Past due > 1 year < 
= 2 year  Past due > 2 year < = 
5 year  
0240  0250  0260  0270  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 236, 
238  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 236, 
238 
0010  
Non-finan-cial 
corpo-rations  Commercial real estate (CRE) loans to small 
and medium-sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  
0020  Commercial real estate (CRE) loans to non- 
financial corporations other than SMEs  Annex V.Part 2.239vi 
(a), 239vii  Annex V.Part 2.239vi 
(a), 239vii  
0030  Loans collateralised by commercial immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0040  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0050  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/1105
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accumulated impairment, accumulated negative changes in fair value due to 
credit risk  
Non-performing exposures - Accumulated impairment, accumulated negative 
changes in fair value due to credit risk and provisions  
Past due > 90 days 
<= 180 days  Past due > 180 days 
<= 1 year  Past due > 1 year < 
= 2 year  Past due > 2 year < = 
5 year  
0240  0250  0260  0270  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 236, 
238  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 236, 
238 
0060  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0070  
House-holds  Loans collateralised by residential immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0080  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0090  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0100  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN L 97/1106 Official Journal of the European Union 19.3.2021
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accumulated impairment, accumulated negative changes in 
fair value due to credit risk  Maximum amount 
of the collateral or 
guarantee that can 
be considered  
Annex V. Part 2.119  
Non-performing exposures - Accumulated impairment, 
accumulated negative changes in fair value due to credit 
risk and provisions  Collateral received 
and financial guar ­
antees received  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Non- 
performing 
exposures with 
forbearance 
measures  Collateral received on 
performing exposues  
0280  0290  0300  0310  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
207  Annex V. Part 2. 239  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
207  Annex V. Part 2. 239  
0010  
Non-finan-cial 
corpo-rations  Commercial real estate (CRE) loans to small 
and medium-sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  
0020  Commercial real estate (CRE) loans to non- 
financial corporations other than SMEs  Annex V.Part 2.239vi 
(a), 239vii  Annex V.Part 2.239vi 
(a), 239vii  
0030  Loans collateralised by commercial immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0040  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0050  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/1107
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Accumulated impairment, accumulated negative changes in 
fair value due to credit risk  Maximum amount 
of the collateral or 
guarantee that can 
be considered  
Annex V. Part 2.119  
Non-performing exposures - Accumulated impairment, 
accumulated negative changes in fair value due to credit 
risk and provisions  Collateral received 
and financial guar ­
antees received  
Past due > 5 year 
<= 7 years  Past due > 7 years  Of which: Non- 
performing 
exposures with 
forbearance 
measures  Collateral received on 
performing exposues  
0280  0290  0300  0310  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
207  Annex V. Part 2. 239  
Annex V. Part 2. 
236, 238  Annex V. Part 2. 
236, 238  Annex V. Part 2. 
207  Annex V. Part 2. 239  
0060  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0070  
House-holds  Loans collateralised by residential immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0080  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0090  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0100  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN L 97/1108 Official Journal of the European Union 19.3.2021
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on non- 
performing exposues  Financial guarantees 
received on performing 
exposures  Financial guarantees 
received on non- 
performing exposures  
0320  0330  0340  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0010  
Non-finan-cial 
corpo-rations  Commercial real estate (CRE) loans to small 
and medium-sized enterprises  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  SME Art 1 2(a); Annex 
V.Part 2.239vi (a), 
239vii  
0020  Commercial real estate (CRE) loans to non- 
financial corporations other than SMEs  Annex V.Part 2.239vi 
(a), 239vii  Annex V.Part 2.239vi 
(a), 239vii  
0030  Loans collateralised by commercial immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0040  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0050  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN 19.3.2021 Official Journal of the European Union L 97/1109
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on non- 
performing exposues  Financial guarantees 
received on performing 
exposures  Financial guarantees 
received on non- 
performing exposures  
0320  0330  0340  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
Annex V. Part 2. 239  Annex V. Part 2. 239  Annex V. Part 2. 239  
0060  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0070  
House-holds  Loans collateralised by residential immovable 
property  Annex V.Part 2.86(a), 
87, 239vi (b)  Annex V.Part 2.86(a), 
87, 239vi (b)  
0080  Of which: Loans with LTV ratio higher 
than 60% and less than or equal to 80%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0090  Of which: Loans with LTV ratio higher 
than 80% and less than or equal to 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  
0100  Of which: Loans with LTV ratio higher 
than 100%  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii  Annex V.Part 2.86(a), 
87, 239vi (b), 239viii
EN L 97/1110 Official Journal of the European Union 19.3.2021
 19. Information forborne exposures  
Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with 
modifications in their 
terms and conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified 
from non-performing  
0010  0020  0030  0040  0050  
References National 
GAAP compatible IFRS  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
References National 
GAAP based on BAD  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-255  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
0005  Cash balances at central banks and 
other demand deposits  BAD art 13(2); 
Annex V.Part 2.2, 3  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)  
0020  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)
EN 19.3.2021 Official Journal of the European Union L 97/1111
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with 
modifications in their 
terms and conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified 
from non-performing  
0010  0020  0030  0040  0050  
References National 
GAAP compatible IFRS  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
References National 
GAAP based on BAD  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-255  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
0060  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0080  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)
EN L 97/1112 Official Journal of the European Union 19.3.2021
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with 
modifications in their 
terms and conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified 
from non-performing  
0010  0020  0030  0040  0050  
References National 
GAAP compatible IFRS  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
References National 
GAAP based on BAD  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-255  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
0140  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0150  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR 
AT AMORTISED COST  Annex V.Part 
2.249(a)  Annex V.Part 
2.249(a)  
0181  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)
EN 19.3.2021 Official Journal of the European Union L 97/1113
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with 
modifications in their 
terms and conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified 
from non-performing  
0010  0020  0030  0040  0050  
References National 
GAAP compatible IFRS  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
References National 
GAAP based on BAD  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-255  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
0182  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0192  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)
EN L 97/1114 Official Journal of the European Union 19.3.2021
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with 
modifications in their 
terms and conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified 
from non-performing  
0010  0020  0030  0040  0050  
References National 
GAAP compatible IFRS  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
References National 
GAAP based on BAD  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-255  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
0194  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0903  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0197  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)
EN 19.3.2021 Official Journal of the European Union L 97/1115
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with 
modifications in their 
terms and conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified 
from non-performing  
0010  0020  0030  0040  0050  
References National 
GAAP compatible IFRS  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
References National 
GAAP based on BAD  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-255  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE 
INCOME OR THROUGH EQUITY 
SUBJECT TO IMPAIRMENT  Annex V.Part 
2.249(b)  Annex V.Part 
2.249(b)  
0211  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)  
0212  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)
EN L 97/1116 Official Journal of the European Union 19.3.2021
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with 
modifications in their 
terms and conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified 
from non-performing  
0010  0020  0030  0040  0050  
References National 
GAAP compatible IFRS  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
References National 
GAAP based on BAD  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-255  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
0216  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0222  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/1117
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with 
modifications in their 
terms and conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified 
from non-performing  
0010  0020  0030  0040  0050  
References National 
GAAP compatible IFRS  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
References National 
GAAP based on BAD  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-255  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
0923  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0227  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0231  DEBT INSTRUMENTS AT STRICT 
LOCOM, OR FAIR VALUE THROUGH 
PROFIT OR LOSS OR THROUGH 
EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249  Annex V.Part 2.249
EN L 97/1118 Official Journal of the European Union 19.3.2021
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Performing exposures with forbearance measures  
Instruments with 
modifications in their 
terms and conditions  Refinancing  of which: Performing 
forborne exposures under 
probation reclassified 
from non-performing  
0010  0020  0030  0040  0050  
References National 
GAAP compatible IFRS  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-258  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
References National 
GAAP based on BAD  CRR Art. 47b (1), (2); 
Annex V. Part 1.34, 
Part 2. 118, 240-245, 
251-255  Annex V. Part 2. 
256, 259-261  CRR Art. 47b (1); 
Annex V. Part 2.240, 
266  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
265-266  CRR Art. 47a (7); Annex 
V. Part 2. 256, 261  
0330  DEBT INSTRUMENTS OTHER THAN 
HELD FOR TRADING OR TRADING  Annex V.Part 2.246  Annex V.Part 2.246  
0335  DEBT INSTRUMENTS HELD FOR 
SALE  Annex V.Part 2.247  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.112, 113, 246  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 
116, 246
EN 19.3.2021 Official Journal of the European Union L 97/1119
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with 
modifications in 
their terms and 
conditions  Refinancing  of which: 
Defaulted  of which: 
Impaired  of which: 
Forbearance of 
exposures non- 
performing prior 
to forbearance  
0060  0070  0080  0090  0100  0110  
References National 
GAAP compatible IFRS  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
References National 
GAAP based on BAD  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 265-266  CRR art 178; 
Annex V. Part 
2.264(b)  CRR art 4(95); 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
0005  Cash balances at central banks and 
other demand deposits  BAD art 13(2); 
Annex V.Part 2.2, 3  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)  
0020  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)
EN L 97/1120 Official Journal of the European Union 19.3.2021
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with 
modifications in 
their terms and 
conditions  Refinancing  of which: 
Defaulted  of which: 
Impaired  of which: 
Forbearance of 
exposures non- 
performing prior 
to forbearance  
0060  0070  0080  0090  0100  0110  
References National 
GAAP compatible IFRS  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
References National 
GAAP based on BAD  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 265-266  CRR art 178; 
Annex V. Part 
2.264(b)  CRR art 4(95); 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
0060  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0080  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/1121
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with 
modifications in 
their terms and 
conditions  Refinancing  of which: 
Defaulted  of which: 
Impaired  of which: 
Forbearance of 
exposures non- 
performing prior 
to forbearance  
0060  0070  0080  0090  0100  0110  
References National 
GAAP compatible IFRS  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
References National 
GAAP based on BAD  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 265-266  CRR art 178; 
Annex V. Part 
2.264(b)  CRR art 4(95); 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
0140  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0150  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR 
AT AMORTISED COST  Annex V.Part 
2.249(a)  Annex V.Part 
2.249(a)  
0181  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)
EN L 97/1122 Official Journal of the European Union 19.3.2021
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with 
modifications in 
their terms and 
conditions  Refinancing  of which: 
Defaulted  of which: 
Impaired  of which: 
Forbearance of 
exposures non- 
performing prior 
to forbearance  
0060  0070  0080  0090  0100  0110  
References National 
GAAP compatible IFRS  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
References National 
GAAP based on BAD  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 265-266  CRR art 178; 
Annex V. Part 
2.264(b)  CRR art 4(95); 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
0182  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0192  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/1123
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with 
modifications in 
their terms and 
conditions  Refinancing  of which: 
Defaulted  of which: 
Impaired  of which: 
Forbearance of 
exposures non- 
performing prior 
to forbearance  
0060  0070  0080  0090  0100  0110  
References National 
GAAP compatible IFRS  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
References National 
GAAP based on BAD  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 265-266  CRR art 178; 
Annex V. Part 
2.264(b)  CRR art 4(95); 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
0194  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0903  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0197  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)
EN L 97/1124 Official Journal of the European Union 19.3.2021
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with 
modifications in 
their terms and 
conditions  Refinancing  of which: 
Defaulted  of which: 
Impaired  of which: 
Forbearance of 
exposures non- 
performing prior 
to forbearance  
0060  0070  0080  0090  0100  0110  
References National 
GAAP compatible IFRS  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
References National 
GAAP based on BAD  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 265-266  CRR art 178; 
Annex V. Part 
2.264(b)  CRR art 4(95); 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE 
INCOME OR THROUGH EQUITY 
SUBJECT TO IMPAIRMENT  Annex V.Part 
2.249(b)  Annex V.Part 
2.249(b)  
0211  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)  
0212  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)
EN 19.3.2021 Official Journal of the European Union L 97/1125
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with 
modifications in 
their terms and 
conditions  Refinancing  of which: 
Defaulted  of which: 
Impaired  of which: 
Forbearance of 
exposures non- 
performing prior 
to forbearance  
0060  0070  0080  0090  0100  0110  
References National 
GAAP compatible IFRS  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
References National 
GAAP based on BAD  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 265-266  CRR art 178; 
Annex V. Part 
2.264(b)  CRR art 4(95); 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
0216  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0222  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)
EN L 97/1126 Official Journal of the European Union 19.3.2021
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with 
modifications in 
their terms and 
conditions  Refinancing  of which: 
Defaulted  of which: 
Impaired  of which: 
Forbearance of 
exposures non- 
performing prior 
to forbearance  
0060  0070  0080  0090  0100  0110  
References National 
GAAP compatible IFRS  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
References National 
GAAP based on BAD  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 265-266  CRR art 178; 
Annex V. Part 
2.264(b)  CRR art 4(95); 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
0923  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0227  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0231  DEBT INSTRUMENTS AT STRICT 
LOCOM, OR FAIR VALUE THROUGH 
PROFIT OR LOSS OR THROUGH 
EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249  Annex V.Part 2.249
EN 19.3.2021 Official Journal of the European Union L 97/1127
 Gross carrying amount / nominal amount of exposures with forbearance measures  
Non-performing exposures with forbearance measures  
Instruments with 
modifications in 
their terms and 
conditions  Refinancing  of which: 
Defaulted  of which: 
Impaired  of which: 
Forbearance of 
exposures non- 
performing prior 
to forbearance  
0060  0070  0080  0090  0100  0110  
References National 
GAAP compatible IFRS  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 244, 265- 
266  CRR art 178; 
Annex V. Part 
2.264(b)  IFRS 9.5.5.1; IFRS 
9.Appendix A; 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
References National 
GAAP based on BAD  Annex V. Part 2. 
259-263  CRR Art. 47b (1); 
Annex V. Part 
2.240, 266  CRR Art. 47b (1); 
Annex V. Part 2. 
240, 265-266  CRR art 178; 
Annex V. Part 
2.264(b)  CRR art 4(95); 
Annex V.Part 
2.264(a)  CRR Art. 47b (2), 
lett. c; Annex V. 
Part 2. 231, 263  
0330  DEBT INSTRUMENTS OTHER THAN 
HELD FOR TRADING OR TRADING  Annex V.Part 2.246  Annex V.Part 2.246  
0335  DEBT INSTRUMENTS HELD FOR 
SALE  Annex V.Part 2.247  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.112, 113, 246  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 
116, 246
EN L 97/1128 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - 
Accumulated impairment, accumulated negative changes in fair 
value due to credit risk and provisions  
Instruments with 
modifications in their 
terms and conditions  Refinancing  
0120  0130  0140  0150  0160  
References National 
GAAP compatible IFRS  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 267  
References National 
GAAP based on BAD  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267 
0005  Cash balances at central banks and 
other demand deposits  BAD art 13(2); 
Annex V.Part 2.2, 3  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)  
0020  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)
EN 19.3.2021 Official Journal of the European Union L 97/1129
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - 
Accumulated impairment, accumulated negative changes in fair 
value due to credit risk and provisions  
Instruments with 
modifications in their 
terms and conditions  Refinancing  
0120  0130  0140  0150  0160  
References National 
GAAP compatible IFRS  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 267  
References National 
GAAP based on BAD  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267 
0060  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0080  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)
EN L 97/1130 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - 
Accumulated impairment, accumulated negative changes in fair 
value due to credit risk and provisions  
Instruments with 
modifications in their 
terms and conditions  Refinancing  
0120  0130  0140  0150  0160  
References National 
GAAP compatible IFRS  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 267  
References National 
GAAP based on BAD  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267 
0140  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0150  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR 
AT AMORTISED COST  Annex V.Part 
2.249(a)  Annex V.Part 
2.249(a)  
0181  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)
EN 19.3.2021 Official Journal of the European Union L 97/1131
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - 
Accumulated impairment, accumulated negative changes in fair 
value due to credit risk and provisions  
Instruments with 
modifications in their 
terms and conditions  Refinancing  
0120  0130  0140  0150  0160  
References National 
GAAP compatible IFRS  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 267  
References National 
GAAP based on BAD  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267 
0182  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0192  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)
EN L 97/1132 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - 
Accumulated impairment, accumulated negative changes in fair 
value due to credit risk and provisions  
Instruments with 
modifications in their 
terms and conditions  Refinancing  
0120  0130  0140  0150  0160  
References National 
GAAP compatible IFRS  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 267  
References National 
GAAP based on BAD  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267 
0194  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0903  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0197  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)
EN 19.3.2021 Official Journal of the European Union L 97/1133
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - 
Accumulated impairment, accumulated negative changes in fair 
value due to credit risk and provisions  
Instruments with 
modifications in their 
terms and conditions  Refinancing  
0120  0130  0140  0150  0160  
References National 
GAAP compatible IFRS  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 267  
References National 
GAAP based on BAD  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267 
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE 
INCOME OR THROUGH EQUITY 
SUBJECT TO IMPAIRMENT  Annex V.Part 
2.249(b)  Annex V.Part 
2.249(b)  
0211  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)  
0212  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)
EN L 97/1134 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - 
Accumulated impairment, accumulated negative changes in fair 
value due to credit risk and provisions  
Instruments with 
modifications in their 
terms and conditions  Refinancing  
0120  0130  0140  0150  0160  
References National 
GAAP compatible IFRS  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 267  
References National 
GAAP based on BAD  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267 
0216  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0222  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/1135
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - 
Accumulated impairment, accumulated negative changes in fair 
value due to credit risk and provisions  
Instruments with 
modifications in their 
terms and conditions  Refinancing  
0120  0130  0140  0150  0160  
References National 
GAAP compatible IFRS  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 267  
References National 
GAAP based on BAD  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267 
0923  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0227  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0231  DEBT INSTRUMENTS AT STRICT 
LOCOM, OR FAIR VALUE THROUGH 
PROFIT OR LOSS OR THROUGH 
EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249  Annex V.Part 2.249
EN L 97/1136 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions  
Perfoming exposures 
with forbearance 
measures - 
Accumulated 
impairment and 
provisions  Non-performing exposures with forbearance measures - 
Accumulated impairment, accumulated negative changes in fair 
value due to credit risk and provisions  
Instruments with 
modifications in their 
terms and conditions  Refinancing  
0120  0130  0140  0150  0160  
References National 
GAAP compatible IFRS  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
244, 267  
References National 
GAAP based on BAD  Annex V. Part 2. 267  Annex V. Part 2. 207  Annex V. Part 2. 207  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267  CRR Art. 47b (1); 
Annex V. Part 2. 240, 
267 
0330  DEBT INSTRUMENTS OTHER THAN 
HELD FOR TRADING OR TRADING  Annex V.Part 2.246  Annex V.Part 2.246  
0335  DEBT INSTRUMENTS HELD FOR 
SALE  Annex V.Part 2.247  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.112, 113, 246  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 
116, 246
EN 19.3.2021 Official Journal of the European Union L 97/1137
 Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financial guarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financial guarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
References National 
GAAP compatible IFRS  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
References National 
GAAP based on BAD  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0005  Cash balances at central banks and 
other demand deposits  BAD art 13(2); 
Annex V.Part 2.2, 3  Annex V.Part 2.2, 3  
0010  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)  
0020  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0030  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0040  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0050  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)
EN L 97/1138 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financial guarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financial guarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
References National 
GAAP compatible IFRS  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
References National 
GAAP based on BAD  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0060  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0080  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0130  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/1139
 Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financial guarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financial guarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
References National 
GAAP compatible IFRS  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
References National 
GAAP based on BAD  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0140  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0150  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0160  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0170  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0180  DEBT INSTRUMENTS AT COST OR 
AT AMORTISED COST  Annex V.Part 
2.249(a)  Annex V.Part 
2.249(a)  
0181  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)
EN L 97/1140 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financial guarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financial guarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
References National 
GAAP compatible IFRS  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
References National 
GAAP based on BAD  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0182  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0183  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0184  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0185  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0186  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0191  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0192  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0193  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)
EN 19.3.2021 Official Journal of the European Union L 97/1141
 Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financial guarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financial guarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
References National 
GAAP compatible IFRS  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
References National 
GAAP based on BAD  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0194  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0195  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0196  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0900  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)  
0903  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0197  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0910  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)
EN L 97/1142 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financial guarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financial guarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
References National 
GAAP compatible IFRS  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
References National 
GAAP based on BAD  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0913  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0201  DEBT INSTRUMENTS AT FAIR VALUE 
THROUGH OTHER COMPREHENSIVE 
INCOME OR THROUGH EQUITY 
SUBJECT TO IMPAIRMENT  Annex V.Part 
2.249(b)  Annex V.Part 
2.249(b)  
0211  Debt securities  Annex V.Part 1.31, 
44(b)  Annex V.Part 1.31, 
44(b)  
0212  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0213  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0214  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0215  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)
EN 19.3.2021 Official Journal of the European Union L 97/1143
 Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financial guarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financial guarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
References National 
GAAP compatible IFRS  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
References National 
GAAP based on BAD  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0216  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0221  Loans and advances  Annex V.Part 1.32, 
44(a)  Annex V.Part 1.32, 
44(a)  
0222  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0223  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0224  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0225  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0226  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0920  Of which: Small and Medium-sized 
Enterprises  SME Art 1 2(a)  SME Art 1 2(a)
EN L 97/1144 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financial guarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financial guarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
References National 
GAAP compatible IFRS  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
References National 
GAAP based on BAD  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0923  Of which: Loans collateralised by 
commercial immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0227  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0930  Of which: Loans collateralised by resi ­
dential immovable property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0933  Of which: Credit for consumption  Annex V.Part 2.88(a), 
234i (b)  Annex V.Part 2.88(a), 
234i (b)  
0231  DEBT INSTRUMENTS AT STRICT 
LOCOM, OR FAIR VALUE THROUGH 
PROFIT OR LOSS OR THROUGH 
EQUITY NOT SUBJECT TO 
IMPAIRMENT  Annex V.Part 2.249  Annex V.Part 2.249
EN 19.3.2021 Official Journal of the European Union L 97/1145
 Maximum amount of the collateral or guarantee that can be considered  
Annex V. Part 2.119  
Collateral received and financial guarantees received  
Collateral received on exposures with forbearance measures  Financial guarantees received on exposures with forbearance 
measures  
Of which: Collateral received on 
non-performing exposures with 
forbearance measures  Of which: Financial guarantees 
received on non-performing 
exposures with forbearance 
measures  
0170  0175  0180  0185  
References National 
GAAP compatible IFRS  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
References National 
GAAP based on BAD  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  Annex V. Part 2. 268  
0330  DEBT INSTRUMENTS OTHER THAN 
HELD FOR TRADING OR TRADING  Annex V.Part 2.246  Annex V.Part 2.246  
0335  DEBT INSTRUMENTS HELD FOR 
SALE  Annex V.Part 2.247  
0340  Loan commitments given  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.112, 113, 246  CRR Annex I; Annex 
V.Part 1.44(g), Part 
2.102-105, 113, 
116, 246
EN L 97/1146 Official Journal of the European Union 19.3.2021  
20. Geographical breakdown  
20.1  Geographical breakdown of assets by location of the activities  
References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  
Domestic 
activitivies  Non-domestic 
activities  
Annex V.Part 2.270  Annex V.Part 2.270  
0010  0020  
0010  Cash, cash balances at central banks 
and other demand deposits  BAD art 4.Assets(1)  IAS 1.54 (i)  
0020  Cash on hand  Annex V.Part 2.1  Annex V.Part 2.1  
0030  Cash balances at central banks  BAD art 13(2); 
Annex V.Part 2.2  Annex V.Part 2.2  
0040  Other demand deposits  Annex V.Part 2.3  Annex V.Part 2.3  
0050  Financial assets held for trading  Accounting Directive 
art 8(1)(a), (5); IAS 
39.9  IFRS 9. Appendix A  
0060  Derivatives  CRR Annex II  IFRS 9. Appendix A  
0070  Equity instruments  ECB/2013/33 
Annex 2.Part 2.4-5  IAS 32.11  
0080  Debt securities  Annex V.Part 1.24, 
26 Annex V.Part 1.31  
0090  Loans and advances  Annex V.Part 1.24, 
27 Annex V.Part 1.32  
0091  Trading financial assets  BAD Article 32-33; 
Annex V.Part 1.17  
0092  Derivatives  CRR Annex II; 
Annex V.Part 1.17, 
27 
0093  Equity instruments  ECB/2013/33 
Annex 2.Part 2.4-5  
0094  Debt securities  Annex V.Part 1.31  
0095  Loans and advances  Annex V.Part 1.32  
0096  Non-trading financial assets manda ­
torily at fair value through profit or 
loss  IFRS 7.8(a)(ii); IFRS 
9.4.1.4  
0097  Equity instruments  IAS 32.11  
0098  Debt securities  Annex V.Part 1.31  
0099  Loans and advances  Annex V.Part 1.32  
0100  Financial assets designated at fair 
value through profit or loss  Accounting Directive 
art 8(1)(a), (6)  IFRS 7.8(a)(i); IFRS 
9.4.1.5
EN 19.3.2021 Official Journal of the European Union L 97/1147  
References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  
Domestic 
activitivies  Non-domestic 
activities  
Annex V.Part 2.270  Annex V.Part 2.270  
0010  0020  
0110  Equity instruments  IAS 
32.11;ECB/2013 
/33 Annex 2.Part 
2.4-5  
0120  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0130  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  
0141  Financial assets at fair value through 
other comprehensive income  IFRS 7.8(h); IFRS 
9.4.1.2A  
0142  Equity instruments  IAS 32.11  
0143  Debt securities  Annex V.Part 1.31  
0144  Loans and advances  Annex V.Part 1.32  
0171  Non-trading non-derivative financial 
assets measured at fair value through 
profit or loss  BAD art 36(2)  
0172  Equity instruments  ECB/2013/33 
Annex 2.Part 2.4-5  
0173  Debt securities  Annex V.Part 1.31  
0174  Loans and advances  Accounting Directive 
art 8(1)(a), (4)(b); 
Annex V.Part 1.32  
0175  Non-trading non-derivative financial 
assets measured at fair value to 
equity  Accounting Directive 
art 8(1)(a), (8)  
0176  Equity instruments  ECB/2013/33 
Annex 2.Part 2.4-5  
0177  Debt securities  Annex V.Part 1.31  
0178  Loans and advances  Accounting Directive 
art 8(1)(a), (4)(b); 
Annex V.Part 1.32  
0181  Financial assets at amortised cost  IFRS 7.8(f); IFRS 
9.4.1.2  
0182  Debt securities  Annex V.Part 1.31  
0183  Loans and advances  Annex V.Part 1.32  
0231  Non-trading non-derivative financial 
assets measured at a cost-based 
method  BAD art 35;Ac ­
counting Directive 
Article 6(1)(i) and 
Article 8(2); Annex 
V.Part1.18, 19
EN L 97/1148 Official Journal of the European Union 19.3.2021  
References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  
Domestic 
activitivies  Non-domestic 
activities  
Annex V.Part 2.270  Annex V.Part 2.270  
0010  0020  
0330  Equity instruments  ECB/2013/33 
Annex 2.Part 2.4-5  
0232  Debt securities  Annex V.Part 1.31  
0233  Loans and advances  Annex V.Part 1.32  
0234  Other non-trading non-derivative 
financial assets  BAD art 37; 
Accounting Directive 
Article 12(7); Annex 
V.Part 1.20  
0235  Equity instruments  ECB/2013/33 
Annex 2.Part 2.4-5  
0236  Debt securities  Annex V.Part 1.31  
0237  Loans and advances  Annex V.Part 1.32  
0240  Derivatives – Hedge accounting  Accounting Directive 
art 8(1)(a), (6), (8); 
IAS 39.9; Annex 
V.Part 1.22  IFRS 9.6.2.1; Annex 
V.Part 1.22  
0250  Fair value changes of the hedged 
items in portfolio hedge of interest 
rate risk  Accounting Directive 
art 8(5), (6); IAS 
39.89A (a)  IAS 39.89A(a); 
IFRS 9.6.5.8  
0260  Tangible assets  BAD art 4.As ­
sets(10)  
0270  Intangible assets  BAD art 4.Assets(9); 
CRR art 4(1)(115)  IAS 1.54(c); CRR art 
4(1)(115)  
0280  Investments in subsidaries, joint 
ventures and associates  BAD art 4.Assets(7)- 
(8); Accounting 
Directive art 2(2); 
Annex V.Part 1.21, 
Part 2.4  IAS 1.54(e); Annex 
V.Part 1.21, Part 
2.4 
0290  Tax assets  IAS 1.54(n-o)  
0300  Other assets  Annex V.Part 2.5, 6  Annex V.Part 2.5  
0310  Non-current assets and disposal 
groups classified as held for sale  IAS 1.54(j); IFRS 
5.38, Annex V.Part 
2.7 
0315  (-) Haircuts for trading assets valued at 
fair value  Annex V Part 1.29  
0320  ASSETS  BAD art 4 Assets  IAS 1.9(a), IG 6
EN 19.3.2021 Official Journal of the European Union L 97/1149  
20.2  Geographical breakdown of liabilities by location of the activities  
References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  
Domestic 
activitivies  Non-domestic 
activities  
Annex V.Part 2.270  Annex V.Part 2.270  
0010  0020  
0010  Financial liabilities held for trading  IFRS 7.8 (e) (ii); 
IFRS 9.BA.6  
0020  Derivatives  IFRS 9.Appendix 
A; IFRS 9.4.2.1(a); 
IFRS 9.BA.7(a)  
0030  Short positions  IFRS 9.BA7(b)  
0040  Deposits  ECB/2013/33 
Annex 2.Part 2.9; 
Annex V.Part 1.36  
0050  Debt securities issued  Annex V.Part 1.37  
0060  Other financial liabilities  Annex V.Part 
1.38-41  
0061  Trading financial liabilities  Accounting Directive 
art 8(1)(a),(3),(6)  
0062  Derivatives  CRR Annex II; 
Annex V.Part 1.25  
0063  Short positions  
0064  Deposits  ECB/2013/33 
Annex 2.Part 2.9; 
Annex V.Part 1.36  
0065  Debt securities issued  Annex V.Part 1.37  
0066  Other financial liabilities  Annex V.Part 
1.38-41  
0070  Financial liabilities designated at fair 
value through profit or loss  Accounting Directive 
art 8(1)(a), (6); IAS 
39.9  IFRS 7.8 (e)(i); 
IFRS 9.4.2.2  
0080  Deposits  ECB/2013/33 
Annex 2.Part 2.9; 
Annex V.Part 1.36  ECB/2013/33 
Annex 2.Part 2.9; 
Annex V.Part 1.36  
0090  Debt securities issued  Annex V.Part 1.37  Annex V.Part 1.37  
0100  Other financial liabilities  Annex V.Part 
1.38-41  Annex V.Part 
1.38-41  
0110  Financial liabilities measured at 
amortised cost  Accounting Directive 
art 8(3), (6); IAS 
39.47  IFRS 7.8(g); IFRS 
9.4.2.1
EN L 97/1150 Official Journal of the European Union 19.3.2021  
References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  
Domestic 
activitivies  Non-domestic 
activities  
Annex V.Part 2.270  Annex V.Part 2.270  
0010  0020  
0120  Deposits  ECB/2013/33 
Annex 2.Part 2.9; 
Annex V.Part 1.30  ECB/2013/33 
Annex 2.Part 2.9; 
Annex V.Part 1.36  
0130  Debt securities issued  Annex V.Part 1.31  Annex V.Part 1.37  
0140  Other financial liabilities  Annex V.Part 
1.32-34  Annex V.Part 
1.38-41  
0141  Non-trading non-derivative financial 
liabilities measured at a cost-based 
method  Accounting Directive 
art 8(3)  
0142  Deposits  ECB/2013/33 
Annex 2.Part 2.9; 
Annex V.Part 1.36  
0143  Debt securities issued  Annex V.Part 1.37  
0144  Other financial liabilities  Annex V.Part 
1.38-41  
0150  Derivatives – Hedge accounting  Accounting Directive 
art 8(1)(a), (6), 
(8)(a); Annex 
V.Part 1.26  IFRS 9.6.2.1; 
Annex V.Part 1.26  
0160  Fair value changes of the hedged items 
in portfolio hedge of interest rate risk  Accounting Directive 
art 8(5), (6); Annex 
V.Part 2.8; IAS 
39.89A(b)  IAS 39.89A(b), 
IFRS 9.6.5.8  
0170  Provisions  BAD art 4.Liabil ­
ities(6)  IAS 37.10; IAS 
1.54(l)  
0180  Tax liabilities  IAS 1.54(n-o)  
0190  Share capital repayable on demand  IAS 32 IE 33; 
IFRIC 2; Annex 
V.Part 2.12  
0200  Other liabilities  Annex V.Part 2.13  Annex V.Part 2.13  
0210  Liabilities included in disposal groups 
classified as held for sale  IAS 1.54 (p); IFRS 
5.38, Annex V.Part 
2.14  
0215  Haircuts for trading liabilities valued at 
fair value  Annex V Part 1.29  
0220  LIABILITIES  IAS 1.9(b);IG 6
EN 19.3.2021 Official Journal of the European Union L 97/1151  
20.3  Geographical breakdown of statement of profit or loss items by location of the activities  
References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Current period  
Domestic 
activitivies  Non-domestic 
activities  
Annex V.Part 2.270  Annex V.Part 2.270  
0010  0020  
0010  Interest income  BAD art 
27.Vertical 
layout(1); Annex 
V.Part 2.31  IAS 1.97; Annex 
V.Part 2.31  
0020  (Interest expenses)  BAD art 
27.Vertical 
layout(2); Annex 
V.Part 2.31  IAS 1.97; Annex 
V.Part 2.31  
0030  (Expenses on share capital repayable 
on demand)  IFRIC 2.11  
0040  Dividend income  BAD art 
27.Vertical 
layout(3); Annex 
V.Part 2.40  Annex V.Part 2.40  
0050  Fee and commission income  BAD art 
27.Vertical 
layout(4)  IFRS 7.20(c)  
0060  (Fee and commission expenses)  BAD art 
27.Vertical 
layout(5)  IFRS 7.20(c)  
0070  Gains or (-) losses on derecognition of 
financial assets and liabilities not 
measured at fair value through profit 
or loss, net  BAD art 
27.Vertical 
layout(6)  Annex V.Part 2.45  
0080  Gains or (-) losses on financial assets 
and liabilities held for trading, net  BAD art 
27.Vertical 
layout(6)  IFRS 7.20(a)(i); 
IFRS 9.5.7.1; 
Annex V.Part 2.43, 
46 
0083  Gains or (-) losses on non-trading 
financial assets mandatorily at fair 
value through profit or loss  IFRS 9.5.7.1  
0085  Gains or (-) losses on trading financial 
assets and liabilities, net  BAD art 
27.Vertical 
layout(6)  
0090  Gains or (-) losses on financial assets 
and liabilities designated at fair value 
through profit or loss, net  IFRS 7.20(a)(i); 
IFRS 9.5.7.1; 
Annex V.Part 2.44  
0095  Gains or (-) losses on non-trading 
financial assets and liabilities, net  BAD art 
27.Vertical 
layout(6)
EN L 97/1152 Official Journal of the European Union 19.3.2021  
References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Current period  
Domestic 
activitivies  Non-domestic 
activities  
Annex V.Part 2.270  Annex V.Part 2.270  
0010  0020  
0100  Gains or (-) losses from hedge 
accounting, net  Accounting Directive 
art 8(1)(a), (6), (8)  Annex V.Part 
2.47-48  
0110  Exchange differences [gain or (-) loss], 
net BAD art 39  IAS 21.28, 52 (a)  
0120  Gains or (-) losses on derecognition of 
investments in subsidiaries, joint 
ventures and associates, net  BAD art 
27.Vertical 
layout(13)-(14); 
Annex V Part 2.56  Annex V Part 2.56  
0130  Gains or (-) losses on derecognition of 
non financial assets, net  IAS 1.34  
0140  Other operating income  BAD art 
27.Vertical 
layout(7); Annex 
V.Part 2.314-316  Annex V.Part 
2.314-316  
0150  (Other operating expenses)  BAD art 
27.Vertical 
layout(10); Annex 
V.Part 2.314-316  Annex V.Part 
2.314-316  
0155  TOTAL OPERATING INCOME, NET  
0160  (Administrative expenses)  BAD art 
27.Vertical 
layout(8)  
0165  (Cash contributions to resolution funds 
and deposit guarantee schemes)  Annex V.Part 2.48i  Annex V.Part 2.48i  
0170  (Depreciation)  IAS 1.102, 104  
0171  Modification gains or (-) losses, net  IFRS 9.5.4.3, IFRS 
9 Appendix A; 
Annex V Part 2.49  
0175  (Increases or (-) decreases of the fund 
for general banking risks, net)  BAD art 38.2  
0180  (Provisions or (-) reversal of provi ­
sions)  IAS 37.59, 84; 
IAS 1.98(b)(f)(g)  
0190  (Impairment or (-) reversal of 
impairment on financial assets not 
measured at fair value through profit 
or loss)  BAD art 35-37, 
Annex V.Part 2.52, 
53 IFRS 7.20(a)(viii); 
Annex V Part 2.51, 
53 
0200  (Impairment or (-) reversal of 
impairment of investments in 
subsidaries, joint ventures and associ ­
ates)  BAD art 
27.Vertical 
layout(13)-(14)  IAS 28.40-43  
0210  (Impairment or (-) reversal of 
impairment on non-financial assets)  IAS 36.126(a)(b)
EN 19.3.2021 Official Journal of the European Union L 97/1153  
References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Current period  
Domestic 
activitivies  Non-domestic 
activities  
Annex V.Part 2.270  Annex V.Part 2.270  
0010  0020  
0220  Negative goodwill recognised in profit 
or loss  Accounting Directive 
art 24(3)(f)  IFRS 3.Appendix 
B64(n)(i)  
0230  Share of the profit or (-) loss of 
investments in subsidaries, joint 
ventures and associates  BAD art 
27.Vertical 
layout(13)-(14)  Annex V.Part 2.54  
0240  Profit or (-) loss from non-current 
assets and disposal groups classified as 
held for sale not qualifying as discon ­
tinued operations  IFRS 5.37; Annex 
V.Part 2.55  
0250  PROFIT OR (-) LOSS BEFORE TAX FROM 
CONTINUING OPERATIONS  IAS 1.102, IG 6; 
IFRS 5.33 A  
0260  (Tax expense or (-) income related to 
profit or loss from continuing oper ­
ations)  BAD art 
27.Vertical 
layout(15)  IAS 1.82(d); IAS 
12.77  
0270  PROFIT OR (-) LOSS AFTER TAX FROM 
CONTINUING OPERATIONS  BAD art 
27.Vertical 
layout(16)  IAS 1, IG 6  
0275  Extraordinary profit or (-) loss after tax  BAD art 
27.Vertical 
layout(21)  
0280  Profit or (-) loss after tax from 
discontinued operations  IAS 1.82(ea) ; 
IFRS 5.33(a), 
5.33 A; Annex V 
Part 2.56  
0290  PROFIT OR (-) LOSS FOR THE YEAR  BAD art 
27.Vertical 
layout(23)  IAS 1.81A(a)
EN L 97/1154 Official Journal of the European Union 19.3.2021
 20.4  Geographical breakdown of assets by residence of the counterparty  
Country of residence of the counterparty:  
References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Gross 
carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in 
fair value due 
to credit risk 
on non- 
performing 
exposures  Of which: 
held for 
trading or 
trading  of which: 
financial 
assets subject 
to 
impairment, 
including cash 
balances at 
central banks 
and other 
demand 
deposits  Of which: 
forborne  Of which: 
non- 
perfoming  
of which: 
defaulted  
Annex V.Part 
1.34, Part 
2.271, 275  Annex V.Part 
1.15(a), 16(a), 
17, Part 2.273  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.275  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0022  0025  0026  0031  0040  
0010  Derivatives  CRR Annex II; 
Annex V.Part 
2.272  IFRS 9 Appendix 
A, Annex V.Part 
2.272  
0020  Of which: credit 
institutions  Annex V.Part 
1.42(c)  Annex V.Part 
1.42(c)  
0030  Of which: other 
financial corpor ­
ations  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(d)  
0040  Equity instru ­
ments  ECB/2013/33 
Annex 2.Part 2.4- 
5; Annex V Part 
1.44(b)  IAS 32.11  
0050  Of which: credit 
institutions  Annex V.Part 
1.42(c)  Annex V.Part 
1.42(c)
EN 19.3.2021 Official Journal of the European Union L 97/1155
 References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Gross 
carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in 
fair value due 
to credit risk 
on non- 
performing 
exposures  Of which: 
held for 
trading or 
trading  of which: 
financial 
assets subject 
to 
impairment, 
including cash 
balances at 
central banks 
and other 
demand 
deposits  Of which: 
forborne  Of which: 
non- 
perfoming  
of which: 
defaulted  
Annex V.Part 
1.34, Part 
2.271, 275  Annex V.Part 
1.15(a), 16(a), 
17, Part 2.273  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.275  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0022  0025  0026  0031  0040  
0060  Of which: other 
financial corpor ­
ations  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(d)  
0070  Of which: non- 
financial corpor ­
ations  Annex V.Part 
1.42(e)  Annex V.Part 
1.42(e)  
0075  Cash balances at 
central banks 
and other 
demand 
deposits  BAD art 13(2); 
Annex V.Part 2.2, 
3, 273  Annex V.Part 2.2, 
3 
0080  Debt securities  Annex V.Part 
1.31, 44(b)  Annex V.Part 
1.31, 44(b)  
0090  Central banks  Annex V.Part 
1.42(a)  Annex V.Part 
1.42(a)  
0100  General 
governments  Annex V.Part 
1.42(b)  Annex V.Part 
1.42(b)  
0110  Credit institu ­
tions  Annex V.Part 
1.42(c)  Annex V.Part 
1.42(c)
EN L 97/1156 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Gross 
carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in 
fair value due 
to credit risk 
on non- 
performing 
exposures  Of which: 
held for 
trading or 
trading  of which: 
financial 
assets subject 
to 
impairment, 
including cash 
balances at 
central banks 
and other 
demand 
deposits  Of which: 
forborne  Of which: 
non- 
perfoming  
of which: 
defaulted  
Annex V.Part 
1.34, Part 
2.271, 275  Annex V.Part 
1.15(a), 16(a), 
17, Part 2.273  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.275  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0022  0025  0026  0031  0040  
0120  Other 
financial 
corporations  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(d)  
0130  Non-financial 
corporations  Annex V.Part 
1.42(e)  Annex V.Part 
1.42(e)  
0140  Loans and 
advances  Annex V.Part 
1.32, 44(a)  Annex V.Part 
1.32, 44(a)  
0150  Central banks  Annex V.Part 
1.42(a)  Annex V.Part 
1.42(a)  
0160  General 
governments  Annex V.Part 
1.42(b)  Annex V.Part 
1.42(b)  
0170  Credit institu ­
tions  Annex V.Part 
1.42(c)  Annex V.Part 
1.42(c)  
0180  Other 
financial 
corporations  Annex V.Part 
1.42(d)  Annex V.Part 
1.42(d)
EN 19.3.2021 Official Journal of the European Union L 97/1157
 References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Gross 
carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in 
fair value due 
to credit risk 
on non- 
performing 
exposures  Of which: 
held for 
trading or 
trading  of which: 
financial 
assets subject 
to 
impairment, 
including cash 
balances at 
central banks 
and other 
demand 
deposits  Of which: 
forborne  Of which: 
non- 
perfoming  
of which: 
defaulted  
Annex V.Part 
1.34, Part 
2.271, 275  Annex V.Part 
1.15(a), 16(a), 
17, Part 2.273  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.275  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0022  0025  0026  0031  0040  
0190  Non-financial 
corporations  Annex V.Part 
1.42(e)  Annex V.Part 
1.42(e)  
0200  Of which: 
Small and 
Medium- 
sized Enter ­
prises  SME Art 1 2(a)  SME Art 1 2(a)  
0210  Of which: 
Loans collat ­
eralized by 
commercial 
immovable 
property  Annex V.Part 
2.86(a), 87  Annex V.Part 
2.86(a), 87  
0220  Households  Annex V.Part 
1.42(f)  Annex V.Part 
1.42(f)  
0230  Of which: 
Loans collat ­
eralized by 
residential 
immovable 
property  Annex V.Part 
2.86(a), 87  Annex V.Part 
2.86(a), 87  
0240  Of which: 
Credit for 
consumption  Annex V.Part 
2.88(a)  Annex V.Part 
2.88(a)
EN L 97/1158 Official Journal of the European Union 19.3.2021
 20.5  Geographical breakdown of off-balance sheet exposures by residence of the counterparty  
Country of residence of the counterparty:  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Nominal 
amount  Provisions 
for 
commitmen ­
ts and guar ­
antees given  Of which: 
forborne  Of which: 
non- 
perfoming  of which: 
defaulted  
Annex V.Part 
2.118, 271  Annex V.Part 
2.240-258  Annex V.Part 
2.275  CRR art 178; 
Annex V.Part 
2.237(b)  Annex V.Part 
2.276  
0010  0022  0025  0026  0030  
0010  Loan commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 113  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
113, 116  
0020  Financial guarantees given  CRR Annex I; Annex V.Part 
1.44(f), Part 2.112, 114  IFRS 4 Annex A; CRR Annex 
I; Annex V.Part 1.44(f), Part 
2.102-105, 114, 116  
0030  Other Commitments given  CRR Annex I; Annex V.Part 
1.44(g), Part 2.112, 115  CRR Annex I; Annex V.Part 
1.44(g), Part 2.102-105, 
115, 116
EN 19.3.2021 Official Journal of the European Union L 97/1159
 20.6  Geographical breakdown of liabilities by residence of the counterparty  
Country of residence of the counterparty:  
References National GAAP based on BAD  References National GAAP compatible IFRS  Carrying amount  
Annex V.Part 1.27-28, 
2.271  
0010  
0010  Derivatives  CRR Annex II; Annex V.Part 1.24(a), 25, 
26, 44(e), Part 2.272  IFRS 9 Appendix A, Annex V.Part 
1.44(e), Part 2.272  
0020  Of which: credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0030  Of which: other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0040  Short positions  Annex V.Part 1.44(d)  IFRS 9.BA7(b); Annex V.Part 1.44(d)  
0050  Of which: credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0060  Of which: other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0070  Deposits  ECB/2013/33 Annex 2.Part 2.9; Annex 
V.Part 1.36  ECB/2013/33 Annex 2.Part 2.9; Annex 
V.Part 1.36  
0080  Central banks  Annex V.Part 1.42(a)  Annex V.Part 1.42(a)  
0090  General governments  Annex V.Part 1.42(b)  Annex V.Part 1.42(b)  
0100  Credit institutions  Annex V.Part 1.42(c)  Annex V.Part 1.42(c)  
0110  Other financial corporations  Annex V.Part 1.42(d)  Annex V.Part 1.42(d)  
0120  Non-financial corporations  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0130  Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)
EN L 97/1160 Official Journal of the European Union 19.3.2021
 20.7.1  Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial cor porations by NACE codes  
Country of residence of the counterparty:  
References  Non-financial corporations  
Annex V. Part 2.271, 277  
Gross carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in fair 
value due to 
credit risk on 
non-performing 
exposures  of which: loans 
and advances 
subject to 
impairment  Of which: non- 
performing  
Annex V.Part 
1.34, Part 2.275  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0021  0022  
0010  A Agriculture, forestry and fishing  NACE Regulation  
0020  B Mining and quarrying  NACE Regulation  
0030  C Manufacturing  NACE Regulation  
0040  D Electricity, gas, steam and air conditioning supply  NACE Regulation  
0050  E Water supply  NACE Regulation  
0060  F Construction  NACE Regulation  
0070  G Wholesale and retail trade  NACE Regulation  
0080  H Transport ans storage  NACE Regulation  
0090  I Accommodation and food service activities  NACE Regulation  
0100  J Information and communication  NACE Regulation
EN 19.3.2021 Official Journal of the European Union L 97/1161
 References  Non-financial corporations  
Annex V. Part 2.271, 277  
Gross carrying 
amount  Accumulated 
impairment  Accumulated 
negative 
changes in fair 
value due to 
credit risk on 
non-performing 
exposures  of which: loans 
and advances 
subject to 
impairment  Of which: non- 
performing  
Annex V.Part 
1.34, Part 2.275  Annex V.Part 
2.273  Annex V.Part 
2.275  Annex V.Part 
2.274  Annex V.Part 
2.274  
0010  0011  0012  0021  0022  
0105  K Financial and insurance activities  NACE Regulation  
0110  L Real estate activities  NACE Regulation  
0120  M Professional, scientific and technical activities  NACE Regulation  
0130  N Administrative and support service activities  NACE Regulation  
0140  O Public administration and defence, compulsory social 
security  NACE Regulation  
0150  P Education  NACE Regulation  
0160  Q Human health services and social work activities  NACE Regulation  
0170  R Arts, entertainment and recreation  NACE Regulation  
0180  S Other services  NACE Regulation  
0190  LOANS AND ADVANCES  Annex V.Part 1.32
EN L 97/1162 Official Journal of the European Union 19.3.2021  
21. Tangible and intangible assets: assets subject to operating lease  
References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Carrying amount  
Annex V.Part 
2.278-279  
0010  
0010  Property plant and equipment  IAS 16.6; IAS 1.54(a)  
0020  Revaluation model  IAS 17.49; IAS 16.31, 73(a)(d)  
0030  Cost model  IAS 17.49; IAS 16.30, 73(a)(d)  
0040  Investment property  IAS 40.IN5; IAS 1.54(b)  
0050  Fair value model  IAS 17.49; IAS 40.33-55, 76  
0060  Cost model  IAS 17.49; IAS 40.56,79(c)  
0070  Other intangible assets  BAD art 4.Assets(9)  IAS 38.8, 118  
0080  Revaluation model  IAS 17.49; IAS 38.75-87, 
124(a)(ii)  
0090  Cost model  IAS 17.49; IAS 38.74
EN 19.3.2021 Official Journal of the European Union L 97/1163  
22. Asset management, custody and other service functions  
22.1  Fee and commission income and expenses by activity  
References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Current period  
Annex V.Part 
2.280  
BAD art 27.Vertical layout(4), (5)  IFRS 7.20(c )  0010  
0010  Fee and commission income  Annex V.Part 2.281-284  
0020  Securities  
0030  Issuances  Annex V.Part 2.284(a)  Annex V.Part 2.284(a)  
0040  Transfer orders  Annex V.Part 2.284(b)  Annex V.Part 2.284(b)  
0050  Other fee and commission 
income in relation to securities  Annex V.Part 2.284(c)  Annex V.Part 2.284(c)  
0051  Corporate Finance  
0052  M&A advisory  Annex V.Part 2.284 (e)  Annex V.Part 2.284 (e)  
0053  Treasury services  Annex V.Part 2.284(f)  Annex V.Part 2.284(f)  
0054  Other fee and commission 
income in relation to 
corporate finance activities  Annex V.Part 2.284(g)  Annex V.Part 2.284(g)  
0055  Fee based advice  Annex V.Part 2.284(h)  Annex V.Part 2.284(h)  
0060  Clearing and settlement  Annex V.Part 2.284(i)  Annex V.Part 2.284(i)  
0070  Asset management  Annex V.Part 2.284(j); 285(a)  Annex V.Part 2.284(j); 285(a)  
0080  Custody [by type of customer]  Annex V.Part 2.284(j); 285(b)  Annex V.Part 2.284(j); 285(b)  
0090  Collective investment  
0100  Other fee and commission 
income in relation to custody 
services
EN L 97/1164 Official Journal of the European Union 19.3.2021  
References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Current period  
Annex V.Part 
2.280  
BAD art 27.Vertical layout(4), (5)  IFRS 7.20(c )  0010  
0110  Central administrative services 
for collective investment  Annex V.Part 2.284(j); 285(c)  Annex V.Part 2.284(j); 285(c)  
0120  Fiduciary transactions  Annex V.Part 2.284(j); 285(d)  Annex V.Part 2.284(j); 285(d)  
0131  Payment services  Annex V.Part 2.284(k), 285(e)  Annex V.Part 2.284(k), 285(e)  
0132  Current accounts  Annex V.Part 2.284(k), 285(e)  Annex V.Part 2.284(k), 285(e)  
0133  Credit cards  Annex V.Part 2.284(k), 285(e)  Annex V.Part 2.284(k), 285(e)  
0134  Debit cards and other card 
payments  Annex V.Part 2.284(k), 285(e)  Annex V.Part 2.284(k), 285(e)  
0135  Transfers and other payment 
orders  Annex V.Part 2.284(k), 285(e)  Annex V.Part 2.284(k), 285(e)  
0136  Other fee and commission 
income in relation to payment 
services  Annex V.Part 2.284(k), 285(e)  Annex V.Part 2.284(k), 285(e)  
0140  Customer resources distributed 
but not managed [by type of 
product]  Annex V.Part 2.284 (l); 285(f)  Annex V.Part 2.284 (l); 285(f)  
0150  Collective investment  
0160  Insurance products  
0170  Other fee and commission 
income in relation to customer 
resources distributed but not 
managed  
0180  Structured Finance  Annex V.Part 2.284(n)  Annex V.Part 2.284(n)  
0190  Loan servicing activities  Annex V.Part 2.284(o)  Annex V.Part 2.284(o)  
0200  Loan commitments given  Annex V.Part 2.284(p)  IFRS 9.4.2.1 (c)(ii); Annex V.Part 
2.284(p)
EN 19.3.2021 Official Journal of the European Union L 97/1165  
References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Current period  
Annex V.Part 
2.280  
BAD art 27.Vertical layout(4), (5)  IFRS 7.20(c )  0010  
0210  Financial guarantees given  Annex V.Part 2.284(p)  IFRS 9.4.2.1 (c)(ii); Annex V.Part 
2.284(p)  
0211  Loans granted  Annex V.Part 2.284(r)  Annex V.Part 2.284(r)  
0213  Foreign exchange  Annex V.Part 2.284(s)  Annex V.Part 2.284(s)  
0214  Commodities  Annex V.Part 2.284(t)  Annex V.Part 2.284(t)  
0220  Other fee and commission 
income  Annex V.Part 2.284(u)  Annex V.Part 2.284(u)  
0230  (Fee and commission expenses)  Annex V.Part 2.281-284  
0235  (Securities)  Annex V.Part 2.284(d)  Annex V.Part 2.284(d)  
0240  (Clearing and settlement)  Annex V.Part 2.284(i)  Annex V.Part 2.284(i)  
0245  (Asset management)  Annex V.Part 2.284(j); 285(a)  Annex V.Part 2.284(j); 285(a)  
0250  (Custody)  Annex V.Part 2.284(j); 285 (b)  Annex V.Part 2.284(j); 285 (b)  
0255  (Payment services)  Annex V.Part 2.284(k), 285(e)  Annex V.Part 2.284(k), 285(e)  
0256  (of which: Credit, Debit and 
other Cards)  
0260  (Loan servicing activities)  Annex V.Part 2.284(o)  Annex V.Part 2.284(o)  
0270  (Loan commitments received)  Annex V.Part 2.284(q)  Annex V.Part 2.284(q)  
0280  (Financial guarantees received)  Annex V.Part 2.284(q)  Annex V.Part 2.284(q)  
0281  (Externally provided 
distribution of products)  Annex V.Part 2.284(m)  Annex V.Part 2.284(m)  
0282  (Foreign exchange)  Annex V.Part 2.284(s)  Annex V.Part 2.284(s)  
0290  (Other fee and commission 
expenses)  Annex V.Part 2.284(u)  Annex V.Part 2.284(u)
EN L 97/1166 Official Journal of the European Union 19.3.2021  
22.2  Assets involved in the services provided  
References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Amount of the 
assets involved 
in the services 
provided  
Annex V.Part 
2.285(g)  
0010  
0010  Asset management [by type of 
customer]  Annex V.Part 2.285(a)  Annex V.Part 2.285(a)  
0020  Collective investment  
0030  Pension funds  
0040  Customer portfolios managed 
on a discretionary basis  
0050  Other investment vehicles  
0060  Custody assets [by type of 
customer]  Annex V.Part 2.285(b)  Annex V.Part 2.285(b)  
0070  Collective investment  
0080  Other  
0090  Of which: entrusted to other 
entities  
0100  Central administrative services 
for collective investment  Annex V.Part 2.285(c)  Annex V.Part 2.285(c)  
0110  Fiduciary transactions  Annex V.Part 2.285(d)  Annex V.Part 2.285(d)  
0120  Payment services  Annex V.Part 2.285(e)  Annex V.Part 2.285(e)  
0130  Customer resources distributed 
but not managed [by type of 
product]  Annex V.Part 2.285(f)  Annex V.Part 2.285(f)  
0140  Collective investment  
0150  Insurance products  
0160  Other
EN 19.3.2021 Official Journal of the European Union L 97/1167
 23. Loans and advances: additional information  
23.1  Loans and advances: Number of instruments  
Number of instruments  
(Annex V.Part 2.320)  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)
EN L 97/1168 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Loans and advances in pre-liti ­
gation status  Annex V.Part 1.32, 
44(a), Part 2.319, 321  Annex V.Part 1.32, 
44(a), Part 2.319, 321  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1169
 Number of instruments  
(Annex V.Part 2.320)  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Loans and advances in litigation 
status  Annex V.Part 1.32, 
44(a), Part 2.319; 322  Annex V.Part 1.32, 
44(a), Part 2.319; 322  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87
EN L 97/1170 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0180  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0190  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0200  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0210  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1171
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)
EN L 97/1172 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Loans and advances in pre-liti ­
gation status  Annex V.Part 1.32, 
44(a), Part 2.319, 321  Annex V.Part 1.32, 
44(a), Part 2.319, 321  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1173
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Loans and advances in litigation 
status  Annex V.Part 1.32, 
44(a), Part 2.319; 322  Annex V.Part 1.32, 
44(a), Part 2.319; 322  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87
EN L 97/1174 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0180  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0190  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0200  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0210  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1175
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87, 234i (a)  Annex V.Part 2.86(a), 
87, 234i (a)  
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)
EN L 97/1176 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Loans and advances in pre-liti ­
gation status  Annex V.Part 1.32, 
44(a), Part 2.319, 321  Annex V.Part 1.32, 
44(a), Part 2.319, 321  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1177
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Loans and advances in litigation 
status  Annex V.Part 1.32, 
44(a), Part 2.319; 322  Annex V.Part 1.32, 
44(a), Part 2.319; 322  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87
EN L 97/1178 Official Journal of the European Union 19.3.2021
 Number of instruments  
(Annex V.Part 2.320)  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0180  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0190  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0200  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0210  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1179
 23.2  Loans and advances: Additional information on gross carrying amounts  
Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1180 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87
EN 19.3.2021 Official Journal of the European Union L 97/1181
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Loans and advances in pre-liti ­
gation status  Annex V.Part 1.32, 
44(a), Part 2.319, 321  Annex V.Part 1.32, 
44(a), Part 2.319, 321
EN L 97/1182 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0180  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0190  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0200  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)
EN 19.3.2021 Official Journal of the European Union L 97/1183
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0210  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0220  Loans and advances in litigation 
status  Annex V.Part 1.32, 
44(a), Part 2.319, 322  Annex V.Part 1.32, 
44(a), Part 2.319, 322  
0230  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0240  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0250  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)
EN L 97/1184 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0260  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0270  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0280  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0290  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 
44(a), Part 2.319, 323  Annex V.Part 1.32, 
44(a), Part 2.319, 323  
0300  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0310  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/1185
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0320  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0330  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0340  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0350  Loans and advances with an 
accumulated coverage ratio > 90%  Annex V.Part 1.32, 
44(a), Part 2.319, 324  Annex V.Part 1.32, 
44(a), Part 2.319, 324  
0360  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)
EN L 97/1186 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0370  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0380  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0390  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0400  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0410  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1187
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1188 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87
EN 19.3.2021 Official Journal of the European Union L 97/1189
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Loans and advances in pre-liti ­
gation status  Annex V.Part 1.32, 
44(a), Part 2.319, 321  Annex V.Part 1.32, 
44(a), Part 2.319, 321
EN L 97/1190 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0180  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0190  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0200  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)
EN 19.3.2021 Official Journal of the European Union L 97/1191
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0210  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0220  Loans and advances in litigation 
status  Annex V.Part 1.32, 
44(a), Part 2.319, 322  Annex V.Part 1.32, 
44(a), Part 2.319, 322  
0230  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0240  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0250  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)
EN L 97/1192 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0260  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0270  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0280  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0290  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 
44(a), Part 2.319, 323  Annex V.Part 1.32, 
44(a), Part 2.319, 323  
0300  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0310  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/1193
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0320  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0330  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0340  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0350  Loans and advances with an 
accumulated coverage ratio > 90%  Annex V.Part 1.32, 
44(a), Part 2.319, 324  Annex V.Part 1.32, 
44(a), Part 2.319, 324  
0360  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)
EN L 97/1194 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0370  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0380  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0390  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0400  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0410  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1195
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1196 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87
EN 19.3.2021 Official Journal of the European Union L 97/1197
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Loans and advances in pre-liti ­
gation status  Annex V.Part 1.32, 
44(a), Part 2.319, 321  Annex V.Part 1.32, 
44(a), Part 2.319, 321
EN L 97/1198 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0180  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0190  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0200  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)
EN 19.3.2021 Official Journal of the European Union L 97/1199
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0210  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0220  Loans and advances in litigation 
status  Annex V.Part 1.32, 
44(a), Part 2.319, 322  Annex V.Part 1.32, 
44(a), Part 2.319, 322  
0230  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0240  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0250  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)
EN L 97/1200 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0260  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0270  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0280  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0290  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 
44(a), Part 2.319, 323  Annex V.Part 1.32, 
44(a), Part 2.319, 323  
0300  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0310  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/1201
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0320  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0330  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0340  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0350  Loans and advances with an 
accumulated coverage ratio > 90%  Annex V.Part 1.32, 
44(a), Part 2.319, 324  Annex V.Part 1.32, 
44(a), Part 2.319, 324  
0360  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)
EN L 97/1202 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0370  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0380  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0390  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0400  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0410  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1203
 23.3  Loans and advances collateralised by immovable property: Breakdown by LTV ratios  
Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Loans and advances collateralised 
by immovable property  Annex V.Part 1.32, 
44(a), Part 2.86(a), 87, 
319  Annex V.Part 1.32, 
44(a), Part 2.86(a), 87, 
319  
0020  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0030  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0040  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN L 97/1204 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0050  Loans and advances to small and 
medium-sized enterprises (NFCs) 
collateralised by commercial 
immovable property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  
0060  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0070  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0080  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN 19.3.2021 Official Journal of the European Union L 97/1205
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0090  Loans and advances to non- 
financial corporations (NFCs) 
other than SMEs collateralised 
by commercial immovable 
property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  
0100  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0110  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0120  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN L 97/1206 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0130  Commercial Real Estate loans to 
small and medium-sized enter ­
prises (NFCs) collateralised by 
immovable property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  
0140  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0150  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0160  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN 19.3.2021 Official Journal of the European Union L 97/1207
 Gross carrying amount  
(Annex V.Part 1.34)  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0170  Commercial Real Estate loans to 
non-financial corporations (NFCs) 
other than SMEs) collateralised by 
immovable property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  
0180  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0190  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0200  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN L 97/1208 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Loans and advances collateralised 
by immovable property  Annex V.Part 1.32, 
44(a), Part 2.86(a), 87, 
319  Annex V.Part 1.32, 
44(a), Part 2.86(a), 87, 
319  
0020  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0030  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0040  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN 19.3.2021 Official Journal of the European Union L 97/1209
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0050  Loans and advances to small and 
medium-sized enterprises (NFCs) 
collateralised by commercial 
immovable property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  
0060  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0070  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0080  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN L 97/1210 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0090  Loans and advances to non- 
financial corporations (NFCs) 
other than SMEs collateralised 
by commercial immovable 
property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  
0100  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0110  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0120  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN 19.3.2021 Official Journal of the European Union L 97/1211
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0130  Commercial Real Estate loans to 
small and medium-sized enter ­
prises (NFCs) collateralised by 
immovable property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  
0140  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0150  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0160  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN L 97/1212 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0170  Commercial Real Estate loans to 
non-financial corporations (NFCs) 
other than SMEs) collateralised by 
immovable property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  
0180  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0190  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0200  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN 19.3.2021 Official Journal of the European Union L 97/1213
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0010  Loans and advances collateralised 
by immovable property  Annex V.Part 1.32, 
44(a), Part 2.86(a), 87, 
319  Annex V.Part 1.32, 
44(a), Part 2.86(a), 87, 
319  
0020  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0030  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0040  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN L 97/1214 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0050  Loans and advances to small and 
medium-sized enterprises (NFCs) 
collateralised by commercial 
immovable property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  
0060  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0070  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0080  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN 19.3.2021 Official Journal of the European Union L 97/1215
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0090  Loans and advances to non- 
financial corporations (NFCs) 
other than SMEs collateralised 
by commercial immovable 
property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 319; SME Art 1 
2(a)  
0100  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0110  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0120  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN L 97/1216 Official Journal of the European Union 19.3.2021
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0130  Commercial Real Estate loans to 
small and medium-sized enter ­
prises (NFCs) collateralised by 
immovable property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  
0140  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0150  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0160  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN 19.3.2021 Official Journal of the European Union L 97/1217
 Gross carrying amount  
(Annex V.Part 1.34)  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0170  Commercial Real Estate loans to 
non-financial corporations (NFCs) 
other than SMEs) collateralised by 
immovable property  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  Annex V.Part 1.32, 42 
(e), 44(a), Part 2.86(a), 
87, 239ix, 319; SME 
Art 1 2(a)  
0180  Of which: Loans with a LTV 
higher than 60% and lower than 
or equal to 80%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0190  Of which: Loans with a LTV 
higher than 80% and lower than 
or equal to 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325  
0200  Of which: Loans with a LTV 
higher than 100%  Annex V.Part 2.239x, 
325  Annex V.Part 2.239x, 
325
EN L 97/1218 Official Journal of the European Union 19.3.2021
 23.4  Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to cr edit risk  
Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235, 237(f)  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235, 237(f)  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1219
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235, 237(f)  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235, 237(f)  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87
EN L 97/1220 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235, 237(f)  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235, 237(f)  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 
44(a), Part 2.319, 323  Annex V.Part 1.32, 
44(a), Part 2.319, 323
EN 19.3.2021 Official Journal of the European Union L 97/1221
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Performing  
of which: Exposures 
with forbearance 
measures  of which: Past due > 
30 days <= 90 days  of which: Exposures 
with forbearance 
measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235, 237(f)  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235, 237(f)  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0180  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0190  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0200  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1222 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1223
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87
EN L 97/1224 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 
44(a), Part 2.319, 323  Annex V.Part 1.32, 
44(a), Part 2.319, 323
EN 19.3.2021 Official Journal of the European Union L 97/1225
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0180  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0190  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0200  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1226 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due 
> 180 days 
<= 1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1227
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due 
> 180 days 
<= 1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Loans and advances at cost or at 
amortised cost  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  Annex V.Part 1.32, 
44(a), Part 2.233 (a), 
319  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87
EN L 97/1228 Official Journal of the European Union 19.3.2021
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due 
> 180 days 
<= 1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Unsecured loans and advances 
without guarantees  Annex V.Part 1.32, 
44(a), Part 2.319, 323  Annex V.Part 1.32, 
44(a), Part 2.319, 323
EN 19.3.2021 Official Journal of the European Union L 97/1229
 Accumulated impairment, accumulated negative changes in fair value due to credit risk  
(Annex V. Part 2.69-71)  
Non Performing  
Past due > 90 days  
of which: 
Exposures 
with 
forbearance 
measures  Past due > 
90 days <= 
180 days  Past due 
> 180 days 
<= 1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
References National GAAP 
based on BAD  Annex V. 
Part 2.222, 
235-236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  Annex V. 
Part 2.222, 
235-236  
0100  0110  0120  0130  0140  0150  0160  0170  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0180  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0190  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0200  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1230 Official Journal of the European Union 19.3.2021
 23.5  Loans and advances: Collateral received and financial guarantees received  
Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Financial guarantees received on 
loans and advances  Annex V.Part 2.319, 
326  Annex V.Part 2.319, 
326  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)
EN 19.3.2021 Official Journal of the European Union L 97/1231
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Collateral received on loans and 
advances  Annex V.Part 2.319, 
326  Annex V.Part 2.319, 
326  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1232 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Immovable property collateral 
received on loans and advances  Annex V.Part 2.319, 
326  Annex V.Part 2.319, 
326  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0180  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/1233
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0190  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0200  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0210  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0220  Memorandum item: Collateral 
received on loans and advances - 
uncapped amounts  Annex V.Part 2.319, 
326, 327  Annex V.Part 2.319, 
326, 327  
0230  of which: Immovable property 
collateral  Annex V.Part 2.319, 
326, 327  Annex V.Part 2.319, 
326, 327
EN L 97/1234 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Financial guarantees received on 
loans and advances  Annex V.Part 2.319, 
326  Annex V.Part 2.319, 
326  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)
EN 19.3.2021 Official Journal of the European Union L 97/1235
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Collateral received on loans and 
advances  Annex V.Part 2.319, 
326  Annex V.Part 2.319, 
326  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1236 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Immovable property collateral 
received on loans and advances  Annex V.Part 2.319, 
326  Annex V.Part 2.319, 
326  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0180  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/1237
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0190  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0200  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0210  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0220  Memorandum item: Collateral 
received on loans and advances - 
uncapped amounts  Annex V.Part 2.319, 
326, 327  Annex V.Part 2.319, 
326, 327  
0230  of which: Immovable property 
collateral  Annex V.Part 2.319, 
326, 327  Annex V.Part 2.319, 
326, 327
EN L 97/1238 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0010  Financial guarantees received on 
loans and advances  Annex V.Part 2.319, 
326  Annex V.Part 2.319, 
326  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)
EN 19.3.2021 Official Journal of the European Union L 97/1239
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0080  Collateral received on loans and 
advances  Annex V.Part 2.319, 
326  Annex V.Part 2.319, 
326  
0090  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0100  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0110  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0120  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1240 Official Journal of the European Union 19.3.2021
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0130  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0140  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0150  Immovable property collateral 
received on loans and advances  Annex V.Part 2.319, 
326  Annex V.Part 2.319, 
326  
0160  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0170  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0180  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)
EN 19.3.2021 Official Journal of the European Union L 97/1241
 Maximum amount of the collateral or guarantee that can be considered  
Annex V.Part 2.171-172, 174  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0190  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0200  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0210  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix  
0220  Memorandum item: Collateral 
received on loans and advances - 
uncapped amounts  Annex V.Part 2.319, 
326, 327  Annex V.Part 2.319, 
326, 327  
0230  of which: Immovable property 
collateral  Annex V.Part 2.319, 
326, 327  Annex V.Part 2.319, 
326, 327
EN L 97/1242 Official Journal of the European Union 19.3.2021
 23.6  Loans and advances: Accumulated partial write-offs  
Accumulated partial write-offs  
(Annex V.Part 2.72, 74)  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1243
 Accumulated partial write-offs  
(Annex V.Part 2.72, 74)  
Performing  
of which: Exposures with 
forbearance measures  of which: Past due > 30 
days <= 90 days  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-239  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
References National GAAP 
based on BAD  Annex V.Part 1.32  Annex V. Part 2. 256, 
259-263  Annex V. Part 2. 213- 
216, 226-232  Annex V. Part 2. 222, 
235  Annex V. Part 2. 259- 
261  
0010  0020  0030  0040  0050  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1244 Official Journal of the European Union 19.3.2021
 Accumulated partial write-offs  
(Annex V.Part 2.72, 74)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1245
 Accumulated partial write-offs  
(Annex V.Part 2.72, 74)  
Non Performing  
Unlikely to pay that are not past due or past due <= 90 
days  
of which: Exposures with 
forbearance measures  of which: Exposures with 
forbearance measures  
References National GAAP 
compatible IFRS  Annex V. Part 2. 213-216, 
226-239  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
References National GAAP 
based on BAD  Annex V. Part 2. 213-216, 
226-232  Annex V. Part 2.256, 259- 
262  Annex V. Part 2.222, 235- 
236  Annex V. Part 2.222, 235- 
236, 256, 259-262  
0060  0070  0080  0090  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1246 Official Journal of the European Union 19.3.2021
 Accumulated partial write-offs  
(Annex V.Part 2.72, 74)  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0010  Loans and advances  Annex V.Part 1.32, 
44(a), Part 2.319  Annex V.Part 1.32, 
44(a), Part 2.319  
0020  of which: Households  Annex V.Part 1.42(f)  Annex V.Part 1.42(f)  
0030  of which: Loans collateralised 
by residential immovable 
property  Annex V.Part 2.86(a), 
87 Annex V.Part 2.86(a), 
87 
0040  of which: Non-financial corpor ­
ations - SMEs  Annex V.Part 1.42(e), 
SME Art 1 2(a)  Annex V.Part 1.42(e), 
SME Art 1 2(a)  
0050  of which: Commercial Real 
Estate (CRE) loans to SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN 19.3.2021 Official Journal of the European Union L 97/1247
 Accumulated partial write-offs  
(Annex V.Part 2.72, 74)  
Non Performing  
Past due > 90 days  
of which: 
Exposures with 
forbearance 
measures  Past due > 90 
days <= 180 
days  Past due > 
180 days <= 
1 year  Past due > 1 
years <=2 
years  Past due > 2 
years <=5 
years  Past due > 5 
years <=7 
years  Past due > 7 
years  
References National GAAP 
compatible IFRS  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
References National GAAP 
based on BAD  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236, 256, 
259-262  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  Annex V. Part 
2.222, 235- 
236  
0100  0110  0120  0130  0140  0150  0160  0170  
0060  of which: Non-financial corpor ­
ations - other than SMEs  Annex V.Part 1.42(e)  Annex V.Part 1.42(e)  
0070  of which: Commercial Real 
Estate (CRE) loans to NFCs 
other than SMEs  Annex V.Part 2.239ix  Annex V.Part 2.239ix
EN L 97/1248 Official Journal of the European Union 19.3.2021
 24. Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year  
24.1  Loans and advances: Inflows and outflows of non-performing exposures  
References 
National GAAP 
based on BAD  References National 
GAAP compatible 
IFRS  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: 
CRE loans to 
NFCs other 
than SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0010  Opening balance  Annex V.Part 
2.328  Annex V.Part 
2.328  
0020  Inflows  Annex V.Part 
2.239ii, 
239iii, 239vi, 
329  Annex V.Part 
2.239ii, 239iii, 
239vi, 329  
0030  Inflow due to reclassification 
from performing not forborne  Annex V.Part 
2.239ii, 
239iii, 239vi, 
329  Annex V.Part 
2.239ii, 239iii, 
239vi, 329
EN 19.3.2021 Official Journal of the European Union L 97/1249
 References 
National GAAP 
based on BAD  References National 
GAAP compatible 
IFRS  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: 
CRE loans to 
NFCs other 
than SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0040  Inflow due to reclassification 
from performing forborne  Annex V.Part 
2.239ii, 
239iii, 239vi, 
329  Annex V.Part 
2.239ii, 239iii, 
239vi, 329  
0050  of which: reclassified from 
performing forborne 
exposures under probation 
previously reclassified from 
non-performing  Annex V.Part 
2.239ii, 
239iii, 239vi, 
329(b)  Annex V.Part 
2.239ii, 239iii, 
239vi, 329(b)  
0060  Inflow due to purchase of 
exposures  Annex V.Part 
2.239ii, 
239iii, 239vi, 
329  Annex V.Part 
2.239ii, 239iii, 
239vi, 329  
0070  Inflow due to accrued interest  Annex V.Part 
2.239ii, 
239iii, 239vi, 
329 (a)  Annex V.Part 
2.239ii, 239iii, 
239vi, 329 (a)
EN L 97/1250 Official Journal of the European Union 19.3.2021
 References 
National GAAP 
based on BAD  References National 
GAAP compatible 
IFRS  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: 
CRE loans to 
NFCs other 
than SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0080  Inflow due to other reasons  Annex V.Part 
2.239ii, 
239iii, 239vi, 
329 (c)  Annex V.Part 
2.239ii, 239iii, 
239vi, 329 (c)  
0090  Of which: Inflow more than once  Annex V.Part 
2.239ii, 
239iii, 239vi, 
330 (a)  Annex V.Part 
2.239ii, 239iii, 
239vi, 330 (a)  
0100  Of which: Inflow of exposures 
granted in the past 24 months  Annex V.Part 
2.239ii, 
239iii, 239vi, 
330 (b)  Annex V.Part 
2.239ii, 239iii, 
239vi, 330 (b)  
0110  Of which: Inflow of exposures 
granted during the period  Annex V.Part 
2.239ii, 
239iii, 239vi, 
330 (b)  Annex V.Part 
2.239ii, 239iii, 
239vi, 330 (b)
EN 19.3.2021 Official Journal of the European Union L 97/1251
 References 
National GAAP 
based on BAD  References National 
GAAP compatible 
IFRS  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: 
CRE loans to 
NFCs other 
than SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0120  Outflows  Annex V.Part 
2.239iii-239v, 
331, 332  Annex V.Part 
2.239iii-239v, 
331, 332  
0130  Outflow due to reclassification 
as performing not forborne  Annex V.Part 
2.239iii- 
239v(a), 331, 
332  Annex V.Part 
2.239iii-239v(a), 
331, 332  
0140  Outflow due to reclassification 
as performing forborne  Annex V.Part 
2.239iii- 
239v(a), 331, 
332  Annex V.Part 
2.239iii-239v(a), 
331, 332  
0150  Outflow due to partial or total 
loan repayment  Annex V.Part 
2.239iii- 
239v(b), 331, 
332  Annex V.Part 
2.239iii-239v(b), 
331, 332
EN L 97/1252 Official Journal of the European Union 19.3.2021
 References 
National GAAP 
based on BAD  References National 
GAAP compatible 
IFRS  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: 
CRE loans to 
NFCs other 
than SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0160  Outflow due to collateral 
liquidations  Annex V.Part 
2.239iii- 
239v(c), 331, 
332  Annex V.Part 
2.239iii-239v(c), 
331, 332  
0170  Net cumulated recoveries from 
collateral liquidation  Annex V.Part 
2.333  Annex V.Part 
2.333  
0180  of which: Write-offs in the context 
of collateral liquidations  Annex V.Part 
2.239iii- 
239v(c)  Annex V.Part 
2.239iii-239v(c)  
0190  Outflow due to taking 
possession of collateral  Annex V.Part 
2.239iii- 
239v(d), 331, 
332  Annex V.Part 
2.239iii-239v(d), 
331, 332
EN 19.3.2021 Official Journal of the European Union L 97/1253
 References 
National GAAP 
based on BAD  References National 
GAAP compatible 
IFRS  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: 
CRE loans to 
NFCs other 
than SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0200  Net cumulated recoveries from 
taking possession of collateral  Annex V.Part 
2.333  Annex V.Part 
2.333  
0210  of which: Write-offs in the context 
of taking possession of collateral  Annex V.Part 
2.239iii- 
239v(d)  Annex V.Part 
2.239iii-239v(d)  
0220  Outflow due to sale of instru ­
ments  Annex V.Part 
2.239iii- 
239v(e), 331, 
332  Annex V.Part 
2.239iii-239v(e), 
331, 332  
0230  Net cumulated recoveries from sale 
of instruments  Annex V.Part 
2.333  Annex V.Part 
2.333
EN L 97/1254 Official Journal of the European Union 19.3.2021
 References 
National GAAP 
based on BAD  References National 
GAAP compatible 
IFRS  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: 
CRE loans to 
NFCs other 
than SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0240  of which: Write-offs in the context 
of sale of instruments  Annex V.Part 
2.239iii- 
239v(e)  Annex V.Part 
2.239iii-239v(e)  
0250  Outflow due to risk transfers  Annex V.Part 
2.239iii- 
239v(f), 331, 
332  Annex V.Part 
2.239iii-239v(f), 
331, 332  
0260  Net cumulated recoveries from risk 
transfers  Annex V.Part 
2.333  Annex V.Part 
2.333  
0270  of which: Write-offs in the context 
of risk transfers  Annex V.Part 
2.239iii- 
239v(f)  Annex V.Part 
2.239iii-239v(f)
EN 19.3.2021 Official Journal of the European Union L 97/1255
 References 
National GAAP 
based on BAD  References National 
GAAP compatible 
IFRS  Gross Carrying amount  
(Annex V. Part 1.34)  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  
of which: 
CRE loans to 
NFCs other 
than SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0280  Outflow due to write-offs  Annex V.Part 
2.239iii- 
239v(g), 331, 
332  Annex V.Part 
2.239iii-239v(g), 
331, 332  
0290  Outflow due to reclassification 
as held for sale  Annex V.Part 
2.239iii- 
239vi, 331, 
332  Annex V.Part 
2.239iii-239vi, 
331, 332  
0300  Outflow due to other reasons  Annex V.Part 
2.239iii- 
239v(h), 331, 
332  Annex V.Part 
2.239iii-239v(h), 
331, 332  
0310  Of which: Outflow of non- 
performing exposures that became 
non-performing during the period  Annex V.Part 
2.334  Annex V.Part 
2.334  
0320  Closing balance  Annex V.Part 
2.328  Annex V.Part 
2.328
EN L 97/1256 Official Journal of the European Union 19.3.2021
 24.2  Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing ex posures  
References 
National GAAP 
based on BAD  References National 
GAAP compatible 
IFRS  Accumulated impairment and accumulated negative changes in fair value due to credit risk  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans 
to NFCs 
other than 
SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, Part 2.69- 
71, 213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
Annex V.Part 
1.32, Part 2.69- 
71, 213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0010  Opening balance  Annex V.Part 
2.335  Annex V.Part 
2.335  
0020  Increases during the period  Annex V.Part 
2.336  Annex V.Part 
2.336  
0030  Of which: impairments against 
interest accrued  Annex V.Part 
2.337  Annex V.Part 
2.337  
0040  Decreases during the period  Annex V.Part 
2.338  Annex V.Part 
2.338
EN 19.3.2021 Official Journal of the European Union L 97/1257
 References 
National GAAP 
based on BAD  References National 
GAAP compatible 
IFRS  Accumulated impairment and accumulated negative changes in fair value due to credit risk  
Non-performing exposures - loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  of which: SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans 
to NFCs 
other than 
SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex V.Part 
1.32, Part 2.69- 
71, 213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
Annex V.Part 
1.32, Part 2.69- 
71, 213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0050  Of which: Reversal of 
impairment and negative 
changes in fair value due to 
credit risk  Annex V.Part 
2.339(a)  Annex V.Part 
2.339(a)  
0060  Of which: Release of 
allowances due to unwinding 
process  Annex V.Part 
2.339(b)  Annex V.Part 
2.339(b)  
0070  Closing balance  Annex V.Part 
2.335  Annex V.Part 
2.335
EN L 97/1258 Official Journal of the European Union 19.3.2021
 24.3  Loans and advances: Write-offs of non-performing exposures during the period  
References 
National GAAP 
based on BAD  References National 
GAAP compatible 
IFRS  Gross Carrying amount  
Non-performing exposures - Loans and advances  
of which: Households  of which: Non-financial corporations  
of which: 
Loans collat ­
eralised by 
residential 
immovable 
property  Of which: SMEs  Of which: 
Commercial 
Real Estate 
(CRE) loans 
to NFCs 
other than 
SMEs  Of which: 
Commercial 
Real Estate 
(CRE) loans 
to SMEs  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
Annex V.Part 
1.32, 34, Part 
2.213-216, 
223-239  Annex V.Part 
1.42(f), 44(a)  Annex V.Part 
2.86(a), 87  Annex V.Part 
1.42(e), 44(a)  SME Art 1 
2(a)  SME Art 1 
2(a), Annex 
V.Part 2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0010  Write-offs during the period  Annex V.Part 
2.340  Annex V.Part 
2.340  
0020  Of which: Debt forgiveness  Annex V.Part 
2.340  Annex V.Part 
2.340
EN 19.3.2021 Official Journal of the European Union L 97/1259
 25. Collateral obtained by taking possession and execution processes  
25.1  Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Debt balance reduction  Collateral obtained by taking possession other than collateral 
classified as Property Plant and Equipment (PP&E)  
Time passed since recognition 
in balance sheet  
<= 2 years  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative 
changes in fair 
value due to 
credit risk  Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.69-71, 343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  
0010  0020  0030  0040  0050  0060  
0010  Opening balance  Annex V.Part 2.341, 
342  Annex V.Part 2.341, 
342  
0020  Inflows of collateral during the period  Annex V.Part 2.345, 
349  Annex V.Part 2.345, 
349  
0030  Inflow due to new collateral obtained by 
taking possession  Annex V.Part 2.345, 
349  Annex V.Part 2.345, 
349  
0040  Inflow due to positive changes in value  Annex V.Part 2.345, 
349  Annex V.Part 2.345, 
349
EN L 97/1260 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Debt balance reduction  Collateral obtained by taking possession other than collateral 
classified as Property Plant and Equipment (PP&E)  
Time passed since recognition 
in balance sheet  
<= 2 years  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative 
changes in fair 
value due to 
credit risk  Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.69-71, 343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  
0010  0020  0030  0040  0050  0060  
0050  Outflows of collateral during the period  Annex V.Part 2.346, 
349  Annex V.Part 2.346, 
349  
0060  Outflow for which cash was collected  Annex V.Part 2.347, 
349  Annex V.Part 2.347, 
349  
0070  Cash collected net of costs  Annex V.Part 2.347  Annex V.Part 2.347  
0080  Profits/(-) losses from sale of 
collateral obtained by taking 
possession  Annex V.Part 2.347  Annex V.Part 2.347
EN 19.3.2021 Official Journal of the European Union L 97/1261
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Debt balance reduction  Collateral obtained by taking possession other than collateral 
classified as Property Plant and Equipment (PP&E)  
Time passed since recognition 
in balance sheet  
<= 2 years  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative 
changes in fair 
value due to 
credit risk  Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.69-71, 343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  
0010  0020  0030  0040  0050  0060  
0090  Outflow with replacement by financial 
instrument  Annex V.Part 2.346, 
349  Annex V.Part 2.346, 
349  
0100  Financing granted  Annex V.Part 2.347  Annex V.Part 2.347  
0110  Outflow due to negative changes in 
value  Annex V.Part 2.346, 
349  Annex V.Part 2.346, 
349  
0120  Closing balance  Annex V.Part 2.341, 
342  Annex V.Part 2.341, 
342
EN L 97/1262 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E)  
Time passed since recognition in balance sheet  Of which: Non-current assets 
held-for-sale  > 2 years <= 5 years  > 5 years  
Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  IFRS 5.6, Annex 
V.Part 2.175, 
175i, 344  IFRS 5.6, Annex 
V.Part 1.27, Part 
2.175  
Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 352  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  
0070  0080  0090  0100  0110  0120  
0010  Opening balance  Annex V.Part 2.341, 
342  Annex V.Part 2.341, 
342  
0020  Inflows of collateral during the period  Annex V.Part 2.345, 
349  Annex V.Part 2.345, 
349  
0030  Inflow due to new collateral obtained by 
taking possession  Annex V.Part 2.345, 
349  Annex V.Part 2.345, 
349  
0040  Inflow due to positive changes in value  Annex V.Part 2.345, 
349  Annex V.Part 2.345, 
349
EN 19.3.2021 Official Journal of the European Union L 97/1263
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E)  
Time passed since recognition in balance sheet  Of which: Non-current assets 
held-for-sale  > 2 years <= 5 years  > 5 years  
Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  IFRS 5.6, Annex 
V.Part 2.175, 
175i, 344  IFRS 5.6, Annex 
V.Part 1.27, Part 
2.175  
Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 352  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  
0070  0080  0090  0100  0110  0120  
0050  Outflows of collateral during the period  Annex V.Part 2.346, 
349  Annex V.Part 2.346, 
349  
0060  Outflow for which cash was collected  Annex V.Part 2.347, 
349  Annex V.Part 2.347, 
349  
0070  Cash collected net of costs  Annex V.Part 2.347  Annex V.Part 2.347  
0080  Profits/(-) losses from sale of 
collateral obtained by taking 
possession  Annex V.Part 2.347  Annex V.Part 2.347
EN L 97/1264 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E)  
Time passed since recognition in balance sheet  Of which: Non-current assets 
held-for-sale  > 2 years <= 5 years  > 5 years  
Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  Value at initial 
recognition  Carrying 
amount  
Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  IFRS 5.6, Annex 
V.Part 2.175, 
175i, 344  IFRS 5.6, Annex 
V.Part 1.27, Part 
2.175  
Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 352  Annex V.Part 
2.175, 175i, 
348  Annex V.Part 
1.27, Part 
2.175, 348  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  
0070  0080  0090  0100  0110  0120  
0090  Outflow with replacement by financial 
instrument  Annex V.Part 2.346, 
349  Annex V.Part 2.346, 
349  
0100  Financing granted  Annex V.Part 2.347  Annex V.Part 2.347  
0110  Outflow due to negative changes in 
value  Annex V.Part 2.346, 
349  Annex V.Part 2.346, 
349  
0120  Closing balance  Annex V.Part 2.341, 
342  Annex V.Part 2.341, 
342
EN 19.3.2021 Official Journal of the European Union L 97/1265
 25.2  Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of coll ateral obtained  
References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Debt balance reduction  Collateral obtained by taking possession other than collateral 
classified as Property Plant and Equipment (PP&E)  
Time passed 
since recog ­
nition in 
balance sheet  
<= 2 years  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative 
changes in fair 
value due to 
credit risk  Value at initial 
recognition  Carrying 
amount  Accumulated 
negative 
changes  Value at initial 
recognition  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.69-71, 343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175ii  Annex V.Part 
2.175, 175i, 
348  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175ii  Annex V.Part 
2.175, 175i, 
348  
0010  0020  0030  0040  0050  0060  
0010  Residential immovable property  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0020  Of which: under construction / development  Annex V. Part 2.350, 
352(a)  Annex V. Part 2.350, 
352(a)  
0030  Commercial immovable property  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0040  Of which: under construction / development  Annex V. Part 2.350, 
352(a)  Annex V. Part 2.350, 
352(a)
EN L 97/1266 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Debt balance reduction  Collateral obtained by taking possession other than collateral 
classified as Property Plant and Equipment (PP&E)  
Time passed 
since recog ­
nition in 
balance sheet  
<= 2 years  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative 
changes in fair 
value due to 
credit risk  Value at initial 
recognition  Carrying 
amount  Accumulated 
negative 
changes  Value at initial 
recognition  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.69-71, 343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175ii  Annex V.Part 
2.175, 175i, 
348  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175ii  Annex V.Part 
2.175, 175i, 
348  
0010  0020  0030  0040  0050  0060  
0050  Of which: Land related to commercial real 
estate corporations (excluding agricultural 
land)  Annex V. Part 2.350, 
352(b)  Annex V. Part 2.350, 
352(b)  
0060  Of which: Land with planning permission for 
development  Annex V. Part 2.350, 
352(b)  Annex V. Part 2.350, 
352(b)  
0070  Of which: Land without planning permission 
for development  Annex V. Part 2.350, 
352(b)  Annex V. Part 2.350, 
352(b)  
0080  Movable property  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351
EN 19.3.2021 Official Journal of the European Union L 97/1267
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Debt balance reduction  Collateral obtained by taking possession other than collateral 
classified as Property Plant and Equipment (PP&E)  
Time passed 
since recog ­
nition in 
balance sheet  
<= 2 years  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative 
changes in fair 
value due to 
credit risk  Value at initial 
recognition  Carrying 
amount  Accumulated 
negative 
changes  Value at initial 
recognition  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.69-71, 343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175ii  Annex V.Part 
2.175, 175i, 
348  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.175, 175i, 
344  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175ii  Annex V.Part 
2.175, 175i, 
348  
0010  0020  0030  0040  0050  0060  
0090  Equity and debt securities  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0100  Other  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0110  Total  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0120  Number of Collateral obtained by taking 
possession  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351
EN L 97/1268 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E)  
Time passed since recognition in balance sheet  
<= 2 years  > 2 years <= 5 years  
Carrying amount  Accumulated 
negative changes  Value at initial 
recognition  Carrying amount  Accumulated 
negative changes  
Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  
Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  
0070  0080  0090  0100  0110  
0010  Residential immovable property  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0020  Of which: under construction / development  Annex V. Part 2.350, 
352(a)  Annex V. Part 2.350, 
352(a)  
0030  Commercial immovable property  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0040  Of which: under construction / development  Annex V. Part 2.350, 
352(a)  Annex V. Part 2.350, 
352(a)
EN 19.3.2021 Official Journal of the European Union L 97/1269
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E)  
Time passed since recognition in balance sheet  
<= 2 years  > 2 years <= 5 years  
Carrying amount  Accumulated 
negative changes  Value at initial 
recognition  Carrying amount  Accumulated 
negative changes  
Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  
Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  
0070  0080  0090  0100  0110  
0050  Of which: Land related to commercial real 
estate corporations (excluding agricultural 
land)  Annex V. Part 2.350, 
352(b)  Annex V. Part 2.350, 
352(b)  
0060  Of which: Land with planning permission for 
development  Annex V. Part 2.350, 
352(b)  Annex V. Part 2.350, 
352(b)  
0070  Of which: Land without planning permission 
for development  Annex V. Part 2.350, 
352(b)  Annex V. Part 2.350, 
352(b)  
0080  Movable property  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351
EN L 97/1270 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E)  
Time passed since recognition in balance sheet  
<= 2 years  > 2 years <= 5 years  
Carrying amount  Accumulated 
negative changes  Value at initial 
recognition  Carrying amount  Accumulated 
negative changes  
Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  
Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  
0070  0080  0090  0100  0110  
0090  Equity and debt securities  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0100  Other  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0110  Total  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0120  Number of Collateral obtained by taking 
possession  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351
EN 19.3.2021 Official Journal of the European Union L 97/1271
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E)  
Time passed since recognition in balance sheet  Of which: Non-current assets held-for- 
sale  > 5 years  
Value at initial 
recognition  Carrying amount  Accumulated 
negative changes  Value at initial 
recognition  Carrying amount  
Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  IFRS 5.6, Annex 
V.Part 2.175, 175i  IFRS 5.6, Annex 
V.Part 1.27, Part 
2.175  
Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  Annex V.Part 2.175, 
175i  Annex V.Part 1.27, 
Part 2.175  
0120  0130  0140  0150  0160  
0010  Residential immovable property  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0020  Of which: under construction / development  Annex V. Part 2.350, 
352(a)  Annex V. Part 2.350, 
352(a)  
0030  Commercial immovable property  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0040  Of which: under construction / development  Annex V. Part 2.350, 
352(a)  Annex V. Part 2.350, 
352(a)
EN L 97/1272 Official Journal of the European Union 19.3.2021
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E)  
Time passed since recognition in balance sheet  Of which: Non-current assets held-for- 
sale  > 5 years  
Value at initial 
recognition  Carrying amount  Accumulated 
negative changes  Value at initial 
recognition  Carrying amount  
Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  IFRS 5.6, Annex 
V.Part 2.175, 175i  IFRS 5.6, Annex 
V.Part 1.27, Part 
2.175  
Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  Annex V.Part 2.175, 
175i  Annex V.Part 1.27, 
Part 2.175  
0120  0130  0140  0150  0160  
0050  Of which: Land related to commercial real 
estate corporations (excluding agricultural 
land)  Annex V. Part 2.350, 
352(b)  Annex V. Part 2.350, 
352(b)  
0060  Of which: Land with planning permission for 
development  Annex V. Part 2.350, 
352(b)  Annex V. Part 2.350, 
352(b)  
0070  Of which: Land without planning permission 
for development  Annex V. Part 2.350, 
352(b)  Annex V. Part 2.350, 
352(b)  
0080  Movable property  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351
EN 19.3.2021 Official Journal of the European Union L 97/1273
 References National 
GAAP based on BAD  References National 
GAAP compatible IFRS  Collateral obtained by taking possession other than collateral classified as Property Plant and 
Equipment (PP&E)  
Time passed since recognition in balance sheet  Of which: Non-current assets held-for- 
sale  > 5 years  
Value at initial 
recognition  Carrying amount  Accumulated 
negative changes  Value at initial 
recognition  Carrying amount  
Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  IFRS 5.6, Annex 
V.Part 2.175, 175i  IFRS 5.6, Annex 
V.Part 1.27, Part 
2.175  
Annex V.Part 2.175, 
175i, 348  Annex V.Part 1.27, 
Part 2.175, 348  Annex V.Part 2.175, 
175ii, 348  Annex V.Part 2.175, 
175i  Annex V.Part 1.27, 
Part 2.175  
0120  0130  0140  0150  0160  
0090  Equity and debt securities  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0100  Other  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0110  Total  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351  
0120  Number of Collateral obtained by taking 
possession  Annex V. Part 2.350, 
351  Annex V. Part 2.350, 
351
EN L 97/1274 Official Journal of the European Union 19.3.2021
 25.3  Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)  
References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Debt balance reduction  Collateral obtained by taking possession classified 
as Property Plant and Equipment (PP&E)  
Gross carrying 
amount  Accumulated 
impairment, 
accumulated 
negative changes 
in fair value due 
to credit risk  Value at initial 
recognition  Carrying amount  Accumulated 
negative changes  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.69-71, 343  IAS 16.6, Annex 
V.Part 2.175, 
175i  IAS 16.6, Annex 
V.Part 1.27, Part 
2.175  IAS 16.6, Annex 
V.Part 2.175, 
175ii  
Annex V.Part 
1.34, Part 2.343  Annex V.Part 
1.34, Part 2.343  Annex V.Part 
2.175, 175i  Annex V.Part 
1.27, Part 2.175  Annex V.Part 
2.175, 175ii  
0010  0020  0030  0040  0050  
0010  Total  Annex V.Part 2.341, 
357-358  Annex V.Part 2.341, 
357-358  
0020  Inflows due to new collateral obtained by 
taking possession  Annex V.Part 2.341, 
345, 357-358  Annex V.Part 2.341, 
345, 357-358
EN 19.3.2021 Official Journal of the European Union L 97/1275
 26. Forbearance management and quality of forbearance  
References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Loans and advances with forbearance measures  
of which: Households  
of which: performing  of which: having 
been granted 
forbearance measures 
during the period  
Annex V.Part 1.32, 
Part 2.240-245, 252- 
257  Annex V.Part 2.256, 
259-261  Annex V.Part 2.361  Annex V.Part 1.32, 
42(f), 44(a), Part 
2.240-245, 252-257  
Annex V.Part 1.32, 
Part 2.240-245, 252- 
257  Annex V.Part 2.256, 
259-261  Annex V.Part 2.361  Annex V.Part 1.32, 
42(f), 44(a), Part 
2.240-245, 252-257  
0010  0020  0030  0040  
0010  Number of instruments  Annex V. Part 2.320, 355, 
356  Annex V. Part 2.320, 355, 356  
0020  Gross carrying amount of instruments , 
for the following types of forbearance 
measures:  Annex V.Part 1.34, Part 2.355, 
357, 359  Annex V.Part 1.34, Part 2.355, 
357, 359  
0030  Grace period/payment moratorium  Annex V.Part 2.358(a)  Annex V.Part 2.358(a)  
0040  Interest rate reduction  Annex V.Part 2.358(b)  Annex V.Part 2.358(b)  
0050  Extension of maturity/term  Annex V.Part 2.358(c)  Annex V.Part 2.358(c)
EN L 97/1276 Official Journal of the European Union 19.3.2021
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Loans and advances with forbearance measures  
of which: Households  
of which: performing  of which: having 
been granted 
forbearance measures 
during the period  
Annex V.Part 1.32, 
Part 2.240-245, 252- 
257  Annex V.Part 2.256, 
259-261  Annex V.Part 2.361  Annex V.Part 1.32, 
42(f), 44(a), Part 
2.240-245, 252-257  
Annex V.Part 1.32, 
Part 2.240-245, 252- 
257  Annex V.Part 2.256, 
259-261  Annex V.Part 2.361  Annex V.Part 1.32, 
42(f), 44(a), Part 
2.240-245, 252-257  
0010  0020  0030  0040  
0060  Rescheduled payments  Annex V.Part 2.358(d)  Annex V.Part 2.358(d)  
0070  Debt forgiveness  Annex V.Part 2.358(e)  Annex V.Part 2.358(e)  
0080  Debt asset swaps  Annex V.Part 2.358(f)  Annex V.Part 2.358(f)  
0090  Other forbearance measures  Annex V.Part 2.358(g)  Annex V.Part 2.358(g)  
Gross carrying amount of instruments 
that were subject to forbearance 
measures at multiple points in time  Annex V.Part 1.34, Part 2.355  Annex V.Part 1.34, Part 2.355  
0100  Loans and advances having been 
forborne twice  Annex V.Part 2.360(a)(i)  Annex V.Part 2.360(a)(i)
EN 19.3.2021 Official Journal of the European Union L 97/1277
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Loans and advances with forbearance measures  
of which: Households  
of which: performing  of which: having 
been granted 
forbearance measures 
during the period  
Annex V.Part 1.32, 
Part 2.240-245, 252- 
257  Annex V.Part 2.256, 
259-261  Annex V.Part 2.361  Annex V.Part 1.32, 
42(f), 44(a), Part 
2.240-245, 252-257  
Annex V.Part 1.32, 
Part 2.240-245, 252- 
257  Annex V.Part 2.256, 
259-261  Annex V.Part 2.361  Annex V.Part 1.32, 
42(f), 44(a), Part 
2.240-245, 252-257  
0010  0020  0030  0040  
0110  Loans and advances having been 
forborne more than twice  Annex V.Part 2.360(a)(i)  Annex V.Part 2.360(a)(i)  
0120  Loans and advances to which 
forbearance measures were granted in 
addition to already existing forbearance 
measures  Annex V.Part 2.360(a)(ii)  Annex V.Part 2.360(a)(ii)  
0130  Gross carrying amount of non- 
performing forborne loans and advances 
that failed to meet the non-performing 
exit criteria  Annex V.Part 1.34, Part 2.232, 
355, 360(b)  Annex V.Part 1.34, Part 2.232, 
355, 360(b)
EN L 97/1278 Official Journal of the European Union 19.3.2021
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Loans and advances with forbearance measures  
of which: Households  of which: Non-financial corporations  
of which: 
performing  of which: having 
been granted 
forbearance 
measures during 
the period  of which: 
performing  of which: having 
been granted 
forbearance 
measures during 
the period  
Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 44(a), 
Part 2.240-245, 
252-257  Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  
Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 44(a), 
Part 2.240-245, 
252-257  Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  
0050  0060  0070  0080  0090  
0010  Number of instruments  Annex V. Part 2.320, 355, 
356  Annex V. Part 2.320, 355, 356  
0020  Gross carrying amount of instruments , 
for the following types of forbearance 
measures:  Annex V.Part 1.34, Part 2.355, 
357, 359  Annex V.Part 1.34, Part 2.355, 
357, 359  
0030  Grace period/payment moratorium  Annex V.Part 2.358(a)  Annex V.Part 2.358(a)  
0040  Interest rate reduction  Annex V.Part 2.358(b)  Annex V.Part 2.358(b)  
0050  Extension of maturity/term  Annex V.Part 2.358(c)  Annex V.Part 2.358(c)
EN 19.3.2021 Official Journal of the European Union L 97/1279
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Loans and advances with forbearance measures  
of which: Households  of which: Non-financial corporations  
of which: 
performing  of which: having 
been granted 
forbearance 
measures during 
the period  of which: 
performing  of which: having 
been granted 
forbearance 
measures during 
the period  
Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 44(a), 
Part 2.240-245, 
252-257  Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  
Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 44(a), 
Part 2.240-245, 
252-257  Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  
0050  0060  0070  0080  0090  
0060  Rescheduled payments  Annex V.Part 2.358(d)  Annex V.Part 2.358(d)  
0070  Debt forgiveness  Annex V.Part 2.358(e)  Annex V.Part 2.358(e)  
0080  Debt asset swaps  Annex V.Part 2.358(f)  Annex V.Part 2.358(f)  
0090  Other forbearance measures  Annex V.Part 2.358(g)  Annex V.Part 2.358(g)  
Gross carrying amount of instruments 
that were subject to forbearance 
measures at multiple points in time  Annex V.Part 1.34, Part 2.355  Annex V.Part 1.34, Part 2.355  
0100  Loans and advances having been 
forborne twice  Annex V.Part 2.360(a)(i)  Annex V.Part 2.360(a)(i)
EN L 97/1280 Official Journal of the European Union 19.3.2021
 References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Loans and advances with forbearance measures  
of which: Households  of which: Non-financial corporations  
of which: 
performing  of which: having 
been granted 
forbearance 
measures during 
the period  of which: 
performing  of which: having 
been granted 
forbearance 
measures during 
the period  
Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 44(a), 
Part 2.240-245, 
252-257  Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  
Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  Annex V.Part 
1.32, 42(e), 44(a), 
Part 2.240-245, 
252-257  Annex V.Part 
2.256, 259-261  Annex V.Part 
2.361  
0050  0060  0070  0080  0090  
0110  Loans and advances having been 
forborne more than twice  Annex V.Part 2.360(a)(i)  Annex V.Part 2.360(a)(i)  
0120  Loans and advances to which 
forbearance measures were granted in 
addition to already existing forbearance 
measures  Annex V.Part 2.360(a)(ii)  Annex V.Part 2.360(a)(ii)  
0130  Gross carrying amount of non- 
performing forborne loans and advances 
that failed to meet the non-performing 
exit criteria  Annex V.Part 1.34, Part 2.232, 
355, 360(b)  Annex V.Part 1.34, Part 2.232, 
355, 360(b)
EN 19.3.2021 Official Journal of the European Union L 97/1281
 30. Off-balance sheet activities: Interests in unconsolidated structured entities  
30.1  Interests in unconsolidated structured entities  
References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS
 
Carrying amount of financial 
assets recognised in the balance 
sheet  
Of which: liquidity support 
drawn  
Fair value of liquidity support 
drawn  
Carrying amount of financial 
liabilities recognised in the 
balance sheet  
Nominal amount of off-balance 
sheet exposures given by the 
reporting institution  
Of which: Nominal amount 
of loan commitments given  
Losses incurred by the 
reporting institution in the 
current period 
IFRS 12.29(a)  IFRS 12.29(a); 
Annex V.Part 
2.286  IFRS 12.29(a)  IFRS 12.B26(e)  IFRS 12 B26(b); 
Annex V.Part 
2.287  
0010  0020  0030  0040  0050  0060  0080  
0010  Total
EN L 97/1282 Official Journal of the European Union 19.3.2021
 30.2  Breakdown of interests in unconsolidated structured entities by nature of the activities  
By nature of the activities  References National GAAP based on 
BAD  References National GAAP compatible 
IFRS  Carrying amount  
Securiti­
sation 
Special 
Purpose 
Entities  Asset 
management  Other 
activities  
CRR art 
4(1)(66)  Annex V.Part 
2.285(a)  
IFRS 12.24, B6.(a)  0010  0020  0030  
0010  Selected financial assets recognised in the 
reporting institution's balance sheet  IFRS 12.29(a),(b)  
0021  of which: non-performing  Annex V.Part 2.213-239  Annex V.Part 2.213-239  
0030  Derivatives  CRR Annex II; Annex V.Part 2.272  IFRS 9 Appendix A; Annex V.Part 
2.272  
0040  Equity instruments  ECB/2013/33 Annex 2.Part 2.4-5  IAS 32.11  
0050  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0060  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  
0070  Selected equity and financial liabilites recognised 
in the reporting institution's balance sheet  IFRS 12.29(a),(b)  
0080  Equity instruments issued  IAS 32.11  
0090  Derivatives  CRR Annex II; Annex V.Part 1.24(a), 
25, 26, Part 2.272  IFRS 9 Appendix A; Annex V.Part 
2.272  
0100  Deposits  ECB/2013/33 Annex 2.Part 2.9; 
Annex V.Part 1.36  ECB/2013/33 Annex 2.Part 2.9; 
Annex V.Part 1.36
EN 19.3.2021 Official Journal of the European Union L 97/1283
 By nature of the activities  References National GAAP based on 
BAD  References National GAAP compatible 
IFRS  Carrying amount  
Securiti­
sation 
Special 
Purpose 
Entities  Asset 
management  Other 
activities  
CRR art 
4(1)(66)  Annex V.Part 
2.285(a)  
IFRS 12.24, B6.(a)  0010  0020  0030  
0110  Debt securities issued  Annex V.Part 1.37  Annex V.Part 1.37  
Nominal amount  
0120  Off-balance sheet exposures given by the 
reporting institution  CRR Annex I; Annex V.Part 2.112, 
113-115, 118  IFRS 12.B26.(e); CRR Annex I; Annex 
V.Part 2.102-105, 113-115, 118  
0131  of which: non-performing  Annex V.Part 2.117  Annex V.Part 2.117
EN L 97/1284 Official Journal of the European Union 19.3.2021
 31. Related parties  
31.1  Related parties: amounts payable to and amounts receivable from  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Outstanding balances
 Parent and entities 
with joint control or 
significant influence  
Subsidiaries and 
other entities of 
the same group  
Associates and 
joint ventures  
Key management 
of the institution or its 
parent  
Other related parties 
IAS 
24.19(a),(b)  IAS 24.19(c); 
Annex V.Part 
2.289  IAS 
24.19(d),(e); 
Annex V.Part 
2.289  IAS 24.19(f)  IAS 24.19(g)  
Accounting 
Directive art 
17(1)(p)  Accounting 
Directive art 
17(1)(p); 
Annex V.Part 
2.289  Accounting 
Directive art 
17(1)(p); 
Annex V.Part 
2.289  Accounting 
Directive art 
17(1)(p)  Accounting 
Directive art 
17(1)(p)  
Annex V.Part 2.288-291  Annex V.Part 2.288-291  0010  0020  0030  0040  0050  
0010  Selected financial assets  IAS 24.18(b)  
0020  Equity instruments  ECB/2013/33 Annex 
2.Part 2.4-5  IAS 32.11  
0030  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  
0050  of which: non-performing  Annex V. Part 2.213- 
239  Annex V. Part 2.213- 
239
EN 19.3.2021 Official Journal of the European Union L 97/1285
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Outstanding balances
 Parent and entities 
with joint control or 
significant influence  
Subsidiaries and 
other entities of 
the same group  
Associates and 
joint ventures  
Key management 
of the institution or its 
parent  
Other related parties 
IAS 
24.19(a),(b)  IAS 24.19(c); 
Annex V.Part 
2.289  IAS 
24.19(d),(e); 
Annex V.Part 
2.289  IAS 24.19(f)  IAS 24.19(g)  
Accounting 
Directive art 
17(1)(p)  Accounting 
Directive art 
17(1)(p); 
Annex V.Part 
2.289  Accounting 
Directive art 
17(1)(p); 
Annex V.Part 
2.289  Accounting 
Directive art 
17(1)(p)  Accounting 
Directive art 
17(1)(p)  
Annex V.Part 2.288-291  Annex V.Part 2.288-291  0010  0020  0030  0040  0050  
0060  Selected financial liabilities  IAS 24.18(b)  
0070  Deposits  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  ECB/2013/33 Annex 
2.Part 2.9; Annex V.Part 
1.36  
0080  Debt securities issued  Annex V.Part 1.37  Annex V.Part 1.37  
0090  Nominal amount of loan commitments, financial 
guarantees and other commitments given  CRR Annex I; Annex 
V.Part 2.112, 113-115, 
118  IAS 24.18(b); CRR 
Annex I; Annex V.Part 
2.102-105, 113-115, 
118  
0100  of which: non-performing  Annex V. Part 2.117  IAS 24.18(b); Annex V. 
Part 2.117
EN L 97/1286 Official Journal of the European Union 19.3.2021
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Outstanding balances
 Parent and entities 
with joint control or 
significant influence  
Subsidiaries and 
other entities of 
the same group  
Associates and 
joint ventures  
Key management 
of the institution or its 
parent  
Other related parties 
IAS 
24.19(a),(b)  IAS 24.19(c); 
Annex V.Part 
2.289  IAS 
24.19(d),(e); 
Annex V.Part 
2.289  IAS 24.19(f)  IAS 24.19(g)  
Accounting 
Directive art 
17(1)(p)  Accounting 
Directive art 
17(1)(p); 
Annex V.Part 
2.289  Accounting 
Directive art 
17(1)(p); 
Annex V.Part 
2.289  Accounting 
Directive art 
17(1)(p)  Accounting 
Directive art 
17(1)(p)  
Annex V.Part 2.288-291  Annex V.Part 2.288-291  0010  0020  0030  0040  0050  
0110  Loan commitments, financial guarantees and 
other commitments received  Annex V.Part 2.102- 
103, 113-115, 290  IAS 24.18(b); Annex 
V.Part 2.290  
0120  Notional amount of derivatives  Annex V.Part 2.133-135  Annex V.Part 2.133-135  
0131  Accumulated impairment and accumulated 
negative changes in fair value due to credit risk 
on non-performing exposures  Annex V.Part 2.69-71, 
291  IAS 24.1(c); Annex 
V.Part 2.69-71, 291  
0132  Provisions on non-performing off-balance sheet 
exposures  Annex V.Part 2.11, 106, 
291  Annex V.Part 2.11, 106, 
291
EN 19.3.2021 Official Journal of the European Union L 97/1287
 31.2  Related parties: expenses and income generated by transactions with  
References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period
 Parent and entities 
with joint control 
or significant influence  
Subsidiaries and 
other entities of 
the same group  
Associates and 
joint ventures  
Key management 
of the institution or its 
parent  
Other related parties 
IAS 
24.19(a),(b)  IAS 24.19(c)  IAS 
24.19(d),(e)  IAS 24.19(f)  IAS 24.19(g)  
Annex V.Part 2.288-289, 
292-293  Annex V.Part 2.288-289, 
292-293  0010  0020  0030  0040  0050  
0010  Interest income  BAD art 27.Vertical 
layout(1); Annex V.Part 
2.31  IAS 24.18(a); Annex 
V.Part 2.31  
0020  Interest expenses  BAD art 27.Vertical 
layout(2); Annex V.Part 
2.31  IAS 24.18(a); IAS 1.97; 
Annex V.Part 2.31  
0030  Dividend income  BAD art 27.Vertical 
layout(3); Annex V.Part 
2.40  IAS 24.18(a); Annex 
V.Part 2.40  
0040  Fee and commission income  BAD art 27.Vertical 
layout(4)  IAS 24.18(a); IFRS 
7.20(c)  
0050  Fee and commission expenses  BAD art 27.Vertical 
layout(5)  IAS 24.18(a); IFRS 
7.20(c)
EN L 97/1288 Official Journal of the European Union 19.3.2021
 References National GAAP 
based on BAD  References National GAAP 
compatible IFRS  Current period
 Parent and entities 
with joint control 
or significant influence  
Subsidiaries and 
other entities of 
the same group  
Associates and 
joint ventures  
Key management 
of the institution or its 
parent  
Other related parties 
IAS 
24.19(a),(b)  IAS 24.19(c)  IAS 
24.19(d),(e)  IAS 24.19(f)  IAS 24.19(g)  
Annex V.Part 2.288-289, 
292-293  Annex V.Part 2.288-289, 
292-293  0010  0020  0030  0040  0050  
0060  Gains or (-) losses on de-recognition of financial 
assets and liabilities not measured at fair value 
through profit or loss  BAD art 27.Vertical 
layout(6)  IAS 24.18(a)  
0070  Gains or (-) losses on de-recognition of other 
than financial assets  Annex V.Part 2.292  IAS 24.18(a); Annex 
V.Part 2.292  
0080  Impairment or (-) reversal of impairment on non- 
performing exposures  Annex V. Part 2.293  IAS 24.18(d); Annex 
V.Part 2.293  
0090  Provisions or (-) reversal of provisions on non- 
performing exposures  Annex V. Part 2.50, 293  Annex V. Part 2.50, 293
EN 19.3.2021 Official Journal of the European Union L 97/1289
 40. Group structure  
40.1  Group structure: ‘entity-by-entity’  
Code  Type of code  National code  Entity name  Entry date  Share capital of investee  Equity of investee  
Annex V.Part 2.294-295, 296(a)  Annex V.Part 2.294-295, 296(b)  Annex V.Part 2.294-295, 296(c)  IFRS 12.12(a), 21(a)(i); Annex 
V.Part 2.294-295, 296(d)  Annex V.Part 2.294-295, 296(e)  Annex V.Part 2.294-295, 296(f)  IFRS 12.B12(b); Annex V.Part 
2.294-295, 296(g)  
0011  0015  0025  0030  0040  0050  0060  
Total assets of investee  Profit or (-) loss of investee  Residence of investee  Sector of investee  NACE Code  Accumulated equity interest 
[%] Voting rights [%]  
IFRS 12.B12(b); Annex V.Part 
2.294-295, 296(g)  IFRS 12.B12(b); Annex V.Part 
2.294-295, 296(g)  IFRS 12.12.(b), 21.(a).(iii); Annex 
V.Part 2.294-295, 296(h)  Annex V.Part 2.294-295, 296(i)  Annex V.Part 2.294-295, 296(j)  IFRS 12.21(a)(iv); Annex V.Part 
2.294-295, 296(k)  IFRS 12.21(a)(iv); Annex V.Part 
2.294-295, 296(l)  
0070  0080  0090  0095  0100  0110  0120  
Group structure [relationship]  Accounting treatment 
[Accounting Group]  Accounting treatment [CRR 
Group]  Carrying amount  Acquisition cost  Goodwill link to Investee  Fair value of investments for 
which there are published 
price quotations  
IFRS 12.10(a)(i); Annex V.Part 
2.294-295, 296(m)  IFRS 12.21(b); Annex V.Part 
2.294-295, 296(n)  CRR art 18; Annex V.Part 2.294- 
295, 296(o)  Annex V.Part 2.294-295, 296(p)  Annex V.Part 2.294-295, 296(q)  Annex V.Part 2.294-295, 296(r)  IFRS 12.21(b)(iii); Annex V.Part 
2.294-295, 296(s)  
0130  0140  0150  0160  0170  0180  0190
EN L 97/1290 Official Journal of the European Union 19.3.2021
 40.2.  Group structure: ‘instrument-by-instrument’  
Security code  Investee  Holding company  
Accumulated 
equity interest (%)  Carrying amount  Acquisition cost  
Code  Type of code  Code  Type of code  National code  Holding company 
name  
Annex V.Part 
2.297(a)  Annex V.Part 
2.296(a), 297(e)  Annex V.Part 
2.296(b), 297(e)  Annex V.Part 
2.297(b)  Annex V.Part 
2.297(c)  Annex V.Part 
2.297(d)  Annex V.Part 
2.296(j), 297(e)  Annex V.Part 
2.296(o), 297(e)  Annex V.Part 
2.296(p), 297(e)  
0010  0021  0025  0031  0035  0045  0050  0060  0070  0080
EN 19.3.2021 Official Journal of the European Union L 97/1291
 41. Fair value  
41.1  Fair value hierarchy: financial instruments at amortised cost  
References National GAAP based 
on BAD  
Annex V.Part 2.298  References National GAAP 
compatible IFRS  
Annex V.Part 2.298  Fair value  
IFRS 7.25-26  Fair value hierarchy  
IFRS 13.97, 93(b)  
Level 1  
IFRS 13.76  Level 2  
IFRS 13.81  Level 3  
IFRS 13.86  
ASSETS  0010  0020  0030  0040  
0015  Financial assets at amortised cost  Accounting Directive art 8(4)(b), 
(6); IAS 39.9  IFRS 7.8(f); IFRS 9.4.1.2  
0016  Debt securities  Annex V.Part 1.24, 26  Annex V.Part 1.31  
0017  Loans and advances  Annex V.Part 1.24, 27  Annex V.Part 1.32  
0021  Non-trading non-derivative financial assets 
measured at a cost-based method  BAD art 35;Accounting Directive 
Article 6(1)(i) and Article 8(2); 
Annex V.Part1.18, 19  
0022  Equity instruments  ECB/2013/33 Annex 2.Part 
2.4-5  
0023  Debt securities  Annex V.Part 1.31  
0024  Loans and advances  Annex V.Part 1.32  
0031  Other non-trading non-derivative financial assets  BAD art 37; Accounting 
Directive Article 12(7); Annex 
V.Part 1.20  
0032  Equity instruments  ECB/2013/33 Annex 2.Part 
2.4-5  
0033  Debt securities  Annex V.Part 1.31
EN L 97/1292 Official Journal of the European Union 19.3.2021
 References National GAAP based 
on BAD  
Annex V.Part 2.298  References National GAAP 
compatible IFRS  
Annex V.Part 2.298  Fair value  
IFRS 7.25-26  Fair value hierarchy  
IFRS 13.97, 93(b)  
Level 1  
IFRS 13.76  Level 2  
IFRS 13.81  Level 3  
IFRS 13.86  
0034  Loans and advances  Annex V.Part 1.32  
LIABILITIES  
0070  Financial liabilities measured at amortised cost  Accounting Directive art 8(3), 
(6); IAS 39.47  IFRS 7.8(g); IFRS 9.4.2.1  
0080  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.30  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  
0090  Debt securities issued  Annex V.Part 1.31  Annex V.Part 1.37  
0100  Other financial liabilities  Annex V.Part 1.32-34  Annex V.Part 1.38-41  
0101  Non-trading non-derivative financial liabilities 
measured at a cost-based method  Accounting Directive art 8(3)  
0102  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  
0103  Debt securities issued  Annex V.Part 1.37  
0104  Other financial liabilities  Annex V.Part 1.38-41
EN 19.3.2021 Official Journal of the European Union L 97/1293
 41.2  Use of the Fair Value Option  
References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Carrying amount  
Annex V.Part 1.27-28  
Accounting 
mismatch  Managed on 
a fair value 
basis  Hybrid 
contracts  Managed for 
credit risk  
IFRS 
9.B4.1.29  IFRS 
9.B4.1.33  IFRS 9.4.3.6; 
IFRS 9.4.3.7; 
Annex V.Part 
2.300  IFRS 9.6.7; 
IFRS 7.8(a)(e); 
Annex V.Part 
2.301  
ASSETS  0010  0020  0030  0040  
0010  Financial assets designated at fair value through 
profit or loss  Accounting Directive art 8(1)(a), 
(6) IFRS 7.8(a)(i); IFRS 9.4.1.5  
0030  Debt securities  Annex V.Part 1.31  Annex V.Part 1.31  
0040  Loans and advances  Annex V.Part 1.32  Annex V.Part 1.32  
LIABILITIES  
0050  Financial liabilities designated at fair value 
through profit or loss  Accounting Directive art 8(1)(a), 
(6); IAS 39.9  IFRS 7.8 (e)(i); IFRS 9.4.2.2  
0060  Deposits  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  ECB/2013/33 Annex 2.Part 
2.9; Annex V.Part 1.36  
0070  Debt securities issued  Annex V.Part 1.37  Annex V.Part 1.37  
0080  Other financial liabilities  Annex V.Part 1.38-41  Annex V.Part 1.38-41
EN L 97/1294 Official Journal of the European Union 19.3.2021
 42. Tangible and intangible assets: carrying amount by measurement method  
References National GAAP compatible IFRS  
Annex V.Part 2.302  Carrying amount  of which: right-of-use assets  
IFRS 16.47(a), 53(j), 
Annex V.Part 2.303i  
0010  0020  
0010  Property plant and equipment  IAS 16.6; IAS 16.29; IAS 1.54(a)  
0015  Of which: Software assets  IAS 38.4; Annex V.Part 2.303  
0020  Revaluation model  IAS 16.31, 73(a),(d)  
0030  Cost model  IAS 16.30, 73(a),(d)  
0040  Investment property  IAS 40.5, 30; IAS 1.54(b)  
0050  Fair value model  IAS 40.33-55, 76  
0060  Cost model  IAS 40.56, 79(c)  
0070  Other intangible assets  IAS 38.8, 118, 122 ; Annex V.Part 2.303  
0075  Of which: Software assets  IAS 38.9; Annex V.Part 2.303  
0080  Revaluation model  IAS 38.75-87, 124(a)(ii)  
0090  Cost model  IAS 38.74
EN 19.3.2021 Official Journal of the European Union L 97/1295
 43. Provisions  
References National 
GAAP based on 
BAD  References National 
GAAP compatible 
IFRS  Carrying amount  
Annex V.Part 1.27-28  
Pensions 
and other 
post 
employment 
defined 
benefit 
obligations  Other long 
term 
employee 
benefits  Restruc­
turing  Pending 
legal issues 
and tax liti ­
gation  Commitme ­
nts and 
guarantees 
given under 
national 
GAAP  Other 
commitme ­
nts and 
guarantees 
given 
measured 
under IAS 
37 and 
guarantees 
given 
measured 
under 
IFRS 4  Other provi ­
sions  
IAS 19.63; 
IAS 1.78(d); 
Annex V.Part 
2.9 IAS 19.153; 
IAS 1.78(d); 
Annex V.Part 
2.10  IAS 37.70- 
83, 84 (a)  IAS 37.14, 
84 (a)  IAS 37; IFRS 
4; Annex V. 
Part 2.304- 
305  IAS 37.14  
Annex V.Part 
2.9 Annex V.Part 
2.10  BAD art 24- 
25, 33(1)  
0010  0020  0030  0040  0050  0055  0060  
0010  Opening balance [carrying amount 
at the beginning of the period]  IAS 37.84 (a)  
0020  Additions, including increases in 
existing provisions  IAS 37.84 (b)  
0030  (-) Amounts used  IAS 37.84 (c)  
0040  (-) Unused amounts reversed 
during the period  IAS 37.84 (d)  
0050  Increase in the discounted amount 
[passage of time] and effect of any 
change in the discount rate  IAS 37.84 (e)  
0060  Other movements  
0070  Closing balance [carrying amount at 
the end of the period]  IAS 37.84 (a)
EN L 97/1296 Official Journal of the European Union 19.3.2021  
44 Defined benefit plans and employee benefits  
44.1  Components of net defined benefit plan assets and liabilities  
References National GAAP 
compatible IFRS  Amount  
Annex V.Part 2.306-307  
0010  
0010  Fair value of defined benefit plan assets  IAS 19.140(a)(i), 142  
0020  Of which: Financial instruments issued by the institution  IAS 19.143  
0030  Equity instruments  IAS 19.142(b)  
0040  Debt instruments  IAS 19.142(c)  
0050  Real estate  IAS 19.142(d)  
0060  Other defined benefit plan assets  
0070  Present value of defined benefit obligations  IAS 19.140(a)(ii)  
0080  Effect of the asset ceiling  IAS 19.140(a)(iii)  
0090  Net defined benefit assets [Carrying amount]  IAS 19.63; Annex V.Part 2.308  
0100  Provisions for pensions and other post-employment 
defined benefit obligations [Carrying amount]  IAS 19.63, IAS 1.78(d); Annex 
V.Part 2.9  
0110  Fair value of any right to reimbursement recognised 
as an asset  IAS 19.140(b)  
44.2  Movements in defined benefit obligations  
References National GAAP 
compatible IFRS  Defined benefit obligations  
Annex V.Part 2.306, 309  
0010  
0010  Opening balance [present value]  IAS 19.140(a)(ii)  
0020  Current service cost  IAS 19.141(a)  
0030  Interest cost  IAS 19.141(b)  
0040  Contributions paid  IAS 19.141(f)  
0050  Actuarial (-) gains or losses from changes in demo ­
graphic assumptions  IAS 19.141(c)(ii)  
0060  Actuarial (-) gains or losses from changes in financial 
assumptions  IAS 19.141(c)(iii)  
0070  Foreign currency exchange increase or (-) decrease  IAS 19.141(e)
EN 19.3.2021 Official Journal of the European Union L 97/1297  
References National GAAP 
compatible IFRS  Defined benefit obligations  
Annex V.Part 2.306, 309  
0010  
0080  Benefits paid  IAS 19.141(g)  
0090  Past service cost, including gains and losses arising 
from settlements  IAS 19.141(d)  
0100  Increase or (-) decrease through business combinations 
and disposals  IAS 19.141(h)  
0110  Other increases or (-) decreases  
0120  Closing balance [present value]  IAS 19.140(a)(ii); Annex V.Part 
2.310  
44.3  Staff expenses by type of benefits  
References National GAAP based on 
BAD  References National GAAP 
compatible IFRS  Current period  
0010  
0010  Pension and similar expenses  Annex V.Part 2.311(a)  Annex V.Part 2.311(a)  
0020  Share based payments  Annex V.Part 2.311(b)  IFRS 2.44; Annex V.Part 
2.311(b)  
0030  Wages and salaries  Annex V.Part 2.311(c)  Annex V.Part 2.311(c)  
0040  Social security contributions  Annex V.Part 2.311(d)  Annex V.Part 2.311(d)  
0050  Severance payments  Annex V.Part 2.311(e)  IAS 19.8, Annex V.Part 2.311(e)  
0060  Other types of staff expenses  Annex V.Part 2.311(f)  Annex V.Part 2.311(f)  
0070  STAFF EXPENSES  
44.4  Staff expenses by category of remuneration and category of staff  
References 
National GAAP 
based on BAD  References 
National GAAP 
compatible IFRS  Current period  
Total staff  
of which: 
Identified 
staff  of which: 
Management 
body (in its 
management 
function) and 
senior 
management  of which: 
Management 
body (in its 
supervisory 
function)  
Annex V.Part 
2.311i (a)  Annex V.Part 
2.311i  Annex V.Part 
2.311i (b)  
0010  0020  0030  0040  
0010  Fixed remuneration  Annex V.Part 
2.311i (a)  Annex V.Part 
2.311i (a)  
0020  Variable remuneration  Annex V.Part 
2.311i (a)  Annex V.Part 
2.311i (a)
EN L 97/1298 Official Journal of the European Union 19.3.2021  
References 
National GAAP 
based on BAD  References 
National GAAP 
compatible IFRS  Current period  
Total staff  
of which: 
Identified 
staff  of which: 
Management 
body (in its 
management 
function) and 
senior 
management  of which: 
Management 
body (in its 
supervisory 
function)  
Annex V.Part 
2.311i (a)  Annex V.Part 
2.311i  Annex V.Part 
2.311i (b)  
0010  0020  0030  0040  
0030  Staff expenses other than 
remuneration  
0040  STAFF EXPENSES  
0050  NUMBER OF STAFF  Annex V.Part 
2.311ii  Annex V.Part 
2.311ii  
45 Breakdown of selected items of statement of profit or loss  
45.1  Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting 
portfolio  
References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Current period  Changes in fair 
value due to 
credit risk  
Annex V.Part 
2.312  
0010  0020  
0010  Financial assets designated at fair value 
through profit or loss  IFRS 7.20(a)(i); IFRS 
9.4.1.5  
0020  Financial liabilities designated at fair value 
through profit or loss  IFRS 7.20(a)(i); IFRS 
9.4.2.2  
0030  GAINS OR (-) LOSSES ON FINANCIAL 
ASSETS AND LIABILITIES DESIGNATED AT 
FAIR VALUE THROUGH PROFIT OR LOSS  BAD art 27.Vertical 
layout(6)  IFRS 7.20(a)(i)  
45.2  Gains or losses on derecognition of non-financial assets  
References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Current period  
Annex V.Part 2.313  
0010  
0010  Property, Plant and Equipment  IAS 16.68, 71  
0020  Investment property  IAS 40.69; IAS 1.34(a), 98(d)
EN 19.3.2021 Official Journal of the European Union L 97/1299  
References National GAAP based 
on BAD  References National GAAP 
compatible IFRS  Current period  
Annex V.Part 2.313  
0010  
0030  Intangible assets  IAS 38.113-115A; IAS 1.34(a)  
0040  Other assets  IAS 1.34 (a)  
0050  GAINS OR (-) LOSSES ON DERE ­
COGNITION OF NON-FINANCIAL 
ASSETS  IAS 1.34  
45.3  Other operating income and expenses  
References National 
GAAP based on BAD  References National 
GAAP compatible 
IFRS  Income  Expenses  
0010  0020  
0010  Changes in fair value in tangible assets 
measured using the fair value model  Annex V.Part 2.314  IAS 40.76(d); Annex 
V.Part 2.314  
0020  Investment property  Annex V.Part 2.314  IAS 40.75(f); Annex 
V.Part 2.314  
0030  Operating Leases other than investment 
property  Annex V.Part 2.315  IFRS 16.81,82; 
Annex V.Part 2.315  
0040  Other  Annex V.Part 2.316  Annex V.Part 2.316  
0050  OTHER OPERATING INCOME OR EXPENSES  Annex V.Part 2.314- 
316  Annex V.Part 2.314- 
316
EN L 97/1300 Official Journal of the European Union 19.3.2021
 46. Statement of changes in equity  
Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
Capital  
Share premium  
Equity instruments 
issued other than 
Capital  
Other equity 
IAS 1.106, 54(r)  IAS 1.106, 78(e)  IAS 1.106, Annex 
V.Part 2.18-19  IAS 1.106; Annex 
V.Part 2.20  
BAD art 4.Liabil ­
ities(9), BAD art 22  BAD art 4.Liabil ­
ities(10); CRR art 
4(124)  Annex V.Part 2.18- 
19 Annex V.Part 2.20  
0010  0020  0030  0040  
0010  Opening balance [before restatement]  
0020  Effects of corrections of errors  IAS 1.106.(b); IAS 8.42  
0030  Effects of changes in accounting policies  IAS 1.106.(b); IAS 1.IG6; 
IAS 8.22  
0040  Opening balance [current period]  
0050  Issuance of ordinary shares  IAS 1.106.(d).(iii)  
0060  Issuance of preference shares  IAS 1.106.(d).(iii)  
0070  Issuance of other equity instruments  IAS 1.106.(d).(iii)
EN 19.3.2021 Official Journal of the European Union L 97/1301
 Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
Capital  
Share premium  
Equity instruments 
issued other than 
Capital  
Other equity 
IAS 1.106, 54(r)  IAS 1.106, 78(e)  IAS 1.106, Annex 
V.Part 2.18-19  IAS 1.106; Annex 
V.Part 2.20  
BAD art 4.Liabil ­
ities(9), BAD art 22  BAD art 4.Liabil ­
ities(10); CRR art 
4(124)  Annex V.Part 2.18- 
19 Annex V.Part 2.20  
0010  0020  0030  0040  
0080  Exercise or expiration of other equity instruments issued  IAS 1.106.(d).(iii)  
0090  Conversion of debt to equity  IAS 1.106.(d).(iii)  
0100  Capital reduction  IAS 1.106.(d).(iii)  
0110  Dividends  IAS 1.106.(d).(iii); IAS 
32.35; IAS 1.IG6  
0120  Purchase of treasury shares  IAS 1.106.(d).(iii); IAS 32.33  
0130  Sale or cancellation of treasury shares  IAS 1.106.(d).(iii); IAS 32.33  
0140  Reclassification of financial instruments from equity to 
liability  IAS 1.106.(d).(iii)  
0150  Reclassification of financial instruments from liability to 
equity  IAS 1.106.(d).(iii)
EN L 97/1302 Official Journal of the European Union 19.3.2021
 Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
Capital  
Share premium  
Equity instruments 
issued other than 
Capital  
Other equity 
IAS 1.106, 54(r)  IAS 1.106, 78(e)  IAS 1.106, Annex 
V.Part 2.18-19  IAS 1.106; Annex 
V.Part 2.20  
BAD art 4.Liabil ­
ities(9), BAD art 22  BAD art 4.Liabil ­
ities(10); CRR art 
4(124)  Annex V.Part 2.18- 
19 Annex V.Part 2.20  
0010  0020  0030  0040  
0160  Transfers among components of equity  IAS 1.106.(d).(iii); Annex 
V.Part 2.318  
0170  Equity increase or (-) decrease resulting from business 
combinations  IAS 1.106.(d).(iii)  
0180  Share based payments  IAS 1.106.(d).(iii); IFRS 2.10  
0190  Other increase or (-) decrease in equity  IAS 1.106.(d)  
0200  Total comprehensive income for the year  IAS 1.106.(d).(i)-(ii); IAS 
1.81A.(c); IAS 1.IG6  
0210  Closing balance [current period]
EN 19.3.2021 Official Journal of the European Union L 97/1303
 Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
Accumulated other 
comprehensive income  
Retained earnings  
Revaluation reserves  
Fair value reserves 
IAS 1.106  CRR art 4(1)(123)  IFRS 1.30 D5-D8  
Accounting Directive 
art 8(1)(a), (6)  BAD art 4 
Liabilities (13); CRR 
art 4(123)  BAD art 4.Liabil ­
ities(12)  
0050  0060  0070  0075  
0010  Opening balance [before restatement]  
0020  Effects of corrections of errors  IAS 1.106.(b); IAS 8.42  
0030  Effects of changes in accounting policies  IAS 1.106.(b); IAS 1.IG6; 
IAS 8.22  
0040  Opening balance [current period]  
0050  Issuance of ordinary shares  IAS 1.106.(d).(iii)  
0060  Issuance of preference shares  IAS 1.106.(d).(iii)  
0070  Issuance of other equity instruments  IAS 1.106.(d).(iii)
EN L 97/1304 Official Journal of the European Union 19.3.2021
 Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
Accumulated other 
comprehensive income  
Retained earnings  
Revaluation reserves  
Fair value reserves 
IAS 1.106  CRR art 4(1)(123)  IFRS 1.30 D5-D8  
Accounting Directive 
art 8(1)(a), (6)  BAD art 4 
Liabilities (13); CRR 
art 4(123)  BAD art 4.Liabil ­
ities(12)  
0050  0060  0070  0075  
0080  Exercise or expiration of other equity instruments issued  IAS 1.106.(d).(iii)  
0090  Conversion of debt to equity  IAS 1.106.(d).(iii)  
0100  Capital reduction  IAS 1.106.(d).(iii)  
0110  Dividends  IAS 1.106.(d).(iii); IAS 
32.35; IAS 1.IG6  
0120  Purchase of treasury shares  IAS 1.106.(d).(iii); IAS 32.33  
0130  Sale or cancellation of treasury shares  IAS 1.106.(d).(iii); IAS 32.33  
0140  Reclassification of financial instruments from equity to 
liability  IAS 1.106.(d).(iii)  
0150  Reclassification of financial instruments from liability to 
equity  IAS 1.106.(d).(iii)
EN 19.3.2021 Official Journal of the European Union L 97/1305
 Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
Accumulated other 
comprehensive income  
Retained earnings  
Revaluation reserves  
Fair value reserves 
IAS 1.106  CRR art 4(1)(123)  IFRS 1.30 D5-D8  
Accounting Directive 
art 8(1)(a), (6)  BAD art 4 
Liabilities (13); CRR 
art 4(123)  BAD art 4.Liabil ­
ities(12)  
0050  0060  0070  0075  
0160  Transfers among components of equity  IAS 1.106.(d).(iii); Annex 
V.Part 2.318  
0170  Equity increase or (-) decrease resulting from business 
combinations  IAS 1.106.(d).(iii)  
0180  Share based payments  IAS 1.106.(d).(iii); IFRS 2.10  
0190  Other increase or (-) decrease in equity  IAS 1.106.(d)  
0200  Total comprehensive income for the year  IAS 1.106.(d).(i)-(ii); IAS 
1.81A.(c); IAS 1.IG6  
0210  Closing balance [current period]
EN L 97/1306 Official Journal of the European Union 19.3.2021
 Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
Other reserves  
First consolidation 
differences  
(-) Treasury shares  
Profit or (-) loss 
atributable to owners 
of the parent 
IAS 1.106, 54(c)  IAS 1.106; IAS 
32.34, 33; Annex 
V.Part 2.30  IAS 1.106(a)  
Accounting Directive 
24(3)(c)  Accounting Directive 
Annex III Annex III 
Assets D(III)(2); 
BAD art 4 Assets 
(12); Annex V.Part 
2.30  BAD art 4.Liabil ­
ities(14)  
0080  0085  0090  0100  
0010  Opening balance [before restatement]  
0020  Effects of corrections of errors  IAS 1.106.(b); IAS 8.42  
0030  Effects of changes in accounting policies  IAS 1.106.(b); IAS 1.IG6; 
IAS 8.22  
0040  Opening balance [current period]  
0050  Issuance of ordinary shares  IAS 1.106.(d).(iii)  
0060  Issuance of preference shares  IAS 1.106.(d).(iii)  
0070  Issuance of other equity instruments  IAS 1.106.(d).(iii)
EN 19.3.2021 Official Journal of the European Union L 97/1307
 Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
Other reserves  
First consolidation 
differences  
(-) Treasury shares  
Profit or (-) loss 
atributable to owners 
of the parent 
IAS 1.106, 54(c)  IAS 1.106; IAS 
32.34, 33; Annex 
V.Part 2.30  IAS 1.106(a)  
Accounting Directive 
24(3)(c)  Accounting Directive 
Annex III Annex III 
Assets D(III)(2); 
BAD art 4 Assets 
(12); Annex V.Part 
2.30  BAD art 4.Liabil ­
ities(14)  
0080  0085  0090  0100  
0080  Exercise or expiration of other equity instruments issued  IAS 1.106.(d).(iii)  
0090  Conversion of debt to equity  IAS 1.106.(d).(iii)  
0100  Capital reduction  IAS 1.106.(d).(iii)  
0110  Dividends  IAS 1.106.(d).(iii); IAS 
32.35; IAS 1.IG6  
0120  Purchase of treasury shares  IAS 1.106.(d).(iii); IAS 32.33  
0130  Sale or cancellation of treasury shares  IAS 1.106.(d).(iii); IAS 32.33  
0140  Reclassification of financial instruments from equity to 
liability  IAS 1.106.(d).(iii)  
0150  Reclassification of financial instruments from liability to 
equity  IAS 1.106.(d).(iii)
EN L 97/1308 Official Journal of the European Union 19.3.2021
 Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
Other reserves  
First consolidation 
differences  
(-) Treasury shares  
Profit or (-) loss 
atributable to owners 
of the parent 
IAS 1.106, 54(c)  IAS 1.106; IAS 
32.34, 33; Annex 
V.Part 2.30  IAS 1.106(a)  
Accounting Directive 
24(3)(c)  Accounting Directive 
Annex III Annex III 
Assets D(III)(2); 
BAD art 4 Assets 
(12); Annex V.Part 
2.30  BAD art 4.Liabil ­
ities(14)  
0080  0085  0090  0100  
0160  Transfers among components of equity  IAS 1.106.(d).(iii); Annex 
V.Part 2.318  
0170  Equity increase or (-) decrease resulting from business 
combinations  IAS 1.106.(d).(iii)  
0180  Share based payments  IAS 1.106.(d).(iii); IFRS 2.10  
0190  Other increase or (-) decrease in equity  IAS 1.106.(d)  
0200  Total comprehensive income for the year  IAS 1.106.(d).(i)-(ii); IAS 
1.81A.(c); IAS 1.IG6  
0210  Closing balance [current period]
EN 19.3.2021 Official Journal of the European Union L 97/1309
 Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
(-) Interim dividends  
Minority interests  
Total  Accumulated Other 
Comprehensive Income  
Other items 
IAS 1.106; IAS 
32.35  IAS 1.54(q), 106(a)  IAS 1.54(q), 106(a)  IAS 1.9(c), IG6  
CRR Article 26(2b)  Accounting Directive 
art 24(4)  Accounting Directive 
art 24(4)  
0110  0120  0130  0140  
0010  Opening balance [before restatement]  
0020  Effects of corrections of errors  IAS 1.106.(b); IAS 8.42  
0030  Effects of changes in accounting policies  IAS 1.106.(b); IAS 1.IG6; 
IAS 8.22  
0040  Opening balance [current period]  
0050  Issuance of ordinary shares  IAS 1.106.(d).(iii)  
0060  Issuance of preference shares  IAS 1.106.(d).(iii)  
0070  Issuance of other equity instruments  IAS 1.106.(d).(iii)
EN L 97/1310 Official Journal of the European Union 19.3.2021
 Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
(-) Interim dividends  
Minority interests  
Total  Accumulated Other 
Comprehensive Income  
Other items 
IAS 1.106; IAS 
32.35  IAS 1.54(q), 106(a)  IAS 1.54(q), 106(a)  IAS 1.9(c), IG6  
CRR Article 26(2b)  Accounting Directive 
art 24(4)  Accounting Directive 
art 24(4)  
0110  0120  0130  0140  
0080  Exercise or expiration of other equity instruments issued  IAS 1.106.(d).(iii)  
0090  Conversion of debt to equity  IAS 1.106.(d).(iii)  
0100  Capital reduction  IAS 1.106.(d).(iii)  
0110  Dividends  IAS 1.106.(d).(iii); IAS 
32.35; IAS 1.IG6  
0120  Purchase of treasury shares  IAS 1.106.(d).(iii); IAS 32.33  
0130  Sale or cancellation of treasury shares  IAS 1.106.(d).(iii); IAS 32.33  
0140  Reclassification of financial instruments from equity to 
liability  IAS 1.106.(d).(iii)  
0150  Reclassification of financial instruments from liability to 
equity  IAS 1.106.(d).(iii)
EN 19.3.2021 Official Journal of the European Union L 97/1311
 Sources of equity changes  References National GAAP based 
on BAD  References National GAAP 
compatible IFRS
 
(-) Interim dividends  
Minority interests  
Total  Accumulated Other 
Comprehensive Income  
Other items 
IAS 1.106; IAS 
32.35  IAS 1.54(q), 106(a)  IAS 1.54(q), 106(a)  IAS 1.9(c), IG6  
CRR Article 26(2b)  Accounting Directive 
art 24(4)  Accounting Directive 
art 24(4)  
0110  0120  0130  0140  
0160  Transfers among components of equity  IAS 1.106.(d).(iii); Annex 
V.Part 2.318  
0170  Equity increase or (-) decrease resulting from business 
combinations  IAS 1.106.(d).(iii)  
0180  Share based payments  IAS 1.106.(d).(iii); IFRS 2.10  
0190  Other increase or (-) decrease in equity  IAS 1.106.(d)  
0200  Total comprehensive income for the year  IAS 1.106.(d).(i)-(ii); IAS 
1.81A.(c); IAS 1.IG6  
0210  Closing balance [current period]
EN L 97/1312 Official Journal of the European Union 19.3.2021
 47. Loans and advances: Average duration and recovery periods  
References  TOTAL  
of which: Households  of which: Non-financial corporations  
of which: loans 
collateralised by 
residential 
immovable 
property  of which: SMEs  Of which: 
Commercial 
Real Estate 
(CRE) loans to 
NFCs other 
than SMEs  of which: 
Commercial 
Real Estate 
(CRE) loans  
Annex 
V.Part 
1.42(f)  Annex V.Part 2.86(a), 
87 Annex 
V.Part 
1.42(e)  SME Art 
1 2(a)  SME Art 1 2(a), 
Annex V.Part 
2.239ix  Annex V.Part 
2.239ix  
0010  0020  0030  0040  0050  0060  0070  
0010  Non-performing loans and advances: weighted 
average time since past due date (in years)  Annex V.Part 2.362, 363  
0020  Net cumulated recoveries from litigation 
procedures concluded during the period  Annex V.Part 2.362, 364(a)  
0030  Gross carrying amount reduction from litigation 
procedures concluded during the period  Annex V.Part 2.362, 364(b)  
0040  Average duration of litigation procedures 
concluded in the period (in years)  Annex V.Part 2.362, 364(c)
 ANNEX V  
INSTRUCTIONS FOR REPORTING ON FINANCIAL INFORMATION  
Table of contents  
GENERAL INSTRUCTIONS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1318  
1. References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . 1318  
2. Conventions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1319  
3. Consolidation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1321  
4. Accounting portfolios of financial instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . 1321  
4.1. Financial assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . 1321  
4.2. Financial liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1322  
5. Financial instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1323  
5.1. Financial assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . 1323  
5.2. Gross carrying amount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1324  
5.3. Financial liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1325  
6. Counterparty breakdown . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . 1325  
TEMPLATE RELATED INSTRUCTIONS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1326  
1. Balance sheet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1326  
1.1. Assets (1.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . . 1326  
1.2. Liabilities (1.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1327  
1.3. Equity (1.3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . . 1328  
2. Statement of profit or loss (2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1329  
3. Statement of comprehensive income (3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1333  
4. Breakdown of financial assets by instrument and by counterparty sector (4) . . . . . . . . . . . . . . . . . . . . . . 1334  
5. Breakdown of non-trading loans and advances by product (5) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 337EN 19.3.2021 Official Journal of the European Union L 97/1313
 
6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes (6) . . . . . . . 1338  
7. Financial assets subject to impairment that are past due (7) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . 1339  
8. Breakdown of financial liabilities (8) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . 1339  
9. Loan commitments, financial guarantees and other commitments (9) . . . . . . . . . . . . . . . . . . . . . . . . . . . 1340  
10. Derivatives and hedge accounting (10 and 11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1343  
10.1. Classification of derivatives by type of risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . 1344  
10.2. Amounts to be reported for derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1345  
10.3. Derivatives classified as ‘economic hedges’ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . 1346  
10.4. Breakdown of derivatives by counterparty sector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . 1347  
10.5. Hedge accounting under national GAAP (11.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . 1347  
10.6. Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1) . . . . . . . . . . . . . . . . . . 1347  
10.7. Hedged items in fair value hedges (11.4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1347  
11. Movements in allowances and provisions for credit losses (12) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . 1348  
11.1. Movements in allowances for credit losses and impairment of equity instruments under national GAAP based 
on BAD (12.0) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . 1348  
11.2. Movements in allowances and provisions for credit losses under IFRS (12.1) . . . . . . . . . . . . . . . . . . . . . . 13 49 
11.3. Transfers between impairment stages (gross basis presentation) (12.2) . . . . . . . . . . . . . . . . . . . . . . . . . .  . 1350  
12. Collateral and guarantees received (13) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . 1351  
12.1. Breakdown of collateral and guarantees by loans and advances other than held for trading (13.1) . . . . . . 1351  
12.2. Collateral obtained by taking possession during the period (held at the reference date) (13.2.1) . . . . . . . . 1352  
12.3. Collateral obtained by taking possession accumulated (13.3.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . 1352EN L 97/1314 Official Journal of the European Union 19.3.2021
 
13. Fair value hierarchy: Financial instruments at fair value (14) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1352  
14. Derecognition and financial liabilities associated with transferred financial assets (15) . . . . . . . . . . . . . . . . 1 352  
15. Breakdown of selected statement of profit or loss items (16) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1353  
15.1. Interest income and expenses by instrument and counterparty sector (16.1) . . . . . . . . . . . . . . . . . . . . . . 135 3 
15.2. Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or 
loss by instrument (16.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . 1354  
15.3. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading 
financial liabilities by instrument (16.3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1354  
15.4. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading 
financial liabilities by risk (16.4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1355  
15.5. Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument 
(16.4.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1355  
15.6. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) 1355  
15.7. Gains or losses from hedge accounting (16.6) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1356  
15.8. Impairment on non-financial assets (16.7) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . 1356  
15.9. Other Administrative Expenses (16.8) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1356  
16. Reconciliation between accounting and CRR scope of consolidation (17) . . . . . . . . . . . . . . . . . . . . . . . . . 135 7 
17. Non-performing exposures (18) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . 1357  
17.1. Information on performing and non-performing exposures (18.0) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1357  
17.2. Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1) 1361  
17.3. Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property 
(18.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1362  
18. Forborne exposures (19) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . 1362EN 19.3.2021 Official Journal of the European Union L 97/1315
 
19. Geographical breakdown (20) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . 1365  
19.1. Geographical breakdown by location of activities (20.1-20.3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1365  
19.2. Geographical breakdown by residence of the counterparty (20.4-20.7) . . . . . . . . . . . . . . . . . . . . . . . . . . .  1365  
20. Tangible and intangible assets: assets subject to operating lease (21) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1366  
21. Asset management, custody and other service functions (22) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1366  
21.1. Fee and commission income and expenses by activity (22.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . 1366  
21.2. Assets involved in the services provided (22.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . 1368  
22. Interests in unconsolidated structured entities (30) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1369  
23. Related parties (31) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1369  
23.1. Related parties: amounts payable to and amounts receivable from (31.1) . . . . . . . . . . . . . . . . . . . . . . . . . 1369  
23.2. Related parties: expenses and income generated by transactions with (31.2) . . . . . . . . . . . . . . . . . . . . . . . 1370  
24. Group structure (40) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1370  
24.1. Group structure: ‘entity-by-entity’ (40.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1370  
24.2. Group structure: ‘instrument-by-instrument’ (40.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1371  
25. Fair value (41) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . 1372  
25.1. Fair value hierarchy: financial instruments at amortised cost (41.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1372  
25.2. Use of fair value option (41.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . 1372  
26. Tangible and intangible assets: carrying amount by measurement method (42) . . . . . . . . . . . . . . . . . . . . 1372  
27. Provisions (43) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . 1373  
28. Defined benefit plans and employee benefits (44) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1373  
28.1. Components of net defined benefit plan assets and liabilities (44.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1373  
28.2. Movements in defined benefit obligations (44.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . 1373EN L 97/1316 Official Journal of the European Union 19.3.2021
 
28.3. Staff expenses by type of benefits (44.3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . 1373  
28.4. Staff expenses by category of remuneration and category of staff (44.4) . . . . . . . . . . . . . . . . . . . . . . . . .  1374  
29. Breakdown of selected items of statement of profit or loss (45) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . 1374  
29.1. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting 
portfolio (45.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1374  
29.2. Gains or losses on derecognition of non-financial assets (45.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . 1375  
29.3. Other operating income and expenses (45.3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1375  
30. Statement of changes in equity (46) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . 1375  
31. LOANS AND ADVANCES: ADDITIONAL INFORMATION (23) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1375  
32. LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND WRITE OFFS 
SINCE THE END OF THE LAST FINANCIAL YEAR (24) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1376  
32.1. Loans and advances: Inflows and outflows of non-performing exposures (24.1) . . . . . . . . . . . . . . . . . . . . 1376  
32.2. Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk 
on non-performing exposures (24.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1378  
32.3. Loans and advances: Write-offs of non-performing exposures during the period (24.3) . . . . . . . . . . . . . . 1379  
33. COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25) . . . . . . . . . . . . 1379  
33.1. Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment 
(PP&E): inflows and outflows (25.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . 1379  
33.2. Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment 
(PP&E) – Type of collateral obtained (25.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . 1380  
33.3. Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) (25.3) . . . . . . 1380  
34. FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26) . . . . . . . . . . . . . . . . . . . . . . . 1381  
35. LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47) . . . . . . . . . . . . . . . . 1382  
MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1383EN 19.3.2021 Official Journal of the European Union L 97/1317
 
PART 1  
GENERAL INSTRUCTIONS  
1. REFERENCES  
1. This Annex contains additional instructions for the financial information templates (‘FINREP’) in 
Annexes III and IV to this Regulation. This Annex complements the instructions included in the form of 
references in the templates in Annexes III and IV.  
2. Institutions that use national accounting standards compatible with IFRS (‘compatible national GAAP’) shall 
apply the common and IFRS instructions in this Annex, unless otherwise provided. This is without prejudice to 
the compliance of the compatible national GAAP requirements with the requirements of BAD. Institutions that 
use national GAAP requirements that are non-compatible with IFRS or that have not yet been made 
compatible with the requirements in IFRS 9 shall apply the common and BAD instructions in this Annex, 
unless provided otherwise.  
3. The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and 
valuation rules of the relevant accounting framework, as defined in point (77) of Article 4(1) of Regulation 
(EU) No 575/2013.  
4. An institution shall only submit those parts of the templates relating to:  
(a) assets, liabilities, equity, income and expenses that are recognised by the institution;  
(b) off-balance sheet exposures and activities in which the institution is involved;  
(c) transactions performed by the institution;  
(d) valuation rules, including methods for the estimation of allowances for credit risk, applied by the insti ­
tution.  
5. For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:  
(a) ‘CRR’: Regulation (EU) No 575/2013;  
(b) ‘IAS’ or ‘IFRS’: ‘International Accounting Standards’, as defined in Article 2 of Regulation (EC) 
No 1606/2002 of the European Parliament and of the Council (  1 ), which have been adopted by the 
Commission;  
(c) ‘ECB BSI Regulation’ or ‘ECB/2013/33’: Regulation (EU) No 1071/2013 of the European Central Bank (  2 ); 
(d) ‘NACE Regulation’: Regulation (EC) No 1893/2006 of the European Parliament and of the Council (  3 ); 
(e) ‘NACE codes’: codes in NACE Regulation;  
(f) ‘BAD’: Council Directive 86/635/EEC (  4 ); 
(g) ‘Accounting Directive’: Directive 2013/34/EU of the European Parliament and of the Council (  5 );EN L 97/1318 Official Journal of the European Union 19.3.2021  
( 1 ) Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of internationa l 
accounting standards (OJ L 243, 11.9.2002, p. 1).  
( 2 ) Regulation (EU) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of monetary 
financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).  
( 3 ) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical 
classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC 
Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).  
( 4 ) Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial  
institutions (OJ L 372, 31.12.1986, p. 1).  
( 5 ) Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, 
consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the 
European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).
 (h) ‘National GAAP’: national generally accepted accounting principles developed under BAD;  
(i) ‘SME’: micro, small and medium-sized enterprises as defined in Commission Recommendation 
C(2003)1422 (  6 ); 
(j) ‘ISIN code’: the International Securities Identification Number assigned to securities, composed of 12 
alphanumeric characters, which uniquely identifies a securities issue;  
(k) ‘LEI code’: the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a 
financial transaction;  
(l) ‘Impairment stages’: categories of impairment as defined in IFRS 9.5.5. ‘Stage 1’ refers to impairment 
measured in accordance with IFRS 9.5.5.5. ‘Stage 2’ refers to impairment measured in accordance with 
IFRS 9.5.5.3. ‘Stage 3’ refers to impairment on credit-impaired assets as defined in Appendix A of IFRS 9;  
(m) ‘ESRB recommendation on closing real estate data gaps’ refers to the Recommendation of the European 
Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) (  7 ). 
2. CONVENTIONS  
6. For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that that data point is not 
requested or that it is not possible to report it. In Annex IV, a row or a column with references shadowed in 
black shall mean that the related data points shall not be submitted by those institutions that follow those 
references in that row or column.  
7. Templates in Annexes III and IV include implicit validation rules which are laid down in the templates 
themselves through the use of conventions.  
8. The use of brackets in the label of an item in a template means that this item is to be subtracted to obtain a 
total, but it does not mean that it shall be reported as negative.  
9. Items that shall be reported in negative are identified in the compiling templates by including ‘(-)’ at the 
beginning of their label such as in ‘(-) Treasury shares’.  
10. In the ‘Data Point Model’ (‘DPM’) for financial information reporting templates of Annexes III and IV, every 
data point (cell) has a ‘base item’ to which the ‘credit/debit’ attribute is allocated. That allocation ensures that all 
entities that report data points follow the ‘sign convention’ and allows to know the ‘credit/debit’ attribute that 
corresponds to each data point.EN 19.3.2021 Official Journal of the European Union L 97/1319  
( 6 ) Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises 
(C(2003)1422) (OJ L 124, 20.5.2003, p. 36).  
( 7 ) Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) 
(OJ C 31, 31.1.2017, p. 1).
 11. Schematically, this convention works as in Table 1.  
Table 1  
Credit/debit convention, positive and negative signs  
Element  Credit/Debit  Balance /Movement  Figure reported  
Assets  
Debit  Balance on assets  Positive (‘Normal’, no sign needed)  
Increase on assets  Positive (‘Normal’, no sign needed)  
Negative balance on assets  Negative (Minus ‘-’ sign needed)  
Decrease on assets  Negative (Minus ‘-’ sign needed)  
Expenses  Balance on expenses  Positive (‘Normal’, no sign needed)  
Increase on expenses  Positive (‘Normal’, no sign needed)  
Negative balance (including reversals) 
on expenses  Negative (Minus ‘-’ sign needed)  
Decrease on expenses  Negative (Minus ‘-’ sign needed)  
Liabilities  
Credit  Balance on liabilities  Positive (‘Normal’, no sign needed)  
Increase on liabilities  Positive (‘Normal’, no sign needed)  
Negative balance on liabilities  Negative (Minus ‘-’ sign needed)  
Decrease on liabilities  Negative (Minus ‘-’ sign needed)  
Equity  Balance on equity  Positive (‘Normal’, no sign needed)  
Increase on equity  Positive (‘Normal’, no sign needed)  
Negative balance on equity  Negative (Minus ‘-’ sign needed)  
Decrease on equity  Negative (Minus ‘-’ sign needed)  
Income  Balance on income  Positive (‘Normal’, no sign needed)  
Increase on income  Positive (‘Normal’, no sign needed)  
Negative balance (including reversals) 
on income  Negative (Minus ‘-’ sign needed)  
Decrease on income  Negative (Minus ‘-’ sign needed)EN L 97/1320 Official Journal of the European Union 19.3.2021
 
3. CONSOLIDATION  
12. Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of 
consolidation in accordance with Section 2 of Chapter 2 of Title II of Part 1 CRR. Institutions shall account for 
their subsidiaries, joint ventures and associates using the same methods as for prudential consolidation:  
(a) institutions may be permitted or required to apply the equity method to investments in insurance and non- 
financial subsidiaries in accordance with Article 18(5)CRR;  
(b) institutions may be permitted to use the proportional consolidation method for financial subsidiaries in 
accordance with Article 18(2) CRR;  
(c) institutions may be required to use the proportional consolidation method for investment in joint ventures 
in accordance with Article 18(4) CRR.  
4. ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS  
13. For the purposes of Annexes III and IV as well as this Annex, ‘accounting portfolios’ means financial 
instruments aggregated by valuation rules. Those aggregations shall not include investments in subsidiaries, 
joint ventures and associates, balances receivable on demand classified as ‘Cash, cash balances at central banks 
and other demand deposits’, nor financial instruments classified as ‘Held for sale’ presented in the items ‘Non- 
current assets and disposal groups classified as held for sale’ and ‘Liabilities included in disposal groups 
classified as held for sale’.  
14. Under national GAAP, institutions that are permitted or required to apply certain valuation rules for financial 
instruments in accordance with IFRS shall submit, to the extent that those rules are applied, the relevant IFRS 
accounting portfolios. Where the valuation rules for financial instruments that institutions are permitted or 
required to use under national GAAP based on BAD do refer to the valuation rules in IAS 39, institutions shall 
submit the accounting portfolios based on BAD for all their financial instruments until the valuation rules they 
apply refer to the valuation rules in IFRS 9.  
4.1. Financial assets  
15. The following accounting portfolios based on IFRS shall be used for financial assets:  
(a) ‘Financial assets held for trading’;  
(b) ‘Non-trading financial assets mandatorily at fair value through profit or loss’;  
(c) ‘Financial assets designated at fair value through profit or loss’;  
(d) ‘Financial assets at fair value through other comprehensive income’;  
(e) ‘Financial assets at amortised cost’.  
16. The following accounting portfolios based on national GAAP shall be used for financial assets:  
(a) ‘Trading financial assets’;  
(b) ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’;EN 19.3.2021 Official Journal of the European Union L 97/1321
 
(c) ‘Non-trading non-derivative financial assets measured at fair value to equity;  
(d) ‘Non-trading non-derivative financial assets measured at a cost-based method’;  
(e) ‘Other non-trading non-derivative financial assets’.  
17. ‘Trading financial assets’ includes all financial assets classified as trading under the relevant national GAAP 
based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based 
on BAD, all derivatives with a positive balance for the reporting institution that are not classified as hedge 
accounting in accordance with paragraph 22 of this Part shall be reported as trading financial assets. That 
classification shall also apply to derivatives which according to national GAAP based on BAD are not 
recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet 
or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.  
18. Under national GAAP based on BAD, for financial assets, ‘cost-based methods’ shall include those valuation 
rules by which the debt instrument is measured at cost plus interest accrued less impairment losses.  
19. Under national GAAP based on BAD, ‘Non-trading non-derivative financial assets measured at a cost-based 
method’ includes financial instruments measured at cost-based methods as well as instruments measured at the 
lower of cost or market (‘LOCOM’) under a non-continuous basis (moderate LOCOM), regardless of their actual 
measurement as of the reporting reference date. Assets measured at moderate LOCOM are assets for which 
LOCOM is applied only in specific circumstances. The applicable accounting framework provides for those 
circumstances, such as impairment, a prolonged decline in fair value compared to cost or change in the 
management intent.  
20. Under national GAAP based on BAD, ‘Other non-trading non-derivative financial assets’ shall include financial 
assets that do not qualify for inclusion in other accounting portfolios. That accounting portfolio includes, 
among others, financial assets that are measured at LOCOM on a continuous basis (‘strict LOCOM’). Assets 
measured at strict LOCOM are assets for which the applicable accounting framework either provides for the 
initial and subsequent measurement at LOCOM, or the initial measurement at cost and the subsequent 
measurement at LOCOM.  
21. Regardless of their measurement method, investments in subsidiaries, joint ventures and associates that are not 
fully or proportionally consolidated under the regulatory scope of consolidation are reported in ‘Investments in 
subsidiaries, joint ventures and associates’, except where they are classified as held for sale in accordance with 
IFRS 5.  
22. ‘Derivatives – Hedge accounting’ shall include derivatives with a positive balance for the reporting institution 
held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be 
classified as derivatives held for hedge accounting only where there are special accounting rules for banking 
book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another 
position in the banking book.  
4.2. Financial liabilities  
23. The following accounting portfolios based on IFRS shall be used for financial liabilities:  
(a) ‘Financial liabilities held for trading’;  
(b) ‘Financial liabilities designated at fair value through profit or loss’;  
(c) ‘Financial liabilities measured at amortised cost’.EN L 97/1322 Official Journal of the European Union 19.3.2021
 
24. The following accounting portfolios based on national GAAP shall be used for financial liabilities:  
(a) ‘Trading financial liabilities’;  
(b) ‘Non-trading non-derivative financial liabilities measured at a cost-based method’.  
25. ‘Trading financial liabilities’ includes all financial liabilities classified as trading under the relevant national 
GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP 
based on BAD, all derivatives with a negative balance for the reporting institution that are not classified as 
hedge accounting in accordance with paragraph 26 of this Part shall be reported as trading financial liabilities. 
That classification shall also apply to derivatives which according to national GAAP based on BAD are not 
recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or 
which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.  
26. ‘Derivatives – Hedge accounting’ shall include derivatives with a negative balance for the reporting institution 
held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be 
classified as hedge accounting only if there are special accounting rules for banking book derivatives under the 
relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking 
book.  
5. FINANCIAL INSTRUMENTS  
27. For the purposes of Annexes III and IV as well as this Annex,  "the carrying amount " means the amount to be 
reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. 
Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the 
carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it 
shall be equal to zero where derivatives are not recognised on-balance sheet.  
28. If recognised under the relevant national GAAP based on BAD, accruals and deferrals of financial instruments 
including interest accrual, premiums and discounts or transaction costs shall be reported together with the 
instrument and not as other assets or other liabilities.  
29. Where applicable under national GAAP based on BAD, ‘Haircuts for trading positions valued at fair value’ shall 
be reported. The haircuts decrease the value of trading assets and increase the value of trading liabilities.  
5.1. Financial assets  
30. Financial assets shall be distributed among the following classes of instruments: ‘Cash on hand’, ‘Derivatives’, 
‘Equity instruments’, ‘Debt securities’ and ‘Loans and advances’.  
31. ‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans, as defined in 
the Table of Part 2 of Annex II to the ECB BSI Regulation.  
32. ‘Loans and advances’ are debt instruments held by the institutions that are not securities. That item includes 
loans as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation (including demand deposits at 
credit institutions and central banks, irrespective of their classification as per the applicable accounting 
framework) as well as advances that cannot be classified as ‘loans’ defined in the Table of Part 2 of Annex 
II to the ECB BSI Regulation. ‘Advances that are not loans’ are further characterized in paragraph 85(g) of Part 
2 of this Annex.EN 19.3.2021 Official Journal of the European Union L 97/1323
 
33. In FINREP, ‘debt instruments’ shall include ‘loans and advances’ and ‘debt securities’.  
5.2. Gross carrying amount  
34. Gross carrying amount of debt instruments shall have the following meaning:  
(a) under IFRS and national GAAP based on BAD for debt instruments measured at fair value through profit 
or loss without being included in the held for trading or trading portfolio, the gross carrying amount shall 
depend on whether those debt instruments are classified as performing or non-performing. For performing 
debt instruments, the gross carrying amount shall be the fair value. For non-performing debt instruments, 
the gross carrying amount shall be the fair value after adding back any accumulated negative changes in 
fair value due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purposes of the 
measurement of the gross carrying amount, the valuation of the debt instruments shall be performed on 
the level of single financial instruments;  
(b) under IFRS for debt instruments at amortised cost, the gross carrying amount shall be the carrying amount 
before adjusting for any loss allowance and for debt instruments at fair value through other comprehensive 
income, the amortised cost before adjusting for any loss allowance;  
(c) under national GAAP based on BAD, for debt instruments classified as ‘non-trading non-derivative 
financial assets measured at a cost-based method’, the gross carrying amount of impaired assets shall be 
equal to the carrying amount before adjusting for specific allowances for credit risk. The gross carrying 
amount of unimpaired assets shall be the carrying amount before adjusting for general allowances for 
credit risk and general allowances for banking risk, where affecting the carrying amount;  
(d) under national GAAP based on BAD, the gross carrying amount of debt instruments classified as ‘Non- 
trading non-derivative financial assets measured at fair value to equity’ shall depend on whether those 
financial assets are subject to impairment requirements. Where they are subject to impairment require ­
ments, the gross carrying amount shall be the carrying amount before adjusting for any accumulated 
impairment, following the requirements in point (c) above for impaired and unimpaired assets, or any 
accumulated amount of fair value adjustment that is considered as impairment loss. When those financial 
assets are not subject to impairment requirements, the gross carrying amount of those financial assets shall 
be the fair value for performing exposures, and for non-performing exposures the fair value after adding 
back any accumulated negative fair value adjustment due to credit risk;  
(e) under national GAAP based on BAD, the gross carrying amount of debt instruments measured at strict or 
moderate LOCOM shall be the cost where measured at cost during the reporting reference period. Where 
those debt instruments are measured at market value, the gross carrying amount shall be the market value 
before adjusting for credit-risk induced value adjustments;  
(f) under national GAAP based on BAD, for debt instruments reported under ‘Other non-trading non-deri ­
vative financial assets’ under measurement methods other than LOCOM, the gross carrying amount shall 
be the carrying amount before taking into account any valuation adjustment that qualifies as impairment;  
(g) for trading financial assets under GAAP based on BAD or held for trading financial assets under IFRS, the 
gross carrying amount shall be the fair value. Where GAAP based on BAD require haircuts on trading and 
fair valued instruments, the carrying amount of the financial instruments shall be the fair value before 
those haircuts.EN L 97/1324 Official Journal of the European Union 19.3.2021
 
5.3. Financial liabilities  
35. Financial liabilities shall be distributed among the following classes of instruments: ‘Derivatives’, ‘Short posi ­
tions’, ‘Deposits’, ‘Debt securities issued’ and ‘Other financial liabilities’.  
36. For the purposes of Annexes III and IV as well as this Annex, ‘deposits’ shall be deposits as defined in the 
Table of Part 2 of Annex II to the ECB BSI Regulation.  
37. ‘Debt securities issued’ shall be debt instruments issued as securities by the institution that are not deposits, as 
defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.  
38. ‘Other financial liabilities’ shall include all financial liabilities other than derivatives, short positions, deposits 
and debt securities issued.  
39. Under IFRS, ‘Other financial liabilities’ shall include financial guarantees given where they are measured either 
at fair value through profit or loss (IFRS 9.4.2.1(a)) or at the amount initially recognised less cumulative 
amortization (IFRS 9.4.2.1(c)(ii)). Loan commitments given shall be reported as ‘Other financial liabilities’ 
where they are designated as financial liabilities at fair value through profit or loss (IFRS 9.4.2.1(a)) or they 
are commitments to provide a loan at a below-market interest rate (IFRS 9.2.3(c), IFRS 9.4.2.1(d)).  
40. Where loan commitments, financial guarantees and other commitments given are measured at fair value 
through profit or loss, any change in the fair value, including changes due to credit risk, shall be reported 
as ‘other financial liabilities’ and not as provisions for ‘Commitments and guarantees given’.  
41. ‘Other financial liabilities’ shall also include dividends to be paid, amounts payable in respect of suspense and 
transit items, and amounts payable in respect of future settlements of transactions in securities or foreign 
exchange transactions where payables for transactions are recognised before the payment date.  
6. COUNTERPARTY BREAKDOWN  
42. 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 public companies and 
private companies held by these administrations that have a commercial activity (which shall be reported 
under ‘credit institutions’, ‘other financial corporations’ or ‘non-financial corporations’ depending on their 
activity); social security funds; and international organisations, such as institutions of the European Union, 
the International Monetary Fund and the Bank for International Settlements;  
(c) credit institutions: any institution covered by the definition in point (1) of Article 4(1) CRR (‘undertaking 
the business of which is to take deposits or other repayable funds from the public and to grant credits for 
its own account’) and multilateral development banks (MDBs);  
(d) other financial corporations: all financial corporations and quasi-corporations, other than credit institu ­
tions, such as investment firms, investment funds, insurance companies, pension funds, collective 
investment undertakings, and clearing houses as well as remaining financial intermediaries, financial 
auxiliaries and captive financial institutions and money lenders;  
(e) non-financial corporations (NFCs): corporations and quasi-corporations not engaged in financial inter ­
mediation but principally in the production of market goods and non-financial services, as defined in 
the Table of Part 3 of Annex II to the ECB BSI Regulation;EN 19.3.2021 Official Journal of the European Union L 97/1325
 
(f) households: individuals or groups of individuals as consumers and producers of goods and non-financial 
services exclusively for their own final consumption, and as producers of market goods and non-financial 
and financial services provided that their activities are not those of quasi-corporations. Non-profit insti ­
tutions which serve households (‘NPISH’) and which are principally engaged in the production of non- 
market goods and services intended for particular groups of households shall be included.  
43. The counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The 
classification of the exposures incurred jointly by more than one obligor shall be done on the basis of the 
characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the 
exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, 
country of residence and NACE codes shall be driven by the characteristics of the more relevant or deter ­
minant obligor.  
44. The immediate counterparties in the following transactions shall be:  
(a) for loans and advances, the immediate borrower. For trade receivables, the immediate borrower shall be 
the counterparty obliged to pay the receivables, except in transactions with recourse, where the immediate 
borrower shall be the transferor of receivables where the reporting institution does not acquire substan ­
tially all the risks and rewards of ownership of the transferred receivables;  
(b) for debt securities (including securitisation instruments) and equity instruments, the issuer of the securities;  
(c) for deposits, the depositor;  
(d) for short positions, the counterparty of the securities borrowing transaction or reverse repurchase 
agreement;  
(e) for derivatives, the direct counterparty of the derivative contract. For centrally cleared OTC derivatives, the 
direct counterparty shall be the clearing house acting as a central counterparty. Counterparty breakdown 
for credit risk derivatives refers to the sector where the counterparty of the contract (buyer or seller of 
protection) belongs;  
(f) for financial guarantees given, the counterparty shall be the direct counterparty of the underlying guar ­
anteed debt instrument;  
(g) for loan commitments and other commitments given, the counterparty whose credit risk is assumed by the 
reporting institution;  
(h) for loan commitments, financial guarantees and other commitments received, the guarantor or the 
counterparty that has provided the commitment to the reporting institution.  
PART 2  
TEMPLATE RELATED INSTRUCTIONS  
1. BALANCE SHEET  
1.1. Assets (1.1)  
1. ‘Cash on hand’ shall include holdings of national and foreign banknotes and coins in circulation that are 
commonly used to make payments.  
2. ‘Cash balances at central banks’ shall include ‘loans and advances’ that are balances receivable on demand at 
central banks.  
3. ‘Other demand deposits’ shall include ‘loans and advances’ that are balances receivable on demand with credit 
institutions.EN L 97/1326 Official Journal of the European Union 19.3.2021
 
4. ‘Investments in subsidiaries, joint ventures and associates’ shall include the investments in associates, joint 
ventures and subsidiaries which are not fully or proportionally consolidated under the regulatory scope of 
consolidation, except where they shall be classified as held for sale in accordance with IFRS 5, irrespective of 
how they are measured, including where the accounting standards allow for them to be included in the 
different accounting portfolios used for financial instruments. The carrying amount of investments 
accounted for using the equity method shall include related goodwill.  
5. Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet 
items shall be reported in ‘Other assets’. Other assets shall include, among others, gold, silver and other 
commodities, even where they are held with trading intent.  
6. Under the relevant national GAAP based on BAD, the carrying amount of repurchased own shares shall be 
reported as ‘other assets’ where presentation as asset is allowed under the relevant national GAAP.  
7. ‘Non-current assets and disposal groups classified as held for sale’ shall have the same meaning as under 
IFRS 5.  
1.2. Liabilities (1.2)  
8. Under national GAAP based on BAD, provisions for contingent losses arising from the ineffective part of 
portfolio hedge relationship shall be reported in row ‘Derivatives – Hedge accounting’ where the loss arises 
from the valuation of the hedging derivative, or in row ‘Fair value changes of the hedged items in portfolio 
hedge of interest rate risk’ where the loss arises from the valuation of the hedged position. Where no 
distinction between losses arising from the valuation of the hedging derivative and loss arising from the 
valuation of the hedged position is possible, all provisions for contingent losses arising from the ineffective 
part of the portfolio hedge relationship shall be reported in row ‘Derivatives – Hedge accounting’.  
9. Provisions for ‘Pensions and other post-employment defined benefit obligations’ shall include the amount of 
net defined benefit liabilities.  
10. Under IFRS, provisions for ‘Other long-term employee benefits’ shall include the amount of the deficits in the 
long-term employment benefit plans listed in IAS 19.153. The accrued expense from short-term employee 
benefits (IAS 19.11(a)), defined contribution plans (IAS 19.51(a)) and termination benefits (IAS 19.169(a)) shall 
be included in ‘Other liabilities’.  
11. Under IFRS, provisions for ‘Commitments and guarantees given’ shall include provisions related to all 
commitments and guarantees, irrespective of whether their impairment is determined in accordance with 
IFRS 9 or their provisioning follows IAS 37 or whether they are treated as insurance contracts under IFRS 
4. Liabilities arising from commitments and financial guarantees measured at fair value through profit or loss 
shall not be reported as provisions although they are due to credit risk, but as ‘other financial liabilities’ in 
accordance with paragraph 40 of Part 1 of this Annex. Under national GAAP based on BAD, provisions for 
‘Commitments and guarantees given’ shall include provisions related to all commitments and guarantees.  
12. ‘Share capital repayable on demand’ shall include the capital instruments issued by the institution that do not 
meet the criteria to be classified in equity. Institutions shall include in this item the cooperative shares that do 
not meet the criteria to be classified in equity.  
13. Liabilities that are not financial liabilities and that due to their nature could not be classified in specific balance 
sheet items shall be reported in ‘Other liabilities’.EN 19.3.2021 Official Journal of the European Union L 97/1327
 
14. ‘Liabilities included in disposal groups classified as held for sale’ shall have the same meaning as under IFRS 5.  
15. Under national GAAP based on BAD ‘Funds for general banking risks’ are amounts that have been assigned in 
accordance with Article 38 of BAD. Where recognised, they shall appear separately either as liabilities under 
‘provisions’ or within equity under ‘other reserves’ in accordance with the relevant national GAAP.  
1.3. Equity (1.3)  
16. Under IFRS, equity instruments that are financial instruments shall include those contracts under the scope of 
IAS 32.  
17. Under the relevant national GAAP based on BAD, ‘Unpaid capital which has been called up’ shall include the 
carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at 
the reference date. If capital increase, not yet paid, is recorded as an increase of share capital, unpaid capital 
which has been called up shall be reported in ‘Unpaid capital which has been called up’ in template 1.3 as well 
as in ‘other assets’ in template 1.1. Under the relevant national GAAP based on BAD, where capital increase 
can be recorded only following the receipt of the payment from shareholders, unpaid capital shall not be 
reported in template 1.3.  
18. ‘Equity component of compound financial instruments’ shall include the equity component of compound 
financial instruments (that is, financial instruments that contain both a liability and an equity component) 
issued by the institution, where segregated in accordance with the relevant accounting framework (including 
compound financial instruments with multiple embedded derivatives the values of which are interdependent).  
19. ‘Other equity instruments issued’ shall include equity instruments that are financial instruments other than 
‘Capital’ and ‘Equity component of compound financial instruments’.  
20. ‘Other equity’ shall comprise all equity instruments that are not financial instruments including, among others, 
equity-settled share-based payment transactions (IFRS 2.10).  
21. ‘Fair value changes of equity instruments measured at fair value through other comprehensive income’ shall 
include accumulated gains and losses due to changes in fair value on investments in equity instruments for 
which the reporting entity has made the irrevocable election to present changes in fair value in other 
comprehensive income.  
22. ‘Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other 
comprehensive income’ shall comprise the accumulated hedge ineffectiveness arising in fair value hedges in 
which the hedged item is an equity instrument measured at fair value through other comprehensive income. 
Hedge ineffectiveness reported in this row shall be the difference between the accumulated variation of the fair 
value of the equity instrument reported in ‘Fair value changes of equity instruments measured at fair value 
through other comprehensive income (hedged item)’ and the accumulated variations of the fair value of the 
hedging derivative reported in ‘Fair value changes of equity instruments measured at fair value through other 
comprehensive income (hedging instrument)’ (IFRS 9.6.5.3 and IFRS 9.6.5.8).  
23. ‘Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in the credit 
risk’ shall include accumulated gains and losses recognised in other comprehensive income and related to own 
credit risk for liabilities designated at fair value through profit or loss, regardless of whether the designation 
takes place at initial recognition or subsequently.EN L 97/1328 Official Journal of the European Union 19.3.2021
 
24. ‘Hedge of net investments in foreign operations (effective portion)’ shall include the foreign currency trans ­
lation reserve for the effective portion of both on-going hedges of net investments in foreign operations and 
hedges of net investments in foreign operations that no longer apply while the foreign operations remain 
recognised in the balance sheet.  
25. ‘Hedging derivatives. Cash flow hedges reserve (effective portion)’ shall include the cash flow hedge reserve for 
the effective portion of the variation in fair value of hedging derivatives in a cash flow hedge, both for on- 
going cash flow hedges and cash flow hedges that no longer apply.  
26. ‘Fair value changes of debt instruments measured at fair value through other comprehensive income’ shall 
include accumulated gains or losses on debt instruments measured at fair value through other comprehensive 
income, net of the loss allowance that is measured at the reporting date in accordance with IFRS 9.5.5.  
27. ‘Hedging instruments (not designated elements)’ shall include the accumulated changes in fair value of all of 
the following:  
(a) the time value of an option where the changes in the time value and the intrinsic value of that option are 
separated and only the change in the intrinsic value is designated as a hedging instrument (IFRS 9.6.5.15);  
(b) the forward element of a forward contract where the forward element and the spot element of that 
forward contract are separated and only the change in the spot element of the forward contract is 
designated as hedging instrument;  
(c) the foreign currency basis spread from a financial instrument where this spread is excluded from the 
designation of that financial instrument as the hedging instrument (IFRS 9.6.5.15, IFRS 9.6.5.16).  
28. Under IFRS, ‘Revaluation reserves’ shall include the amount of reserves resulting from first-time adoption to 
IAS that have not been released to other type of reserves.  
29. ‘Other reserves’ shall be split between ‘Reserves or accumulated losses of investments in subsidiaries, joint 
ventures and associates accounted for using the equity method’ and ‘Other’. ‘Reserves or accumulated losses of 
investments in subsidiaries, joint ventures and associates accounted for using the equity method’ shall include 
the accumulated amount of income and expenses generated by the aforementioned investments through profit 
or loss in past years where they are accounted for using the equity method. ‘Other’ shall include reserves 
different from those separately disclosed in other items and may include legal reserve and statutory reserve.  
30. ‘Treasury shares’ shall cover all financial instruments that have the characteristics of own equity instruments 
which have been reacquired by the institution while they are not sold or amortised, except where under the 
relevant national GAAP based on BAD they shall be reported in ‘other assets’.  
2. STATEMENT OF PROFIT OR LOSS (2)  
31. Interest income and interest expense from financial instruments measured at fair value through profit or loss 
and from hedging derivatives classified in the category ‘hedge accounting’ shall be reported either separately 
from other gains and losses under items ‘interest income’ and ‘interest expense’ (‘clean price’) or as part of 
gains or losses from these categories of instruments (‘dirty price’). The clean or dirty price approach shall be 
applied consistently for all financial instruments measured at fair value through profit or loss and for hedging 
derivatives classified in the category ‘hedge accounting’.EN 19.3.2021 Official Journal of the European Union L 97/1329
 
32. Institutions shall report the following items, which include income and expense in relation to related parties 
not fully or proportionally consolidated under the regulatory scope of consolidation, broken down by 
accounting portfolios:  
(a) ‘Interest income’;  
(b) ‘Interest expense’;  
(c) ‘Dividend income’;  
(d) ‘Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit 
or loss, net’;  
(e) ‘Modification gains or losses, net’;  
(f) ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or 
loss’.  
33. ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. Financial liabilities held for trading’ 
shall include, where the clean price is used, the amounts related to those derivatives classified in the category 
‘held for trading’ which are hedging instruments from an economic but not accounting point of view to 
present correct interest income and expenses from the financial instruments that are hedged.  
34. Where the clean price is used, ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. 
Financial liabilities held for trading’ shall also include time-apportioned fees and balancing payments in 
relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a 
financial instrument that is designated at fair value at that occasion (IFRS 9.6.7).  
35. ‘Interest income. Derivatives – Hedge accounting, interest rate risk’ and ‘Interest expenses. Derivatives – Hedge 
accounting, interest rate risk’ shall include, where the clean price is used, the amounts related to those 
derivatives classified in the category ‘hedge accounting’ which cover interest rate risk, including hedges of a 
group of items with offsetting risk positions (hedges of a net position) whose hedged risk affect different line 
items in the statement of profit or loss. Where the clean price is used, those amounts shall be reported as 
interest income and expenses on a gross basis to present correct interest income and expenses from the 
hedged items to which they are linked. With clean price, where the hedged item generates interest income 
(expense), those amounts shall be reported as an interest income (expense) even where it is a negative (positive) 
amount.  
36. ‘Interest income – other assets’ shall include amounts of interest income not included in the other items, like 
interest income related to cash, cash balances at central banks and other demand deposits and to non-current 
assets and disposal groups classified as held for sale as well as net interest income from net defined benefit 
asset.  
37. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial liabilities with 
a negative effective interest rate shall be reported in ‘Interest income on liabilities’. These liabilities and their 
interests give rise to a positive yield for an institution.  
38. ‘Interest expenses – other liabilities’ shall include amounts of interest expenses not included in the other items, 
like interest expenses related to liabilities included in disposal groups classified as held for sale, expenses 
derived from increases in the carrying amount of a provision reflecting the passage of time or net interest 
expenses from net defined benefit liabilities.  
39. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial assets with a 
negative effective interest rate shall be reported in ‘Interest expense on assets’. Those assets and their interests 
give rise to a negative yield for an institution.EN L 97/1330 Official Journal of the European Union 19.3.2021
 
40. Dividend income on equity instruments measured at fair value through profit or loss shall be reported either as 
‘dividend income’ separately from other gains and losses from those classes of instruments where the clean 
price is used, or as part of gains or losses from those classes of instruments where the dirty price is used.  
41. Dividend income on equity instruments designated at fair value through other comprehensive income shall 
encompass dividends related to instruments derecognised during the reporting reference period and dividends 
related to instruments held at the end of the reporting reference period.  
42. Dividend income from investments in subsidiaries, joint ventures and associates shall include the dividends of 
those investments where they are accounted for using other than the equity method.  
43. ‘Gains or (-) losses on financial assets and liabilities held for trading, net’ shall include gains and losses in the 
remeasurement and derecognition of financial instruments classified as held for trading. This item shall also 
include gains and losses on credit derivatives measured at fair value through profit or loss used to manage the 
credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or 
loss, as well as dividend and interest income and expense on financial assets and liabilities held for trading 
where the dirty price is used.  
44. ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss’ shall include 
also the amount recognised in the statement of profit or loss for the own credit risk of liabilities designated at 
fair value where recognising own credit risk changes in other comprehensive income creates or enlarges an 
accounting mismatch (IFRS 9.5.7.8). This item shall include also gains and losses on the hedged instruments 
that are designated as measured at fair value through profit or loss where the designation is used to manage 
credit risk, as well as interest income and expense on financial assets and liabilities designated at fair value 
through profit or loss where the dirty price is used.  
45. ‘Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit 
or loss’ shall not include gains on equity instruments that a reporting entity choses to measure at fair value 
through other comprehensive income (IFRS 9.5.7.1(b)).  
46. Where a change in business model leads to the reclassification of a financial asset into a different accounting 
portfolio, the gains or losses from the reclassification shall be reported in the relevant rows of the accounting 
portfolio in which the financial asset is reclassified, in accordance with the following:  
(a) where a financial asset is reclassified out of the amortised cost measurement category and into the fair 
value through profit or loss accounting portfolio (IFRS 9.5.6.2), gains or losses due to the reclassification 
shall be reported in ‘Gains or (-) losses on financial assets and liabilities held for trading, net’ or ‘Gains or 
(-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net’, as applicable;  
(b) where a financial asset is reclassified out of the fair value through other comprehensive income 
measurement category and into the fair value through profit or loss measurement category (IFRS 
9.5.6.7), the cumulative gains or losses previously recognised in other comprehensive income reclassified 
to profit or loss shall be reported in ‘Gains or (-) losses on financial assets and liabilities held for trading, 
net’ or ‘Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, 
net’, as applicable.EN 19.3.2021 Official Journal of the European Union L 97/1331
 
47. ‘Gains or (-) losses from hedge accounting, net’ shall include gains and losses on hedging instruments and on 
hedged items, including those on hedged items measured at fair value through other comprehensive income 
other than equity instruments, in a fair value hedge in accordance with IFRS 9.6.5.8. It shall also include the 
ineffective part of the variation of the fair value of the hedging instruments in a cash flow hedge. The 
reclassifications of the cash flow hedges reserve or of the reserve for hedges of net investment in a foreign 
operation shall be recognised in the same rows of the ‘Statement of profit or loss’ as those impacted by the 
cash flows from the hedged items. ‘Gains or (-) losses from hedge accounting, net’ shall include also the gains 
and losses from hedges of net investment in foreign operations. This item shall also include gains on hedges 
of net positions.  
48. ‘Gains or losses on derecognition of non-financial assets’ shall include the gains and losses on derecognition of 
non-financial assets, except where classified as held for sale or as investments in subsidiaries, joint ventures 
and associates.  
48i. ‘Cash contributions to resolution funds and deposit guarantee schemes’ shall include the amounts of 
contributions to resolution funds and deposit guarantee schemes where they are paid in the form of cash. 
Where the contribution is made in the form of a payment commitment, this payment commitment shall be 
included in ‘provisions or (-) reversal of provisions’, if the payment commitment gives rise to a liability in 
accordance with the applicable accounting standard.  
49. ‘Modification gains or (-) losses, net’ shall include the amounts arising from adjusting the gross carrying 
amounts of financial assets to reflect the renegotiated or modified contractual cash flows (IFRS 9.5.4.3 and 
Appendix A). The modification gains or losses shall not include the impact of modifications on the amount of 
expected credit losses, which shall be reported in ‘Impairment or (-) reversal of impairment on financial assets 
not measured at fair value through profit or loss’.  
50. ‘Provisions or (-) reversal of provisions. Commitments and guarantees given’ shall include the net charges in 
the ‘Statement of profit or loss’ for provisions on all commitments and guarantees in the scope of IFRS 9, IAS 
37 or IFRS 4 in accordance with paragraph 11 of this Part, or under national GAAP based on BAD. Under 
IFRS, any change in the fair value of commitments and financial guarantees measured at fair value shall be 
reported in ‘Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, 
net’. Provisions therefore include the impairment amount for commitments and guarantees for which 
impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or they are 
treated as insurance contracts under IFRS 4.  
51. Under IFRS, ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through 
profit or loss’ shall include all impairment gains or losses for debt instruments arising from the application of 
the impairment rules in IFRS 9.5.5, regardless of whether the expected credit losses in accordance with IFRS 
9.5.5 are estimated over a 12-month or a lifetime period, and including the impairment gains or losses for 
trade receivables, contract assets and lease receivables (IFRS 9.5.5.15).  
52. Under national GAAP based on BAD ‘Impairment or (-) reversal of impairment on financial assets not 
measured at fair value through profit and loss’ shall include all allowances and reversal of allowances of 
financial instruments measured at cost based methods due to the change in creditworthiness of the debtor or 
issuer, as well as, depending on the specifications of the national GAAP, the allowances due to the impairment 
of financial instruments measured at fair value through equity and other measurement methods, including 
LOCOM.EN L 97/1332 Official Journal of the European Union 19.3.2021
 
53. ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss’ 
shall also include the amounts written off – as defined in paragraph 72, 74 and 165(b) of this Part of this 
Annex- that exceed the amount of the loss allowance at the date of write-off and are therefore recognised as a 
loss directly in profit or loss, as well as recoveries of previously written-off amounts recorded directly to the 
statement of profit or loss.  
54. The share of profit or loss from subsidiaries, associates and joint ventures which are accounted for under the 
equity method in the regulatory scope of consolidation shall be reported within ‘Share of the profit or (-) loss 
of investments in subsidiaries, joint ventures and associates accounted for using the equity method’. According 
to IAS 28.10, the carrying amount of the investment shall be reduced by the amount of dividends paid by 
those entities. The impairment on those investments shall be reported in ‘(Impairment or (-) reversal of 
impairment of investments in subsidiaries, joint ventures and associates)’. Gains or losses on derecognition 
of these investments shall be reported in accordance with paragraph 55 and 56of this Part.  
55. ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as 
discontinued operations’ shall include profit or loss generated by non-current assets and disposal groups 
classified as held for sale not qualifying as discontinued operations.  
56. Under IFRS, the gains or losses on derecognition of investments in subsidiaries, joint ventures and associates 
shall be reported within ‘Profit or (-) loss before tax from discontinued operations’ where they are considered 
discontinued operations under IFRS 5. Where investments in subsidiaries, joint ventures and associates are 
derecognised without being previously classified as held for sale and without being qualified as discontinued 
operations under IFRS 5, any gains or losses on derecognition of these investments shall be reported in ‘Gains 
or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net’, irrespective of 
the consolidation method applied. Under national GAAP based on BAD, all gains and losses on derecognition 
of investments in subsidiaries, joint ventures and associates shall be reported in ‘Gains or (-) losses on 
derecognition of investments in subsidiaries, joint ventures and associates, net’.  
3. STATEMENT OF COMPREHENSIVE INCOME (3)  
57. ‘Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive 
income’ shall include the change in the accumulated hedge ineffectiveness in fair value hedges in which the 
hedged item is an equity instrument measured at fair value through other comprehensive income. The change 
in accumulated hedge ineffectiveness reported in this row shall be the difference between the changes in the 
variation of the fair value of the equity instrument reported in ‘Fair value changes of equity instruments 
measured at fair value through other comprehensive income (hedged item)’ and the changes in the variation of 
the fair value of the hedging derivative reported in ‘Fair value changes of equity instruments measured at fair 
value through other comprehensive income (hedging instrument)’.  
58. ‘Hedge of net investments in foreign operations (effective portion)’ shall include the change in the accumulated 
foreign currency translation reserve for the effective portion of both on-going and discontinued hedges of net 
investments in foreign operations.  
59. For hedges of net investment in foreign operations and cash flow hedges, the respective amounts reported in 
‘Transferred to profit or loss’ shall include amounts transferred because the hedged flows have occurred and 
are no longer expected to occur.EN 19.3.2021 Official Journal of the European Union L 97/1333
 
60. ‘Hedging instruments (not designated elements)’ shall include changes in the accumulated changes in fair value 
of all of the following where they are not designated as a hedging component:  
(a) time value of options;  
(b) forward elements of forward contracts;  
(c) foreign exchange basis spread of financial instruments.  
61. For options, the amounts reclassified to profit or loss and reported in ‘Transferred to profit or loss’ shall 
include reclassifications due to options that hedge a transaction-related hedged item and options that hedge a 
time-period related hedge item.  
62. ‘Debt instruments at fair value through other comprehensive income’ shall include gains or losses on debt 
instruments measured at fair value through other comprehensive income other than impairment gains or 
losses and foreign exchange gains and losses, that shall respectively be reported in ‘(Impairment or (-) reversal 
of impairment on financial assets not measured at fair value through profit or loss)’ and in ‘Exchange 
differences (gain or (-) loss), net’ in template 2. ‘Transferred to profit or loss’ in particular shall include the 
transfer to profit or loss due to derecognition or reclassification into the fair value through profit or loss 
measurement category.  
63. Where a financial asset is reclassified out of the amortised cost measurement category and into the fair value 
through other comprehensive income measurement category (IFRS 9.5.6.4), the gains or losses arising due to 
the reclassification shall be reported in ‘Debt instruments at fair value through other comprehensive income’.  
64. Where a financial asset is reclassified out of the fair value through other comprehensive income measurement 
category and into the fair value through profit or loss measurement category (IFRS 9.5.6.7) or into the 
amortised cost measurement category (IFRS 9.5.6.5), the reclassified cumulative gains and losses previously 
recognised in other comprehensive income shall be respectively reported in ‘Transferred to profit or loss’ and 
in ‘Other reclassifications’, adjusting in the latter case the carrying amount of the financial asset.  
65. For all components of the other comprehensive income, ‘Other reclassifications’ shall include transfers other 
than the reclassifications from the other comprehensive income to the profit or loss or to the initial carrying 
amount of hedged items in the case of cash flow hedges.  
66. Under IFRS ‘Income tax relating to items that will not be reclassified’ and ‘Income tax relating to items that 
may be reclassified to profit or (-) loss’ (IAS 1.91 (b), IG6) shall be reported as separate line items.  
4. BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)  
67. Financial assets shall be broken down by accounting portfolio and instrument and – where required – by 
counterparty. For debt instruments measured at fair value through other comprehensive income and at 
amortised cost, the gross carrying amount of assets and accumulated impairments shall be broken down 
by impairment stages, except where they are purchased or originated financial assets that are credit-impaired 
at initial recognition as defined in IFRS 9 Appendix A. For these assets, the gross carrying amount and 
accumulated impairment shall be separately reported, outside the impairment stages, in templates 4.3.1 and 
4.4.1.  
68. Derivatives reported as trading financial assets under GAAP based on BAD include instruments measured at 
fair value as well as instruments measured at cost-based methods or LOCOM.EN L 97/1334 Official Journal of the European Union 19.3.2021
 
69. For the purposes of Annexes III and IV as well as this Annex, ‘accumulated negative changes in fair value due 
to credit risk’ means, for non-performing exposures, accumulated changes in fair value due to credit risk 
where the accumulated net change is negative. The accumulated net change in fair value due to credit risk 
shall be calculated by adding all negative and positive changes in fair value due to credit risk that have 
occurred since recognition of the debt instrument. That amount shall only be reported where the addition of 
positive and negative changes in fair value due to credit risk results in a negative amount. The valuation of the 
debt instruments shall be performed on the level of single financial instruments. For each debt instrument, 
‘Accumulated negative changes in fair value due to credit risk’ shall be reported until the derecognition of the 
instrument.  
70. For the purposes of Annexes III and IV as well as this Annex, ‘accumulated impairment’ shall have the 
following meaning:  
(a) for debt instruments measured at amortised cost or at a cost-based method, that are not purchased or 
originated credit-impaired financial assets, accumulated impairment is the cumulative amount of 
impairment losses, net of use and reversals that has been recognised, where appropriate for each of 
the impairment stages. Accumulated impairment reduces the carrying amount of the debt instrument 
through the use of an allowance account under IFRS and national GAAP based on BAD, or via direct 
reductions that do not constitute a derecognition event under national GAAP based on BAD;  
(b) for debt instruments measured at fair value through other comprehensive income under IFRS that are not 
purchased or originated credit-impaired financial assets, accumulated impairment is the sum of expected 
credit losses and their variations recognised as a reduction of fair value on a given instrument since initial 
recognition;  
(c) for debt instruments at fair value through equity under national GAAP based on BAD subject to 
impairment, accumulated impairment is the cumulative amount of impairment losses, net of use and 
reversals that has been recognised. The reduction in the carrying amount is either made through use of an 
allowance account or via direct reductions that do not constitute a derecognition event.  
(d) for purchased or originated credit-impaired financial assets, the initial estimate of lifetime expected credit 
losses is incorporated into the calculation of the credit-adjusted effective interest rate and accumulated 
impairment is the sum of subsequent changes in lifetime expected credit losses since initial recognition 
that are recognized as a variation of carrying amount/fair value on a given instrument. Accumulated 
impairment for purchased or originated credit-impaired financial assets can be positive in case of 
impairment gains exceeding any previously recognised impairment losses (IFRS 9.5.5.14).  
71. Under IFRS, accumulated impairment shall include the allowance for expected credit losses for financial assets 
under each of the impairment stages specified by IFRS 9 and the allowance for purchased or originated credit- 
impaired financial assets. Under national GAAP based on BAD, it shall include specific and general allowance 
for credit risk, as well as the general allowance for banking risk where it reduces the carrying amount of debt 
instruments. Accumulated impairment shall also include the credit risk-induced value adjustments on financial 
assets under LOCOM.  
72. ‘Accumulated partial write-offs’ and ‘Accumulated total write-offs’ shall include, respectively, the accumulated 
partial and total amount as at the reference date of principal and accrued past due interest and fees of any 
debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 
because the institution has no reasonable expectations of recovering the contractual cash flows. Those 
amounts shall be reported until the total extinguishment of all the reporting institution’s rights by expiry 
of the statute-of-limitations period, forgiveness or other causes, or until recovery. Therefore, where the 
written-off amounts are not recovered, they shall be reported while they are subject to enforcement activities.EN 19.3.2021 Official Journal of the European Union L 97/1335
 
73. Where a debt instrument is eventually totally written-off because of successive partial write-offs, the cumu ­
lative amount written-off shall be reclassified from the ‘Accumulated partial write-offs’ into the ‘Accumulated 
total write-offs’ column.  
74. Write-offs shall constitute a derecognition event and relate to a financial asset in its entirety or to a portion of 
it, including where the modification of an asset leads the institution to give up its right of collecting cash 
flows on a portion or the entirety of this asset as further explained in paragraph 72. Write-offs shall include 
amounts caused by both reductions of the carrying amount of financial assets recognised directly in profit or 
loss and reductions in the amounts of the allowance accounts for credit losses taken against the carrying 
amount of financial assets.  
75. The column ‘of which: Instruments with low credit risk’ shall include instruments that are determined to have 
low credit risk at the reporting date and for which the institution assumes that the credit risk has not 
increased significantly since initial recognition in accordance with IFRS 9.5.5.10.  
76. Trade receivables within the meaning of IAS 1.54(h), contract assets and lease receivables for which the 
simplified approach of IFRS 9.5.5.15 for the estimation of loss allowances has been applied, shall be reported 
within loans and advances in template 4.4.1. The corresponding loss allowance for those assets that are not 
purchased or originated credit-impaired financial assets shall be reported in either ‘Accumulated impairment 
on assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)’ or 
‘Accumulated impairment on credit-impaired assets (Stage 3)’, depending on whether trade receivables, 
contract assets or lease receivables under the simplified approach are considered as credit-impaired assets.  
78. In template 4.5, institutions shall report the carrying amount of ‘Loans and advances’ and ‘Debt securities’ that 
fall within the definition of ‘subordinated debt’ in paragraph 100 of this Part.  
79. In template 4.8, information to be reported depends on whether Non-trading non-derivative financial assets 
measured at fair value to equity can be subject to impairment requirements in application of the national 
GAAP based on BAD. Where those financial assets are subject to impairment, institutions shall report 
information in this template that relates to the carrying amount, the gross carrying amount of unimpaired 
assets and impaired assets, accumulated impairment and accumulated write-offs. Where those financial assets 
are not subject to impairment, institutions shall report the accumulated negative changes in fair value due to 
credit risk for non-performing exposures.  
80. In template 4.9, financial assets measured under moderate LOCOM and their associated value adjustments 
shall be identified separately from other financial assets measured at a cost-based method and their associated 
impairment. Financial assets under a cost-based method, including financial assets under moderate LOCOM, 
shall be reported as unimpaired assets where they have no value adjustments or impairment associated with 
them, and as impaired assets in case they have value adjustments that qualify as impairment or impairment 
associated with them. Value adjustments that qualify as impairment shall be credit risk-induced value 
adjustments reflecting the deterioration of the creditworthiness of the counterparty. Financial assets under 
moderate LOCOM with market-risk induced value adjustments reflecting the impact of changes in the market 
conditions on the value of the asset shall not be considered as impaired. Accumulated credit-risk induced and 
market-risk induced value adjustments shall be reported separately.  
81. In template 4.10, assets measured at strict LOCOM as well as their associated value adjustments shall be 
reported separately from assets under other measurement methods. Financial assets under strict LOCOM and 
financial assets under other measurement methods shall be reported as impaired assets in case they have 
credit-risk induced value adjustments as defined in paragraph 80 or impairment associated with them. 
Financial assets under strict LOCOM with market risk induced value adjustments as defined in paragraph 
80 shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value 
adjustments shall be reported separately.EN L 97/1336 Official Journal of the European Union 19.3.2021
 
82. Under national GAAP based on BAD, the amount of general allowances for banking risk to be reported in the 
applicable templates shall only be the part that affects the carrying amount of debt instruments (BAD 
Article 37.2).  
5. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES BY PRODUCT (5)  
83. Loans and advances other than those held for trading, trading assets or held for sale assets shall be broken 
down by type of product and by counterparty sector for the carrying amount and by type of products only 
for the gross carrying amount.  
84. Balances receivable on demand classified as ‘Cash, cash balances at central banks and other demand deposits’ 
shall also be reported in this template independently of how they are measured.  
85. Loans and advances shall be allocated to the following products:  
(a) ‘on demand (call) and short notice (current account)’ shall include balances receivable on demand (call), at 
short notice (by close of business on the day following that on which the demand was made), current 
accounts and similar balances including loans that are overnight deposits for the borrower (loans to be 
repaid by close of business on the day following that in which it was granted), regardless of their legal 
form. It shall also include ‘overdrafts’ that are debit balances on current account balances and compulsory 
reserves held at the central bank;  
(b) ‘Credit card debt’ shall include credit granted either via delayed debit cards or via credit cards as defined in 
the Table of Part 2 of Annex II to the ECB BSI Regulation;  
(c) ‘Trade receivables’ shall include loans to other debtors granted on the basis of bills or other documents 
that give the right to receive the proceeds of transactions for the sale of goods or provision of services. 
That item shall include all factoring and similar transactions, like acceptances, outright purchase of trade 
receivables, forfaiting, discounting of invoice, bills of exchange, commercial papers and other claims where 
the reporting institution buys the trade receivables (both with and without recourse);  
(d) ‘Finance leases’ shall include the carrying amount of finance lease receivables. Under IFRS, ‘finance lease 
receivables’ are as defined in IAS 17;  
(e) ‘Reverse repurchase loans’ shall include finance granted in exchange for securities or gold bought under 
repurchase agreements or borrowed under securities lending agreements as defined in paragraphs 183 and 
184 of this Part;  
(f) ‘Other term loans’ shall include debit balances with contractually fixed maturities or terms that are not 
included in other items;  
(g) ‘Advances that are not loans’ shall include advances that cannot be classified as loans in accordance with 
the Table of Part 2 of Annex II to the ECB BSI Regulation. That item shall include, among others, gross 
amounts receivable in respect of suspense items (such as funds that are awaiting investment, transfer, or 
settlement) and transit items (such as cheques and other forms of payment that have been sent for 
collection).EN 19.3.2021 Official Journal of the European Union L 97/1337
 
86. Loans and advances shall be classified on the basis of the collateral received as follows:  
(a) ‘Loans collateralized by immovable property’ shall include loans and advances formally secured by resi ­
dential or commercial immovable property collateral, regardless of their loan/collateral ratio (commonly 
referred as ‘loan-to-value’) and the legal form of the collateral;  
(b) ‘Other collateralized loans’ shall include loans and advances formally secured by collateral, regardless of 
their loan/collateral ratio (commonly referred to as ‘loan-to-value’ (LTV) ratio) and the legal form of the 
collateral, other than ‘Loans collateralised by immovable property’. That collateral shall include pledges of 
securities, cash, and other collateral, regardless of the legal form of the collateral.  
87. Loans and advances shall be classified based on the collateral and irrespective of the purpose of the loan. The 
carrying amount of loans and advances secured by more than one type of collateral shall be classified and 
reported as collateralised by immovable property where those loans and advances are secured by immovable 
property regardless of whether they are also secured by other types of collateral.  
88. Loans and advances shall be classified on the basis of their purpose as:  
(a) ‘Credit for consumption’ shall include loans granted mainly for the personal consumption of goods and 
services, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation;  
(b) ‘Lending for house purchase’ shall include credit extended to households for the purpose of investing in 
houses for own use or rental, including building and refurbishments, as defined in the Table of Part 2 of 
Annex II to the ECB BSI Regulation.  
89. Loans shall be classified on the basis of how they can be recovered. ‘Project finance loans’ shall include loans 
that meet the characteristics of specialised lending exposures as referred to in Article 147(8) CRR.  
6. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES (6)  
90. Gross carrying amount of loans and advances to non-financial corporations other than those included in the 
held for trading, trading or held for sale portfolios shall be classified by sector of economic activities using 
NACE Codes on the basis of the principal activity of the counterparty.  
91. The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with 
paragraph 43 of Part 1 of this Annex.  
92. Reporting of NACE codes shall be done with the first level of disaggregation (by ‘section’). Institutions shall 
report loans and advances to non-financial corporations which engage in financial or insurance activities in ‘K 
– Financial and insurance activities’.  
93. Under IFRS, financial assets subject to impairment are those included in the following accounting portfolios: 
(i) financial assets at amortised cost, and (ii) financial assets at fair value through other comprehensive income. 
Under national GAAP based on BAD, financial assets subject to impairment shall include financial assets 
measured at a cost-based method, including under LOCOM. Depending on the specifications in each national 
GAAP, they may include (i) financial assets measured at fair value through equity, and (ii) financial assets 
under other measurement methods.EN L 97/1338 Official Journal of the European Union 19.3.2021
 
7. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE (7)  
94. The carrying amount of debt instruments that are included in the accounting portfolios subject to impairment 
shall be reported in template 7.1 only where they are past due. Past-due instruments shall be allocated to the 
corresponding past-due buckets on the basis of their individual situation.  
95. Accounting portfolios subject to impairment shall be financial assets subject to impairment, as defined as in 
paragraph 93 of this Part.  
96. Financial assets shall qualify as past due where any amount of principal, interest or fee has not been paid at 
the date it was due. Past due exposures shall be reported for their entire carrying amount and broken down 
according to the number of days of the oldest past due amount unpaid at the reference date. Under IFRS, the 
carrying amounts of assets that are not purchased or originated credit-impaired financial assets shall be 
reported by impairment stages; the carrying amount of purchased or originated credit-impaired financial 
assets shall be separately reported. Under national GAAP based on BAD, past-due assets shall be reported 
by impairment status in accordance with the applicable accounting standards.  
8. BREAKDOWN OF FINANCIAL LIABILITIES (8)  
97. ‘Deposits’ and the product breakdown shall be defined in accordance with the Table of Part 2 of Annex II to 
the ECB BSI Regulation. Regulated savings deposits shall be classified in accordance with the ECB BSI 
Regulation and distributed according to the counterparty. In particular, non-transferable sight savings 
deposits, which although legally redeemable at demand are subject to significant penalties and restrictions 
and have features that are very similar to overnight deposits, shall be classified as deposits redeemable at 
notice.  
98. ‘Debt securities issued’ shall be disaggregated into the following type of products:  
(a) ‘Certificates of deposits’ shall be securities that enable the holders to withdraw funds from an account;  
(b) ‘Asset backed securities’ shall be securities derived from securitisation transactions as defined in point (61) 
of Article 4(1) CRR;  
(c) ‘Covered Bonds’ as referred to in Article 129(1) CRR;  
(d) ‘Hybrid contracts’ shall comprise contracts with embedded derivatives that are not included in the 
products referred to in points (b) and (c) or classified as convertible compound financial instruments 
under point (e);  
(e) ‘Other debt securities issued’ shall be debt securities that are not included in the products referred to in 
points (a) to (d) and shall distinguish between convertible compound financial instruments and non- 
convertible instruments.  
99. ‘Subordinated financial liabilities’ issued shall be treated in the same way as other financial liabilities incurred. 
Subordinated liabilities issued in the form of securities shall be classified as ‘Debt securities issued’ and 
subordinated liabilities in the form of deposits are classified as ‘Deposits’.EN 19.3.2021 Official Journal of the European Union L 97/1339
 
100. Template 8.2 shall include the carrying amount of ‘Deposits’ and ‘Debt securities issued’ that shall be 
subordinated debt, as determined in Table of Part 2 of Annex II to the ECB BSI Regulation, classified by 
accounting portfolios. ‘Subordinated debt’ instruments provide a subsidiary claim on the issuing institution 
that can only be exercised after all claims with a higher status have been satisfied.  
101. ‘Accumulated changes in fair value due to changes in own credit risk’ shall include all the said accumulative 
changes in fair value, regardless of whether they are recognised in profit or loss or in the other compre ­
hensive income.  
9. LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)  
102. Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I to CRR. In templates 
9.1, 9.1.1 and 9.2, all off-balance sheet exposures listed in Annex I to CRR shall be broken down in loan 
commitments, financial guarantees, and other commitments.  
103. Information on loan commitments, financial guarantees and other commitments given and received shall 
include both revocable and irrevocable commitments.  
104. Loan commitments, financial guarantees and other commitments given listed in Annex I to CRR may be 
instruments that are in the scope of IFRS 9 where they are measured at fair value through profit or loss, or 
where they are subject to the impairment requirements of IFRS 9, as well as instruments that are within the 
scope of IAS 37 or IFRS 4.  
105. Under IFRS, loan commitments, financial guarantees and other commitments given shall be reported in 
template 9.1.1 where any of the following conditions are met:  
(a) they are subject to impairment requirements of IFRS 9;  
(b) they are designated at fair value through profit or loss under IFRS 9;  
(c) they are within the scope of IAS 37 or IFRS 4.  
106. Liabilities that shall be recognised as credit losses for the financial guarantees and commitments given 
referred to under points (a) and (c) of paragraph 105 of this Part of this Annex shall be reported as 
provisions regardless of the measurement criteria applied.  
107. Institutions under IFRS shall report the nominal amount and provisions of instruments that are subject to the 
impairment requirements of IFRS 9, including those measured at initial cost less cumulative income recog ­
nised, broken down by impairment stages, except where they are deemed credit-impaired at initial recog ­
nition consistently with the definition of purchased or originated financial assets of IFRS 9 Appendix A. For 
these exposures, the nominal amount and provisions shall be separately reported, outside the impairment 
stages in template 9.1.1.EN L 97/1340 Official Journal of the European Union 19.3.2021
 
108. Only the nominal amount of the commitment shall be reported in template 9.1.1 where a debt instrument 
includes both an on-balance sheet instrument and an off-balance sheet component. Where the reporting 
entity is unable to identify separately the expected credit losses on the on-balance sheet and off-balance 
components, the expected credit losses on the commitment shall be reported together with the accumulated 
impairment on the on-balance sheet component. Where the combined expected credit losses exceed the gross 
carrying amount of the debt instrument, the remaining balance of the expected credit losses shall be reported 
as a provision in the appropriate column in template 9.1.1 (IFRS 9.5.5.20 and IFRS 7.B8E).  
109. A financial guarantee or a commitment to provide a loan at a below-market rate that is measured in 
accordance with IFRS 9.4.2.1(d) and for which its loss allowance is determined in accordance with IFRS 
9.5.5 shall be reported in the appropriate column.  
110. Where loan commitments, financial guarantees and other commitments are measured at fair value in 
accordance with IFRS 9, institutions shall report in template 9.1.1 the nominal amount and accumulated 
negative changes in fair value due to credit risk of those financial guarantees and commitments in dedicated 
columns. ‘Accumulated negative changes in fair value due to credit risk’ shall be reported applying the criteria 
of paragraph 69of this Part.  
111. The nominal amount and provisions of other commitments or guarantees that are within the scope of IAS 
37 or IFRS 4 shall be reported in dedicated columns.  
112. Institutions under national GAAP based on BAD shall report in template 9.1 the nominal amount of 
commitments and financial guarantees referred to in paragraphs 102 and 103, as well as the amount of 
provisions required to be held against those off-balance sheet exposures.  
113. ‘Loan commitments’ shall be firm commitments to provide credit under pre-specified terms and conditions, 
except those that are derivatives because they can be settled net in cash or by delivering or issuing another 
financial instrument. The following items of Annex I to CRR shall be classified as ‘Loan commitments’:  
(a) ‘Forward deposits’;  
(b) ‘Undrawn credit facilities’, which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ under pre- 
specified terms and conditions.  
114. ‘Financial guarantees’ shall be contracts that require the issuer to make specified payments to reimburse the 
holder of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the 
original or modified terms of a debt instrument, including guarantees provided for other financial guarantees. 
Under IFRS, those contracts shall meet the definition of financial guarantee contracts in IFRS 9.2.1(e) and 
IFRS 4.A. The following items of Annex I to CRR shall be classified as ‘financial guarantees’:  
(a) ‘Guarantees having the character of credit substitute’;  
(b) ‘Credit derivatives’ that meet the definition of financial guarantee;  
(c) ‘Irrevocable standby letters of credit having the character of credit substitutes’.EN 19.3.2021 Official Journal of the European Union L 97/1341
 
115. ‘Other commitments’ shall include the following items of Annex I to CRR:  
(a) ‘Unpaid portion of partly-paid shares and securities’;  
(b) ‘Documentary credits issued or confirmed’;  
(c) ‘Trade finance off-balance sheet items’;  
(d) ‘Documentary credits in which underlying shipment acts as collateral and other self-liquidating trans ­
actions’;  
(e) ‘Warranties and indemnities’ (including tender and performance bonds) and ‘guarantees not having the 
character of credit substitutes’;  
(f) ‘Shipping guarantees, customs and tax bonds’;  
(g) ‘Note issuance facilities’ (NIFs) and ‘Revolving underwritings facilities’ (RUFs);  
(h) ‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ where the 
terms and conditions are not pre-specified;  
(i) ‘Undrawn credit facilities’ which comprise agreements to ‘purchase securities’ or ‘provide guarantees’;  
(j) ‘Undrawn credit facilities for tender and performance guarantees’;  
(k) ‘Other off-balance sheet items’ in Annex I to CRR.  
116. Under IFRS, the following items are recognised in the balance sheet and, consequently, shall not be reported 
as off-balance sheet exposures:  
(a) ‘Credit derivatives’ that do not meet the definition of financial guarantees are ‘derivatives’ under IFRS 9;  
(b) ‘Acceptances’ are obligations by an institution to pay on maturity the face value of a bill of exchange, 
normally covering the sale of goods. Consequently, they are classified as ‘trade receivables’ on the balance 
sheet;  
(c) ‘Endorsements on bills’ that do not meet the criteria for derecognition under IFRS 9;  
(d) ‘Transactions with recourse’ that do not meet the criteria for derecognition under IFRS 9;  
(e) ‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IFRS 9;  
(f) ‘Asset sale and repurchase agreements as referred to in paragraphs 3 and 5 of Article 12 of Directive 
86/635/EEC’. In those contracts, the transferee has the option, but not the obligation, to return the assets 
at a price agreed in advance on a date specified or on a date to be specified. Therefore, those contracts 
meet the definition of derivatives in Appendix A to IFRS 9.  
117. The item ‘of which: non-performing’ shall include the nominal amount of those loan commitments, financial 
guarantees and other commitments given that are considered as non-performing in accordance with para ­
graphs 213 to 239 of this Part.  
118. For financial guarantees, loan commitments and other commitments given, the ‘Nominal amount’ shall be the 
amount that best represents the institution’s maximum exposure to credit risk without taking account of any 
collateral held or other credit enhancements. In particular, for financial guarantees given, the nominal amount 
shall be the maximum amount the entity would have to pay if the guarantee is called on. For loan 
commitments, the nominal amount shall be the undrawn amount that the institution has committed to 
lend. Nominal amounts shall be the exposure values before applying conversion factors and credit risk 
mitigation techniques.EN L 97/1342 Official Journal of the European Union 19.3.2021
 
119. In template 9.2, for loan commitments received, the nominal amount shall be the total undrawn amount that 
the counterparty has committed to lend to the institution. For other commitments received, the nominal 
amount shall be the total amount committed by the other party in the transaction. For financial guarantees 
received, the ‘maximum amount of the guarantee that can be considered’ shall be the maximum amount the 
counterparty would have to pay if the guarantee is called on. Where a financial guarantee received has been 
issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the 
guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk.  
10. DERIVATIVES AND HEDGE ACCOUNTING (10 AND 11)  
120. For the purpose of templates 10 and 11, derivatives shall be considered either as hedging derivatives where 
they are used in a qualifying hedging relationship in accordance with IFRS or with the applicable national 
GAAP under BAD, or as held for trading in other cases.  
121. The carrying amount and the notional amount of the derivatives held for trading, including economic hedges, 
as well as the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, 
type of market and type of product in templates 10 and 11. Institutions shall report the derivatives held for 
hedge accounting also broken down by type of hedge. Information on non-derivative hedging instruments 
shall be reported separately and broken down by types of hedges.  
122. Under the relevant national GAAP based on BAD, all derivatives shall be reported in these templates 
irrespective of whether they are or are not recognised on the balance sheet under the relevant national GAAP.  
123. The breakdown of the carrying amount, fair value and notional amount of trading and hedging derivatives by 
accounting portfolios and types of hedges shall be implemented taking into consideration the accounting 
portfolios and types of hedges that are applicable in IFRS or national GAAP under BAD, whichever 
framework applies to the reporting entity.  
124. Trading derivatives and hedging derivatives which, in accordance with national GAAP based on BAD, are 
measured at cost or LOCOM shall be identified separately.  
125. Template 11 shall include hedging instruments and hedged items irrespective of the accounting standard used 
to recognise a qualifying hedge relationship, including where that qualifying hedge relationship concerns a net 
position. Where an institution has elected to keep applying IAS 39 for hedge accounting (IFRS 9.7.2.21), the 
references and names for the types of hedges and accounting portfolios shall be read as the relevant 
references and names in IAS 39.9: ‘Financial assets measured at fair value through other comprehensive 
income’ shall refer to ‘Available for sale assets’, and ‘Assets at amortised cost shall gather ‘Held to maturity’ as 
well as ‘Loans and receivables’.  
126. Derivatives included in hybrid instruments, which have been separated from the host contract, shall be 
reported in templates 10 and 11 according to the nature of the derivative. The amount of the host 
contract is not included in those templates. However, where the hybrid instrument is measured at fair 
value through profit or loss, the contract shall be reported as a whole and the embedded derivatives shall 
not be reported in templates 10 and 11.  
127. Commitments considered as derivatives (IFRS 9.2.3(b)) and credit derivatives that do not meet the definition 
of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported in template 10 and 
template 11 following the same breakdowns as the other derivative instruments, but not be reported in 
template 9.  
128. The carrying amount of non-derivative financial assets or non-derivative financial liabilities that are 
recognised as hedging instrument in application of IFRS or the relevant national GAAP under BAD shall 
be reported separately in template 11.3.EN 19.3.2021 Official Journal of the European Union L 97/1343
 
10.1.  Classification of derivatives by type of risk  
129. All derivatives shall be classified into one of the following risk categories:  
(a) interest rate: Interest rate derivatives shall be contracts related to an interest-bearing financial instrument 
the cash flows of which are determined by referencing interest rates or another interest rate contract such 
as an option on a futures contract to purchase a treasury bill. That category shall be restricted to those 
deals where all the legs are exposed to only one currency’s interest rate. It shall thus exclude contracts 
involving the exchange of one or more foreign currencies such as cross-currency swaps and currency 
options, and other contracts the predominant risk characteristic of which is foreign exchange risk, which 
are to be reported as foreign exchange contracts. The only exception is where cross-currency swaps are 
used as part of a portfolio hedge of interest rate risk, where they shall be reported in the dedicated rows 
for those types of hedges. Interest rate contracts shall include forward rate agreements, single-currency 
interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), 
interest rate swaps and interest rate warrants;  
(b) equity: Equity derivatives shall be contracts that have a return, or a portion of their return, linked to the 
price of a particular equity or to an index of equity prices;  
(c) foreign exchange and gold: These derivatives shall include contracts involving the exchange of currencies 
in the forward market and the exposure to gold. They shall therefore cover outright forwards, foreign 
exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency 
options, currency swaps and currency warrants. Foreign exchange derivatives shall include all deals 
involving exposure to more than one currency, whether in exchange rates or in interest rates, except 
where cross-currency swaps are used as part of a portfolio hedge of interest rate risk. Gold contracts shall 
include all deals involving exposure to that commodity;  
(d) credit: Credit derivatives shall be contracts in which the payout is linked primarily to some measure of 
the creditworthiness of a particular reference credit and that do not meet the definition of financial 
guarantees (IFRS 9.4.2.1 (c)). The contracts shall specify an exchange of payments in which at least one of 
the two legs is determined by the performance of the reference credit. Payouts can be triggered by a 
number of events, including a default, a rating downgrade or a stipulated change in the credit spread of 
the reference asset. Credit derivatives that meet the definition of a financial guarantee in paragraph 114 of 
this Part of this Annex shall be reported only in template 9;  
(e) commodity: These derivatives shall be contracts that have a return, or a portion of their return, linked to 
the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, 
lumber or agricultural products;  
(f) other: those derivatives shall be any other derivative contracts, which do not involve an exposure to 
foreign exchange, interest rate, equity, commodity or credit risk such as climatic derivatives or insurance 
derivatives.  
130. Where a derivative is influenced by more than one type of underlying risk, the instrument shall be allocated 
to the most sensitive type of risk. For multi-exposure derivatives, in cases of uncertainty, the deals shall be 
allocated according to the following order of precedence:  
(a) commodities: All derivatives transactions involving a commodity or commodity index exposure, whether 
or not they involve a joint exposure in commodities and any other risk category which may include 
foreign exchange, interest rate or equity, shall be reported in this category;EN L 97/1344 Official Journal of the European Union 19.3.2021
 
(b) equities: With the exception of contracts with a joint exposure to commodities and equities, which are to 
be reported as commodities, all derivatives transactions with a link to the performance of equities or 
equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or 
interest rates shall be included in this category;  
(c) foreign exchange and gold: This category shall include all derivatives transactions (with the exception of 
those already reported in the commodity or equity categories) with exposure to more than one currency, 
be it pertaining to either interest-bearing financial instruments or exchange rates, except where cross- 
currency swaps are used as part of a portfolio hedge of interest rate risk.  
10.2.  Amounts to be reported for derivatives  
131. Under IFRS, the ‘carrying amount’ for all derivatives (hedging or trading) shall be the fair value. Derivatives 
with a positive fair value (above zero) shall be ‘financial assets’ and derivatives with a negative fair value 
(below zero) shall be ‘financial liabilities’. The ‘carrying amount’ shall be reported separately for derivatives 
with a positive fair value (‘financial assets’) and for those with a negative fair value (‘financial liabilities’). At 
the date of initial recognition, a derivative shall be classified as ‘financial asset’ or ‘financial liability’ according 
to its initial fair value. After initial recognition, as the fair value of a derivative increases or decreases, the 
terms of the exchange may become either favourable to the institution (and the derivative is classified as 
‘financial asset’) or unfavourable (and the derivative is classified as ‘financial liability’). The carrying amount of 
hedging derivatives shall be their entire fair value, including, where applicable, the components of this fair 
value that are not designated as hedging instruments.  
132. In addition to carrying amounts as defined in paragraph 27 of Part 1 of this Annex, fair values shall be 
reported by reporting institutions under national GAAP based on BAD for all derivative instruments, whether 
required to be booked on-balance sheet or off-balance sheet by the national GAAP based on BAD.  
133. The ‘Notional amount’ shall be the gross nominal of all deals concluded and not yet settled at the reference 
date, regardless of whether those deals lead to derivative exposures being booked on-balance sheet. In 
particular, the following shall be taken into account to determine the notional amount:  
(a) for contracts with variable nominal or notional principal amounts, the basis for reporting shall be the 
nominal or notional principal amounts at the reference date;  
(b) the notional amount value to be reported for a derivative contract with a multiplier component shall be 
the contract effective notional amount or par value;  
(c) swaps: The notional amount of a swap shall be the underlying principal amount upon which the 
exchange of interest, foreign exchange or other income or expense is based;  
(d) equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity 
contract shall be the quantity of the commodity or equity product contracted for purchase or sale 
multiplied by the contract price of a unit. The notional amount to be reported for commodity 
contracts with multiple exchanges of principal shall be the contractual amount multiplied by the 
number of remaining exchanges of principal in the contract;  
(e) credit derivatives: The contract amount to be reported for credit derivatives shall be the nominal value of 
the relevant reference credit;  
(f) digital options have a predefined payoff, which can be either a monetary amount or a number of 
contracts of an underlying. The notional amount for digital options shall be either the predefined 
monetary amount or the fair value of the underlying at the reference date.EN 19.3.2021 Official Journal of the European Union L 97/1345
 
134. The column ‘Notional amount’ of derivatives shall include, for each line item, the sum of the notional 
amounts of all contracts in which the institution is counterparty, irrespective of whether the derivatives 
are considered assets or liabilities on the face of the balance sheet or are not booked on-balance sheet. All 
notional amounts shall be reported, regardless of whether the fair value of derivatives is positive, negative or 
equal to zero. Netting among the notional amounts shall not be allowed.  
135. The ‘Notional amount’ shall be reported by ‘total’ and by ‘of which: sold’ for the line items: ‘OTC options’, 
‘Organised market options’, ‘Credit’, ‘Commodity’ and ‘Other’. The item ‘of which sold’ shall include the 
notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution 
(option writer) have the right to exercise the option, and for the items related to credit risk derivatives, the 
notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to its 
counterparties (protection buyers).  
136. The allocation of a transaction as ‘OTC’ or ‘Organized market’ shall be based on the nature of the market 
where the transaction takes place and not on whether there is a mandatory clearing obligation for that 
transaction. An ‘Organised market’ is a regulated market in the meaning of point (92) of Article 4(1) CRR. 
Therefore, where a reporting entity enters into a derivative contract in an OTC market where central clearing 
is compulsory, it shall classify that derivative as ‘OTC’ and not as ‘Organised market’.  
10.3.  Derivatives classified as ‘economic hedges’  
137. Derivatives that are held for hedging purposes but which do not meet the criteria to be effective hedging 
instruments in accordance with IFRS 9, with IAS 39 where IAS 39 is applied for hedge accounting purposes 
or with the accounting framework under national GAAP based on BAD, shall be reported in template 10 as 
‘economic hedges’. This shall apply also to all of the following cases:  
(a) derivatives hedging unquoted equity instruments for which cost may be an appropriate estimate of fair 
value;  
(b) credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or 
part of, a financial instrument that is designated as measured at fair value through profit or loss at, or 
subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7.;  
(c) derivatives that are classified as ‘held for trading’ in accordance with Appendix A to IFRS 9 or classified as 
trading assets in accordance with the national GAAP based on BAD but are not part of the trading book 
as defined in point (86) of Article 4(1) CRR.  
138. ‘Economic hedges’ shall not include derivatives for proprietary trading.  
139. Derivatives that meet the definition of ‘economic hedges’ shall be reported separately in template 10 for each 
type of risk.  
140. Credit derivatives used to manage the credit risk of all, or part of, a financial instrument that is designated as 
measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unre ­
cognised in accordance with IFRS 9.6.7, shall be reported in a dedicated row in template 10 within credit 
risk. Other economic hedges of credit risk for which the reporting entity does not apply IFRS 9.6.7 shall be 
reported separately.EN L 97/1346 Official Journal of the European Union 19.3.2021
 
10.4.  Breakdown of derivatives by counterparty sector  
141. The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives 
held for hedge accounting, which are traded in the OTC market, shall be reported by counterparties using the 
following categories:  
(a) ‘credit institutions’;  
(b) ‘other financial corporations’;  
(c) ‘rest’ comprising all other counterparties.  
142. All OTC derivatives, irrespective of the type of risk to which they are related, shall be broken down by those 
counterparties.  
10.5.  Hedge accounting under national GAAP (11.2)  
143. Where national GAAP under BAD require the allocation of hedging derivatives across categories of hedges, 
the hedging derivatives shall be separately reported for each of the applicable categories: ‘fair-value hedges’, 
‘cash flow hedges’, ‘cost-price hedges’, ‘hedge in net investments in a foreign operation’, ‘portfolio fair value 
hedges of interest rate risk’ and ‘portfolio cash flow hedges of interest rate risk’.  
144. Where applicable in accordance with national GAAP based on BAD, ‘Cost price hedges’ shall refer to a 
hedging category in which the hedging derivative is generally measured at cost.  
10.6.  Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1)  
145. For non-derivative hedging instruments, the amount to be reported shall be the carrying amount of those 
non-derivative hedging instruments according to the applicable measurement rules in IFRS or in GAAP based 
on BAD for the accounting portfolios to which they belong. No ‘notional amount’ shall be reported for non- 
derivative hedging instruments.  
10.7.  Hedged items in fair value hedges (11.4)  
146. The carrying amount of hedged items in a fair value hedge recognised on the statement of financial position 
shall be broken down by accounting portfolio and type of hedged risk for hedged financial assets and hedged 
financial liabilities. Where a financial instrument is hedged for more than one risk, it shall be reported in the 
type of risk in which the hedging instrument shall be reported in accordance with paragraph 129.  
147. ‘Micro-hedges’ shall be hedges other than portfolio hedge of interest rate risk in accordance with IAS 
39.89 A. Micro-hedges shall include hedges of nil net positions as referred to in accordance with IFRS 
9.6.6.6.  
148. ‘Hedge adjustments on micro-hedges’ shall include all hedge adjustments for all the micro-hedges as defined 
in paragraph 147.EN 19.3.2021 Official Journal of the European Union L 97/1347
 
149. ‘Hedge adjustments included in the carrying amount of assets/liabilities’ shall be the accumulated amount of 
the gains and losses on the hedged items that have adjusted the carrying amount of those items and been 
recognised in profit or loss. Hedge adjustments for the hedged items that are equities measured at fair value 
through other comprehensive income shall be reported in template 1.3. Hedge adjustments for unrecognised 
firm commitments or a component thereof shall not be reported.  
150. ‘Remaining adjustments for discontinued micro-hedges including hedges of net positions’ shall include those 
hedge adjustments which, following the discontinuation of the hedge relationship and the end of the 
adjustment of hedged items for hedging gains and losses, remain to be amortised to the profit or loss via 
a recalculated effective interest rate for hedged items measured at amortised cost, or to the amount that 
represents the previously recognised cumulative hedging gain or loss for hedged assets measured at fair value 
through other comprehensive income.  
151. Where a group of financial assets or financial liabilities, including a group of financial assets or financial 
liabilities that constitute a net position, is eligible as a hedged item, financial assets and financial liabilities 
constituting that group shall be reported at their carrying amount on a gross basis, before netting between 
instruments within the group, in ‘Assets or liabilities included in hedge of a net position (before netting)’.  
152. ‘Hedged items in portfolio hedge of interest rate risk’ shall include financial assets and financial liabilities 
included in a fair value hedge of the interest rate exposure of a portfolio of financial assets or financial 
liabilities. Those financial instruments shall be reported at their carrying amount on a gross basis, before 
netting between instruments within the portfolio.  
11. MOVEMENTS IN ALLOWANCES AND PROVISIONS FOR CREDIT LOSSES (12)  
11.1.  Movements in allowances for credit losses and impairment of equity instruments under national GAAP 
based on BAD (12.0)  
153. Template 12.0 contains a reconciliation of the opening and closing balances of the allowance account for 
financial assets measured under cost-based methods, as well as for financial assets under other 
measurement methods or measured at fair value through equity where the national GAAP under BAD 
require those assets to be subject to impairment (including cash balances at central banks and other 
demand deposits). Value adjustments on assets measured at the lower of cost or market shall not be 
reported in template 12.0.  
154. ‘Increases due to amounts set aside for estimated loan losses during the period’ shall be reported where, for 
the main category of assets or the counterparty, the estimation of the impairment for the period results in 
the recognition of net expenses; that is, for the given category or counterparty, the increases in the 
impairment for the period exceed the decreases. ‘Decreases due to amounts reversed for estimated loan 
losses during the period’ shall be reported where, for the main category of assets or counterparty, the 
estimation of the impairment for the period result in the recognition of net income; that is, for the given 
category or counterparty, the decreases in the impairment for the period exceed the increases.  
155. Changes in the allowance amounts due to repayment and disposals of financial assets shall be reported in 
‘Other adjustments’. Write-offs shall be reported in accordance with paragraphs 72 to 74.EN L 97/1348 Official Journal of the European Union 19.3.2021
 
11.2.  Movements in allowances and provisions for credit losses under IFRS (12.1)  
156. Template 12.1 contains a reconciliation of the opening and closing balances of the allowance account for 
financial assets measured at amortised cost and at fair value through other comprehensive income broken 
down by impairment stages, by instrument (including cash balances at central banks and other demand 
deposits) and by counterparty. A separate reconciliation for purchased or originated credit-impaired 
financial assets shall be reported in the template.  
157. The provisions for off-balance sheet exposures that are subject to the impairment requirements of IFRS 9 
shall be reported by impairment stages and separately for purchased or originated credit-impaired 
exposures. Impairment for loan commitments shall be reported as provisions only where they are not 
considered together with the impairment of on-balance sheet assets in accordance with IFRS 9.7.B8E and 
paragraph 108 of this part. Movements in provisions for commitments and financial guarantees measured 
under IAS 37 and financial guarantees treated as insurance contracts under IFRS 4 shall not be reported in 
this template but in template 43. Changes in the fair value due to credit risk of commitments and financial 
guarantees measured at fair value through profit or loss in accordance with IFRS 9 shall not be reported in 
this template but in item ‘Gains or (-) losses on financial assets and liabilities designated at fair value 
through profit or loss, net’ in accordance with paragraph 50 of this Part.  
158. The items ‘of which: collectively measured allowances’ and ‘of which: individually measured allowances’ 
shall include the movements in the cumulative amount of impairment related to financial assets which 
have been measured on a collective or individual basis.  
159. ‘Increases due to origination and acquisition’ shall include the amount of increases in expected losses 
accounted for on the initial recognition of financial assets originated or acquired. That increase of the 
allowance shall be reported at the first reporting reference date following the origination or acquisition of 
those financial assets. Increases or decreases in the expected losses on those financial assets after their 
initial recognition shall be reported in other columns. Originated or acquired assets shall include assets 
resulting from the drawdown of off-balance sheet commitments given.  
160. ‘Decreases due to derecognition’ shall include the amount of changes in allowances due to financial assets 
de-recognised totally in the reporting reference period for reasons other than write-offs, which include 
transfers to third parties or the expiry of the contractual rights due to full repayment, disposal of those 
financial assets or their transfer in another accounting portfolio. The change in allowance shall be 
recognised in this column at the first reporting reference date following the repayment, disposal or 
transfer. For off-balance sheet exposures, this item shall also include the decreases in the impairment 
due to the off-balance sheet item becoming an on-balance sheet asset.  
161. ‘Changes due to change in credit risk (net)’ shall include the net amount of changes in expected losses at 
the end of the reporting reference period due to an increase or decrease in credit risk since initial 
recognition, irrespective of whether those changes led to a transfer of the financial asset to another 
stage. The impact on the allowance due to the increase or decrease of the amount of financial assets 
as a consequence of the interest income accrued and paid shall be reported in this column. This item shall 
also include the impact of the passing of time on the expected losses calculated in accordance with IFRS 
9.5.4.1(a) and (b). The changes in estimates due to updates or review of risk parameters as well as changes 
in forward-looking economic data shall also be reported in this column. Changes in expected losses due to 
partial repayment of exposures via instalments shall be reported in this column with the exception of the 
last instalment, which shall be reported in the column ‘Decreases due to derecognition’.  
162. All changes in expected credit losses related to revolving exposures shall be reported in ‘Changes due to 
change in credit risk (net)’, except for those changes related to write-offs and updates in the institution’s 
methodology for estimation of credit losses. Revolving exposures shall be those for which customers’ 
outstanding balances are permitted to fluctuate based on their decisions to borrow and repay up to a limit 
established by the institution.EN 19.3.2021 Official Journal of the European Union L 97/1349
 
163. ‘Changes due to an update in the institution’s methodology for estimation (net)’ shall include changes due 
to updates in the institution’s methodology for estimation of expected losses due to changes in the existing 
models or establishment of new models used to estimate impairment. Methodological updates shall also 
encompass the impact of the adoption of new standards. Changes in methodology that trigger an asset to 
change impairment stage shall be considered for a model change in its entirety. The changes in estimates 
due to updates or review of risk parameters as well as changes in forward-looking economic data shall not 
be reported in this column.  
164. The reporting of the changes in the expected losses related to modified assets (IFRS 9.5.4.3 and Appendix 
A) shall depend on the feature of the modification in accordance with the following:  
(a) where the modification results in the partial or total derecognition of an asset due to a write-off as 
defined in paragraph 74, the impact on expected losses due to this derecognition shall be reported in 
‘Decrease in allowance account due to write-offs’, and any other impact from modification on expected 
credit losses in other appropriate columns;  
(b) where the modification results in the complete derecognition of an asset for reasons other than a 
write-off as defined in paragraph 74 and its substitution by a new asset, the impact of modification on 
expected credit losses shall be reported in ‘Changes due to derecognition’ for the changes due to the 
asset derecognised, and in ‘Increases due to origination and acquisition’ for the changes due to the 
newly recognised modified asset. Derecognition for reasons other than write-offs shall include dere ­
cognition where the terms of the modified assets have been subject to substantial changes;  
(c) where the modification does not result in derecognition of all or part of the modified asset, its impact 
on expected losses shall be reported in ‘Changes due to modifications without derecognition’.  
165. Write-offs shall be reported in accordance with paragraphs 72 to 74 of this Part of this Annex and in 
accordance with the following:  
(a) where the debt instrument is partially or totally derecognised because there is no reasonable expec ­
tation of recovery, the decrease in the loss allowance reported due to the amounts written off shall be 
reported in: ‘Decrease in allowance account due to write-offs’;  
(b) ‘Amounts written-off directly to the statement of profit or loss’ shall be the amounts of financial assets 
written-off during the reporting reference period that exceed any allowance account of the respective 
financial assets at the derecognition date. They shall include all amounts written-off during the 
reporting reference period and not only those which are still subject to enforcement activity.  
166. ‘Other adjustments’ shall include any amount not reported in the previous columns, including the 
adjustments on expected losses due to foreign exchange differences where it is consistent with the 
reporting of the impact of foreign exchange in template 2.  
166i. ‘Gains or losses on derecognition of debt instruments’ shall include the difference between the carrying 
amount of financial assets measured at the date of derecognition and the consideration received.  
11.3.  Transfers between impairment stages (gross basis presentation) (12.2)  
167. For financial assets included in the accounting portfolios and off-balance exposures, other than purchased 
or originated credit-impaired financialexposures, that are subject to the impairment requirements of IFRS 
9, the gross carrying amount and the nominal amount that have been transferred between impairment 
stages during the reporting reference period shall be reported in template 12.2 respectively.  
168. Only the gross carrying amount or the nominal amount of those financial assets or off-balance exposures 
which are in a different impairment stage at the reporting reference date than they were at the beginning 
of the financial year or their initial recognition shall be reported. For on-balance exposures for which the 
impairment reported in template 12.1 includes an off-balance sheet component (IFRS 9.5.5.20 and IFRS 
7.B8E), the change in stage of the on-balance sheet and off-balance sheet component shall be considered.EN L 97/1350 Official Journal of the European Union 19.3.2021
 
169. For the reporting of the transfers that have taken place during the financial year, financial assets or off- 
balance exposures that have changed multiple times the impairment stage since the beginning of the 
financial year or their initial recognition shall be reported as having been transferred from their 
impairment stage at the opening of the financial year or initial recognition to the impairment stage in 
which they are included at the reporting reference date.  
170. The gross carrying amount or the nominal amount to be reported in template 12.2 shall be the gross 
carrying amount or the nominal value at the reporting date, regardless of whether that amount was higher 
or lower at the date of the transfer.  
12. COLLATERAL AND GUARANTEES RECEIVED (13)  
12.1.  Breakdown of collateral and guarantees by loans and advances other than held for trading (13.1)  
171. The collateral and guarantees backing the loans and advances included in the accounting portfolios, 
independently of their legal form, shall be reported by type of pledges: loans collateralised by 
immovable property and other collateralised loans, and by financial guarantees received. The loans and 
advances shall be broken down by counterparties and purpose. In the item ‘of which: non-performing’, 
loans and advances shall be reported as defined in paragraphs 213 to 239 or 260 of this Part.  
172. In template 13.1, the ‘maximum amount of the collateral or guarantee that can be considered’ shall be 
reported. The sum of the amounts of the financial guarantee and/or collateral shown in the related 
columns of template 13.1 shall not exceed the carrying amount of the related loan.  
173. For reporting loans and advances according to the type of pledge, the following definitions shall be used:  
(a) within ‘Loans collateralised by immovable property’, ‘Residential’ shall include loans secured by resi ­
dential immovable property and ‘Commercial’ loans secured by pledges of immovable property other 
than residential, including offices and commercial premises and other types of commercial immovable 
property. The determination of whether immovable property collateral shall be residential or 
commercial shall be made in accordance with point (75) of Article 4(1) CRR;  
(b) within ‘Other collateralised loans’:  
(i) ‘Cash, deposits, (Debt securities issued)’ shall include (a) deposits in the reporting institution that 
have been pledged as collateral for a loan and (b) debt securities issued by the reporting institution 
which have been pledged as collateral for a loan;  
(ii) ‘Movable property’ shall comprise pledges of physical collateral other than immovable property 
and include cars, airplanes, ships, industrial and mechanical equipment (machinery, mechanical 
and technical equipment), inventories and commodities (merchandise, finished and semi-finished 
products, raw materials) and other forms of movable property;  
(iii) ‘Equities and debt securities’ shall include collateral in the form of equity instruments, including 
investments in subsidiaries, joint ventures and associates, as well as in the form of debt securities 
issued by third parties;  
(iv) ‘Rest’ shall include pledges of assets;  
(c) ‘Financial guarantees received’ shall include contracts that in accordance with paragraph 114 of this 
Part of this Annex require the issuer to make specified payments to reimburse the institution for a loss 
it incurs because a specified debtor failed to make a payment where due in accordance with the 
original or modified terms of a debt instrument.EN 19.3.2021 Official Journal of the European Union L 97/1351
 
174. For loans and advances that have simultaneously several types of collateral or guarantee, the amount of 
the ‘Maximum collateral/guarantee that can be considered’ shall be allocated according to its quality, 
starting from the one with the best quality. For loans collateralised by immovable property, immovable 
property collateral shall always be reported first, irrespective of its quality compared to other collateral. 
Where the ‘Maximum collateral/guarantee that can be considered’ exceeds the value of immovable 
property collateral, its remaining value shall be allocated to other collateral types and guarantees 
according to its quality, starting from the one with best quality.  
12.2.  Collateral obtained by taking possession during the period (held at the reference date) (13.2.1)  
175. This template shall be used to report information on collateral that has been obtained between the 
beginning and the end of the reference period and that remains recognised in the balance sheet at the 
reference date. Collateral obtained by taking possession shall include assets that were not pledged by the 
debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary 
basis or as part of legal proceedings. The types of collateral shall be the ones referred to in paragraph 173, 
with the exception of those in point (b) (i) of that paragraph.  
175i. ‘Value at initial recognition’ shall mean the gross carrying amount of the collateral obtained by taking 
possession at the point in time of the initial recognition in the balance sheet of the reporting institution.  
175ii. ‘Accumulated negative changes’ shall be the difference, at the level of the individual collateral item, 
between the value at initial recognition of the collateral and the carrying amount at the reporting 
reference date, where that difference is negative.  
12.3.  Collateral obtained by taking possession accumulated (13.3.1)  
176. Collateral obtained by taking possession that remains recognised in the balance sheet at the reference date, 
irrespective of the point in time when it was obtained, shall be reported in template 13.3.1. Both collateral 
obtained by taking possession classified as ‘Property, plant and equipment’ and other collateral obtained by 
taking possession shall be included. Collateral obtained by taking possession shall include assets that were 
not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, 
whether on a voluntary basis or as part of legal proceedings.  
13. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)  
177. Institutions shall report the value of financial instruments measured at fair value according to the hierarchy 
provided by IFRS 13.72. Where national GAAP under BAD require the allocation of assets measured at 
fair value between different levels of fair value, institutions under national GAAP shall also report this 
template.  
178. ‘Change in fair value for the period’ shall include gains or losses from re-measurements made in 
accordance with IFRS 9, IFRS 13 or national GAAP, where applicable, in the period of the instruments 
that continue to exist at the reporting date. Those gains and losses shall be reported as for inclusion in the 
statement of profit or loss, or where applicable, in the statement of comprehensive income; thus, the 
amounts to be reported are before taxes.  
179. ‘Accumulated change in fair value before taxes’ shall include the amount of gains or losses from re- 
measurements of the instruments accumulated from the initial recognition to the reference date.  
14. DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)  
180. Template 15 shall include information on transferred financial assets of which part or all do not qualify 
for derecognition, and financial assets entirely derecognised for which the institution retains servicing 
rights.  
181. The associated liabilities shall be reported according to the portfolio in which the related transferred 
financial assets were included in the assets side and not according to the portfolio in which they were 
included in the liability side.EN L 97/1352 Official Journal of the European Union 19.3.2021
 
182. The column ‘Amounts derecognised for capital purposes’ shall include the carrying amount of the financial 
assets recognised for accounting purposes but de-recognised for prudential purposes because the insti ­
tution is treating them as securitisation positions for capital purposes in accordance with Articles 109, 
243 and 244 CRR.  
183. ‘Repurchase agreements’ (‘repos’) shall be transactions in which the institution receives cash in exchange 
for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets 
at a fixed price on a specified future date. Transactions involving the temporary transfer of gold against 
cash collateral shall also be considered ‘Repurchase agreements’ (‘repos’). Amounts received by the insti ­
tution in exchange for financial assets transferred to a third party (‘temporary acquirer’) shall be classified 
under ‘repurchase agreements’ where there is a commitment to reverse the operation and not merely an 
option to do so. Repurchase agreements shall also include repo-type operations which may include:  
(a) amounts received in exchange for securities temporarily transferred to a third party in the form of 
securities lending against cash collateral;  
(b) amounts received in exchange for securities temporarily transferred to a third party in the form of 
sale/buy-back agreement.  
184. ‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) shall involve cash received 
or loaned out by the institution.  
185. In a securitisation transaction, where the transferred financial assets are derecognized, institutions shall 
declare the gains (losses) generated by the item within the income statement corresponding to the 
‘accounting portfolios’ in which the financial assets were included prior to their derecognition.  
15. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)  
186. For selected items of the income statement further breakdowns of gains (or income) and losses (or 
expenses) shall be reported.  
15.1.  Interest income and expenses by instrument and counterparty sector (16.1)  
187. Interest income shall be broken down in accordance with both of the following:  
(a) interest income on financial assets included in the accounting portfolios and other assets (including 
cash, cash balances at central banks and other demand deposits);  
(b) interest income on financial liabilities with negative effective interest rate.  
188. Interest expenses shall be broken down in accordance with both of the following:  
(a) interest expenses on financial liabilities included in the accounting portfolios and other liabilities;  
(b) interest expenses on financial assets with negative effective interest rate.  
189. Interest income on financial assets and on financial liabilities with a negative effective interest rate shall include 
interest income on derivatives held for trading, debt securities, and loans and advances, as well as on deposits, debt 
securities issued and other financial liabilities with a negative effective interest rate.  
190. Interest expenses on financial liabilities and on financial assets with a negative effective interest rate shall include 
interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities, as 
well as on debt securities and loans and advances with a negative effective interest rate.  
191. For the purpose of template 16.1, short positions shall be considered within other financial liabilities. All 
instruments in the various portfolios shall be taken into account except those included in the items ‘Derivatives 
– Hedge accounting’ not used to hedge interest rate risk.EN 19.3.2021 Official Journal of the European Union L 97/1353
 
192. ‘Derivatives – Hedge accounting, interest rate risk’ shall include the interest income and expenses on hedging 
instruments where the hedged items generate interest.  
193. Where the clean price is used, interest on derivatives held for trading shall include the amounts related to those 
derivatives held for trading which qualify as ‘economic hedges’ that are included as interest income or expenses to 
correct the income and expense of the hedged financial instruments from an economic but not accounting point of 
view. In such case, interest income on economic hedge derivatives shall be reported separately within interest 
income from trading derivatives. Time-apportioned fees or balancing payments in relation to credit derivatives 
measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated 
at fair value at that occasion shall also be reported within interest on derivatives held for trading.  
194. Under IFRS, ‘Of which: interest-income on impaired financial assets’ means interest income on credit-impaired 
financial assets, including purchased or originated credit-impaired financial assets where the latter are considered as 
non-performing in accordance with paragraph 215 of this Part. Under national GAAP under BAD, it shall include 
interest income on assets impaired with a specific impairment allowance for credit risk.  
194i. ‘Of which: credit for consumption’ and ‘of which: lending for house purchase’ shall reflect the income and expenses 
on loans and advances as described in paragraph 88of this Part.  
194ii. ‘Of which: interest from leases’ shall reflect the lessor’s interest income on the lease receivable (finance leases) and  
the lessee’s interest expenses on the lease liability respectively.  
15.2.  Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit 
or loss by instrument (16.2)  
195. Gains and losses on derecognition of financial assets and financial liabilities not measured at fair value 
through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. 
For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. 
The net amount represents the difference between realised gains and realised losses.  
196. Template 16.2 shall apply under IFRS to financial assets and liabilities at amortised cost, and debt 
instruments measured at fair value through other comprehensive income. Under national GAAP based 
on BAD, template 16.2 shall apply to financial assets measured at cost-based method, at fair value through 
equity, and in accordance with measurement methods such as the lower of cost or market. Gains and 
losses of financial instruments classified as trading under the relevant national GAAP based on BAD shall 
not be reported in this template regardless of the valuation rules applicable for those instruments.  
15.3.  Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading 
financial liabilities by instrument (16.3)  
197. Gains and losses on financial assets and liabilities held for trading shall be broken down by type of 
instrument; each item of the breakdown shall be the net realised and unrealised amount (gains minus 
losses) of the financial instrument.  
198. Gains and losses from foreign currency trading on the spot market, excluding exchange of foreign notes 
and coins, shall be included as trading gains and losses. Gains and losses from precious metal trading or 
derecognition and re-measurement shall not be included in trading gains and losses but in ‘Other 
operating income’ or ‘Other operating expense’ in accordance with paragraph 316 of this Part.EN L 97/1354 Official Journal of the European Union 19.3.2021
 
199. The item ‘Of which: economic hedges with use of the fair value option’ shall include only gains and losses 
on credit derivatives measured at fair value through profit or loss and used to manage the credit risk of all 
or part of a financial instrument that is designated at fair value through profit or loss at that occasion in 
accordance with IFRS 9.6.7. Gains or losses due to the reclassification of financial assets out of the 
amortised cost accounting portfolio and into the fair value through profit or loss accounting portfolio 
or into the held for trading portfolio (IFRS 9.5.6.2) shall be reported in ‘Of which: gains and losses due to 
the reclassification of assets at amortised cost’.  
15.4.  Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading 
financial liabilities by risk (16.4)  
200. Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by 
type of risk. Each item of the breakdown shall be the net realised and unrealised amount (gains minus 
losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) 
associated with the exposure, including related derivatives. Gains and losses from exchange differences 
shall be included in the item in which the rest of gains and losses arising from the converted instrument 
are included. Gains and losses on financial assets and financial liabilities other than derivatives shall be 
included in the risk categories as follows:  
(a) interest rate: including trading of loans and advances, deposits and debt securities (held or issued);  
(b) equity: including trading of shares, quotas of UCITS and other equity instruments;  
(c) foreign exchange trading: including exclusively trading on foreign exchanges;  
(d) credit risk: including trading of credit link notes;  
(e) commodities: this item shall include only derivatives because gains and losses on commodities held 
with trading intent shall be reported under ‘Other operating income’ or ‘Other operating expense’ in 
accordance with paragraph 316of this Part;  
(f) other: including trading of financial instruments, which cannot be classified in other breakdowns.  
15.5.  Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by 
instrument (16.4.1)  
201. Gains and losses on non-trading financial assets mandatorily at fair value through profit or loss shall be 
broken down by type of instrument. Each item of the breakdown shall be the net realised and unrealised 
amount (gains minus losses) of the financial instrument.  
202. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio 
and into the non-trading financial assets mandatorily at fair value through profit or loss accounting 
portfolio (IFRS 9.5.6.2) shall be reported in ‘Of which: gains and losses due to the reclassification of 
assets at amortised cost’.  
15.6.  Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument 
(16.5)  
203. Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be 
broken down by type of instrument. Institutions shall report the net realised and unrealised gains or losses 
and the amount of change in fair value of financial liabilities in the period due to changes in the credit risk 
(own credit risk of the borrower or issuer) where own credit risk is not reported within other compre ­
hensive income.EN 19.3.2021 Official Journal of the European Union L 97/1355
 
204. Where a credit derivative measured at fair value is used to manage the credit risk of all or part of a 
financial instrument that is designated at fair value through profit or loss at that occasion, the gains or 
losses of the financial instrument upon that designation shall be reported in ‘Of which: gains or (-) losses 
upon designation of financial assets and liabilities designated at fair value through profit or loss for 
hedging purposes, net’. Subsequent fair value gains or losses on those financial instruments shall be 
reported in ‘Of which: gains or (-) losses after the designation of financial assets and liabilities designated 
at fair value through profit or loss for hedging purposes, net’.  
15.7.  Gains or losses from hedge accounting (16.6)  
205. All gains and losses from hedge accounting, except interest income or expense where the clean price is 
used, shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge and hedge of 
net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down 
between the hedging instrument and the hedged item. Gains and losses on hedging instruments shall not 
include gains and losses related to elements of the hedging instruments that are not designated as hedging 
instruments in accordance with IFRS 9.6.2.4. Those hedging instruments that are not designated shall be 
reported in accordance with paragraph 60of this Part. Gains and losses from hedge accounting shall also 
include gains and losses on hedges of a group of items with offsetting risk positions (hedges of a net 
position).  
206. ‘Fair value changes of the hedged item attributable to the hedged risk’ shall include gains and losses on 
hedged items where the items are debt instruments measured at fair value through other comprehensive 
income in accordance with IFRS 9.4.1.2 A (IFRS 9.6.5.8).  
207. Under national GAAP based on BAD, the breakdown by type of hedges as provided for in this template 
shall be reported to the extent the breakdown is compatible with the applicable accounting requirements.  
15.8.  Impairment on non-financial assets (16.7)  
208. ‘Additions’ shall be reported where, for the accounting portfolio or main category of assets, the estimation 
of the impairment for the period results in recognition of net expenses. ‘Reversals’ shall be reported where, 
for the accounting portfolio or main category of assets, the estimation of the impairment for the period 
results in the recognition of net income.  
15.9.  Other Administrative Expenses (16.8)  
208i. ‘Information Technology expenses’ shall be the expenses made to deliver IT-enabled business processes, 
application services and infrastructure solutions for business outcomes, including costs related to the 
creation and maintenance of IT systems and excluding compensation for IT specialists on the institution’s 
payroll which shall be reported under staff expenses.  
208ii. Among the Information Technology expenses, ‘IT outsourcing’ shall mean IT expenses related to the use of 
external service providers. It shall not include expenses related to (i) pure staff services (agency staff) to the 
extent that the institution just hires staff temporarily and keeps full control of the delivered services and 
(ii) purely standardised operational hardware/software maintenance contracts on merely purchased assets.  
208iii. ‘Taxes and duties (other)’shall include taxes and duties other than (i) taxes related to profit or loss taxes 
and (ii) taxes and duties from discontinued operations. This item includes taxes and duties such as taxes 
levied on goods and services and the duties paid by the institution.  
208iv. ‘Consulting and professional services’ shall mean expenses made to get expert or strategic advice.EN L 97/1356 Official Journal of the European Union 19.3.2021
 
208v. ‘Advertising, marketing and communication’ shall include expenses related to marketing communications 
activities such as advertising, direct or online marketing, and events.  
208vi. ‘Expenses related to credit risk’ shall mean administrative expenses in the context of credit events, such as 
expenses incurred in respect of taking possession of collateral or legal proceedings.  
208vii. ‘Litigation expenses not covered by provisions’ shall mean litigation expenses not related to credit risk that 
were not covered by an associated provision.  
208viii. ‘Real estate expenses’ shall mean expenses for repairs and maintenance that do not improve the use or 
prolong the useful life of the real estate, as well as utility expenses (water, electricity and heating).  
208ix. Under IFRS, ‘leasing expenses’ shall comprise expenses of the lessee due to short-term leases and leases of 
assets of low value as referred to IFRS 16.5 and 16.6. Under national GAAP, leasing expenses shall 
comprise expenses of the lessee, where the accounting standard envisages the treatment of lease 
payments as expenses.  
208x. ‘Other administrative expenses – Rest’ shall include all the remaining components of ‘other administrative 
expenses’, such as supervisory fees or bank levies, administrative and logistic services, postage and 
transport of documents, surveillance and security services, money counting services and transport. Cash 
contributions to resolution funds and deposit guarantee schemes shall not be reported in this category 
since they are reported in a separate row of template 2.  
16. RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)  
209. ‘Accounting scope of consolidation’ shall include the carrying amount of assets, liabilities and equity as 
well as the nominal amounts of the off-balance sheet exposures prepared using the accounting scope of 
consolidation, that is, including in the consolidation subsidiaries that are insurance undertakings and non- 
financial corporations. Institutions shall account for the subsidiaries, joint ventures and associates using the 
same method as in their financial statements.  
210. In this template, the item ‘Investments in subsidiaries, joint ventures and associates’ shall not include 
subsidiaries as all subsidiaries are fully consolidated under the scope of accounting consolidation.  
211. ‘Assets under reinsurance and insurance contracts’ shall include assets under reinsurance ceded as well as, 
if any, assets related to insurance and reinsurance contracts issued.  
212. ‘Liabilities under insurance and reinsurance contracts’ shall include liabilities under insurance and 
reinsurance contracts issued.  
17. NON-PERFORMING EXPOSURES (18)  
17.1.  Information on performing and non-performing exposures (18.0)  
213. For the purposes of template 18, non-performing exposures shall be exposures listed in Article 47a(3) 
CRR.  
215. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found 
credit-impaired (Stage 3). Exposures included in impairment stages other than Stage 3 and those that are 
purchased or originated credit-impaired shall be considered as non-performing where they meet the 
criteria to be considered as non-performing in accordance with Article 47a(3) CRR.  
216. Exposures shall be categorised for their entire amount and without taking into account the existence of 
any collateral. With reference to the exposures referred to in point (a) of Article 47a(3) CRR, materiality 
shall be assessed in accordance with Article 178 CRR and the Commission Delegated Regulation (EU) 
2018/171 (RTS on materiality threshold for credit obligations past due).EN 19.3.2021 Official Journal of the European Union L 97/1357
 
217. For the purpose of template 18, ‘exposures’ shall include all debt instruments (debt securities and loans 
and advances, including cash balances at central banks and other demand deposits) and off-balance sheet 
exposures, except those held for trading exposures.  
218. Debt instruments shall be included in the following accounting portfolios: (a) debt instruments at cost or 
amortised cost; (b) debt instruments at fair value through other comprehensive income or through equity 
subject to impairment; and (c) debt instruments at strict LOCOM or fair value through profit or loss or 
through equity not subject to impairment, in accordance with the criteria of paragraph 233 of this Part. 
Each category shall be broken down by instrument and by counterparty.  
219. Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the 
following revocable and irrevocable items:  
(a) loan commitments given;  
(b) financial guarantees given;  
(c) other commitments given.  
220. Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately.  
221. In template 18 for debt instruments, ‘gross carrying amount’ as defined in paragraph 34of Part 1 of this 
Annex shall be reported. For off-balance sheet exposures, the nominal amount as defined in 
paragraph 118 of this Annex shall be reported.  
222. For the purpose of template 18, an exposure is ‘past-due’ where it meets the criteria of paragraph 96 of 
this Part. For the purpose of classification of exposures as non-performing in accordance with point (a) of 
Article 47a(3) CRR, the counting of 90 days past due commences once the past due amount, being the 
sum of past due principal, interest and fees, breaches the materiality threshold as defined in paragraph 216 
of this Part. If the past due part of exposures continues to be material for 90 consecutive days, the 
exposure should then be classified as non-performing.  
223. For the purpose of template 18, ‘debtor’ shall mean an obligor within the meaning of Article 178 CRR.  
226. Exposures classified as non-performing in accordance with paragraph 213 shall be categorised as either 
non-performing on an individual basis (‘transaction based’) or as non-performing for the overall exposure 
to a given debtor (‘debtor based’). For the categorisation of non-performing exposures on an individual 
basis or to a given debtor, the following categorisation approaches shall be used for the different types of 
non-performing exposures:  
(a) for non-performing exposures classified as defaulted in accordance with Article 178 CRR, the categori ­
sation approach of that Article shall be applied;  
(b) for exposures that are classified as non-performing due to impairment under the applicable accounting 
framework, the recognition criteria for impairment under the applicable accounting framework shall 
be applied;  
(c) for other non-performing exposures that are neither classified as defaulted nor as impaired, the 
provisions of Article 178 CRR for defaulted exposures shall be applied.  
227. Where an institution has on-balance sheet exposures to a debtor that are past due by more than 90 days 
and the gross carrying amount of the past due exposures represents more than 20 % of the gross carrying 
amount of all on-balance sheet exposures to that debtor, all on- and off-balance sheet exposures to that 
debtor shall be considered as non-performing. Where a debtor belongs to a group, the need to consider 
also exposures to other entities of the group as non-performing shall be assessed, except for exposures 
affected by isolated disputes that are unrelated to the solvency of the counterparty.EN L 97/1358 Official Journal of the European Union 19.3.2021
 
228. Exposures shall be considered to have ceased being non-performing where all of the conditions provided 
in Article 47a(4) CRR are met.  
230. The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 
5 shall not discontinue their classification as non-performing exposure in accordance with Article 47a(5) 
CRR.  
231. Granting forbearance measures to a non-performing exposure shall not discontinue the non-performing 
status of this exposure. Where exposures are non-performing with forbearance measures, as referred to in 
paragraph 262, those exposures shall be considered to have ceased being non-performing where all the 
conditions provided in Article 47a(6) CRR are met.  
232. Where the conditions referred to in paragraph 231 of this Part of this Annex are not met at the end of the 
one year period specified in point (b) of Article 47a(6) CRR, the exposure shall continue to be identified as 
non-performing forborne exposure until all conditions are met. The conditions shall be assessed at least on 
a quarterly basis.  
233. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant 
national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported as follows 
in template 18:  
(a) ‘Debt instruments at cost or at amortised cost’ shall encompass debt instruments included in any of 
the following:  
(i) ‘Financial assets at amortised cost’ (IFRS);  
(ii) ‘Non-trading non-derivative financial assets at a cost based method’, including debt instruments 
under moderate LOCOM (national GAAP based on BAD);  
(iii) ‘Other non-trading non-derivative financial assets’, except debt instruments measured at strict 
LOCOM (national GAAP based on BAD);  
(b) ‘Debt instruments at fair value through other comprehensive income or through equity subject to 
impairment’ shall encompass debt instruments included in any of the following:  
(i) ‘Financial assets at fair value through other comprehensive income’ (IFRS);  
(ii) ‘Non-trading non-derivative financial assets measured at fair value to equity’, where instruments in 
that measurement category can be subject to impairment in accordance with the applicable 
accounting framework under national GAAP based on BAD;  
(c) ‘Debt instruments at strict LOCOM, or at fair value through profit or loss or through equity not 
subject to impairment’ shall encompass debt instruments included in any of the following:  
(i) ‘Non-trading financial assets mandatorily at fair value through profit or loss’ (IFRS);  
(ii) ‘Financial assets designated at fair value through profit or loss’ (IFRS);  
(iii) ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ (national 
GAAP based on BAD);  
(iv) ‘Other non-trading non-derivative financial assets’ where debt instruments are measured under 
strict LOCOM (national GAAP based on BAD);  
(v) ‘Non-trading non-derivative financial assets measured at fair value through equity’, where debt 
instruments in that measurement category are not subject to impairment in accordance with the 
applicable accounting framework under GAAP based on BAD.EN 19.3.2021 Official Journal of the European Union L 97/1359
 
234. Where IFRS or the relevant national GAAP based on BAD provide for the designation of commitments at 
fair value through profit and loss, the carrying amount of any asset resulting from that designation and 
measurement at fair value shall be reported in ‘Financial assets designated at fair value through profit or 
loss’ (IFRS) or ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ 
(national GAAP based on BAD). The carrying amount of any liability resulting from that designation shall 
not be reported in template 18. The notional amount of all commitments designated at fair value through 
profit or loss shall be reported in template 9.  
234i. The following exposures shall be identified in separate rows:  
(a) Loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;  
(b) Credit for consumption as defined in paragraph 88(a) of this Part.  
235. Past due exposures shall be reported separately within the performing and non-performing categories for 
their entire amount as defined in paragraph 96 of this Part. Exposures past due by more than 90 days but 
that are not material in accordance with Article 178 CRR shall be reported within performing exposures in 
‘Past due > 30 days <= 90 days’.  
236. Non-performing exposures shall be reported broken down by past due time bands. In case of application 
of the debtor approach for the classification of exposures as non-performing referred to in paragraph 226 
of this Part of this Annex, the exposures of the debtor shall be reported in the past-due time bands of 
non-performing in accordance with their individual past-due status. Exposures that are not past due or are 
past due by 90 days or less, but are nevertheless identified as non-performing due to the likelihood of 
non-full repayment, shall be reported in a dedicated column. Exposures that present both past due 
amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent 
with the number of days that they are past due.  
237. The following exposures shall be identified in separate columns:  
(a) exposures which are considered to be impaired in accordance with the applicable accounting 
framework; under IFRS, the amount of credit-impaired assets (Stage 3) which does not include 
purchased or originated credit impaired assets, shall be reported; under national GAAP, the amount 
of impaired assets shall be reported;  
(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 
CRR;  
(c) under IFRS, assets with significant increase in credit risk since initial recognition, but not credit- 
impaired (Stage 2) which do not include purchased or originated credit impaired assets;  
(d) under IFRS, for performing exposures, assets without significant increase in credit risk since initial 
recognition (Stage 1);  
(e) exposures which are considered as purchased or originated financial assets that are credit-impaired at 
initial recognition in accordance with IFRS 9 Appendix A, including any off-balance sheet exposures 
that are deemed credit-impaired upon their initial recognition;  
(f) for performing exposures, the amount of accumulated impairment for exposures past due by more 
than 30 days.  
238. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions 
shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110of this Part.  
239. Information on collateral held and guarantees received on performing and non-performing exposures shall 
be reported separately. Amounts reported for collateral received and guarantees received shall be calculated 
in accordance with paragraphs 172 and 174of this Part. The sum of the amounts reported for both 
collateral and guarantees shall be capped at the carrying amount or nominal amount after deduction of 
provisions of the related exposure.EN L 97/1360 Official Journal of the European Union 19.3.2021
 
17.2.  Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1)  
239i. Template 18.1 shall provide the inflows and outflows of loans and advances, excluding loans and advances 
classified as trading financial assets or held for trading, that were classified into or out of the category of 
non-performing exposures as defined in paragraphs 213 to 239 or 260of this Part. Inflows and outflows 
of non-performing loans and advances shall be broken down by counterparty sector.  
239ii. Inflows to the non-performing exposures category shall be reported on a cumulative basis since the 
beginning of the financial year. The inflow shall reflect the gross carrying amount of exposures that 
have become non-performing as defined in paragraphs 213 to 239 or 260 of this Part during the period, 
including purchased non-performing exposures. An increase in the gross carrying amount of a non- 
performing exposure due to accrued interest or due to an increase in the accumulated negative changes 
in fair value due to credit risk shall be reported as an inflow as well.  
239iii. For an exposure that during the period has been reclassified multiple times from non-performing to 
performing or vice versa, the amount of inflows and outflows shall be identified based on a comparison 
between the status of the exposure (performing or non-performing) at the beginning of the financial year 
or at initial recognition and its status at the reporting reference date.  
239iv. Outflows from the non-performing exposures category shall be reported on a cumulative basis since the 
beginning of the financial year. The outflow shall reflect the sum of the gross carrying amounts of 
exposures that cease to be non-performing during the period, and, where applicable, shall include the 
amount of write-offs made in the context of the partial or full derecognition of the exposure. A decrease 
in the gross carrying amount of a non-performing exposure due to interest paid or a decrease in the 
accumulated negative changes in fair value due to credit risk shall be reported as an outflow as well.  
239v. An outflow shall be reported in the following cases:  
(a) a non-performing exposure meets the criteria for ceasing to be classified as non-performing as laid out 
in paragraphs 228 – 232 of this Part and is reclassified as performing not forborne or performing 
forborne;  
(b) a non-performing exposure is partially or totally repaid; in case of partial repayment, only the repaid 
amount shall be classified as outflow;  
(c) collateral is liquidated, including outflows due to other liquidation or legal procedures, such as the 
liquidation of assets other than collateral obtained via legal procedures, and the voluntary sale of the 
collateral;  
(d) the institution takes possession of the collateral as referred in paragraph 175 of this Part including 
cases of debt asset swaps, voluntary surrenders and debt equity swaps;  
(e) a non-performing exposure is sold;  
(f) the risk pertaining to a non-performing exposure is transferred and the exposure meets the criteria to 
be derecognised;  
(g) a non-performing exposure is written-off partially or totally; in case of partial write-offs, only the 
written-off amount shall be classified as outflow;  
(h) a non-performing exposure, or parts of a non-performing exposure, ceases to be non-performing for 
other reasons.EN 19.3.2021 Official Journal of the European Union L 97/1361
 
239vi. The reclassification of a non-performing exposure from one accounting portfolio to another shall be 
reported neither as inflow nor as outflow. As an exception, the reclassification of a non-performing 
exposure from any accounting portfolio to ‘held for sale’ shall be reported as outflow from the original 
accounting portfolio and inflow to ‘held for sale’.  
239vii. The following exposures shall be identified in separate rows:  
(a) commercial real estate (CRE) loans as defined in paragraph 239ix, broken down into CRE loans to 
SMEs and CRE loans to non-financial corporations other than SMEs;  
(b) loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;  
(c) credit for consumption as defined in paragraph 88(a) of this Part.  
17.3.  Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property 
(18.2)  
239viii. Template 18.2 shall present information on commercial real estate loans to non-financial corporations and 
on loans collateralised by commercial or residential immovable property to non-financial corporations and 
households respectively, broken down by loan to value ratio (LTV ratio). Loans and advances classified as 
held for trading, trading financial assets and debt instruments held for sale shall be excluded.  
239ix. ‘Commercial real estate (CRE) loans’ shall comprise exposures as defined in section 2, chapter 1, 
paragraph 1 of the ESRB Recommendation on closing real estate data gaps (  8 ). 
239x. The LTV ratio shall be calculated in accordance with the method for the calculation of the ‘current loan-to- 
value ratio’ (LTV-C) laid down in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on 
closing real estate data gaps.  
239xi. Information on collateral received and financial guarantees received on loans shall be reported in 
accordance with paragraph 239of this Part. Consequently, the sum of the amounts reported for both 
collateral and guarantees shall be capped at the carrying amount of the related exposure.  
18. FORBORNE EXPOSURES (19)  
240. For the purpose of template 19, forborne exposures shall be debt contracts in respect of which 
forbearance measures as defined in Article 47b(1) and (2) CRR have been applied.  
243. Forbearance measures also include the exercise of clauses which, where used at the discretion of the 
debtor, enable the debtor to change the terms of the contract (‘embedded forbearance clauses’) and which 
shall be treated as a concession where the institution approves executing those clauses and concludes that 
the debtor is experiencing financial difficulties.  
244. For the purposes of Annexes III and IV as well as this Annex, ‘refinancing’ shall mean the use of debt 
contracts to ensure the total or partial payment of other debt contracts the terms of which the debtor is 
unable to comply with.  
245. For the purpose of template 19, ‘debtor’ means an obligor within the meaning of Article 47b(4) CRR.  
246. For the purpose of template 19, ‘debt’ shall include loans and advances (including also cash balances at 
central banks and other demand deposits), debt securities and revocable and irrevocable loan 
commitments given, including those loan commitments that are designated at fair value through profit 
and loss that are assets at the reporting date. ‘Debt’ shall exclude exposures held for trading.  
247. ‘Debt’ shall also include loans and advances and debt securities classified as non-current assets and disposal 
groups classified as held for sale in accordance with IFRS 5.EN L 97/1362 Official Journal of the European Union 19.3.2021  
( 8 ) Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14), 
OJ C 31, 31.1.2017, p. 1.
 248. For the purposes of template 19, ‘exposure’ shall have the same meaning as ‘debt’ in paragraphs 246 and 
247 of this Part.  
249. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant 
national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported in template 
19 in accordance with paragraph 233 of this Part.  
250. For the purposes of template 19, ‘institution’ shall mean the institution, which applied the forbearance 
measures.  
251. In template 19 for ‘debt’, the ‘gross carrying amount’ shall be reported in accordance with paragraph 34 of 
Part 1 of this Annex. For loan commitments given which are off-balance sheet exposures, the nominal 
amount as defined in paragraph 118 of this Part of this Annex shall be reported.  
252. Exposures shall be regarded as forborne where a concession has been made in accordance with 
Article 47b(1) CRR, irrespective of whether any amount is past due or of the classification of the 
exposures as impaired in accordance with the applicable accounting framework or as defaulted in 
accordance with Article 178 CRR. Exposures shall not be treated as forborne where the debtor is not 
in financial difficulties. Under IFRS, modified financial assets (IFRS 9.5.4.3 and Appendix A) shall be 
treated as forborne where a concession as defined in Article 47b(1) CRR has been made, regardless of the 
incidence of the modification on the change in the credit risk of the financial asset since initial recog ­
nition.  
254. There is a rebuttable presumption that forbearance has taken place in any of the circumstances listed in 
Article 47b(3) CRR.  
255. Financial difficulties shall be assessed at debtor level as referred to in paragraph 245. Only exposures to 
which forbearance measures have been applied shall be identified as forborne exposures.  
256. Forborne exposures shall be included in the non-performing exposures category or the performing 
exposures category in accordance with paragraphs 213 to 239 and 260 of this Part. The classification 
as forborne exposure shall be discontinued where all of the conditions provided in Article 47a(7) CRR are 
met.  
257. Where the conditions referred to in Article 47a(7) CRR are not met at the end of the probation period, the 
exposure shall continue to be identified as performing forborne under probation until all the conditions 
are met. The conditions shall be assessed at least on a quarterly basis.  
258. Forborne exposures, which are classified as non-current assets held for sale in accordance with IFRS 5, 
shall continue to be classified as forborne exposures.  
259. A forborne exposure may be considered as performing from the date the forbearance measures were 
applied where both of the following conditions are met:  
(a) that extension has not led the exposure to be classified as non-performing;  
(b) the exposure was not considered to be a non-performing exposure at the date the forbearance 
measures were extended.  
260. Where additional forbearance measures are applied to a performing forborne exposure under probation 
that has been reclassified out of non-performing category or the forborne exposure under probation 
reclassified out of non-performing category becomes more than 30 days past due, the exposure shall 
be classified as non-performing in accordance with point (c) of Article 47a(3) CRR.EN 19.3.2021 Official Journal of the European Union L 97/1363
 
261. ‘Performing exposures with forbearance measures’ (performing forborne exposures) shall comprise 
forborne exposures that do not meet the criteria to be considered as non-performing and that are 
included in the performing exposures category. Performing forborne exposures shall be under 
probation until all the criteria laid down in Article 47a(7) CRR, including where paragraph 259 of this 
Part applies, are met. Performing forborne exposures under probation that have been reclassified out of the 
non-performing forborne exposures category shall be reported separately within the performing exposures 
with forbearance measures in the column ‘of which: Performing forborne exposures under probation 
reclassified from non-performing’.  
262. ‘Non-performing exposures with forbearance measures’ (non-performing forborne exposures) shall 
comprise forborne exposures that meet the criteria to be considered as non-performing and that are 
included in the non-performing exposures category. Those non-performing forborne exposures shall 
include the following:  
(a) exposures which have become non-performing due to the application of forbearance measures;  
(b) exposures which were non-performing prior to the extension of forbearance measures;  
(c) forborne exposures which have been reclassified from the performing category, including exposures 
reclassified in application of paragraph 260.  
263. Where forbearance measures are extended to exposures which were non-performing prior to the extension 
of forbearance measures, the amount of those forborne exposures shall be separately identified in the 
column ‘of which: forbearance of exposures non-performing prior to forbearance measures’.  
264. The following non-performing exposures with forbearance measures shall be identified in separate 
columns:  
(a) exposures which are considered, in accordance with the applicable accounting framework, to be 
impaired. Under IFRS, the amount of credit-impaired assets (Stage 3) and the amount of purchased 
or originated credit-impaired financial assets where they are considered as non-performing in 
accordance with paragraph 215 of this Part shall be reported in this column;  
(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 
CRR.  
265. The column ‘Refinancing’ shall comprise the gross carrying amount of the new contract (‘refinancing debt’) 
granted as part of a refinancing transaction which qualifies as a forbearance measure, as well as the gross 
carrying amount of the old re-paid contract that is still outstanding.  
266. Forborne exposures combining modifications and refinancing shall be allocated to the column 
‘Instruments with modifications of the terms and conditions’ or the column ‘Refinancing’, depending 
on the measure that has the most impact on cash flows. Refinancing by a pool of banks shall be 
reported in the column ‘Refinancing’ for the total amount of refinancing debt provided by or refinanced 
debt still outstanding at the reporting institution. Repackaging of several debts into a new debt shall be 
reported as a modification, unless there is also a refinancing transaction that has a larger impact on cash 
flows. Where forbearance through modification of the terms and conditions of a troubled exposure leads 
to that exposure’s derecognition and to the recognition of a new exposure, that new exposure shall be 
treated as forborne debt.  
267. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions 
shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part.EN L 97/1364 Official Journal of the European Union 19.3.2021
 
268. Collateral and guarantees received on exposures with forbearance measures shall be reported for all 
exposures with forbearance measures, regardless of their performing or non-performing status. In 
addition, collateral and financial guarantees received on non-performing exposures with forbearance 
measures shall be shown separately. Amounts reported for collateral received and guarantees received 
shall be calculated in accordance with paragraphs 172 and 174 of this Part. The sum of the amounts 
reported for both collateral and guarantees shall be capped at the carrying amount of the related on- 
balance sheet exposure or nominal amount after deduction of provisions of the related off-balance sheet 
exposure.  
19. GEOGRAPHICAL BREAKDOWN (20)  
269. Template 20 shall be reported where the institution exceeds the threshold described in point (4) of 
Article 5(a) of this Regulation.  
19.1.  Geographical breakdown by location of activities (20.1-20.3)  
270. The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between 
‘domestic activities’ and ‘non-domestic activities’. For the purposes of this Part, ‘location’ shall mean the 
jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability. 
For branches, it shall mean the jurisdiction of its residence. ‘Domestic’ shall include the activities 
recognised in the Member State where the reporting institution is located.  
19.2.  Geographical breakdown by residence of the counterparty (20.4-20.7)  
271. Templates 20.4 to 20.7 contain information ‘country-by-country’ on the basis of the residence of the 
immediate counterparty as defined in paragraph 43of Part 1 of this Annex. The breakdown provided shall 
include exposures or liabilities with residents in each foreign country in which the institution has 
exposures. Exposures or liabilities with international organisations and multilateral development banks 
shall not be assigned to the country of residence of the institution but to the geographical area ‘Other 
countries’.  
272. ‘Derivatives’ shall include both trading derivatives, including economic hedges, and hedging derivatives 
under IFRS and under GAAP, reported in templates 10 and 11.  
273. Assets held for trading under IFRS and trading assets under GAAP shall be identified separately. Financial 
assets subject to impairment shall have the same meaning as in paragraph 93 of this Part. For the purpose 
of template 20.4, cash balances at central banks and other demand deposits shall be reported together 
with financial assets subject to impairment. Assets measured under LOCOM that have credit risk induced 
value adjustments shall be considered as impaired.  
274. In templates 20.4 and 20.7, ‘Accumulated impairment’ and ‘Accumulated negative changes in fair value 
due to credit risk on non-performing exposures’, as determined in accordance with paragraphs 69 to 71 of 
this Part shall be reported.  
275. In template 20.4 for debt instruments, ‘gross carrying amount’, as determined in accordance with 
paragraph 34 of Part 1 of this Annex, shall be reported. For derivatives and equity instruments, the 
amount to be reported shall be the carrying amount. In column ‘Of which: Non-performing’ debt 
instruments, as determined in accordance with paragraphs 213 to 239 or 260of this Part shall be 
reported. Debt forbearance shall comprise all ‘debt’ contracts for the purpose of template 19 to which 
forbearance measures, as defined in paragraphs 240 to 268of this Part, are extended.  
276. In template 20.5, ‘Provisions for commitments and guarantees given’ shall include provisions measured 
under IAS 37, the credit losses of financial guarantees treated as insurance contracts under IFRS 4, and the 
provisions on loan commitments and financial guarantees under the impairment requirements of IFRS 9 
and provisions for commitments and guarantees under national GAAP based on BAD in accordance with 
paragraph 11 of this Part.EN 19.3.2021 Official Journal of the European Union L 97/1365
 
277. In template 20.7, loans and advances not held for trading, trading or held for sale shall be reported with 
the classification by NACE Codes on a ‘country-by-country’ basis. NACE Codes shall be reported with the 
first level of disaggregation (by ‘section’). Loans and advances subject to impairment shall refer to the same 
portfolios as referred to in paragraph 93 of this Part.  
20. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)  
278. For the purposes of the calculation of the threshold in Article 9(e) of this Regulation, tangible assets that 
have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases 
under the relevant accounting framework shall be divided by the total of tangible assets.  
279. Under IFRS, assets that have been leased by the institution (as lessor) to third parties in operating leases 
shall be broken down by measurement method.  
21. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)  
280. For the purposes of the calculation of the threshold in Article 9(f) of this Regulation, the amount of ‘net 
fee and commission income’ shall be the absolute value of the difference between ‘fee and commission 
income’ and ‘fee and commission expense’. For the same purposes, the amount of ‘net interest’ shall be the 
absolute value of the difference between ‘interest income’ and ‘interest expenses’.  
21.1.  Fee and commission income and expenses by activity (22.1)  
281. The fee and commission income and expenses shall be reported by type of activity. Under IFRS, this 
template shall include fee and commission income and expenses other than both of the following:  
(a) amounts considered for the calculation of the effective interest of financial instruments (IFRS 7.20.(c));  
(b) amounts arising from financial instruments that are measured at fair value through profit or loss (IFRS 
7.20.(c).(i)).  
282. Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at 
fair value through profit or loss shall not be included. Those transaction costs shall form part of the initial 
acquisition/issue value of those instruments and shall be amortised to profit or loss over their residual life 
using the effective interest rate (IFRS 9.5.1.1).  
283. Under IFRS, transaction costs directly attributable to the acquisition or issue of financial instruments 
measured at fair value through profit or loss shall be included as a part of ‘Gains or losses on 
financial assets and liabilities held for trading, net’, ‘Gain or losses on non-trading financial assets manda ­
torily at fair value through profit or loss, net’ and ‘Gains or losses on financial assets and liabilities 
designated at fair value through profit or loss, net’, depending on the accounting portfolio in which 
those transaction costs are classified. Those transaction costs shall not be part of the initial acquisition or 
issuance value of those instruments and shall be immediately recognized in profit or loss.  
284. Institutions shall report fee and commission income and expenses in accordance with the following 
criteria:  
(a) ‘Securities. Issuances’ shall include fees and commissions received for the involvement in the orig ­
ination or issuance of securities not originated or issued by the institution;  
(b) ‘Securities. Transfer orders’ shall include fees and commissions generated by the reception, trans ­
mission and execution on behalf of customers of orders to buy or sell securities;  
(c) ‘Securities. Other fee and commission income in relation to securities’ shall include fees and 
commissions generated by the institution providing other services related with securities not orig ­
inated or issued by the institution;  
(d) Under fee and commission expenses, ‘securities’ shall include fees and commissions charged to the 
institution where it is receiving services related with securities regardless of whether they are orig ­
inated or issued by the institution or not;EN L 97/1366 Official Journal of the European Union 19.3.2021
 
(e) ‘Corporate Finance. M&A advisory’ shall include fees and commissions for advisory services 
surrounding corporate clients’ mergers and acquisitions activities;  
(f) ‘Corporate Finance. Treasury services’ shall include fees and commissions for corporate finance 
services related to capital market advisory for corporate clients;  
(g) ‘Corporate Finance. Other fee and commission income in relation to corporate finance activities’ shall 
include all other corporate finance related fees and commissions;  
(h) ‘Fee based advice’ shall include fees and commissions charged for advisory services to clients that are 
not directly linked to asset management, such as private banking related fees. M&A advisory fees shall 
not be included here, but under ‘Corporate Finance. M&A advisory’;  
(i) ‘Clearing and settlement’ shall include fees and commission income (expenses) generated by (charged 
to) the institution where that institution participates in counterparty, clearing and settlement facilities;  
(j) ‘Asset management’, ‘Custody’, ‘Central administrative services for collective investment undertakings’ 
and ‘Fiduciary transactions’ shall include fees and commission income (expenses) generated by 
(charged to) the institution that provides those services;  
(k) ‘Payment services’ shall include fees and commission income (expenses) generated by (charged to) the 
institution that provides (receives) payment services as referred to in Annex I to Directive (EU) 
2015/2366 of the European Parliament and of the Council (  9 ). Information on the fee and 
commission income shall be reported separately for current accounts, credit cards, debit cards and 
other card payments, transfers and other payment orders as well as other fee and commission income 
in relation to payment services. ‘Other fee and commissions income in relation to payment services’ 
shall include charges for the use of the institution’s ATM network by cards not issued by the 
institution. Information on fee and commission expenses on credit, debit and other cards shall be 
reported separately;  
(l) ‘Customer resources distributed but not managed (by type of product)’ shall comprise fee and 
commission income for distribution of products issued by entities outside the prudential group to 
its current customers. This information shall be reported by type of product;  
(m) Under fee and commission expenses, ‘Externally provided distribution of products’ shall comprise the 
expenses for distribution of the institution’s products and services via an external agent network/dis ­
tribution arrangement with external providers such as mortgage brokers, online loan platforms or 
Fintech frontends;  
(n) ‘Structured finance’ shall include fees and commissions received for the involvement in the origination 
or issuance of financial instruments other than securities originated or issued by the institution;  
(o) Fees from ‘Loan servicing activities’ shall include, on the income side, the fee and commission income 
generated by the institution providing loan servicing services and on the expense side, the fee and 
commission expense charged to the institution by loan service providers;EN 19.3.2021 Official Journal of the European Union L 97/1367  
( 9 ) Directive (EU) 2015/2366 of the European Parliament and of the Council of 25 November 2015 on payment services in the interna l 
market, amending Directives 2002/65/EC, 2009/110/EC and 2013/36/EU and Regulation (EU) No 1093/2010, and repealing 
Directive 2007/64/EC (OJ L 337, 23.12.2015, p. 35).
 (p) ‘Loan commitments given’ and ‘Financial guarantees given’ shall include the amount, recognized as 
income during the period, of the amortization of the fees and commission for those activities initially 
recognised as ‘other liabilities’;  
(q) ‘Loan commitments received’ and ‘Financial guarantees received’ shall include the fee and commission 
recognised as expense by the institution during the period as a consequence of the charge made to the 
counterparty that has given the loan commitment or the financial guarantee that is initially recognised 
as ‘other assets’;  
(r) Under ‘loans granted’, fees and commissions shall be reported which are charged in the process of 
granting loans, but are not part of the effective interest rate calculation;  
(s) ‘Foreign exchange’ includes fee and commission income (expenses) for foreign exchange services 
(including exchange of foreign banknotes or coins, fees on international currency cheques, bid- 
ask-spread) and fee income from/expenses on international transactions. Where the income (expenses) 
attributable to foreign exchange transactions can be separated from the other credit/debit card related 
fee income, this item shall also include foreign-exchange related fees and commissions generated via 
credit or debit cards;  
(t) ‘Commodities’ include fee and commission income related to the commodity business, except for 
income related to commodity trading which shall be reported as other operating income;  
(u) ‘Other fee and commission income (expenses)’ shall include the fee and commission income 
(expenses) generated by (charged to) the institution that cannot be allocated to any of the other 
listed items.  
21.2.  Assets involved in the services provided (22.2)  
285. Business related to asset management, custody functions, and other services provided by the institution 
shall be reported using the following definitions:  
(a) ‘Asset management’ shall refer to assets belonging directly to the customers, for which the institution 
is providing management. ‘Asset management’ shall be reported by type of customer: collective 
investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and 
other investment vehicles;  
(b) ‘Custody assets’ shall refer to the services of safekeeping and administration of financial instruments 
for the account of clients provided by the institution and services related to custodianship such as cash 
and collateral management. ‘Custody assets’ shall be reported by type of customers for which the 
institution is holding the assets distinguishing between collective investment undertakings and others. 
The item ‘of which: entrusted to other entities’ shall refer to the amount of assets included in custody 
assets for which the institution has given the effective custody to other entities;  
(c) ‘Central administrative services for collective investment’ shall refer to the administrative services 
provided by the institution to collective investment undertakings. It shall include, among others, 
the services of transfer agent, of compiling accounting documents, of preparing the prospectus, 
financial reports and all other documents intended for investors, of carrying out the correspondence 
by distributing financial reports and all other documents intended for investors, of carrying out issues 
and redemptions and keeping the register of investors, as well as of calculating the net asset value;  
(d) ‘Fiduciary transactions’ shall refer to the activities where the institution acts in its own name but for 
the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution 
provides services, such as custody, asset management services, to a structured entity or managing 
portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item 
irrespective of whether the institution provides other services;EN L 97/1368 Official Journal of the European Union 19.3.2021
 
(e) ‘Payment services’ shall refer to the payment services listed in Annex I of Directive (EU) 2015/2366;  
(f) ‘Customer resources distributed but not managed’ shall refer to products issued by entities outside the 
prudential group that the institution has distributed to its current customers. This item shall be 
reported by type of product;  
(g) ‘Amount of the assets involved in the services provided’ shall include the amount of assets in relation 
to which the institution is acting, using the fair value. Other measurement bases including nominal 
value may be used where the fair value is not available. Where the institution provides services to 
entities such as collective investment undertakings or pension funds, the assets concerned may be 
shown at the value at which those entities report the assets in their own balance sheet. Reported 
amounts shall include accrued interest, where applicable.  
22. INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)  
286. For the purposes of Annexes III and IV as well as this Annex, ‘liquidity support drawn’ shall mean the sum 
of the carrying amount of the loan and advances granted to unconsolidated structured entities and the 
carrying amount of debt securities held that have been issued by unconsolidated structured entities.  
287. ‘Losses incurred by the reporting institution in the current period’ shall include losses due to impairment 
and any other losses which are incurred by a reporting institution during the reporting reference period 
and concern the reporting institution’s interests in unconsolidated structured entities.  
23. RELATED PARTIES (31)  
288. Institutions shall report amounts or transactions related to the balance sheet and the off-balance sheet 
exposures where the counterparty is a related party as referred to in IAS 24.  
289. Intra-group transactions and intra-group outstanding balances of the prudential group shall be eliminated. 
Under ‘Subsidiaries and other entities of the same group’, institutions shall include balances and trans ­
actions with subsidiaries that have not been eliminated either because the subsidiaries are not fully 
consolidated within the scope of the prudential consolidation or because the subsidiaries are excluded 
from the scope of prudential consolidation in accordance with Article 19 CRR for being immaterial or 
because, for institutions that are part of a wider group, the subsidiaries are of the ultimate parent, not of 
the institution. Under ‘Associates and joint ventures’, institutions shall include the portions of balances and 
transactions with joint ventures and associates of the group to which the entity belongs that have not been 
eliminated where proportional consolidation is applied.  
23.1.  Related parties: amounts payable to and amounts receivable from (31.1)  
290. For ‘Loan commitments, financial guarantees and other commitments received’, the amounts that shall be 
reported shall be the sum of the ‘nominal’ of loan and other commitments received and the ‘maximum 
amount of the guarantee that can be considered’ of financial guarantees received as defined in 
paragraph 119.  
291. ‘Accumulated impairment and accumulated negative changes in fair value due to credit risk on non- 
performing exposures’, as determined in paragraphs 69 to 71, in this Part shall be reported for non- 
performing exposures only. ‘Provisions on non-performing off-balance sheet exposures’ shall include 
provisions in accordance with paragraphs 11, 106 and 111 of this Part for exposures which are non- 
performing, as determined in accordance with paragraphs 213 to 239of this Part.EN 19.3.2021 Official Journal of the European Union L 97/1369
 
23.2.  Related parties: expenses and income generated by transactions with (31.2)  
292. ‘Gains or losses on derecognition of other than financial assets’ shall include all the gains and losses on 
derecognition of non-financial assets generated by transactions with related parties. This item shall include 
the gains and losses on derecognition of non-financial assets, which have been generated by transactions 
with related parties and that are part of any of the following line items of the ‘Statement of profit or loss’:  
(a) ‘Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates’, where 
reporting under national GAAP based on BAD;  
(b) ‘Gains or losses on derecognition of non-financial assets’;  
(c) ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as 
discontinued operations’;  
(d) ‘Profit or loss after tax from discontinued operations’.  
293. ‘Impairment or (-) reversal of impairment on non-performing exposures’ shall include impairment losses as 
defined in paragraphs 51 to 53 of this Part for exposures which are non-performing in accordance with 
paragraphs 213 to 239 of this Part. ‘Provisions or (-) reversal of provisions on non-performing exposures’ 
shall include provisions as defined in paragraph 50 of this Part for off-balance sheet exposures which are 
non-performing as referred in paragraphs 213 to 239 of this Part.  
24. GROUP STRUCTURE (40)  
294. Institutions shall provide, as of the reporting date, detailed information on subsidiaries, joint ventures and 
associates fully or proportionally consolidated within the scope of accounting consolidation as well as 
entities reported as ‘Investments in subsidiaries, joint ventures and associates’ in accordance with paragraph 
4 of this Part, including those entities in which investments are held for sale under IFRS 5. All entities 
shall be reported, regardless of the activity they perform.  
295. Equity instruments that do not meet the criteria to be classified as investments in subsidiaries, joint 
ventures and associates and in own shares of the reporting institution owned by it (‘Treasury shares’) 
shall be excluded from this template.  
24.1.  Group structure: ‘entity-by-entity’ (40.1)  
296. The following information shall be reported on a ‘entity-by-entity’ basis and the following requirements 
shall apply for the purposes of Annexes III and IV as well as this Annex:  
(a) ‘Code’ shall be the identification code of the investee. The code as part of a row identifier must be 
unique for each reported entity. For institutions and insurance undertakings, the code shall be the LEI 
code. For other entities the code shall be the LEI code, or if not available, a national code. The code 
shall be unique and used consistently across the templates and across time. The code shall always 
have a value;  
(b) ‘Type of code’: institutions shall identify the type of code reported in the column ‘Code’ as a ‘LEI code’ 
or ‘Non-LEI code’. The type of code shall always be reported;  
(c) ‘National code’: institutions may additionally report the national code when they report LEI code as 
identifier in the column ‘Code’;  
(d) ‘Entity name’ shall include the name of the investee;  
(e) ‘Entry date’ shall mean the date on which the investee entered within the ‘scope of the group’;  
(f) ‘Share capital of investee’ shall mean the total amount of capital issued by the investee as of the 
reference date;EN L 97/1370 Official Journal of the European Union 19.3.2021
 
(g) ‘Equity of investee’, ‘Total assets of the Investee’ and ‘Profit or (loss) of the Investee’ shall include the 
amounts of those items in the last financial statements approved by the investee’s board of directors 
or similar authorised body;  
(h) ‘Residence of investee’ shall mean the country of residence of the investee;  
(i) ‘Sector of investee’ shall mean the sector of counterparty referred to in paragraph 42 of Part 1 of this 
Annex;  
(j) the ‘NACE code’ shall be provided on the basis of the principal activity of the investee. For non- 
financial corporations, NACE codes shall be reported with the first level of disaggregation (by 
‘section’). For financial corporations, NACE codes shall be reported with a two level detail (by 
‘division’);  
(k) ‘Accumulated equity interest (%)’ shall be the percentage of ownership instruments held by the 
institution as of the reference date;  
(l) ‘Voting rights (%)’ shall mean the percentage of voting rights associated to the ownership instruments 
held by the institution as of the reference date;  
(m) ‘Group structure (relationship)’ shall indicate the relationship between the ultimate parent and the 
investee (parent or entity with joint control of the reporting institution, subsidiary, joint venture or 
associate);  
(n) ‘Accounting treatment (Accounting Group)’ shall indicate the relationship between the accounting 
treatment with the accounting scope of consolidation (full consolidation, proportional consolidation, 
equity method or other);  
(o) ‘Accounting treatment (CRR Group)’ shall indicate the relationship between the accounting treatment 
and the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or 
other);  
(p) ‘Carrying amount’ shall mean the amounts reported on the balance sheet of the institution for 
investees that are neither fully nor proportionally consolidated;  
(q) ‘Acquisition cost’ shall mean the amount paid by investors;  
(r) ‘Goodwill link to the investee’ shall mean the amount of goodwill reported on the consolidated 
balance sheet of the reporting institution for the investee in the items ‘goodwill’ or ‘investments in 
subsidiaries, joint ventures and associated’;  
(s) ‘Fair value of the investments for which there are published price quotations’ shall mean the price at 
the reference date. It shall be provided only where the instruments are quoted.  
24.2.  Group structure: ‘instrument-by-instrument’ (40.2)  
297. The following information shall be reported on an ‘instrument-by-instrument’ basis:  
(a) ‘Security code’ shall include the ISIN code of the security. For securities without ISIN code, it shall 
include another code that uniquely identifies the security. ‘Security code’ and ‘Holding company/Code’ 
shall be a composite row identifier, and together shall be unique for each row in template 40.2;  
(b) ‘Holding company/Code’ shall be the identification code of the entity within the group that holds the 
investment. The code as part of a row identifier must be unique for each reported entity. For 
institutions and insurance undertakings, the code shall be the LEI code. For other entities the code 
shall be the LEI code, or if not available, a national code. The code shall be unique and used 
consistently across the templates and across time. The code shall always have a value;EN 19.3.2021 Official Journal of the European Union L 97/1371
 
(c) ‘Holding company/Type of code’: institutions shall identify the type of code reported in the column 
‘Holding company/Code’ as a ‘LEI code’ or ‘Non-LEI code’. The type of code shall always be reported;  
(d) ‘Holding company/National code’: institutions may additionally report the national code when they 
report LEI code as identifier in the column ‘Holding company/Code’;  
(e) ‘Investee/Code’, ‘Investee/Type of code’, ‘Accumulated equity interest (%)’, ‘Carrying amount’ and 
‘Acquisition cost’ are defined in paragraph 296 of this Part. The amounts shall correspond to the 
security held by the related holding company.  
25. FAIR VALUE (41)  
25.1.  Fair value hierarchy: financial instruments at amortised cost (41.1)  
298. Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in 
IFRS 13.72, 76, 81, and 86, shall be reported in this template. Where national GAAP under BAD also 
requires the allocation of assets measured at fair value between different levels of fair value, institutions 
under national GAAP shall also report this template.  
25.2.  Use of fair value option (41.2)  
299. Information on the use of fair value option for financial assets and liabilities designated at fair value 
through profit or loss shall be reported in this template.  
300. ‘Hybrid contracts’ shall, for liabilities, include the carrying amount of hybrid financial instruments clas ­
sified, as a whole, in the accounting portfolio of financial liabilities designated at fair value through profit 
or loss It shall thus include non-separated hybrid instruments in their entirety.  
301. ‘Managed for credit risk’ shall include the carrying amount of instruments that are designated at fair value 
through profit or loss at the occasion of their hedging against credit risk by credit derivatives measured at 
fair value through profit or loss in accordance with IFRS 9.6.7.  
26. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)  
302. Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the 
criteria used in their measurement.  
303. ‘Other intangible assets’ shall include all intangible assets other than goodwill. Software assets shall be 
reported within ‘Other intangible assets’ or within ‘Property, plant and equipment’ in accordance with the 
applicable accounting framework.  
303i. Where the institution assumes the role of a lessee, it shall provide separate information on lease assets 
(right-of-use assets).EN L 97/1372 Official Journal of the European Union 19.3.2021
 
27. PROVISIONS (43)  
304. This template shall include reconciliation between the carrying amount of the item ‘Provisions’ at the 
beginning and end of the period by the nature of the movements, except provisions measured under IFRS 
9 that shall instead be reported in template 12.  
305. ‘Other commitments and guarantees given measured under IAS 37 and guarantees given measured under 
IFRS 4’ shall include provisions measured under IAS 37 and the credit losses of financial guarantees 
treated as insurance contracts under IFRS 4.  
28. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)  
306. These templates shall include accumulated information of all defined benefit plans of the institution. 
Where there is more than one defined benefit plan, aggregated amount of all plans shall be reported.  
28.1.  Components of net defined benefit plan assets and liabilities (44.1)  
307. The template on components of net defined benefit plan assets and liabilities shall show the reconciliation 
of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement 
rights (IAS 19.140 (a), (b)).  
308. ‘Net defined benefit assets’ shall include, in the event of a surplus, the surplus amounts that shall be 
recognised in the balance sheet as they are not affected by the limits set up in IAS 19.63. The amount of 
this item and the amount recognised in the memo item ‘Fair value of any right to reimbursement 
recognized as asset’ shall be included in the item ‘Other assets’ of the balance sheet.  
28.2.  Movements in defined benefit obligations (44.2)  
309. The template on movements in defined benefit obligations shall show the reconciliation of opening and 
closing balances of the accumulated present value of all defined benefit obligations of the institution. The 
effects of the different elements listed in IAS 19.141 during the period shall be presented separately.  
310. The amount of ‘Closing balance (present value)’ in the template for movements in defined benefit 
obligations shall be equal to ‘Present value defined benefit obligations’.  
28.3.  Staff expenses by type of benefits (44.3)  
311. For reporting of staff expenses by type of benefits, the following definitions shall be used:  
(a) ‘Pension and similar expenses’ shall include the amount recognised in the period as staff expenses for 
any post-employment benefit obligations (both defined contribution plans and defined benefit plans), 
including post-employment-related contributions to social security funds (pension funds) maintained 
by the government or social security entities;EN 19.3.2021 Official Journal of the European Union L 97/1373
 
(b) ‘Share based payments’ shall include the amount recognised in the reference period as staff expenses 
for share based payments;  
(c) ‘Wages and salaries’ shall include the remuneration of the institution’s employees for their labour or 
services, but shall exclude severance payments and remuneration in the form of share-based items 
which shall be reported in separate items;  
(d) ‘Social security contributions’ shall include contributions to social security funds, amounts paid to the 
government or to social security entities in order to receive a future social benefit, but shall exclude 
post-employment-related contributions to social security funds in terms of pensions (contributions to 
pension funds);  
(e) ‘Severance payments’ shall mean payments relating to the early termination of a contract and shall 
include termination benefits as defined in IAS 19.8;  
(f) ‘Other types of staff expenses’ shall include staff expenses that cannot be allocated to any of the 
categories above.  
28.4.  Staff expenses by category of remuneration and category of staff (44.4)  
311i. For reporting of staff expenses by category of remuneration and category of staff, the following definitions 
shall be used:  
(a) ‘Fixed remuneration’, ‘variable remuneration’, ‘identified staff’ and ‘management body in its 
management function’ shall have the same meaning as in the EBA Guidelines ‘on sound remuneration 
policies under Articles 74(3) and 75(2) of Directive 2013/36/EU and disclosures under Article 450 of 
Regulation (EU) No 575/2013’ (EBA/GL/2015/22);  
(b) ‘Management body’, ‘management body in its supervisory function’ and ‘senior management’ shall 
comprise staff as defined in points (7), (8) and (9) of Article 3(1) CRD.  
311ii. ‘Number of staff’ shall include, as of the reporting reference date, the number of staff, expressed in full 
time equivalents (FTEs), plus the number of members in the management body expressed in terms of 
headcount for prudential (CRR) scope of consolidation. Of those, the number of identified staff, and the 
number of representatives in the management body in its management function and in senior 
management, as well as the number of representatives in the management body in its supervisory 
function shall be reported separately.  
29. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)  
29.1.  Gains or losses on financial assets and liabilities designated at fair value through profit or loss by 
accounting portfolio (45.1)  
312. ‘Financial liabilities designated at fair value through profit or loss’ shall only include the gains and losses 
due to the change in the own credit risk of issuers of liabilities designated at fair value through profit or 
loss where the reporting institution has chosen to recognise them in profit or loss because a recognition in 
other comprehensive income would create or enlarge an accounting mismatch.EN L 97/1374 Official Journal of the European Union 19.3.2021
 
29.2.  Gains or losses on derecognition of non-financial assets (45.2)  
313. ‘Gains or losses on derecognition of non-financial assets’ shall be broken down by type of asset. Each line 
item shall include the gain or the loss on the asset that has been derecognised. ‘Other assets’ shall include 
other tangible assets, intangible assets and investments not reported elsewhere.  
29.3.  Other operating income and expenses (45.3)  
314. Other operating income and expenses shall be broken down according to the following items: fair value 
adjustments on tangible assets measured using the fair value model; rental income and direct operating 
expenses from investment property; income and expenses on operating leases other than investment 
property and the rest of operating income and expenses.  
315. ‘Operating leases other than investment property’ shall include, for the column ‘income’ the returns 
obtained, and for the column ‘expenses’ the costs incurred, by the institution as lessor in its operating 
leasing activities other than those with assets classified as investment property. The costs for the institution 
as lessee shall be included in the item ‘Other administrative expenses’.  
316. Gains or losses from derecognition and re-measurements of holdings of gold, other precious metals and 
other commodities measured at fair value, less costs to sell, shall be reported among the items included in 
‘Other operating income. Other’ or ‘Other operating expenses. Other’  
30. STATEMENT OF CHANGES IN EQUITY (46)  
317. The statement of changes in equity shall disclose the reconciliation between the carrying amount at the 
beginning of the period (opening balance) and the end of the period (closing balance) for each component 
of equity.  
318. ‘Transfers among components of equity’ shall include all amounts transferred within equity, including both 
gains and losses due to own-credit risk of liabilities designated at fair value through profit or loss and the 
accumulated fair value changes of equity instruments measured at fair value through other comprehensive 
income that are transferred to other components of equity upon derecognition.  
31. LOANS AND ADVANCES: ADDITIONAL INFORMATION (23)  
319. Template 23 presents additional information on loans and advances, excluding loans and advances 
classified as cash balances at central banks and other demand deposits, held for trading, trading 
financial assets and debt instruments held for sale.  
320. For the purposes of determining the ‘number of instruments’, an instrument shall be understood as a 
banking product with an outstanding balance and, where applicable, a credit limit, typically being 
associated with an account. An exposure towards a specific counterparty can consist of multiple instru ­
ments. The number of instruments shall be determined based on the way the institution manages the 
exposure. The number of instruments shall be indicated separately for exposures in pre-litigation status 
and exposures in litigation status as defined in paragraphs 321 and 322 of this Part.EN 19.3.2021 Official Journal of the European Union L 97/1375
 
321. An exposure shall be ‘in pre-litigation status’ where the debtor has been formally notified that the 
institution will take legal action against the debtor within a defined time period, unless certain contractual 
or other payment obligations are met. That shall also include cases where the contract has been terminated 
by the reporting institution because the debtor is in formal breach of the terms and conditions of the 
contract and the debtor has been notified accordingly, but no legal action against the debtor has formally 
been taken by the institution yet. Exposures classified as ‘in pre-litigation status’ can exit this classification 
if the outstanding amounts are paid or if they enter into litigation status as defined in the following 
paragraph.  
322. An exposure shall be ‘in litigation status’ where legal action against the debtor has formally been taken. 
This comprises cases where a court of law confirmed that formal judiciary proceedings have occurred or 
the judiciary system has been notified of the intention to commence legal proceedings.  
323. ‘Unsecured loans and advances without guarantees’ refers to exposures for which neither collateral was 
pledged nor financial guarantees were received; the unsecured part of a partially secured or partially 
guaranteed exposure shall not be included.  
324. Loans and advances with an accumulated coverage ratio of more than 90 % shall be reported separately. 
For that purpose, the ‘accumulated coverage ratio’ shall be the ratio between the accumulated impairments, 
respectively the accumulated negative changes in fair value due to credit risk related to a loan or advance 
as numerator, and the gross carrying amount of that loan or advance as denominator.  
325. Loans collateralised by immovable property as defined in paragraphs 86(a) and 87 of this Part as well as 
commercial real estate loans as defined in paragraph 239ix of this Part shall be reported broken down by 
loan/collateral ratio (‘loan-to-value’ (LTV) ratio) as defined in paragraph 239x of this Part.  
326. Information on collateral held and guarantees received on the loans and advances shall be reported in 
accordance with paragraph 239 of this Part. Consequently, the sum of the amounts reported for both 
collateral and guarantees shall be capped at the carrying amount of the related exposure. Immovable 
property pledged as collateral shall be reported separately in addition.  
327. By way of derogation from the previous paragraph, ‘collateral received on loans and advances – uncapped 
amounts’ shall reflect the full value of the collateral received without a cap at the carrying amount of the 
related exposure.  
32. LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND WRITE OFFS SINCE THE END 
OF THE LAST FINANCIAL YEAR (24)  
32.1.  Loans and advances: Inflows and outflows of non-performing exposures (24.1)  
328. Template 24.1 shall provide a reconciliation of the opening and closing balances of the stock of loans and 
advances, excluding loans and advances classified as cash balances at central banks and other demand 
deposits, trading financial assets, held for trading or as held for sale, that are classified as non-performing 
in accordance with paragraphs 213 to 239 or 260 of this Part and reported in template 18. Inflows and 
outflows of non-performing loans and advances shall be broken down by type of inflow or outflow.EN L 97/1376 Official Journal of the European Union 19.3.2021
 
329. Inflows to the category of non-performing exposures shall be reported in accordance with paragraphs 
239ii to 239iii and 239vi of this Part, with the exception of inflows to the category ‘held for sale’, which 
are outside the scope of this template. Inflows shall be broken down by type (source) of inflow. In this 
context:  
(a) ‘Inflow due to accrued interest’ shall represent interest accrued on non-performing loans and advances 
that have not been included in any of the other categories of the breakdown by type (source); in this 
regard, this inflow captures the interest accrued on non-performing loans and advances that were 
classified as non-performing at the end of the preceding financial year and have been continuously 
classified as such ever since; interest accrued on exposures that were classified as non-performing in 
accordance with paragraphs 213 to 239 or 260 of this Part only during the period shall be reported 
together with the inflow itself in the corresponding type (source) category;  
(b) ‘of which: reclassified from performing forborne exposures under probation previously reclassified 
from non-performing’ shall include ‘performing forborne exposures under probation reclassified 
from non-performing’, as defined in paragraph 261 of this Part, that were reclassified again as non- 
performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period;  
(c) ‘Inflow due to other reasons’ shall capture inflows that cannot be linked to any of the other, specified 
sources of inflows and shall include, among others, increases in the gross carrying amount of non- 
performing exposures due to additional amounts disbursed during the period, the capitalisation of past 
due amounts including capitalised fees and expenses and changes in exchange rates related to non- 
performing loans and advances that were classified as non-performing at the end of the preceding 
financial year and have been continuously classified as such ever since.  
330. The following exposures shall be reported in separate rows:  
(a) ‘Inflow more than once’ shall comprise loans and advances that were reclassified multiple times from 
non-performing to performing or vice versa during the period;  
(b) ‘Inflow of exposures granted in the past 24 months’ shall represent loans and advances that were 
granted in the 24 months prior to the reference date and that were classified as non-performing in 
accordance paragraphs 213 to 239 or 260 of this Part during the period. Of these exposures, those 
granted during the period shall be reported separately in addition.  
331. Outflows from the category of non-performing exposures shall be reported in accordance with paragraphs 
239iii to 239vi of this Part, and be broken down by type (reason) of the outflow. In this context, ‘outflow 
due to write-offs’ shall reflect the amount of write-offs made during the period that cannot be linked to 
any of the other specified outflow types and shall include also write-offs related to the total extin ­
guishment of all the reporting institution’s rights by expiry of the statue-of-limitations period, forgiveness 
or other causes occurred during the period.  
332. In those cases where an exposure is partially derecognised and the remaining part is reclassified as 
performing, the outflow pertaining to the reclassification and the outflow pertaining to the derecognition 
shall be reported as separate outflows. For outflows due to collateral liquidations, sale of exposures, risk 
transfers and taking possession of collateral, the net cumulated recoveries obtained shall be reported. If, at 
the moment of collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, a 
write-off was made, that amount shall be reported as a part of the related outflow type.  
333. ‘Net cumulated recoveries’ shall mean (i) the amount of cash or cash equivalents collected, net of related 
costs, in the context of collateral liquidations, of the sale of exposures and of risk transfers, respectively 
(ii) the value at initial recognition as defined in paragraph 175i of this Part of the collateral obtained in the 
context of outflows due to taking possession of collateral.  
334. The outflow pertaining to loans and advances that became non-performing during the period and 
afterwards ceased to meet the criteria for being classified as non-performing shall be reported separately.EN 19.3.2021 Official Journal of the European Union L 97/1377
 
32.2.  Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit 
risk on non-performing exposures (24.2)  
335. Template 24.2 shall contain a reconciliation of the opening and closing balances of the allowance 
accounts and the stock of accumulated negative changes in fair value due to credit risk pertaining to 
loans and advances that are or were classified as non-performing in accordance with paragraphs 213 to 
239 or 260 of this Part, excluding loans and advances classified as cash balances at central banks and 
other demand deposits or as held for sale.  
336. ‘Increases during the period’ shall comprise:  
(a) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in 
fair value due to credit risk pertaining to loans and advances that became non-performing during the 
period and are still classified as non-performing at the reporting reference date;  
(b) the stock, as of the derecognition date, of accumulated impairments and accumulated negative changes 
in fair value due to credit risk pertaining to loans and advances that became non-performing during 
the period and were derecognised during the period; and  
(c) the increase of accumulated impairments and accumulated negative changes in fair value due to credit 
risk pertaining to loans and advances that were classified as non-performing at the end of the 
preceding financial year and are either still classified as such at the reporting reference date or were 
derecognised during the period.  
337. The part of the increase attributable to impairments and accumulated negative changes in fair value 
booked against interest accrued shall be reported separately in addition.  
338. ‘Decreases during the period’ shall comprise:  
(a) the stock, as of derecognition date, of accumulated impairments and accumulated negative changes in 
fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during 
the period and exited the institution’s portfolio during the period;  
(b) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in 
fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during 
the period and are still not classified as non-performing at the reference date;  
(c) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in 
fair value due to credit risk pertaining to loans and advances that were reclassified as ‘held for sale’ 
during the period; and  
(d) the decrease of accumulated impairments and accumulated negative changes in fair value due to credit 
risk pertaining to loans and advances that were classified as non-performing at the end of the 
preceding financial year and are still classified as such at the reporting reference date.  
339. The following items shall be reported separately:  
(a) the decrease attributable to the reversal of allowances and the reversal of negative changes in fair value 
due to credit risk;  
(b) the decrease attributable to the ‘unwinding’ of discounts in the context of application of effective 
interest rate’s accounting method.EN L 97/1378 Official Journal of the European Union 19.3.2021
 
32.3.  Loans and advances: Write-offs of non-performing exposures during the period (24.3)  
340. Template 24.3 shall be used to report the write-offs as defined in paragraph 74 of this Part to the extent 
that they (i) were made during the period (inflows) and (ii) refer to loans and advances classified as non- 
performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period, excluding 
loans and advances classified as held for trading, trading financial assets or held for sale. Both partial and 
total write-offs shall be reported. Of these write-offs, those attributable to the forfeiture of the right to 
legally recover an exposure, or part of it, shall be reported separately.  
33. COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25)  
341. ‘Collateral obtained by taking possession’ shall include both assets that were pledged by the debtor as 
collateral and assets that were not pledged by the debtor as collateral, but were obtained in exchange for 
the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.  
33.1.  Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment 
(PP&E): inflows and outflows (25.1)  
342. Template 25.1 shall be used to present the reconciliation of the opening balance, as of the beginning of 
the financial year, and the closing balance of the stock of collateral obtained by taking possession, other 
than collateral classified as property, plant and equipment (PP&E). In addition, the template shall provide 
information on the related ‘debt balance reduction’ and the value at initial recognition of collateral 
obtained by taking possession.  
343. ‘Debt balance reduction’ shall mean the gross carrying amount of the exposure that was derecognised from 
the balance sheet in exchange for the collateral obtained by taking possession, at the exact moment of the 
exchange, and the related impairments and negative changes in fair value due to credit risk accumulated at 
that point in time. Where, at the moment of exchange, a write-off was made, that amount shall be 
considered part of the debt balance reduction as well. Derecognitions from the balance sheet due to other 
reasons, such as cash collections, shall not be reported.  
344. ‘Value at initial recognition’ shall have the same meaning as described in paragraph 175i of this Part.  
345. With regard to the ‘inflows during the period’:  
a) the collateral obtained by taking possession shall include: (i) new collateral obtained by taking 
possession during the period (since the beginning of the financial year), irrespective of whether the 
collateral is still recognised in the institution’s balance sheet (held) at the reference date or not and 
(ii) positive changes in valuation of collateral during the period due to different reasons (such as 
positive changes in fair value, appreciation, reversal of impairment, changes of accounting policies). 
These types of inflows shall be reported separately in addition.  
b) the ‘debt balance reduction’ shall reflect the debt balance reduction of the exposure derecognised related 
to the collateral that was obtained during the period.  
346. With regard to the ‘outflows during the period’:  
a) the collateral obtained by taking possession shall include: (i) collateral sold for cash during the period; 
(ii) collateral sold with replacement by financial instruments during the period; and (iii) negative 
changes in valuation of collateral during the period due to different reasons (such as negative 
changes in fair value, depreciation, impairment, write-off, changes of accounting policies). Those 
types of outflows shall be reported separately. Where collateral is derecognised in exchange for both 
cash and financial instruments, the relevant amounts shall be split and allocated to the two outflow 
types. ‘Collateral sold with replacement by financial instruments’ shall describe cases where the 
collateral is sold to a counterparty, and the acquisition by that counterparty is financed by the 
reporting institution.  
b) the ‘debt balance reduction’ shall reflect the debt balance reduction of the exposure related to cases 
where the collateral was sold for cash or replaced by financial instruments during the period.EN 19.3.2021 Official Journal of the European Union L 97/1379
 
347. In case of a sale of collateral for cash, the ‘Outflow for which cash was collected’ shall be equal to the sum 
of ‘Cash collected net of costs’ and ‘Profits/(-) losses from sale of collateral obtained by taking possession’. 
‘Cash collected net of costs’ shall mean the amount of cash received net of transaction costs, such as fees 
and commissions paid to agents, transfer taxes and duties. ‘Profits/(-) losses from sale of collateral obtained 
by taking possession’ shall mean the difference between the carrying amount of the collateral measured at 
the date of derecognition and the amount of cash received net of transaction costs. In case of replacement 
of collateral with financial instruments as described in paragraph 346 of this Part, the carrying amount of 
the financing granted shall be reported.  
348. Collateral obtained by taking possession shall be reported broken down by ‘time passed since the collateral 
has been recognised in the institution’s balance sheet.  
349. In the context of the presentation of collateral obtained bytime passed since recognition in the balance 
sheet, the ‘ageing’ of collateral on the balance sheet, i.e. the migration between the predefined time 
buckets, shall be reported neither as inflow nor as outflow.  
33.2.  Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment 
(PP&E) – Type of collateral obtained (25.2)  
350. Template 25.2 shall include a breakdown of the collateral obtained by taking possession as defined in 
paragraphs 341 of this Part, by type of collateral obtained. The template reflects collateral recognised in 
the balance sheet at the reference date, irrespective of the point in time when it was obtained. In addition, 
the template provides information on the related ‘debt balance reduction’ and ‘value at initial recognition’ 
as defined in paragraphs 343 and 344 of this Part and on the number of collateral obtained by taking 
possession and recognised in the balance sheet at the reference date. The number of collateral obtained by 
taking possession shall be calculated regardless of the carrying amount of the collateral and it can be one 
or more than one for each exposure derecognized from the balance sheet in exchange for the collateral 
obtained by taking possession.  
351. The type of collateral shall be the ones referred to in paragraph 173 of this Part with the exception of 
those in point (b) (i) of that paragraph.  
352. With regard to collateral in the form of immovable property, the following information shall be reported 
in separate rows:  
(a) immovable property that is under construction or development;  
(b) with regard to commercial immovable property, collateral in the form of land related to commercial 
real estate corporations, excluding agricultural land. Separate information on land with and without a 
planning permission shall be reported in addition.  
33.3.  Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) (25.3)  
353. In template 25.3, information on collateral obtained by taking possession classified as Property Plant and 
Equipment (PP&E) shall be reported. In addition, the template shall provide information on the related 
‘debt balance reduction’ and ‘value at initial recognition’ as defined in paragraphs 343 and 344 of this Part.  
354. Information shall be provided on the stock of collateral as of the reference date, irrespective of the point 
in time it was obtained, and the inflows due to new collateral obtained by taking possession during the 
period between the beginning and the end of the reference period and that remains recognised in the 
balance sheet at the reference date. With regard to the ‘debt balance reduction’, the ‘total’ shall reflect the 
debt balance reduction related to the collateral as of the reference date and the ‘inflows due to new 
collateral obtained by taking possession’ shall reflect the debt balance reduction related to the collateral 
that was obtained during the period.EN L 97/1380 Official Journal of the European Union 19.3.2021
 
34. FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26)  
355. Template 26 shall include detailed information on loans and advances classified as forborne in accordance 
with paragraphs 240 to 268 of this Part, excluding instruments classified as cash balances at central banks 
and other demand deposits or as held for sale. Forborne exposures referring to either a modification of the 
previous terms and conditions or a total or partial refinancing of a troubled debt contract as defined in 
paragraph 241 of this Part shall be broken-down in more specific types of forbearance measures.  
356. The ‘Number of instruments’ shall be determined as defined in paragraph 320of this Part.  
357. The gross carrying amount of exposures with forbearance measures shall be allocated to a category 
reflecting the type of forbearance measure. Where multiple forbearance measures have been applied to 
an exposure, the gross carrying amount of exposures with forbearance measures shall be allocated to the 
most relevant type of forbearance measure. The latter shall be identified based on the type of forbearance 
measure which has the highest impact on the Net Present Value (NPV) of the forborne exposure or by 
using any other methods considered applicable.  
358. The types of forbearance measures shall be the following:  
(a) grace period/payment moratorium: temporary suspension of repayment obligations with regard to the 
principal or the interest, with repayments to be resumed at a later point in time;  
(b) interest rate reduction: permanent or temporary reduction of the interest rate (fixed or variable) to a 
fair and sustainable rate;  
(c) extension of maturity/term: extension of the maturity of the exposure, entailing a reduction in 
instalment amounts by spreading the repayments over a longer period;  
(d) rescheduled payments: adjustment of the contractual repayment schedule with or without changes to 
instalment amounts, other than grace periods/payment moratorium, extension of maturity/term and 
debt forgiveness. That category shall include, among others, capitalisation of arrears and/or accrued 
interest arrears to the outstanding principal balance for repayment under a sustainable, rescheduled 
programme; decrease of the amount of principal repayment instalments over a defined period, 
regardless of whether interests remain to be paid in full or whether they are capitalised or forfeited;  
(e) debt forgiveness: partial cancellation of the exposure by the reporting institution through forfeiture of 
right to legally recover it;  
(f) debt asset swaps: partial replacement of exposures in the form of debt instruments with assets or 
equity;  
(g) other forbearance measures, including among others, total or partial refinancing of a troubled debt 
contract.  
359. Where the forbearance measure affects the gross carrying amount of an exposure, the gross carrying 
amount at the reference date, i.e. after application of the forbearance measure, shall be reported. In the 
case of refinancing, the gross carrying amount of the new contract (‘refinancing debt’) granted which 
qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is 
still outstanding shall be reported.EN 19.3.2021 Official Journal of the European Union L 97/1381
 
360. The following items shall be reported in separate rows:  
(a) Instruments that were subject to forbearance measures at multiple points in time, where:  
(i) ‘Loans and advances having been forborne ‘twice’ and ‘more than twice’ shall mean exposures 
classified as forborne in accordance with paragraphs 240 to 268 of this Part at the reporting 
reference date, to which forbearance measures have been applied at two, respectively more than 
two different points in time. That includes, among others, originally forborne exposures that exited 
the forborne status (cured forborne exposures), but were granted new forbearance measures after 
that;  
(ii) ‘Loans and advances to which forbearance measures were granted in addition to already existing 
forbearance measures’ shall mean forborne exposures under probation to which forbearance 
measures were applied in addition to forbearance measures granted at an earlier point in time, 
without the exposure having cured in between.  
(b) Non-performing forborne exposures that failed to meet the non-performing exit criteria. That shall 
comprise non-performing forborne exposures that failed to meet the conditions for ceasing to be non- 
performing as described in paragraph 232 of this Part at the end of the probation period of 1 year 
specified in paragraph 231 (b) of this Part.  
361. Exposures to which forbearance measures have been granted since the end of the last financial year shall 
be reported in separate columns.  
35. LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47)  
362. The information provided in template 47 shall refer to loans and advances, excluding loans and advances 
classified as cash balances at central banks and other demand deposits, held for trading, trading financial 
assets or held for sale.  
363. The ‘weighted average time since past due date (in years)’ shall be calculated as the weighted average of the 
number of days past due of exposures classified as non-performing in accordance with paragraphs 213 to 
239 or 260 of this Part at the reference date. Non-performing exposures that are not past due shall be 
considered as being zero days past due in this calculation. Exposures shall be weighted by the gross 
carrying amount measured at the reference date. The weighted average time since past due date shall be 
expressed in years (with decimals).  
364. The following information on the results of litigation procedures on non-performing loans and advances 
concluded during the period shall be reported:  
(a) Net cumulated recoveries: This item shall include recoveries resulting from in-court procedures. 
Recoveries stemming from voluntary agreements shall not be included.  
(b) Gross carrying amount reduction: This item shall include the gross-carrying amount of non- 
performing loans and advances derecognised in response to the conclusion of a litigation procedure. 
This includes related write-offs.  
(c) Average duration of litigation procedures concluded in the period: shall be calculated as the average of 
the elapsed time between the date of classification of the instrument as ‘in litigation status’ in 
accordance with paragraph 322 of this Part and the date of the finalisation of legal proceedings; it 
shall be expressed in years (with decimals).EN L 97/1382 Official Journal of the European Union 19.3.2021
 
PART 3  
MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS  
1. Tables 2 and 3 map exposure classes to be used to calculate capital requirements in accordance with 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  (2) General governments 
(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 
counterpartyEN 19.3.2021 Official Journal of the European Union L 97/1383
 
SA exposure classes (CRR Article 112)  FINREP counterparty sectors  Comments  
(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 securiti ­
sation. In FINREP, where securitized 
positions remain recognised in the 
balance sheet, the counterparty 
sectors shall be the sectors of the 
immediate counterparties of these posi ­
tions.  
(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.EN L 97/1384 Official Journal of the European Union 19.3.2021
 
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 multi ­
lateral 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  (2) General governments 
(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 securiti ­
sation 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 posi ­
tions  
(g) Other non credit obligations  Various items of the balance sheet  In FINREP, other items may be 
included under different asset 
categories.EN 19.3.2021 Official Journal of the European Union L 97/1385
 
ANNEX VI  
REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY 
IP LOSSES TEMPLATES  
Template number  Template code  Name of the template /group of templates  Short name  
IP LOSSES  LE  
15 C 15.00  Exposures and losses from lending collateralised by immovable property  CR IP LOSSES  
C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES)  
Country:  
Losses  Exposures  
Sum of losses stemming from 
lending up to the reference percen ­
tages  Sum of overall losses  
Sum of the 
exposures  of which: 
immovable 
property valued 
with mortgage 
lending value  of which: 
immovable 
property valued 
with mortgage 
lending value  
Row  column  0010  0020  0030  0040  050  
collateralised by:  
0010  Residential property  
0020  Commercial immovable 
propertyEN L 97/1386 Official Journal of the European Union 19.3.2021
 
ANNEX VII  
INSTRUCTIONS FOR REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY 
IMMOVABLE PROPERTY  
1. This Annex contains instructions in relation to the templates included in Annex VI to this Regulation.  
2. All the general instructions included in Part I of Annex II to this Regulation shall also apply.  
1. Reporting scope  
3. Institutions that use immovable property in accordance with Part Three, Title II of CRR shall report the data 
specified in Article 430a(1) CRR.  
4. The template covers all national markets an institution/group of institutions is exposed to (see Article 430a(1) 
CRR). In accordance with the third sentence of Article 430a(2) the data shall be reported for each property market 
within the Union separately.  
2. Definitions  
5. ‘Loss’ shall mean the loss defined in point (2) of Article 5 CRR, including losses stemming from leased property. 
The recovery flows stemming from other sources (e.g. bank guarantees, life insurance, etc.) shall not be recognised 
as reducing the losses when calculating losses stemming from immovable property. Losses of one position shall 
not be netted with the profit of a successful recovery of another position.  
6. For exposures secured by residential and commercial property the calculation of economic loss shall start from 
outstanding exposure value at the reporting date and shall include at least: (i) proceeds from collateral realisation; 
(ii) direct costs (including interest rates payments and recovery costs linked to the liquidation of the collateral); 
and (iii) indirect costs (including operating costs of the recovery unit). All components shall be discounted to the 
reporting reference date.  
7. The exposure value shall be determined in accordance with the rules stipulated in Title II of Part Three CRR (see 
Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB 
approach).  
8. The property value shall be determined in accordance with the rules stipulated in Title II of Part Three CRR.  
9. F/X effect: Amounts shall be converted to the reporting currency using the exchange rate at the reporting date. 
Moreover, the estimates of the economic losses should consider the F/X effect if the exposure or collateral is 
denominated in a different currency.  
3. Geographical breakdown  
10. Institutions shall report the following templates:  
a) one total template;  
b) one template for each national market in the Union the institution is exposed to, and;  
c) one template aggregating the data for all national markets outside the Union the institution is exposed to.EN 19.3.2021 Official Journal of the European Union L 97/1387
 
4. Reporting of exposures and losses  
11. Exposures: All exposures that are subject to requirements in Title II of Part Three CRR and where the collateral is 
used to reduce the risk-weighted exposure amount shall be reported in template C 15.00. This also means that the 
exposures and losses concerned must not reported if the risk mitigation effect of the immovable property is only 
used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR).  
12. Losses: The institution which has the exposure by the end of the reporting period shall report the losses. Losses 
shall be reported as soon as provisions are to be booked in accordance with accounting rules. The estimated 
losses shall also be reported. Losses from exposures collateralised by immovable property shall be calculated on a 
loan-by-loan basis and aggregated for reporting purposes.  
13. Reference date: The exposure value at default shall be used.  
a) Losses shall be reported for all defaults on loans secured by real estate property that occur during the reporting 
period and irrespective of whether the recovery has been completed. Losses to be reported as of 31 December 
shall refer to the whole calendar year. Since there may be a long time lag between default and the recognition 
of losses (which includes incomplete recovery process), loss estimates shall be reported in cases where the 
recovery has not been completed within the reporting period.  
b) For all defaults observed within the reporting period, there are three scenarios: (i) defaulted loan can be 
restructured so that it is no longer treated as in default (no loss observed); (ii) realization of all collateral is 
completed (completed recovery, actual loss known); or (iii) incomplete recovery (loss estimates to be used). 
Loss reporting shall include only losses stemming from scenario (ii) realisation of collateral (observed losses) 
and scenario (iii) incomplete recovery (estimates of losses).  
c) As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses 
of exposures having defaulted during previous reporting periods will not be reflected in the reported data, i.e. 
proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously 
estimated shall not be reported.  
14. Role of the valuation of the property: The latest valuation of the property before the default date of the exposure 
is needed as reference for reporting the part of exposure secured by mortgages on immovable property. After 
default, the property might be re-valued. This new value should however not be relevant for identifying the part 
of the exposure which was originally fully (and completely) secured by the mortgages on immovable property. 
However, the new value of the property shall be considered in economic loss reporting (a reduced property value 
is part of economic costs). In other words, the latest valuation of the property before the default date shall be used 
to determine which part of the loss shall be reported in column 0010 (identification of exposure values which is 
fully and completely secured) and the re-valued property value for the amount to be reported (estimation of a 
possible recovery from collateral) in columns 0010 and 0030.  
15. Treatment of loan sales during the reporting period: The institution which has the exposure by the end of the 
reporting period shall report losses, but only if a default for that exposure was identified.  
5. Instructions concerning specific positions  
Columns  
0010  Sum of losses stemming from lending up to the reference percentages  
Points (a) and (d) of Article 430a(1) CRR respectively, 
Market value and mortgage lending value in accordance with points (74) and (76) of Article 4(1) CRR 
This column collects all losses stemming from lending collateralised by residential property or by 
commercial immovable property up to the part of exposure treated as fully and completely secured in 
accordance with Article 124(1) CRR.EN L 97/1388 Official Journal of the European Union 19.3.2021
 
Columns  
0020  Of which: immovable property valued with mortgage lending value  
Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value.  
0030  Sum of overall losses  
Points (b) and (e) of Article 430a(1) CRR respectively; market value and mortgage lending value in 
accordance with points (74) and (76) of Article 4(1) CRR 
This column collects all losses stemming from lending collateralised by residential property or by 
commercial immovable property up to the part of exposure treated as fully secured in accordance 
with Article 124(1) CRR.  
0040  Of which: immovable property valued with mortgage lending value  
Institutions shall report losses, where the value of the collateral has been calculated as mortgage lending 
value  
0050  Sum of the exposures  
Points (c) and (f) of Article 430a(1) CRR 
The value to be reported is only that part of the exposure value which is treated as fully secured by 
immovable property, i.e. the part that is treated as unsecured is not relevant for the loss reporting. 
In the event of default, the reported exposure value shall be the exposure value just before the default.  
Rows  
0010  Residential property  
Residential property as defined in point (75) of Article 4(1) CRR  
0020  Commercial immovable propertyEN 19.3.2021 Official Journal of the European Union L 97/1389
 
ANNEX VIII  
TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK 
LARGE EXPOSURES TEMPLATES  
Template 
number  Template code  Name of the template /group of templates  Short name  
LARGE EXPOSURES  LE  
26 C 26.00  Large Exposures limits  LE LIMITS  
27 C 27.00  Identification of the counterparty  LE 1  
28 C 28.00  Exposures in the non-trading and trading book  LE 2  
29 C 29.00  Detail of the exposures to individual clients within groups of 
connected clients  LE 3  
C 26.00 — Large Exposures limits (LE Limits)  
Applicable limit  
010 
010  Non institutions  
020  Institutions  
030  Institutions in %  
040  Globally Systemic Important Institutions (G-SIIs)  
C 27.00 — Identification of the counterparty (LE 1) 
COUNTERPARTY IDENTIFICATION  
Code  Type of code  Name  National code  Residence of 
the counter ­
party  Sector of the 
counterparty  NACE code  Type of 
counterparty  
011  015  021  035  040  050  060  070EN L 97/1390 Official Journal of the European Union 19.3.2021
 EN 19.3.2021 Official Journal of the European Union L 97/1391
 C 28.00 — Exposures in the non-trading and trading book (LE 2) 
COUNTERPARTY  ORIGINAL EXPOSURES  
Code  Group or 
individual  Transactions 
where there is an 
exposure to 
underlying assets  Direct exposures  
Total original 
exposure  Of which: 
defaulted  Debt instruments  Equity 
instruments  Derivatives  Off balance sheet items  
Loan 
commitments  Financial 
guarantees  Other 
commitments  
010  020  030  040  050  060  070  080  090  100  110  
ORIGINAL EXPOSURES  
(-) Value 
adjustments 
and provisions  (-) Exposures 
deducted from 
CET 1 or 
Additional Tier 
1 items  Exposure value before application of 
exemptions and CRM  
Indirect exposures  Additional 
exposures arising 
from transactions 
where there is an 
exposure to 
underlying assets  Debt 
instruments  Equity 
instruments  Derivatives  Off balance sheet items  
Total  Of which: Non- 
trading book  % of Tier 1 
capital  Loan 
commitments  Financial 
guarantees  Other 
commitments  
120  130  140  150  160  170  180  190  200  210  220  230  
ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES  
(-) Amounts 
exempted  Exposure value after application of exemptions 
and CRM  (-) Substitution effect of eligible credit risk mitigation techniques  (-) Funded credit 
protection other 
than substitution 
effect  (-) Real estate  (-) Debt 
instruments  (-) Equity 
instruments  (-) Derivatives  (-) Off balance sheet items  
Total  Of which: Non- 
trading book  % of Tier 1 
capital  (-) Loan 
commitments  (-) Financial 
guarantees  (-) Other 
commitments  
240  250  260  270  280  290  300  310  320  330  340  350
EN L 97/1392 Official Journal of the European Union 19.3.2021
 C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3) 
COUNTERPARTY  ORIGINAL EXPOSURES  
Code  Group code  Transactions 
where there is an 
exposure to 
underlying assets  Direct exposures  
Total original 
exposure  Of which: 
defaulted  Debt instruments  Equity 
instruments  Derivatives  Off balance sheet items  
Loan 
commitments  Financial 
guarantees  Other 
commitments  
010  020  030  050  060  070  080  090  100  110  120  
ORIGINAL EXPOSURES  
(-) Value 
adjustments 
and provisions  (-) Exposures 
deducted from 
CET 1 or 
Additional Tier 
1 items  Exposure value before application of 
exemptions and CRM  
Indirect exposures  Additional 
exposures arising 
from transactions 
where there is an 
exposure to 
underlying assets  Debt 
instruments  Equity 
instruments  Derivatives  Off balance sheet items  
Total  Of which: Non- 
trading book  % of Tier 1 
capital  Loan 
commitments  Financial 
guarantees  Other 
commitments  
130  140  150  160  170  180  190  200  210  220  230  240  
ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES  
(-) Amounts 
exempted  Exposure value after application of exemptions 
and CRM  (-) Substitution effect of eligible credit risk mitigation techniques  (-) Funded credit 
protection other 
than substitution 
effect  (-) Real estate  (-) Debt 
instruments  (-) Equity 
instruments  (-) Derivatives  (-) Off balance sheet items  
Total  Of which: Non- 
trading book  % of Tier 1 
capital  (-) Loan 
commitments  (-) Financial 
guarantees  (-) Other 
commitments  
250  260  270  280  290  300  310  320  330  340  350  360
 ANNEX IX  
INSTRUCTIONS FOR REPORTING ON LARGE EXPOSURES AND CONCENTRATION RISK  
Table of Contents  
PART I: GENERAL INSTRUCTIONS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1393  
1. Structure and conventions  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1393  
2. Abbreviations  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1394  
PART II: TEMPLATE RELATED INSTRUCTIONS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1394  
1. Scope and level of the LE reporting  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1394  
2. Structure of the LE template  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1395  
3. Definitions and general instructions for the purposes of the LE reporting  . . . . . . . . . . . . . . . . . . . . 1395  
4. C 26.00 – LE Limits template  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1396  
4.1. Instructions concerning specific rows  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1396  
5. C 27.00 – Identification of the counterparty (LE1)  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1397  
5.1. Instructions concerning specific columns  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1397  
6. C 28.00 – Exposures in the non-trading and trading book (LE2)  . . . . . . . . . . . . . . . . . . . . . . . . . . . 1398  
6.1. Instructions concerning specific columns  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1398  
7. C 29.00 – Details of the exposures to individual clients within groups of connected clients (LE3)  1404  
7.1. Instructions concerning specific columns  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1404  
PART I: GENERAL INSTRUCTIONS  
1. Structure and conventions  
1. The reporting framework on large exposures (‘LE’) shall consist of four templates which include the following 
information:  
(a) large exposures limits;  
(b) identification of the counterparty (template LE1);  
(c) exposures in the non-trading and trading book (template LE2);  
(d) detail of the exposures to individual clients within groups of connected clients (template LE3);  
2. The instructions include legal references as well as detailed information regarding the data that shall be reported in 
each template.EN 19.3.2021 Official Journal of the European Union L 97/1393
 
3. The instructions and the validation rules follow the labelling convention set in the following paragraphs, when 
referring to the columns, rows and cells of the templates.  
4. The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An 
asterisk sign shall be used to express that the validation is done for all the rows reported.  
5. In the case of validations within a template, in which only data points of that template are used, notations do not 
refer to a template: {Row;Column}.  
6. ABS(Value): the absolute value without sign. Any amount that increases the exposures shall be reported as a 
positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. 
Where there is a negative sign (-) preceding the label of an item, no positive figure shall be reported for that item.  
2. Abbreviations  
7. For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as ‘CRR’.  
PART II: TEMPLATE RELATED INSTRUCTIONS  
1. Scope and level of the LE reporting  
1. In order to report information on large exposures to clients or groups of connected clients in accordance with 
Article 394(1) of Regulation (EU) No 575/2013 (‘CRR’) on a solo basis, institutions shall use the templates LE1, 
LE2 and LE3.  
2. In order to report information on large exposures to clients or groups of connected clients in accordance with 
Article 394(1) CRR on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 
and LE3.  
3. Every large exposure defined in accordance with Article 392 CRR shall be reported, including the large exposures 
that shall not be considered for the compliance with the large exposure limit laid down in Article 395 CRR.  
4. In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance 
with the second subparagraph of Article 394(1) CRR on a consolidated basis, the parent institutions in a Member 
State which are subject to Part Three, Title II, Chapter 3, CRR shall use templates LE1, LE2 and LE3. The exposure 
value resulting from subtracting the amount in column 320 (‘Amounts exempted’) of template LE2 from the 
amount in column 210 (‘Total’) of that same template is the amount that shall be used for determining these 20 
largest exposures.  
5. In order to report information on the ten largest exposures to institutions, on a consolidated basis, as well as on 
the ten largest exposures to shadow banking entities which carry out banking activities outside the regulated 
framework on a consolidated basis, in accordance with Article 394(2), points (a) to (d), CRR, the parent insti ­
tutions in a Member State shall use templates LE1, LE2 and LE3. The exposure value calculated in column 210 
(‘Total’) of template LE2 is the amount that shall be used for determining these 20 largest exposures.  
6. In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 
10 % of the institution’s Tier 1 capital on a consolidated basis according to the last sentence of Article 394(1) of 
CRR, the parent institutions in a Member State shall use templates LE1, LE2 und LE3. The exposure value 
calculated in column 210 (‘Total’) of template LE2 is the amount that shall be used for determining these 
exposures.  
7. The data on the large exposures and the relevant largest exposures as well as the data on exposures of a value 
greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital to groups of 
connected clients and individual clients not belonging to a group of connected clients shall be reported in the 
template LE2 (in which a group of connected clients shall be reported as one single exposure).  
8. Institutions shall report in the LE3 template data regarding the exposures to individual clients belonging to the 
groups of connected clients, which are reported in the LE2 template. The reporting of an exposure to an 
individual client in the LE2 template shall not be duplicated in the LE3 template.EN L 97/1394 Official Journal of the European Union 19.3.2021
 
2. Structure of the LE template  
9. The columns of the template LE1 shall present the information related to the identification of individual clients or 
groups of connected clients to which an institution has an exposure.  
10. The columns of the templates LE2 and LE3 shall present the following blocks of information:  
(a) the exposure value before application of exemptions and before taking into account the effect of the credit 
risk mitigation, including the direct, indirect exposure and additional exposures arising from transactions 
where there is an exposure to underlying assets;  
(b) the effect of the exemptions and of the credit risk mitigation techniques;  
(c) the exposure value after application of exemptions and after taking into account the effect of the credit risk 
mitigation calculated for the purpose of Article 395(1) of CRR.  
3. Definitions and general instructions for the purposes of the LE reporting  
11. ‘Group of connected clients’ is defined in Article 4(1), point (39), CRR.  
12. ‘Institutions’ is defined in Article 4(1), point (3) CRR.  
13. Exposures to ‘civil-law associations’ shall be reported. In addition, institutions shall add the credit amounts of the 
civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas 
shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint 
accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just 
like them.  
14. Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance with 
Article 389 CRR. Specifically, credit conversion factors shall not be applied to off balance sheet items.  
15. ‘Exposures’ are defined in Article 389 CRR.  
(a) ‘exposures’ are any asset or off-balance sheet items in the non-trading and trading book including items set 
out in Article 400 CRR, but excluding items which fall under Article 390(6), points (a) to (d), CRR.  
(b) ‘indirect exposures’ are those exposures allocated to the guarantor or to the issuer of the collateral rather than 
to the immediate borrower in accordance with Article 403 CRR.  The definitions here may not differ in any possible 
respect from the definitions provided in the basic act.  
16. The exposures to groups of connected clients shall be calculated in accordance with Article 390(1) CRR.  
17. The ‘netting agreements’ shall be allowed to be taken into account to the effects of large exposures exposure value 
as laid down in Article 390(3), (4) and (5) CRR. The exposure value of derivative contracts listed in Annex II of 
CRR and of credit derivative contracts directly entered into with a client shall be determined in accordance with 
Part Three, Title II, Chapter 6, CRR with the effects of contracts of novation and other netting agreements taken 
into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6, Section 3 to 
Section 5, CRR. The exposure value of repurchase transaction, securities or commodities lending or borrowing 
transactions, long settlement transactions and margin lending transactions may be determined either in 
accordance with Part Three, Title II, Chapter 4 or Chapter 6, CRR. In accordance with Article 296 CRR, the 
exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a 
counterparty of the reporting institution shall be reported as ‘other commitments’ in the LE templates.  
18. The ‘value of an exposure’ shall be calculated in accordance with Article 390 CRR.  
19. The effect of the full or partial application of exemptions and eligible credit risk mitigation (CRM) techniques for 
the purposes of calculating of exposures for the purpose of Article 395(1) CRR is specified in Articles 399 to 403 
CRR.EN 19.3.2021 Official Journal of the European Union L 97/1395
 
20. Institutions shall report exposures resulting from reverse repurchase agreements in accordance with Article 402(3) 
CRR. Provided that the criteria in Article 402(3) of CRR are met, the institution shall report the large exposures to 
each third party for the amount of the claim that the counterparty to the transaction has on this third party and 
not for the amount of the exposure to the counterparty.  
4. C 26.00 – LE Limits template  
4.1. Instructions concerning specific rows  
Rows  Legal references and instructions  
010  Non institutions  
Article 395(1), Article 458(2), point (d)(ii), Article 458(10) and Article 459, point (b), CRR 
The amount of the applicable limit for counterparties other than institutions shall be reported. This 
amount is 25 % of Tier 1 capital, which is reported in row 015 of template C 01.00 of Annex I, unless a 
more restrictive percentage applies due to the application of national measures in accordance with 
Article 458 CRR or the delegated acts adopted in accordance with Article 462 with respect to the 
requirements referred to in Article 459, point (b), CRR.  
020  Institutions  
Article 395(1), Article 458(2), point (d)(ii), Article 458(10) and Article 459, point (b), CRR 
Institutions shall report the amount of the applicable limit for counterparties that are institutions. In 
accordance with Article 395(1) CRR, this amount shall be the following: 
— if the 25 % of the Tier 1 capital is greater than EUR 150 million (or a lower limit than 
EUR 150 million set out by the competent authority in accordance with the third subparagraph 
of Article 395(1) CRR), 25 % of the Tier 1 capital shall be reported; 
— if EUR 150 million (or a lower limit set out by the competent authority in accordance with the third 
paragraph of Article 395(1) CRR) is greater than 25 % of the institution’s Tier 1 capital, 
EUR 150 million (or the lower limit if set out by the competent authority) shall be reported. If 
the institution has determined a lower limit in terms of its Tier 1 capital, required by the second 
subparagraph of Article 395(1) of CRR, that limit shall be reported. 
These limits may be stricter in case of application of national measures in accordance with Article 395(6) 
or Article 458 CRR or the delegated acts adopted in accordance with Article 462 with respect to the 
requirements referred to in Article 459, point (b), CRR.  
030  Institutions in %  
Articles 395(1) and 459, point (a), CRR 
The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage 
of the Tier 1 capital.  
040  Global Systemically Important Institutions (G-SIIs)  
Articles 395(1) of CRR 
The amount of the applicable limit for counterparties which are institution or group identified as a G-SII 
or as a non-EU G-SII shall be reported. In accordance with Article 395(1) CRR, this limit shall be the 
following: 
— a G-SII shall not incur an exposure to another institution or group identified as a G-SII or a non-EU 
G-SII, the value of which, after taking into account the effect of credit risk mitigation, exceeds 15 % 
of its Tier 1 capital.EN L 97/1396 Official Journal of the European Union 19.3.2021
 
5. C 27.00 – Identification of the counterparty (LE1)  
5.1. Instructions concerning specific columns  
Column  Legal references and instructions  
010-070  Counterparty Identification:  
Institutions shall report the identification of any counterparty for which information is being submitted 
in any of the templates C 28.00 to C 29.00. The identification of the group of connected clients shall 
not be reported, unless the national reporting system provides a unique code for the group of 
connected clients. 
According to the third subparagraph of Article 394(1) CRR, institutions shall report the identification 
of the counterparty to which they have exposures of a value greater than or equal to EUR 300 million 
but less than 10 % of their Tier 1 capital. 
According to Article 394(1), point (a), CRR, institutions shall report the identification of the 
counterparty to which they have a large exposure as defined in Article 392 CRR. 
According to Article 394(2), point (a) CRR, institutions shall report the identification of the 
counterparty to which they have the largest exposures (in the cases where the counterparty is an 
institution or a shadow banking entity).  
011  Code  
The code as part of a row identifier must be unique for each reported entity. For institutions and 
insurance undertakings, the code shall be the LEI code. For other entities the code shall be the LEI code, 
or if not available, a national code. The code shall be unique and used consistently across the templates 
and across time. The code shall always have a value.  
015  Type of code  
The institutions shall identify the type of code reported in column 010 as a ‘LEI code’ or ‘Non-LEI code’. 
The type of code shall always be reported.  
021  Name  
The name shall correspond to the name of the group whenever a group of connected clients is 
reported. In any other case, the name shall correspond to the individual counterparty. 
For a group of connected clients, the name that shall be reported shall be the name of the parent 
company or, when the group of connected clients does not have a parent, it shall be the group’s 
commercial name.  
035  National code  
Institutions may additionally report the national code when they report LEI code as identifier in the 
‘Code’ column.  
040  Residence of the counterparty  
The ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used 
(including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s 
‘Balance of Payments Vademecum’) 
For groups of connected clients, no residence shall be reported.  
050  Sector of the counterparty  
One sector shall be allocated to every counterparty on the basis of FINREP, Annex V, Part 1, 
paragraph 42, economic sector classes and splitting other financial corporations into investment firms 
and other financial corporations as follows: 
(i) Central Banks; 
(ii) General Governments;EN 19.3.2021 Official Journal of the European Union L 97/1397
 
Column  Legal references and instructions  
(iii) Credit institutions; 
(iv) Investment firms as defined in Article 4(1)(2) CRR; 
(v) Other financial corporations (excluding investment firms); 
(vi) Non-financial corporations; 
(vii) Households. 
For groups of connected clients, no sector shall be reported.  
060  NACE code  
For the economic sector, the NACE codes (Nomenclature statistique des activités économiques dans 
l’Union européenne = Statistical Classification of Economic Activities in the European Union) shall be 
used. 
This column shall apply only for the counterparties ‘Other financial corporations (excluding investment 
firms)’ and ‘Non-financial corporations’. NACE codes shall be used for ‘Non-financial corporations’ with 
one level detail (e.g. ‘F – Construction’) and for ‘Other financial corporations (excluding investment 
firms)’ with a two level detail, which provides separate information on insurance activities (e.g. ‘K65 – 
Insurance, reinsurance and pension funding, except compulsory social security’). 
The ‘Other financial corporations (excluding investment firms)’ and ‘Non-financial corporations’ 
economic sectors shall be derived from FINREP counterparty breakdown. 
For groups of connected clients, no NACE code shall be reported.  
070  Type of counterparty  
Article 394(2) CRR 
The type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to 
shadow banking entities shall be specified by using ‘I’ for institutions or ‘S’ for shadow banking entities, 
which carry out banking activities outside the regulated framework.  
6. C 28.00 — Exposures in the non-trading and trading book (LE2)  
6.1. Instructions concerning specific columns  
Column  Legal references and instructions  
010  Code  
For a group of connected clients, if a unique code is available at national level, this code shall be 
reported as the code of the group of connected clients. Where there is no unique code at the national 
level, the code that shall be reported shall be the code of the parent company in C 27.00. 
In the cases where the group of connected clients does not have a parent, the code that shall be 
reported shall be the code of the individual entity which is considered by the institution as the most 
significant within the group of connected clients. In any other case, the code shall correspond to the 
individual counterparty. 
The codes shall be used in a consistent way across time. 
The composition of the code depends on the national reporting system, unless a uniform codification is 
available in the EU.  
020  Group or individual  
The institution shall report  "1" for the reporting of exposures to individual clients and  "2" for the 
reporting of exposures to groups of connected clients.EN L 97/1398 Official Journal of the European Union 19.3.2021
 
Column  Legal references and instructions  
030  Transactions where there is an exposure to underlying assets  
Article 390(7) CRR 
In accordance with further technical specifications by the national competent authorities, when the 
institution has exposures to the reported counterparty through a transaction where there is an exposure 
to underlying assets, the equivalent to  "Yes" shall be reported; otherwise the equivalent to ‘No’ shall be 
reported.  
040-180  Original exposures  
Articles 24, 389, 390 and 392 CRR 
The institution shall report in this block of columns the original exposures of direct exposures, indirect 
exposures, and additional exposures arising from transactions where there is an exposure to underlying 
assets. 
According to Article 389 CRR, assets and off balance sheet items shall be used without risk weights or 
degrees of risk. Specifically, credit conversion factors shall not be applied to off balance sheet items. 
These columns shall contain the original exposure, i.e. the exposure value without taking into account 
value adjustments and provisions, which shall be deducted in column 210. 
The definition and calculation of the exposure value is set out in Articles 389 and 390 CRR. The 
valuation of assets and off-balance-sheet items shall be effected in accordance with the accounting 
framework to which the institution is subject, according to Article 24 CRR. 
Exposures deducted from Common Equity Tier 1 items or Additional Tier 1 items, which are not 
exposures referred to in Article 390(6), point (e), CRR, shall be included in these columns. These 
exposures shall be deducted in column 200. 
Exposures referred to in Article 390(6), points (a) to (d), CRR shall not be included in these columns. 
Original exposures shall include any asset and off-balance sheet items. The exemptions of Article 400 
CRR shall be deducted for the purpose of Article 395(1) CRR in column 320. 
Exposures from both non-trading and trading book shall be included. 
The net position calculated in accordance with point (b) of Article 390(3) CRR shall be reported as 
direct exposure and included in the column (060 or 070 or 080), that corresponds to the dominant 
instrument type. 
The dominant instrument shall be determined based on the value of the net position in each instrument 
type. 
For the breakdown of the exposures in financial instruments, where different exposures arising from 
netting agreements constitute a single exposure, the latter shall be allocated to the financial instrument 
corresponding to the principal asset included in the netting agreement (in addition, see the introductory 
section).  
040  Total original exposure  
The institution shall report the sum of direct exposures and indirect exposures as well as the additional 
exposures that arise from the exposure to transactions where there is an exposure to underlying assets.  
050  Of which: defaulted  
Article 178 CRR 
The institution shall report the part of the total original exposure corresponding to defaulted exposures.  
060-110  Direct exposures  
Direct exposures shall mean the exposures on ‘immediate borrower’ basis.EN 19.3.2021 Official Journal of the European Union L 97/1399
 
Column  Legal references and instructions  
060  Debt instruments  
Regulation (EU) No 1071/2013 (‘ECB/2013/33’) Annex II, Part 2, table, categories 2 and 3 
Debt instruments shall include debt securities, and loans and advances. 
The instruments included in this column shall be those qualified as ‘loans of up to and including one 
year/over one year and up to and including five years/of over five years’ original maturity’, or as ‘debt 
securities’, according to ECB/2013/33. 
Repurchase transactions, securities or commodities lending or borrowing transactions (securities 
financing transactions) and margin lending transactions shall be included in this column.  
70 Equity instruments  
ECB/2013/33 Annex II, Part 2, table, categories 4 and 5 
The instruments included in this column shall be those qualified as ‘Equity’ or as ‘Investment fund 
shares/units’ in accordance with ECB/2013/33.  
080  Derivatives  
Article 272(2) and Annex II CRR 
The instruments that shall be reported in this column shall include derivatives listed in Annex II CRR 
and long settlement transactions, as defined in Article 272(2) CRR. 
Credit derivatives that are subject to counterparty credit risk shall be included in this column.  
090-110  Off balance sheet items  
Annex I to CRR 
The value that shall be reported in these columns shall be the nominal value before any reduction of 
specific credit risk adjustments and without application of conversion factors.  
090  Loan commitments  
Annex I, points 1(c) and (h), 2(b)(ii), 3(b)(i) and 4(a), CRR 
Loan commitments are firm commitments to provide credit under pre-specified terms and conditions, 
except those that are derivatives because they can be settled net in cash or by delivering or issuing 
another financial instrument.  
100  Financial guarantees  
Annex I, points 1(a), (b) and (f), CRR 
Financial guarantees are contracts that require the issuer to make specified payments to reimburse the 
holder for a loss it incurs because a specified debtor fails to make payment when due in accordance 
with the original or modified terms of a debt instrument. Credit derivatives that are not included in the 
column ‘derivatives’ shall be reported in this column.  
110  Other commitments  
Other commitments are the items in Annex I to CRR that are not included in the previous categories. 
The exposure value of a single legal obligation arising from the contractual cross-product netting 
agreement with a counterparty of the institution shall be reported in this column.EN L 97/1400 Official Journal of the European Union 19.3.2021
 
Column  Legal references and instructions  
120-170  Indirect exposures  
Article 403 of CRR 
In accordance with Article 403 CRR, a credit institution shall use the substitution approach where an 
exposure to a client is guaranteed by a third party, or secured by collateral issued by a third party. 
The institution shall report in this block of columns the amounts of the direct exposures that are re- 
assigned to the guarantor or the issuer of collateral provided that the latter would be assigned an equal 
or lower risk weight than the risk weight which would be applied to the client under Part Three, Title II, 
Chapter 2, CRR. In the case of exposures secured by collateral issued by a third party, Article 403(3) 
CRR offers an alternative treatment. 
The protected reference original exposure (direct exposure) shall be deducted from the exposure to the 
original borrower in the columns of ‘Eligible credit risk mitigation techniques’. The indirect exposure 
shall increase the exposure to the guarantor or issuer of collateral via substitution effect. This shall apply 
also to guarantees given within a group of connected clients. 
The institution shall report the original amount of the indirect exposures in the column that 
corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the 
direct exposure guaranteed is a debt instrument, the amount of ‘Indirect exposure’ assigned to the 
guarantor shall be reported under the column ‘Debt instruments’. 
Exposures arising from credit-linked notes shall also be reported in this block of columns, according to 
Article 399 CRR.  
120  Debt instruments  
See column 060.  
130  Equity instruments  
See column 070.  
140  Derivatives  
See column 080.  
150-170  Off balance sheet items  
The value of these columns shall be the nominal value before any reduction of specific credit risk 
adjustments and conversion factors are applied.  
150  Loan commitments  
See column 090.  
160  Financial guarantees  
See column 100.  
170  Other commitments  
See column 110.  
180  Additional exposures arising from transactions where there is an exposure to underlying assets  
Article 390(7) CRR 
Additional exposures that arise from transactions where there is an exposure to underlying assets.EN 19.3.2021 Official Journal of the European Union L 97/1401
 
Column  Legal references and instructions  
190  (-) Value adjustments and provisions  
Articles 34, 24, 110 and 111 CRR 
Value adjustment and provisions included in the corresponding accounting framework (Directive 
86/635/EEC or Regulation (EC) No 1606/2002) that affect the valuation of exposures shall be 
determined in accordance with Articles 24 and 110 CRR. 
Value adjustments and provisions against the gross exposure given in column 040 shall be reported in 
this column.  
200  (-) Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items  
Article 390(6), point (e), CRR 
Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items, which shall be included in 
the different columns of Total original exposure, shall be reported.  
210-230  Exposure value before application of exemptions and CRM  
Article 394(1), point (b), CRR 
Institutions shall report the exposure value before taking into account the effect of the credit risk 
mitigation, where applicable.  
210  Total  
The exposure value to be reported in this column shall be the amount used for determining whether an 
exposure is a large exposure according to the definition in Article 392 of CRR. 
This shall include the original exposure after subtracting value adjustments and provisions and the 
amount of the exposures deducted from Common Equity Tier 1 or Additional Tier 1 items.  
220  Of which: Non-trading book  
The amount of the non-trading book from the total exposure before exemptions and CRM  
230  % of Tier 1 capital  
Articles 392 and 395 CRR 
The amount that shall be reported is the percentage of the exposure value before application of 
exemptions and CRM related to Tier 1 capital of the institution, as defined in Article 25 CRR.  
240-310  (-) Eligible credit risk mitigation (CRM) techniques  
Articles 399 and 401 to 403, CRR; CRM techniques as defined in Article 4(1), point (57), CRR 
The CRM techniques recognised in Part Three, Title II, Chapter 3 and 4, CRR shall be used in 
accordance with Articles 401 to 403, CRR. 
CRM techniques may have three different effects in the LE regime: substitution effect; funded credit 
protection other than substitution effect; and real estate treatment.EN L 97/1402 Official Journal of the European Union 19.3.2021
 
Column  Legal references and instructions  
240-290  (-) Substitution effect of eligible credit risk mitigation techniques  
Article 403 CRR 
The amount of funded and unfunded credit protection that shall be reported in these columns shall 
correspond to the exposures guaranteed by a third party, or secured by collateral issued by a third 
party, where the institution shall treat the portion of the exposure which is guaranteed and/or collat ­
eralised by the market value of recognised collateral as incurred with the guarantor or the issuer of 
collateral.  
240  (-) Debt instruments  
See column 060.  
250  (-) Equity instruments  
See column 070.  
260  (-) Derivatives  
See column 080.  
270-290  (-) Off balance sheet items  
The value of these columns shall be without application of conversion factors.  
270  (-) Loan commitments  
See column 090.  
280  (-) Financial guarantees  
See column 100.  
290  (-) Other commitments  
See column 110.  
300  (-) Funded credit protection other than substitution effect  
Article 401 CRR 
The institution shall report the amounts of funded credit protection, as defined in Article 4(1), point 
(58), CRR, that are deducted from the exposure value due to the application of Article 401 CRR. 
In accordance with Article 401(1) CRR, volatility adjustments shall be applied to the exposure value 
and shall be reported as an increase in the exposure value.  
310  (-) Real estate  
Article 402 CRR 
The institution shall report the amounts deducted from the exposure value due to the application of 
Article 402 CRR.  
320  (-) Amounts exempted  
Article 400 CRR 
The institution shall report the amounts exempted from the LE regime.EN 19.3.2021 Official Journal of the European Union L 97/1403
 
Column  Legal references and instructions  
330-350  Exposure value after application of exemptions and CRM  
Article 394(1), point (d), CRR 
The institution shall report the exposure value after taking into account the effect of the exemptions 
and credit risk mitigation calculated for the purpose of Article 395(1) CRR.  
330  Total  
This column shall include the amount to be taken into account in order to comply with the large 
exposures limit set out in Article 395 CRR.  
340  Of which: Non-trading book  
The institution shall report the total exposure after application of exemptions and after taking into 
account the effect of CRM belonging to the non-trading book.  
350  % of Tier 1 capital  
The institution shall report the percentage of the exposure value after application of exemptions and 
CRM related to the Tier 1 capital of the institution, as defined in Article 25 CRR.  
7. C 29.00 – Details of the exposures to individual clients within groups of connected clients (LE3)  
7.1. Instructions concerning specific columns  
Column  Legal references and instructions  
010-360  The institution shall report in template LE3 the data of the individual clients belonging to the groups of 
connected clients included in the rows of template LE2.  
010  Code  
Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the 
table. 
The code of the individual counterparty belonging to the groups of connected clients shall be reported. 
The codes shall be used in a consistent way across time.  
020  Group code  
Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the 
table. 
If a unique code for a group of connected clients is available at national level, this code shall be 
reported. Where there is no unique code at the national level, the code that shall be reported shall be 
the code used for reporting exposures to the Group of Connected clients in C 28.00 (LE2). 
Where a client belongs to several groups of connected clients, it shall be reported as a member of all 
the groups of connected clients.EN L 97/1404 Official Journal of the European Union 19.3.2021
 
Column  Legal references and instructions  
030  Transactions where there is an exposure to underlying assets  
See column 030 of template LE2.  
050-360  When financial instruments in template LE2 are provided to the whole group of connected clients they 
shall be allocated to the individual counterparties in template LE3 in accordance with the business 
criteria of the institution. 
The remaining instructions are the same as for template LE2.EN 19.3.2021 Official Journal of the European Union L 97/1405
 EN L 97/1406 Official Journal of the European Union 19.3.2021
 ANNEX X  
REPORTING ON LEVERAGE 
LEVERAGE RATIO REPORTING TEMPLATES  
Template code  Template code  Name of the template  Short name  
47 C 47.00  Leverage ratio calculation  LRCalc  
40 C 40.00  Alternative treatment of the exposure measure  LR1  
43 C 43.00  Alternative breakdown of leverage ratio exposure measure components  LR4  
44 C 44.00  General information  LR5  
C 48.00  Leverage ratio volatility  LR6  
48.01  C 48.01  Leverage ratio volatility: Mean value for the reporting period  LR6.1  
48.02  C 48.02  Leverage ratio volatility: Leverage ratio volatility: daily values for the reporting period  LR6.2  
C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1) 
Row  Accounting 
balance sheet 
value  Accounting 
value assuming 
no netting or 
other CRM  Add-on for 
SFTs  Notional 
amount/ 
nominal value  Capped 
notional 
amount  Capped 
notional 
amount (same 
reference 
name)  Leverage ratio 
exposure 
amount  
0010  0020  0040  0070  0075  0085  0130  
0010  Derivatives  
0020  Credit derivatives (protection sold)  
0030  Credit derivatives (protection sold), which are 
subject to a close out clause  
0040  Credit derivatives (protection sold), which are 
not subject to a close out clause
EN 19.3.2021 Official Journal of the European Union L 97/1407
 Row  Accounting 
balance sheet 
value  Accounting 
value assuming 
no netting or 
other CRM  Add-on for 
SFTs  Notional 
amount/ 
nominal value  Capped 
notional 
amount  Capped 
notional 
amount (same 
reference 
name)  Leverage ratio 
exposure 
amount  
0010  0020  0040  0070  0075  0085  0130  
0050  Credit derivatives (protection bought)  
0060  Financial derivatives  
0071  Security Financing Transactions  
0090  Other assets  
0095  Off-balance sheet items  
0210  Cash collateral received in derivatives transactions  
0220  Receivables for cash collateral posted in derivatives 
transactions  
0230  Securities received in an SFT that are recognised as an 
asset  
0240  SFT cash conduit lending (cash receivables)  
0270  Public sector investments - Claims on central govern ­
ments  
0280  Public sector investments - Claims on regional 
governments  
0290  Public sector investments - Claims on local authorities  
0300  Public sector investments - Claims on public sector 
entities  
0310  Promotional loans - Claims on central governments
EN L 97/1408 Official Journal of the European Union 19.3.2021
 Row  Accounting 
balance sheet 
value  Accounting 
value assuming 
no netting or 
other CRM  Add-on for 
SFTs  Notional 
amount/ 
nominal value  Capped 
notional 
amount  Capped 
notional 
amount (same 
reference 
name)  Leverage ratio 
exposure 
amount  
0010  0020  0040  0070  0075  0085  0130  
0320  Promotional loans - Claims on regional governments  
0330  Promotional loans - Claims on local authorities  
0340  Promotional loans - Claims on public sector entities  
0350  Promotional loans - Claims on non-financial corpor ­
ations  
0360  Promotional loans - Claims on households  
0370  Promotional loans - Passing-through  
0380  Central bank exposures  
0390  The central bank exposures value used for the calcu ­
lation of the adjusted leverage ratio requirement 
referred to in Article 429a(7) CRR - Leverage ratio 
exposure amount  
0400  Leverage ratio exposure measure used for the calcu ­
lation of the adjusted leverage ratio requirement 
referred to in Article 429a(7) CRR - Leverage ratio 
exposure amount  
0410  Total assets
EN 19.3.2021 Official Journal of the European Union L 97/1409
 C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4) 
Row  Off-balance sheet items, derivatives, SFTs and trading book  Leverage Ratio 
Exposure Value  RWEA  
0010  0020  
0010  Off-balance sheet items  
0020  of which:Trade finance  
0030  of which:Under official export credit insurance scheme  
0040  Derivatives and SFTs subject to a cross-product netting agreement  
0050  Derivatives not subject to a cross-product netting agreement  
0060  SFTs not subject to a cross-product netting agreement  
0065  Exposure amounts resulting from the additional treatment for credit 
derivatives  
0070  Other assets belonging to the trading book  
Row  Other non-trading book exposures  Leverage Ratio Exposure Value  RWEAs  
SA Exposures  IRB Exposures  SA Exposures  IRB Exposures  
0010  0020  0030  0040  
0080  Covered bonds  
0090  Exposures treated as sovereigns  
0100  Central governments and central banks  
0110  Regional governments and local authorities treated as sovereigns  
0120  MDBs and International organisations treated as sovereigns  
0130  PSEs treated as sovereigns
EN L 97/1410 Official Journal of the European Union 19.3.2021
 Row  Other non-trading book exposures  Leverage Ratio Exposure Value  RWEAs  
SA Exposures  IRB Exposures  SA Exposures  IRB Exposures  
0010  0020  0030  0040  
0140  Exposures to regional governments, MDBs, international organ ­
isations and PSEs  not  treated as sovereigns  
0150  Regional governments and local authorities  not  treated as sover ­
eigns  
0160  MDBs  not  treated as sovereigns  
0170  PSEs  not  treated as sovereigns  
0180  Institutions  
0190  Secured by mortgages on immovable properties  
0200  of which: Secured by mortgages of residential properties  
0210  Retail exposures  
0220  of which: Retail SME  
0230  Corporate  
0240  Financial  
0250  Non-financial  
0260  SME exposures  
0270  Exposures other than SME exposures  
0280  Exposures in default  
0290  Other exposures  
0300  of which:Securitisation exposures  
0310  Trade finance (memo item)  
0320  of which:Under official export credit insurance scheme
 C 44.00 — GENERAL INFORMATION (LR5) 
Row  Column  
0010  
0010  Institution's company structure  
0020  Derivatives treatment  
0040  Institution type  
0070  Institution with a public development unit  
0080  Central government guaranteeing the public development credit institution / unit  
0090  Regional government guaranteeing the public development credit institution / unit  
0100  Local authority guaranteeing the public development credit institution / unit  
0110  Type of guarantee received in accordance with point (d) of Article 429a(2) CRR - 
Obligation to protect the credit institutions' viability  
0120  Type of guarantee received in accordance with point (d) of Article 429a(2) CRR - 
Direct guarantee of the credit institutions' own funds requirements, funding 
requirements or promotional loans granted  
0130  Type of guarantee received in accordance with point (d) of Art 429a(2) CRR - 
Indirect guarantee of the credit institutions' own funds requirements, funding 
requirements or promotional loans granted  
C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc) 
Row  Exposure Values  LR Exposure: 
Reporting 
reference date  
0010  
0010  SFTs: Exposure value  
0020  SFTs: Add-on for counterparty credit risk  
0030  Derogation for SFTs: Add-on in accordance with Article 429e(5) and 222 CRR  
0040  Counterparty credit risk of SFT agent transactions  
0050  (-) Exempted CCP leg of client-cleared SFT exposures  
0061  Derivatives: replacement cost contribution under the SA-CCR (without the effect 
of collateral on NICA)EN 19.3.2021 Official Journal of the European Union L 97/1411
 
Row  Exposure Values  LR Exposure: 
Reporting 
reference date  
0010  
0065  (-) Effect of the recognition of collateral on NICA on QCCP client-cleared trans ­
actions (SA-CCR - replacement cost)  
0071  (-) Effect of the eligible cash variation margin received offset against derivatives 
market value (SA-CCR - replacement cost)  
0081  (-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR 
-replacement cost)  
0091  Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1)  
0092  (-) Effect lower multiplier for QCCP client-cleared transactions on the PFE 
contribution (SA-CCR - Potential future exposure)  
0093  (-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR 
approach-potential future exposure)  
0101  Derogation for derivatives: replacement costs contribution under the simplified 
standardised approach  
0102  (-) Effect of exempted CCP leg of client-cleared trade exposures (simplified stan ­
dardised approach - replacement costs)  
0103  Derogation for derivatives: Potential future exposure contribution under the 
simplified standardised approach (multiplier at 1)  
0104  (-) Effect of exempted CCP leg of client-cleared trade exposures (simplified stan ­
dardised approach - potential future exposure)  
0110  Derogation for derivatives: original exposure method  
0120  (-) Exempted CCP leg of client-cleared trade exposures (original exposure method)  
0130  Capped notional amount of written credit derivatives  
0140  (-) Eligible purchased credit derivatives offset against written credit derivatives  
0150  Off-balance sheet items with a 10% CCF in accordance with Article 429f CRR  
0160  Off-balance sheet items with a 20% CCF in accordance with Article 429f CRREN L 97/1412 Official Journal of the European Union 19.3.2021
 
Row  Exposure Values  LR Exposure: 
Reporting 
reference date  
0010  
0170  Off-balance sheet items with a 50% CCF in accordance with Article 429 f CRR  
0180  Off-balance sheet items with a 100% CCF in accordance with Article 429f CRR  
0181  (-) General credit risk adjustments to off balance sheet items  
0185  Regular-way purchases and sales awaiting settlement: Accounting value under 
trade date accounting  
0186  Regular-way sales awaiting settlement: Reverse out of accounting offsetting under 
trade date accounting  
0187  (-) Regular-way sales awaiting settlement: offset in accordance with 429g(2) CRR  
0188  Regular-way purchases awaiting settlement: Full recognition of commitments to 
pay under settlement date accounting  
0189  (-) Regular-way purchases awaiting settlement: offset to commitments to pay 
under settlement date accounting in accordance with 429g(3) CRR  
0190  Other assets  
0191  (-) General credit risk adjustments to on balance sheet items  
0193  Cash pooling arrangements that cannot be netted prudentially: value in the 
accounting framework  
0194  Cash pooling arrangements that cannot be netted prudentially: effect of grossing- 
up the netting applied in the accounting framework  
0195  Cash pooling arrangements that can be netted prudentially: value in the 
accounting framework  
0196  Cash pooling arrangements that can be netted prudentially: effect of grossing-up 
the netting applied in the accounting framework  
0197  (-) Cash pooling arrangements that can be netted prudentially: Recognition of 
netting in accordance with Article 429b(2) CRR  
0198  (-) Cash pooling arrangements that can be netted prudentially: Recognition of 
netting in accordance with Article 429b(3) CRREN 19.3.2021 Official Journal of the European Union L 97/1413
 
Row  Exposure Values  LR Exposure: 
Reporting 
reference date  
0010  
0200  Gross up for derivatives collateral provided  
0210  (-) Receivables for cash variation margin provided in derivatives transactions  
0220  (-) Exempted CCP leg of client-cleared trade exposures (initial margin)  
0230  Adjustments for SFT sales accounting transactions  
0235  (-) Reduction of the exposure value of pre-financing or intermediate loans  
0240  (-) Fiduciary assets  
0250  (-) Intragroup exposures (solo basis) exempted in accordance with point (c) of 
Article 429a(1) CRR  
0251  (-) IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR  
0252  (-) Excluded guaranteed parts of exposures arising from export credits  
0253  (-) Excluded excess collateral deposited at triparty agents  
0254  (-) Excluded securitised exposures representing significant risk transfer  
0255  (-) Exposures to the central bank exempted in accordance with point (n) of 
Article 429a(1) CRR  
0256  (-) Excluded banking-type ancillary services of CSD/institutions in accordance with 
point (o) of Article 429a(1) CRR  
0257  (-) Excluded banking-type ancillary services of designated institutions in 
accordance with point (p) of Article 429a(1) CRR  
0260  (-) Exposures exempted in accordance with point (j) of Article 429a(1) CRR  
0261  (-) Excluded exposures of public development credit institutions - Public sector 
investments  
0262  (-) Excluded exposures of public development credit institutions - Promotional 
loans granted by a public development credit institution  
0263  (-) Excluded exposures of public development credit institutions - Promotional 
loans granted by an entity directly set up by the central government, regional 
governments or local authorities of a Member StateEN L 97/1414 Official Journal of the European Union 19.3.2021
 
Row  Exposure Values  LR Exposure: 
Reporting 
reference date  
0010  
0264  (-) Excluded exposures of public development credit institutions - Promotional 
loans granted by an entity set up by the central government, regional 
governments or local authorities of a Member State through an intermediate 
credit institution  
0265  (-) Excluded passing-through promotional loan exposures by non-public devel ­
opment credit institutions (or units) - Promotional loans granted by a public 
development credit institution  
0266  (-) Excluded passing-through promotional loan exposures by non-public devel ­
opment credit institutions (or units) - Promotional loans granted by an entity 
directly set up by the central government, regional governments or local 
authorities of a Member State  
0267  (-) Excluded passing-through promotional loan exposures by non-public devel ­
opment credit institutions (or units) - Promotional loans granted by an entity set 
up by the central government, regional governments or local authorities of a 
Member State through an intermediate credit institution  
0270  (-) Asset amount deducted - Tier 1 capital - fully phased-in definition  
0280  Asset amount deducted (-) or added (+) - Tier 1 capital - transitional definition  
0290  Total Leverage Ratio exposure measure - using a fully phased-in definition of Tier 
1 capital  
0300  Total Leverage Ratio exposure measure - using a transitional definition of Tier 1 
capital  
Row  Capital  
0310  Tier 1 capital -fully phased-in definition  
0320  Tier 1 capital - transitional definition  
Row  Leverage Ratio  
0330  Leverage Ratio – using a fully phased-in definition of Tier 1 capital  
0340  Leverage Ratio - using a transitional definition of Tier 1 capital  
Row  Requirements: amounts  
0350  Pillar 2 requirement (P2R) to address risks of excessive leverage  
0360  of which: to be made up of CET1 capital  
0370  G-SII leverage ratio buffer  
0380  Pillar 2 guidance (P2G) to address risks of excessive leverageEN 19.3.2021 Official Journal of the European Union L 97/1415
 
Row  Exposure Values  LR Exposure: 
Reporting 
reference date  
0010  
0390  of which: to be made up of CET1 capital  
0400  of which: to be made up of Tier 1 capital  
Row  Requirements: ratios  
0410  Pillar 1 Leverage Ratio requirement  
0420  Total SREP leverage ratio requirement (TSLRR)  
0430  TSLRR: to be made up of CET1 capital  
0440  Overall leverage ratio requirement (OLRR)  
0450  Overall leverage ratio requirement (OLRR) and Pillar 2 Guidance (P2G) ratio  
0460  OLRR and P2G: to be made up of CET1 capital  
0470  OLRR and P2G: to be made up of Tier 1 capital  
Row  Memorandum items  
0480  Leverage ratio as if IFRS 9 or analogous ECL transitional arrangements had not 
been applied  
0490  Leverage ratio as if the temporary treatment of unrealised gains and losses 
measured at fair value through other comprehensive income have not been 
applied  
C 48.01 — Leverage ratio volatility: Mean value for the reporting period (LR6.1) 
Row  SFTs exposure 
value  Adjustments for 
SFT sales 
accounting 
transactions  
0010  0020  
0010  Mean value for the reporting period  
C 48.02 — Leverage ratio volatility: daily values for the reporting period (LR6.2) 
Reference date within reporting period  SFTs exposure value  Adjustments for SFT sales accounting 
transactions  
0010  0020  0030EN L 97/1416 Official Journal of the European Union 19.3.2021
 
ANNEX XI  
INSTRUCTIONS FOR REPORTING ON LEVERAGE  
PART I: GENERAL INSTRUCTIONS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1418  
1. Structure and other conventions  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1418  
1.1. Structure  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1418  
1.2. Numbering convention  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1418  
1.3. Abbreviations  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1418  
1.4. Sign convention  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1419  
PART II: TEMPLATE RELATED INSTRUCTIONS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1419  
1. Formulas for leverage ratio calculation  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1419  
2. Materiality thresholds for derivatives  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1419  
3. C 47.00 – Leverage ratio calculation (LRCalc)  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1420  
4. C 40.00 – Alternative treatment of the Exposure Measure (LR1)  . . . . . . . . . . . . . . . . . . . . . . . . . . . 1440  
5. C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4)  . . . . . . . 1448  
6. C 44.00 – General information (LR5)  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1465  
7. C 48.00 Leverage ratio volatility (LR6)  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1466  
8. C 48.01 Leverage ratio volatility: Mean value for the reporting period  . . . . . . . . . . . . . . . . . . . . . . 1466  
9. C 48.02 Leverage ratio volatility: Daily values for the reporting period  . . . . . . . . . . . . . . . . . . . . . . 1467EN 19.3.2021 Official Journal of the European Union L 97/1417
 
PART I: GENERAL INSTRUCTIONS  
1. Structure and other conventions  
1.1. Structure  
1. This Annex contains additional instructions for the templates (hereinafter ‘LR’) included in Annex X of this 
Regulation.  
2. Overall, the framework consists of five templates:  
— C47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;  
— C40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;  
— C43.00: Leverage Ratio Template 4 (LR4): Alternative breakdown of leverage ratio exposure measure 
components;  
— C44.00: Leverage Ratio Template 5 (LR5): General information;  
— C48.00: Leverage ratio volatility (LR6).  
3. For each template legal references are provided as well as further detailed information regarding more general 
aspects of the reporting.  
1.2. Numbering convention  
4. The document will follow the labelling convention set in the following paragraphs, when referring to the 
columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.  
5. The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be 
used to refer to the whole row or column.  
6. In the case of validations within a template, where only data points from that template are used, notations will 
not refer to a template: {Row;Column}.  
7. For the purpose of the reporting on leverage, “of which” refers to an item that is a subset of a higher level 
exposure category whereas “memo item” refers to a separate item that is not a subset of an exposure class. 
Reporting of both types of cells is mandatory unless otherwise specified.  
1.3. Abbreviations  
8. For the purposes of this annex and related templates the following abbreviations are used:  
a. CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 
575/2013;  
b. CRD, which is an abbreviation of Capital Requirements Directive and shall mean Directive 2013/36/EU;EN L 97/1418 Official Journal of the European Union 19.3.2021
 
c. SFT, which is an abbreviation of Securities Financing Transaction and shall mean “repurchase transaction, 
securities or commodities lending or borrowing transaction, or margin lending transaction” as referred to in 
point (139) of Article 4(1) in Regulation (EU) No 575/2013;  
d. CRM, which is an abbreviation for Credit Risk Mitigation;  
e. CSD, which is an abbreviation for Central Securities Depository;  
f. QCCP, which is an abbreviation for Qualifying Central Counterparty;  
g. PFE, which is an abbreviation for Potential Future Exposure.  
1.4. Sign convention  
9. All amounts shall be reported as positive figures. With the exception of:  
a. The items whose label is preceded by a negative sign (-), where no positive figure is expected to be reported 
for that item.  
b. {LRCalc;0310;0010}, {LRCalc;0320;0010}, {LRCalc;0330;0010}, {LRCalc;0340;0010}, which could take 
negative values in extreme cases, otherwise they take positive values.  
c. {LRCalc;0280;0010} can take a positive values due to Article 473a(7) CRR, otherwise they take negative 
values.  
PART II: TEMPLATE RELATED INSTRUCTIONS  
1. Formulas for leverage ratio calculation  
1. The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with 
cells from LRCalc.  
2. Leverage Ratio – fully phased-in definition = {LRCalc;0310;0010}/{LRCalc;0290;0010}.  
3. Leverage Ratio – transitional definition = {LRCalc;0320;0010}/{LRCalc;0300;0010}.  
2. Materiality thresholds for derivatives  
4. In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following 
measures are used to gauge the relative importance of derivatives exposures to the total exposure of the 
leverage ratio. Institutions shall calculate these measures as follows:  
5. 
Derivatives share ¼ Derivative exposure measure 
Total exposure measure  
6. Where the derivative exposure measure is equal to: {LRCalc;0061;0010}+{LRCalc;0065;0010}+ 
{LRCalc;0071;0010}+{LRCalc;0081;0010}+{LRCalc;0091;0010}+{LRCalc;0092;0010}+{LRCalc;0093;0010}+{L 
RCalc;0101;0010}+{LRCalc;0102;0010}+{LRCalc;0103;0010}+{LRCalc;0104;0010}+{LRCalc;0110;0010}+{LR ­
Calc;0120;0010}+{LRCalc;0130;0010}+{LRCalc;0140;0010}EN 19.3.2021 Official Journal of the European Union L 97/1419
 
7. Where total exposure measure is equal to: {LRCalc;0290;0010}.  
8. Total notional amount referenced by derivatives = {LR1; 0010;0070}. This is a cell that institutions shall 
always report.  
9. Credit derivatives volume = {LR1;0020;0070} + {LR1;0050;0070}. These are cells that institutions shall always 
report.  
10. Institutions are required to report the cells referred to in paragraph 13 if any of the following conditions is 
met:  
a) the derivatives share referred to in paragraph 5 is more than 1,5 %;  
b) the derivatives share referred to in paragraph 5 exceeds 2,0 %.  
The entry and exit criteria of Article 4 of this Regulation 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.  
11. Institutions for which the total notional amount referenced by derivatives as defined in paragraph 8 exceeds 
10 billion € shall report the cells referred to in paragraph 13, even though their derivatives share does not 
fulfil the conditions described in paragraph 10.  
The entry criteria of Article 4 of this Regulation 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.  
12. Institutions are required to report the cells referred to in paragraph 14 if any of the following conditions is 
met:  
a) the credit derivatives volume referred to in paragraph 9 is more than 300 million €;  
b) the credit derivatives volume referred to in paragraph 9 exceeds 500 million €.  
The entry and exit criteria of Article 4 of this Regulation shall apply, except for point (b) where institutions 
shall start reporting from the next reporting reference date where they have exceeded the threshold on one 
reporting reference date.  
13. The cells which are required to be reported by institutions in accordance with paragraphs 10 and 11 are the 
following: {LR1;0010;0010}, {LR1;0010;0020}, {LR1;0020;0010}, {LR1;0020;0020}, {LR1;0030;0070}, 
{LR1;0040;0070}, {LR1;0050;0010}, {LR1;0050;0020}, {LR1;0060;0010}, {LR1;0060;0020}, and 
{LR1;0060;0070}.  
14. The cells which are required to be reported by institutions in accordance with paragraph 12 are the following: 
{LR1;0020;0075}, {LR1;0050;0075} and {LR1;0050;0085}.  
3. C 47.00 – Leverage ratio calculation (LRCalc)  
15. This template collects the data that are needed to calculate the leverage ratio as defined in Part Seven CRR.  
16. Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the value “at reporting 
reference date” shall be the value at the last calendar day of the third month of the respective quarter.EN L 97/1420 Official Journal of the European Union 19.3.2021
 
17. Institutions shall report the items in the Exposure values section with positive sign in accordance with the sign 
convention in paragraph 9 of Part I of this Annex (excluding {LRCalc;0270;0010} and {LRCalc;0280;0010}), as 
if the items with a negative sign (for example exemptions/deductions) in accordance with the sign convention 
in paragraph 9 of Part I of this Annex did not apply.  
18. Any amount that increases the own funds or the leverage ratio exposure shall be reported as a positive figure. 
On the contrary, any amount that reduces the total own funds or the leverage ratio exposure shall be reported 
as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is 
expected to be reported for that item.  
19. Where an amount could qualify for deduction on multiple grounds, the amount shall only be reduced from 
the exposure in one of the rows of template C47.00.  
Legal references and instructions  
Row and 
column  Exposure Values  
{0010;0010}  SFTs: Exposure value  
Point (b) of paragraph (1) and paragraphs (4) and (5) of Article 429b CRR 
The exposure for SFTs calculated in accordance with point (b) of paragraph (1) and paragraphs (4) 
and (5) of Article 429b CRR. 
Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) 
CRR. 
Institutions shall not include in this cell cash received or any security that is provided to a 
counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the 
accounting criteria for derecognition are not met). Institutions shall instead include those items in 
{0190;0010}. 
Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or 
guarantee to a customer or counterparty limited to any difference between the value of the security 
or cash the customer has lent and the value of collateral the borrower has provided in accordance 
with point (a) of Article 429e(7) CRR.  
{0020;0010}  SFTs: Add-on for counterparty credit risk  
Article 429e(1) CRR 
The add-on for counterparty credit risk of SFTs, including those that are off-balance sheet, 
determined in accordance with paragraph (2) or (3) and paragraph (4) of Article 429e CRR, as 
applicable. 
Institutions shall consider in this cell transactions in accordance with point (c) Article 429e(7) 
CRR. 
Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or 
guarantee to a customer or counterparty limited to any difference between the value of the security 
or cash the customer has lent and the value of collateral the borrower has provided in accordance 
with point (a) of Article 429e(7) CRR. Institutions shall instead include those items in 
{0040;0010}.  
{0030;0010}  Derogation for SFTs: Add-on in accordance with Articles 429e(5) and 222 CRR  
Article 429e(5) and 222 CRREN 19.3.2021 Official Journal of the European Union L 97/1421
 
Legal references and instructions  
Row and 
column  Exposure Values  
The exposure value for SFTs, including those that are off-balance sheet, calculated in accordance 
with Article 222 CRR, subject to a 20 % floor for the applicable risk weight. 
Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) 
CRR. 
Institutions shall not consider in this cell transactions for which the add-on part of the leverage 
ratio exposure value is determined in accordance with the method refer to in Article 429e(1) CRR.  
{0040;0010}  Counterparty credit risk of SFT agent transactions  
Point (a) of paragraph (7) and paragraphs (2) and (3) of Article 429e CRR 
The exposure value for agent SFTs where the institution provides an indemnity or guarantee to a 
customer or counterparty limited to any difference between the value of the security or cash the 
customer has lent and the value of collateral the borrower has provided in accordance with point 
(a) of Article 429e(7) CRR, consists only of the add-on determined in accordance with paragraph 
(2) or (3) of Article 429e CRR, as applicable. 
Institutions shall not include in this cell transactions in accordance with point (c) of Article 429e(7). 
Institutions shall instead include those items in {0010;0010} and {0020;0010} or {0010;0010} and 
{0030;0010}, as applicable.  
{0050;0010}  (-)  Exempted CCP leg of client-cleared SFT exposures  
Point (g) of Article 429a(1) and point (c) of Article 306(1) CRR 
The exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the 
conditions laid down in point (c) of Article 306(1) CRR. 
Where the exempted leg to the CCP is a security it shall not be reported in this cell unless it is a re- 
pledged security that under the applicable accounting framework (i.e. in accordance with the first 
sentence of Article 111(1) CRR) is included at full value. 
Institutions shall, as if no exemption applies, also include the amount reported in this cell in 
{0010;0010}, {0020;0010} and {0030;0010}, and, if it is a re-pledged security that under the 
applicable accounting framework is included at full value, additionally in {0190;0010}. 
Where there is initial margin posted by the institution for an exempted leg of an SFT that is 
reported in {0190;0010} and not reported in {0020;0010} or {0030;0010}, then the institution 
can report it in this cell.  
{0061;0010}  Derivatives: replacement cost contribution under the SA-CCR (without the effect of 
collateral on NICA)  
Articles 429c(1) CRR 
The replacement Cost as per Article 275 CRR without the effect of collateral on NICA, and 
without the effect of any variation margin. Institutions shall not apply the derogations of 
paragraph (3) and (4) of Article 429c and point (g) of Article 429a(1) CRR for the purposes 
of this cell. The amount shall be reported with the 1,4 alpha factor applied as specified in 
Article 274(2) CRR.EN L 97/1422 Official Journal of the European Union 19.3.2021
 
Legal references and instructions  
Row and 
column  Exposure Values  
As determined by Article 429c(1) CRR, institutions may take into account the effects of contracts 
for novation and other netting agreements in accordance with Article 295 CRR. Cross-product 
netting shall not apply. However, institutions may net within the product category referred to in 
point (25)(c) of Article 272 CRR and credit derivatives when they are subject to a contractual 
cross-product netting agreement referred to in Article 295(c) CRR. 
Institutions shall include all credit derivatives, not solely those in the trading book. 
Institutions shall not consider in this cell contracts measured by application of the simplified 
standardised approach or the original exposure method.  
{0065;0010}  (-)  Effect of the recognition of collateral on NICA on QCCP client-cleared transactions (SA- 
CCR – replacement cost)  
Article 429c(4) CRR 
Application of the derogation of 429c(4) CRR on the calculation of the replacement cost for 
derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall 
be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. 
Institutions shall include the amount reported in this cell also in {0061;0010} as if no derogation 
applies.  
{0071;0010}  (-)  Effect of the eligible cash variation margin received offset against derivatives market 
value (SA-CCR – replacement cost)  
Article 429c(3) CRR 
Variation margin received in cash from the counterparty eligible for offsetting against the 
replacement cost portion of the derivatives exposure in accordance with Article 429c(3) CRR. 
The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. 
Any cash variation margin received on an exempted CCP leg in accordance with point (g) of 
Article 429a(1) CRR shall not be reported. 
Institutions shall include the amount reported in this cell also in {0061;0010} as if no deduction of 
cash variation margin applies.  
{0081;0010}  (-)  Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR -replacement 
cost)  
Point (g) of Article 429a(1) CRR 
The replacement cost portion of exempted trade exposures to a QCCP from client-cleared deri ­
vatives transactions, provided that those items meet the conditions laid down in point (c) of 
Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on 
this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in 
Article 274(2) CRR. 
Institutions shall include the amount reported in this cell also in {0061;0010} as if no exemption 
applies.EN 19.3.2021 Official Journal of the European Union L 97/1423
 
Legal references and instructions  
Row and 
column  Exposure Values  
{0091;0010}  Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1)  
Article 429c(5) CRR 
Potential future exposure as per Article 278 CRR assuming a multiplier of 1, i.e. without the 
application of the derogation regarding contracts with clients where those contracts are cleared by a 
QCCP of 429c(5) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified 
in Article 274(2) CRR.  
{0092;0010}  (-)  Effect lower multiplier for QCCP client-cleared transactions on the PFE contribution (SA- 
CCR – Potential future exposure)  
Article 429c(5) CRR 
Application of the derogation of Article 429c(5) CRR on the calculation of the PFE for derivative 
contracts with clients where those contracts are cleared by a QCCP. The amount shall be reported 
with the 1,4 alpha factor applied as specified in Article 274(2) CRR. 
Institutions shall include the amount reported in this cell also in {0091;0010} as if no derogation 
applies.  
{0093;0010}  (-)  Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR approach- 
potential future exposure)  
Point (g) of Article 429a(1) CRR 
The potential future exposure of exempted trade exposures to a QCCP from client-cleared deri ­
vatives transactions, provided that those items meet the conditions laid down in point (c) of 
Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as 
specified in Article 274(2) CRR. 
Institutions shall include the amount reported in this cell also in {0091;0010} as if no exemption 
applies.  
{0101;0010}  Derogation for derivatives: replacement costs contribution under the simplified stan ­
dardised approach  
Articles 429c(6) and 281 CRR 
This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR 
calculated in accordance with the simplified standardised approach set out in Article 281 CRR. The 
amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. 
Institutions that apply the simplified standardised approach shall not reduce the total exposure 
measure by the amount of margin received in accordance with Article 429c(6) CRR. Hence the 
exception for derivative contracts with clients where those contracts are cleared by a QCCP in 
Article 429c(4) CRR shall not apply. 
Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the 
original exposure method.EN L 97/1424 Official Journal of the European Union 19.3.2021
 
Legal references and instructions  
Row and 
column  Exposure Values  
{0102;0010}  (-)  Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised 
approach – replacement costs)  
Point (g) of Article 429a(1) CRR 
The replacement cost portion of exempted trade exposures to a QCCP from client-cleared deri ­
vatives transactions, provided that those items meet the conditions laid down in point (c) of 
Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on 
this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in 
Article 274(2) CRR. 
Institutions shall include the amount reported in this cell also in {0101;0010} as if no exemption 
applied.  
{0103;0010}  Derogation for derivatives: Potential future exposure contribution under the simplified 
standardised approach (multiplier at 1)  
Point (f) of Article 281(2) and Article 429c(6) CRR 
The potential future exposure in accordance with the simplified standardised approach set out in 
Article 281 CRR, assuming a multiplier of 1. The amount shall be reported with the 1,4 alpha 
factor applied as specified in Article 274(2) CRR. 
Institutions that apply the simplified standardised approach shall not reduce the total exposure 
measure by the amount of margin received in accordance with Article 429c(6) CRR.  
{0104;0010}  (-)  Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised 
approach – potential future exposure)  
Point (g) of Article 429a(1) CRR 
The potential future exposure of exempted trade exposures to a QCCP from client-cleared deri ­
vatives transactions, provided that those items meet the conditions laid down in point (c) of 
Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as 
specified in Article 274(2) CRR. 
Institutions shall include the amount reported in this cell also in {0103;0010} as if no exemption 
applied.  
{0110;0010}  Derogation for derivatives: original exposure method  
Articles 429c(6) and 282 CRR 
This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR 
calculated in accordance with the original exposure method set out in Article 282 CRR. 
Institutions that apply the original exposure method shall not reduce the total exposure measure by 
the amount of margin received in accordance with Article 429c(6) CRR. 
Institutions that do not use the original exposure method shall not report this cell. 
Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the 
simplified standardised approach.EN 19.3.2021 Official Journal of the European Union L 97/1425
 
Legal references and instructions  
Row and 
column  Exposure Values  
{0120;0010}  (-)  Exempted CCP leg of client-cleared trade exposures (original exposure method)  
Point (g) of Article 429a(1) CRR 
The exempted CCP leg of client-cleared trade exposures when applying the original exposure 
method as set out in Article 282 CRR, provided that those items meet the conditions laid 
down in point (c) of Article 306(1) CRR. 
Institutions shall include the amount reported in this cell also in {0110;0010} as if no exemption 
applied.  
{0130;0010}  Capped notional amount of written credit derivatives  
Article 429d CRR 
Institutions shall determine capped notional amount of written credit derivatives, as defined in 
Article 429d(1), in accordance with Article 429d CRR.  
{0140;0010}  (-)  Eligible purchased credit derivatives offset against written credit derivatives  
Article 429d CRR 
Capped notional amount of purchased credit derivatives (i.e. where the institution is buying credit 
protection from a counterparty) on the same reference names as those credit derivatives written by 
the institution, where the remaining maturity of the purchased protection is equal to or greater 
than the remaining maturity of the sold protection. Hence, the value shall not be greater than the 
value entered in {0130;0010} for each reference name.  
{0150;0010}  Off-balance sheet items with a 10 % CCF in accordance with Article 429f CRR  
Article 429f, point (d) of Article 111(1) and Article 166(9) CRR 
The exposure value, in accordance with Articles 429f and point (d) of Article 111(1) CRR, of low 
risk off-balance sheet items that would be assigned a 0 % credit conversion factor referred to in 
points 4(a) to (c) of Annex I CRR (as a reminder the exposure value here shall be 10 % of the 
nominal value). That is commitments which may be cancelled unconditionally at any time by the 
institution without prior notice (UCC), or that effectively provide for automatic cancellation due to 
deterioration in a borrower’s creditworthiness. 
As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as 
indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an 
off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calcu ­
lation is subject to a floor of zero. 
Where a commitment refers to the extension of another commitment, the lower of the two 
conversion factors associated with the individual commitment shall be used in accordance with 
Article 166(9) CRR. 
Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs 
and positions referred to in Article 429d in accordance with Article 429f CRR.  
{0160;0010}  Off-balance sheet items with a 20 % CCF in accordance with Article 429f CRR  
Article 429f, point (c) of Article 111(1) and Article 166(9) CRREN L 97/1426 Official Journal of the European Union 19.3.2021
 
Legal references and instructions  
Row and 
column  Exposure Values  
The exposure value, in accordance with Articles 429f and point (c) of Article 111(1) CRR, of 
medium/low risk off-balance-sheet items that would be assigned a 20 % credit conversion factor 
referred to in points 3(a) and (b) of Annex I CRR (as a reminder the exposure value here shall be 
20 % of the nominal value). 
As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as 
indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an 
off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calcu ­
lation is subject to a floor of zero. 
Where a commitment refers to the extension of another commitment, the lower of the two 
conversion factors associated with the individual commitment shall be used in accordance with 
Article 166(9) CRR. 
Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs 
and positions referred to in Article 429d in accordance with Article 429f CRR.  
{0170;0010}  Off-balance sheet items with a 50 % CCF in accordance with Article 429f CRR  
Article 429f, point (b) of Article 111(1) and Article 166(9) CRR 
The exposure value, in accordance with Articles 429f and point (b) of Article 111(1) CRR, of 
medium risk off-balance sheet items that would be assigned a 50 % credit conversion factor as 
defined in the Standardised Approach to credit risk referred to in points 2(a) and (b) of Annex I 
CRR (as a reminder the exposure value here shall be 50 % of the nominal value). 
As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as 
indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an 
off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calcu ­
lation is subject to a floor of zero. 
This cell includes liquidity facilities and other commitments to securitisations. In other words the 
CCF for all liquidity facilities in accordance with Article 255 CRR is 50 % regardless of the 
maturity. 
Where a commitment refers to the extension of another commitment, the lower of the two 
conversion factors associated with the individual commitment shall be used in accordance with 
Article 166(9) CRR. 
Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs 
and positions referred to in Article 429d in accordance with Article 429f CRR.  
{0180;0010}  Off-balance sheet items with a 100 % CCF in accordance with Article 429f CRR  
Article 429f, point (a) of Article 111(1) and Article 166(9) CRR 
The exposure value, in accordance with Articles 429f and point (a) of Article 111(1) CRR, of high 
risk off-balance sheet items that would be assigned a 100 % credit conversion factor referred to in 
points 1(a) to (k) of Annex I CRR (as a reminder the exposure value here shall be 100 % of the 
nominal value).EN 19.3.2021 Official Journal of the European Union L 97/1427
 
Legal references and instructions  
Row and 
column  Exposure Values  
As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as 
indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an 
off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calcu ­
lation is subject to a floor of zero. 
This cell includes liquidity facilities and other commitments to securitisations. 
Where a commitment refers to the extension of another commitment, the lower of the two 
conversion factors associated with the individual commitment shall be used in accordance with 
Article 166(9) CRR. 
Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs 
and positions referred to in Article 429d in accordance with Article 429f CRR.  
{0181;0010}  (-)  General credit risk adjustments to off balance sheet items  
Article 429(4) CRR 
The amount of general credit risk adjustments corresponding to off-balance sheet items referred to 
in point (d) of Article 429(4), which institutions deduct in accordance with the last paragraph of 
Article 429(4) CRR. 
The amount reported shall not be taken into account as a reduction in the calculation of off- 
balance sheet items reported in rows from {0150;0010} to {0180;0010}.  
{0185;0010}  Regular-way purchases and sales awaiting settlement: Accounting value under trade date 
accounting  
Article 429g(1) CRR 
The sum of: 
— The amount of the cash related to regular-way purchases which remain on the balance sheet 
until the settlement date as assets in accordance with point (a) of Article 429(4) CRR; 
— The cash receivables related to regular-way sales which remain on the balance sheet as assets 
until the settlement date in accordance with point (a) of Article 429(4) CRR. This amount is 
after the effect of offsetting between cash receivables for regular-way sales awaiting settlement 
and cash payables for regular-way purchases awaiting settlement, as allowed under the 
applicable accounting framework. 
Institutions that follow the trade date accounting shall report the abovementioned sum in this cell 
instead of row 0190 “other assets”, while they shall report the securities related to regular-way 
purchases in row 0190.  
{0186;0010}  Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade 
date accounting  
Article 429g(2) CRR 
The amount offset between cash receivables for regular-way sales awaiting settlement and cash 
payables for regular-way purchase awaiting settlement allowed under the accounting framework.EN L 97/1428 Official Journal of the European Union 19.3.2021
 
Legal references and instructions  
Row and 
column  Exposure Values  
{0187;0010}  (-)  Regular-way sales awaiting settlement: offset in accordance with 429g(2) CRR  
Article 429g(2) CRR 
The amount offset between cash receivables and cash payables where both the related regular-way 
sales and purchases are settled on a delivery-versus-payment basis in accordance with 
Article 429g(2) CRR.  
{0188;0010}  Regular-way purchases awaiting settlement: Full recognition of commitments to pay under 
settlement date accounting  
Article 429g(3) CRR 
The full nominal value of commitments to pay related to regular-way purchases, for institutions 
that, in accordance with the applicable accounting framework, apply settlement date accounting to 
regular-way purchases and sales. 
Securities related to regular-way sales shall be reported in row 0190 “other assets”.  
{0189;0010}  (-)  Regular-way purchases awaiting settlement: offset to commitments to pay under 
settlement date accounting in accordance with 429g(3) CRR  
Article 429g(3) CRR 
The part of the amount reported in row 0188 offset by the full nominal value of cash receivables 
related to regular-way sales awaiting settlement in accordance with Article 429g(3) CRR.  
{0190;0010}  Other assets  
Point (a) of Article 429(4) CRR 
All assets other than derivatives contracts listed in Annex II CRR, credit derivatives and SFTs (e.g. 
amongst others assets to be reported in this cell are accounting receivables for cash variation 
margin provided where recognised under the operative accounting framework, liquid assets as 
defined under the liquidity coverage ratio, failed and unsettled transactions). Institutions shall 
base valuation on the principles set out in Article 429b(1) and 429(7) CRR. 
Institutions shall include in this cell cash received or any security that is provided to a counterparty 
via SFTs and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are 
not met). Furthermore, institutions shall recognise items that are deducted from CET1 and 
Additional Tier 1 items (e.g. intangibles, deferred tax assets etc.) here. 
The amount reported in row {0191;0010} shall not be taken into account as a reduction in the 
calculation of this row. 
Cash pooling arrangements shall be reported in rows {0193;0010}, {0194;0010}, {0195;0010}, 
{0196;0010}, {0197;0010} and {0198;0010} and not here.EN 19.3.2021 Official Journal of the European Union L 97/1429
 
Legal references and instructions  
Row and 
column  Exposure Values  
{0191;0010}  (-)  General credit risk adjustments to on balance sheet items  
Article 429(4) CRR 
The amount of general credit risk adjustments corresponding to on-balance sheet items referred to 
in point (a) of Article 429(4) CRR, which institutions deduct in accordance with the last paragraph 
of Article 429(4) CRR. 
The amount reported shall not be taking into account as a reduction in the calculation of other 
assets reported in {0190;0010}.  
{0193;0010}  Cash pooling arrangements that cannot be netted prudentially: value in the accounting 
framework  
Paragraphs (2) and (3) of Article 429b CRR 
The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or 
debit balances of several individual accounts are combined for the purposes of cash or liquidity 
management, that cannot be netted in accordance to paragraphs (2) and (3) of Article 429b CRR.  
{0194;0010}  Cash pooling arrangements that cannot be netted prudentially: effect of grossing-up the 
netting applied in the accounting framework  
Article 429 (7(b) and paragraph (2) and (3) of 429b CRR 
The amount netted under the applicable accounting framework on the cash pooling arrangements 
that cannot be netted prudentially, reported in {0193;0010}.  
{0195;0010}  Cash pooling arrangements that can be netted prudentially: value in the accounting 
framework  
Paragraphs (2) and (3) of Article 429b CRR 
The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or 
debit balances of several individual accounts are combined for the purposes of cash or liquidity 
management, that can be netted in accordance to paragraph (2) and (3) of Article 429b CRR.  
{0196;0010}  Cash pooling arrangements that can be netted prudentially: effect of grossing-up the netting 
applied in the accounting framework  
Paragraphs (2) and (3) of Article 429b CRR 
The amount netted under the applicable accounting framework on the cash pooling arrangements 
that can be netted prudentially, reported in {0195;0010}. 
Where the institution meets point (b) of Article 429b(2), they shall not apply the gross-up in this 
row to balances extinguished on the basis of the process set out in point (a) of Article 429b(2).  
{0197;0010}  (-)  Cash pooling arrangements that can be netted prudentially: Recognition of netting in 
accordance with Article 429b(2) CRR  
Article 429b(2) CRR 
The amount netted from the gross exposure related to cash pooling arrangements (sum of rows 
0195 and 0196) in accordance with Article 429b(2).EN L 97/1430 Official Journal of the European Union 19.3.2021
 
Legal references and instructions  
Row and 
column  Exposure Values  
{0198;0010}  (-)  Cash pooling arrangements that can be netted prudentially: Recognition of netting in 
accordance with Article 429b(3) CRR  
Article 429b(3) CRR 
The amount netted from the gross exposure related to cash pooling arrangements (sum of rows 
0195 and 0196) in accordance with Article 429b(3).  
{0200;0010}  Gross-up for derivatives collateral provided  
Article 429c(2) CRR 
The amount of any derivatives collateral provided where the provision of that collateral reduces the 
amount of assets under the applicable accounting framework, as set out in Article 429c(2) CRR. 
Institutions shall not include in this cell initial margin for client-cleared derivative transactions with 
a qualifying CCP (QCCP) or eligible cash variation margin, as defined in Article 429c(3) CRR.  
{0210;0010}  (-)  Receivables for cash variation margin provided in derivatives transactions  
Point (c) of Article 429c(3) CRR 
The receivables for variation margin paid in cash to the counterparty in derivatives transactions if 
the institution is required, under the applicable accounting framework, to recognise these 
receivables as an asset, provided that the conditions in points (a) to (e) of Article 429c(3) CRR 
are met. 
The amount reported shall also be included in the other assets reported in {0190;0010}.  
{0220;0010}  (-)  Exempted CCP leg of client-cleared trade exposures (initial margin)  
Point (g) of Article 429a(1) CRR 
The initial margin (posted) portion of exempted trade exposures to a QCCP from client-cleared 
derivatives transactions, provided that those items meet the conditions laid down in point (c) of 
Article 306(1) CRR. 
The amount reported shall also be included in the other assets reported in {0190;0010}.  
{0230;0010}  Adjustments for SFT sales accounting transactions  
Article 429e(6) CRR 
The value of securities lent in a repurchase transaction that are derecognised due to a sales 
accounting transaction under the applicable accounting framework.  
{0235;0010}  (-)  Reduction of the exposure value of pre-financing or intermediate loans  
Article 429(8) CRR 
The amount reduced from the exposure value of a pre-financing loan or an intermediate loan, in 
accordance with Article 429(8) CRR. 
The amount reported shall be included in the other assets reported in {0190;0010}.EN 19.3.2021 Official Journal of the European Union L 97/1431
 
Legal references and instructions  
Row and 
column  Exposure Values  
{0240;0010}  (-)  Fiduciary assets  
Point (i) of Article 429a(1) CRR 
The value of fiduciary assets that are recognised on the institution’s balance sheet by national 
generally accepted accounting principles, meet the IFRS9 criteria for non-recognition and, where 
applicable, IFRS 10 for non-consolidation, in accordance with point (i) of Article 429a(1) CRR, 
assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM 
that have affected the accounting value shall be reversed). 
The amount reported shall also be included in the other assets reported in {0190;0010}.  
{0250;0010}  (-)  Intragroup exposures (solo basis) exempted in accordance with point (c) of 
Article 429a(1) CRR  
Point (c) of Article 429a(1) and Article 113(6) CRR 
Exposures that have not been consolidated on the applicable level of consolidation, that can benefit 
from the treatment laid down in Article 113(6) CRR, provided that all the conditions set out in 
points (a) to (e) of Article 113(6) CRR are met and where the competent authorities have given 
their approval. 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0251;0010}  (-)  IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR  
Point (c) of Article 429a(1) and Article 113(7) CRR 
Exposures that can benefit from the treatment laid down in Article 113(7) CRR, provided that all 
the conditions set out in points (a) to (i) of Article 113(7) CRR are met and where the competent 
authorities have given their approval. 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0252;0010}  (-)  Excluded guaranteed parts of exposures arising from export credits  
Point (f) of Article 429a(1) CRR 
The guaranteed parts of exposures arising from export credits that can be excluded when the 
conditions of point (f) of Article 429a(1) CRR are met. 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0253;0010}  (-)  Excluded excess collateral deposited at triparty agents  
Point (k) of Article 429a(1) CRR 
The excess collateral deposited at triparty agents that has not been lent out, which can be excluded 
in accordance with point (k) of Article 429a(1). 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.EN L 97/1432 Official Journal of the European Union 19.3.2021
 
Legal references and instructions  
Row and 
column  Exposure Values  
{0254;0010}  (-)  Excluded securitised exposures representing significant risk transfer  
Point (m) of Article 429a(1) CRR 
The securitised exposures from traditional securitisations that meet the conditions for significant 
risk transfer set out in Article 244(2). 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0255;0010}  (-)  Exposures to the central bank exempted in accordance with point (n) of Article 429a(1) 
CRR  
Point (n) of Article 429a(1) CRR 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0256;0010}  (-)  Excluded banking-type ancillary services of CSD/institutions in accordance with point (o) 
of Article 429a(1) CRR  
Point (o) of Article 429a(1) CRR 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0257;0010}  (-)  Excluded banking-type ancillary services of designated institutions in accordance with 
point (p) of Article 429a(1) CRR  
Point (p) of Article 429a(1) CRR 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0260;0010}  (-)  Exposures exempted in accordance with point (j) of Article 429a(1) CRR  
Point (j) of Article 429a(1) CRR 
Exposures exempted in accordance with point (j) of 429a(1) CRR subject to the therein stated 
conditions being met. 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0261;0010}  (-)  Excluded exposures of public development credit institutions – Public sector investments  
Point (d) of paragraph (1) and paragraph (2) of Article 429a CRR 
The exposures arising from assets that constitute claims on central governments, regional govern ­
ments, local authorities or public sector entities in relation to public sector investments, which can 
be excluded in accordance with point (d) of Article 429a(1) CRR. 
Where the claim also qualifies as promotional loan under Article 429a(3), it shall not be reported 
in this cell but under rows 0262-0264 as applicable. 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.EN 19.3.2021 Official Journal of the European Union L 97/1433
 
Legal references and instructions  
Row and 
column  Exposure Values  
{0262;0010}  (-)  Excluded exposures of public development credit institutions – Promotional loans 
granted by a public development credit institution  
Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR 
The exposures arising from promotional loans, including passing-through promotional loans, 
granted by a public development credit institution, which can be excluded in accordance with 
point (d) of Article 429a(1) CRR. The exposures of the unit of an institution that is treated as a 
public development credit institution by a competent authority in accordance with the last 
paragraph of Article 429a(2) CRR, shall also be considered. 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0263;0010}  (-)  Excluded exposures of public development credit institutions – Promotional loans 
granted by an entity directly set up by the central government, regional governments or 
local authorities of a Member State  
Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR. 
The exposures arising from promotional loans, including passing-through promotional loans, 
granted by an entity directly set up by the central government, regional governments or local 
authorities of a Member State, which can be excluded in accordance with point (d) of 
Article 429a(1). The exposures of the unit of an institution that is treated as a public development 
credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), 
shall also be considered. 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0264;0010}  (-)  Excluded exposures of public development credit institutions – Promotional loans 
granted by an entity set up by the central government, regional governments or local 
authorities of a Member State through an intermediate credit institution  
Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR. 
The exposures arising from promotional loans, including passing-through promotional loans, 
granted by an entity set up by the central government, regional governments or local authorities 
of a Member State through an intermediate credit institution, which can be excluded in accordance 
with point (d) of Article 429a(1). The exposures of the unit of an institution that is treated as a 
public development credit institution by a competent authority in accordance with the last 
paragraph of Article 429a(2), shall also be considered. 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0265;0010}  (-)  Excluded passing-through promotional loan exposures by non-public development credit 
institutions (or units) – Promotional loans granted by a public development credit insti ­
tution  
Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR 
The parts of exposures arising from passing-through promotional loans to other credit institutions, 
when the promotional loans have been granted by a public development credit institution. The 
parts of the exposures of the units of an institution that are not treated as a public development 
credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), 
shall also be considered. 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.EN L 97/1434 Official Journal of the European Union 19.3.2021
 
Legal references and instructions  
Row and 
column  Exposure Values  
{0266;0010}  (-)  Excluded passing-through promotional loan exposures by non-public development credit 
institutions (or units) – Promotional loans granted by an entity directly set up by the 
central government, regional governments or local authorities of a Member State  
Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR 
The parts of exposures arising from passing-through promotional loans to other credit institutions, 
when the promotional loans have been granted by an entity directly set up by the central 
government, regional governments or local authorities of a Member State. The parts of the 
exposures of the units of an institution that are not treated as a public development credit 
institution by a competent authority in accordance with the last paragraph of Article 429a(2), 
shall also be considered. 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0267;0010}  (-)  Excluded passing-through promotional loan exposures by non-public development credit 
institutions (or units) – Promotional loans granted by an entity set up by the central 
government, regional governments or local authorities of a Member State through an inter ­
mediate credit institution  
Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR 
The parts of exposures arising from passing-through promotional loans to other credit institutions, 
when the promotional loans have been granted by an entity set up by the central government, 
regional governments or local authorities of a Member State through an intermediate credit insti ­
tution. The parts of the exposures of the units of an institution that are not treated as a public 
development credit institution by a competent authority in accordance with the last paragraph of 
Article 429a(2), shall also be considered. 
The amount reported shall also be included in the applicable cells above as if no exemption 
applied.  
{0270;0010}  (-)  Asset amount deducted – Tier 1 capital – fully phased-in definition  
Point (b) of Article 429a(1) and point (a) of Article 499(1) CRR 
It includes all the adjustments that target the value of an asset and which are required by: 
— Articles 32 to 35 CRR, or 
— Articles 36 to 47 CRR, or 
— Articles 56 to 60 CRR, 
as applicable. 
Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid 
down in Articles 48, 49 and 79 CRR, without taking into account the derogation laid down in 
Chapters 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not 
report adjustments already applied pursuant to Article 111 CRR when calculating the exposure 
value in {0010;0010} to {0267;0010}, nor shall they report any adjustment that does not deduct 
the value of a specific asset. 
As these amounts are already deducted from the capital measure, they reduce the leverage ratio 
exposure and shall be reported as a negative figure.EN 19.3.2021 Official Journal of the European Union L 97/1435
 
Legal references and instructions  
Row and 
column  Exposure Values  
{0280;0010}  Asset amount deducted (-) or added (+) – Tier 1 capital – transitional definition  
Point (b) of Articles 429a(1) and point (a) of Article 499(1) CRR 
It includes all the adjustments that adjust the value of an asset and which are required by: 
— Articles 32 to 35 CRR, or 
— Articles 36 to 47 CRR, or 
— Articles 56 to 60 CRR, 
as applicable. 
Institutions shall take into account exemptions, alternatives and waivers to such deductions laid 
down in Articles 48, 49 and 79 CRR, in addition to taking into account the derogations laid down 
in Chapter 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not 
report adjustments already applied pursuant to Article 111 CRR when calculating the exposure 
value in {0010;0010} to {0267;0010} nor shall they report any adjustment that does not deduct 
the value of a specific asset. 
As these amounts are already deducted from the capital measure, they reduce the leverage ratio 
exposure and shall be reported as a negative figure. 
In addition, institutions shall report in this row as a positive value the amounts to be added back to 
the leverage ratio exposure measure in accordance with Article 473a(7) CRR and 473a (7a) CRR.  
{0290;0010}  Total Leverage Ratio exposure measure- using a fully phased-in definition of Tier 1 capital  
Institutions shall report the sum of all rows from 0010 to 0267 and row 0270.  
{0300;0010}  Total Leverage Ratio exposure measure – using a transitional definition of Tier 1 capital  
Institutions shall report the sum of all rows from 0010 to 0267 and row 0280.  
Row and 
column  Capital  
{0310;0010}  Tier 1 capital – fully phased-in definition  
Article 429(3) and point (a) of Article 499(1) CRR 
This is the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, without 
taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR.  
{0320;0010}  Tier 1 capital – transitional definition  
Articles 429(3) and point (b) of Article 499(1) CRR 
This shall be the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, after 
taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR.EN L 97/1436 Official Journal of the European Union 19.3.2021
 
Legal references and instructions  
Row and 
column  Exposure Values  
Row and 
column  Leverage Ratio  
{0330;0010}  Leverage Ratio – using a fully phased-in definition of Tier 1 capital  
Articles 429(2) and 499(1) CRR 
This shall be the leverage ratio as calculated under paragraph 4 of Part II of this Annex.  
{0340;0010}  Leverage Ratio – using a transitional definition of Tier 1 capital  
Articles 429(2) and 499(1) CRR 
This shall be the leverage ratio as calculated under paragraph 5 of Part II of this Annex.  
Row and 
column  Requirements: amounts  
{0350;0010}  Pillar 2 requirement (P2R) to address risks of excessive leverage  
Article 104 and 104a CRD; additional own funds required by the competent authority to address 
risks of excessive leverage, as referred to in Article 104 of the CRD  
{0360;0010}  of which: to be made up of CET1 capital  
The part of the P2R, referred to in row 0350, which is required by the competent authority to be 
held in the form of CET1 capital  
{0370;0010}  G-SII leverage ratio buffer  
Article 92(1a) CRR 
G-SIIs shall report the value of the G-SII add-on for the leverage ratio determined in accordance 
with Article 92(1a) CRR. 
G-SIIs shall report this amount as of the date of application of the buffer following the CRR.  
{0380;0010}  Pillar 2 guidance (P2G) to address risks of excessive leverage  
Article 104b CRD; additional own funds communicated by the competent authority to address 
risks of excessive leverage, as referred to in Article 104b of the CRD  
{0390;0010}  of which: to be made up of CET1 capital  
The part of P2G, referred to in row 0380, which is required by the competent authority to be held 
in the form of CET1 capital  
{0400;0010}  of which: to be made up of Tier 1 capital  
The part of P2G, referred to in row 0380, which is required by the competent authority to be held 
in the form of Tier 1 capital  
Row and 
column  Requirements: ratios  
{0410;0010}  Pillar 1 Leverage Ratio requirement  
Point (d) of Article 92(1), Article 429a(7) and point (n) of Article 429a(1) CRR; the leverage ratio 
required to address risks of excessive leverage, as referred to in point (d) of Article 92(1) CRREN 19.3.2021 Official Journal of the European Union L 97/1437
 
Legal references and instructions  
Row and 
column  Exposure Values  
Institutions that exclude exposures to the institution’s central bank as referred to in point (n) of 
paragraph 1 of Article 429a shall report the Adjusted Leverage Ratio requirement as per 
Article 429a(7) CRR.  
{0420;0010}  Total SREP leverage ratio requirement (TSLRR)  
Article 104 and 104a CRD 
The sum of (i) and (ii) as follows: 
(i) the Pillar 1 Leverage Ratio Requirement as reported in row 0410; 
(ii) the additional own funds ratio required by the competent authority (P2R) to address risks of 
excessive leverage, as referred to in Article 104 CRD. 
Institutions shall calculate point (ii) by dividing the value in {0350;0010} by that in {0300;0010}. 
If no additional own funds requirements were communicated by the competent authority, then 
only point (i) shall be reported.  
{0430;0010}  TSLRR: to be made up of CET1 capital  
The part of the additional own funds ratio, referred to in point (ii) of row 0420, that is required by 
the competent authority to be held in the form of CET1 capital 
Institutions shall calculate this value by dividing the value in {0360;0010} with that in 
{0300;0010}.  
{0440;0010}  Overall leverage ratio requirement (OLRR)  
Article 92(1a) CRR 
The sum of (i) and (ii) as follows: 
(i) the TSLRR referred to in row 0420; 
(ii) the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a percentage 
of the total leverage ratio exposure. 
Institutions shall calculate point (ii) by dividing the value in {0370;0010} with that in {0300;0010}. 
Point (ii) shall only be taken into account by G-SIIs as of the date of application of the buffer 
following the CRR. 
If no G-SII add-on is applicable, only point (i) shall be reported.  
{0450;0010}  Overall leverage ratio requirement (OLRR) and Pillar 2 Guidance (P2G) ratio  
Article 104b CRD 
The sum of (i) and (ii) as follows: 
(i) the OLRR referred to in row 0440; 
(ii) additional own funds communicated by the competent authority to address risks of excessive 
leverage, as referred to in Article 104b of the CRD, expressed as a percentage of the total 
leverage ratio exposure.EN L 97/1438 Official Journal of the European Union 19.3.2021
 
Legal references and instructions  
Row and 
column  Exposure Values  
Institutions shall calculate point (ii) by dividing the value in {0380;0010} with that in {0300;0010}. 
If no P2G is communicated by the competent authority, then only point (i) shall be reported.  
{0460;0010}  OLRR and P2G: to be made up of CET1 capital  
The sum of (i) and (ii) as follows: 
(i) the part of the additional own funds ratio which is required by the competent authority to be 
held in the form of CET1 capital, as referred to in row 0430; 
(ii) the part of the P2G ratio, referred to in point (ii) in row 0450, which is communicated by the 
competent authority to be held in the form of CET 1 capital. 
Institutions shall calculate point (ii) by dividing the value in {0390;0010} with that in {0300;0010}. 
If no P2G is communicated by the competent authority, then only point (i) shall be reported.  
{0470;0010}  OLRR and P2G: to be made up of Tier 1 capital  
The sum of (i), (ii) and (iii) as follows: 
(i) the total SREP leverage ratio requirement, as referred to in row 0420; 
(ii) the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a 
percentage of the total leverage ratio exposure. 
(iii) the part of the P2G ratio, referred to in point (ii) in row 0450, which is required by the 
competent authority to be held in the form of Tier 1 capital. 
Institutions shall calculate point (ii) by dividing the value in {0370;0010} with that in {0300;0010}. 
Institutions shall calculate point (iii) by dividing the value in {0400;0010} with that in 
{0300;0010}. 
If no G-SII add-on is applicable, only points (i) and (iii) shall be reported. 
If no P2G is communicated by the competent authority, then only points (i) and (ii) shall be 
reported.  
Row and 
column  Memorandum items  
{0480;0010}  Leverage ratio as if the IFRS 9 or analogous ECL transitional arrangements had not been 
applied  
Articles 473a(8) CRR 
Institutions that have decided to apply the transitional arrangements set out in Article 473a CRR 
shall report the leverage ratio they would have in case they were not to apply this Article.  
{0490;0010}  Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair 
value through other comprehensive income have not been applied  
Article 468(5) CRR 
Institutions that have decided to apply the temporary treatment set out in paragraph 1 of 
Article 468 CRR shall report the leverage ratio they would have in case they were not to apply 
that treatment.EN 19.3.2021 Official Journal of the European Union L 97/1439
 
4. C 40.00 – Alternative treatment of the Exposure Measure (LR1)  
20. This part of the reporting collects data on an alternative treatment of derivatives, SFTs, off-balance sheet items, 
exempted public sector investments and exempted exposures to promotional loans.  
21. Institutions shall determine the “accounting balance sheet values” in LR1 based on the applicable accounting 
framework in accordance with point (77) of Article 4(1) CRR. “Accounting value assuming no netting or other 
CRM” refers to the accounting balance sheet value not taking into account any effects of netting or other credit 
risk mitigation.  
22. Institutions shall report LR1 items as if the items with a negative sign in the LRCalc template (for example 
exemptions/deductions) in accordance with the sign convention in paragraph 9 of Part I of this Annex, except 
rows {0270;0010} {0280;0010}, did not apply.  
23. {r0410;c0010} in template 40.00 shall only be reported by:  
— large institutions which are either G-SIIs or have issued securities that are admitted to trading on a 
regulated market with a semi-annual frequency,  
— large institutions other than G-SIIs that are not-listed institutions with an annual frequency,  
— other institutions than large institutions and small and non-complex institutions, which have issued 
securities that are admitted to trading on a regulated with an annual frequency.  
Row and 
column  Legal references and instructions  
{0010;0010}  Derivatives – Accounting balance sheet value  
This shall be the sum of {0020;010}, {0050;0010} and {0060;0010}.  
{0010;0020}  Derivatives – Accounting value assuming no netting or other CRM  
This shall be the sum of {0020;0020}, {0050;0020} and {0060;0020}.  
{0010;0070}  Derivatives – Notional amount  
This shall be the sum of {0020;0070}, {0050;0070} and {0060;0070}.  
{0020;0010}  Credit derivatives (protection sold) – Accounting balance sheet value  
Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting 
framework of credit derivatives where the institution is selling credit protection to a counterparty 
and the contract is recognised as an asset on the balance sheet  
{0020;0020}  Credit derivatives (protection sold) – Accounting value assuming no netting or other CRM  
Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting 
framework of credit derivatives where the institution is selling credit protection to a counterparty 
and the contract is recognised as an asset on the balance sheet assuming no prudential or 
accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have 
affected the accounting value shall be reversed)  
{0020;0070}  Credit derivatives (protection sold) – Notional amount  
This shall be the sum of cells {0030;0070} and {0040;0070}EN L 97/1440 Official Journal of the European Union 19.3.2021
 
Row and 
column  Legal references and instructions  
{0020;0075}  Credit derivatives (protection sold) – Capped notional amount  
Institutions shall report the notional amount referenced by the credit derivatives (protection sold) as 
in {0020; 0070} after reduction by any negative fair value changes that have been incorporated in 
Tier 1 capital with respect to the written credit derivative.  
{0030;0070}  Credit derivatives (protection sold), which are subject to a close-out clause – Notional 
amount  
Institutions shall report the notional amount referenced by credit derivatives where the institution is 
selling credit protection to a counterparty subject to a close-out clause. 
A close-out clause shall be defined as a clause that provides the non-defaulting party the right to 
terminate and close-out in a timely manner all transactions under the agreement upon an event of 
default, including in the event of insolvency or bankruptcy of the counterparty. 
Institutions shall consider all credit derivatives, not just those assigned to the trading book.  
{0040;0070}  Credit derivatives (protection sold), which are not subject to a close-out clause – Notional 
amount  
Institutions shall report the notional amount referenced by credit derivatives where the institution is 
selling credit protection to a counterparty not subject to a “close-out clause”. 
A close-out clause shall be defined as a clause that provides the non-defaulting party the right to 
terminate and close-out in a timely manner all transactions under the agreement upon an event of 
default, including in the event of insolvency or bankruptcy of the counterparty. 
Institutions shall consider all credit derivatives, not just those assigned to the trading book.  
{0050;0010}  Credit derivatives (protection bought) – Accounting balance sheet value  
Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting 
framework of credit derivatives where the institution is buying credit protection from a 
counterparty and the contract is recognised as an asset on the balance sheet 
Institutions shall consider all credit derivatives, not just those assigned to the trading book.  
{0050;0020}  Credit derivatives (protection bought) – Accounting value assuming no netting or other 
CRM  
Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting 
framework of credit derivatives where the institution is buying credit protection from a 
counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential 
or accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have 
affected the accounting value shall be reversed) 
Institutions shall consider all credit derivatives, not just those assigned to the trading book.  
{0050;0070}  Credit derivatives (protection bought) – Notional amount  
Institutions shall report the notional amount referenced by credit derivatives where the institution is 
buying credit protection from a counterparty. 
Institutions shall consider all credit derivatives, not just those assigned to the trading book.EN 19.3.2021 Official Journal of the European Union L 97/1441
 
Row and 
column  Legal references and instructions  
{0050;0075}  Credit derivatives (protection bought) – Capped notional amount  
Institutions shall report the notional amount referenced by credit derivatives (protection bought) as 
in {0050;0070} after reduction by any positive fair value changes that have been incorporated in 
Tier 1 capital with respect to the bought credit derivative.  
{0050;0085}  Credit derivatives (protection bought) – Capped notional amount (same reference name)  
Institutions shall report the notional amount referenced by credit derivatives where the institution is 
buying credit protection on the same underlying reference name as those credit derivatives written 
by the reporting institution. 
For the purpose of reporting this cell value, underlying reference names are considered the same if 
they refer to the same legal entity and level of seniority. 
Credit protection bought on a pool of reference entities shall be considered the same if this 
protection is economically equivalent to buying protection separately on each of the individual 
names in the pool. 
If an institution is buying credit protection on a pool of reference names, then this credit protection 
is only considered the same if the bought credit protection covers the entirety of the subsets of the 
pool on which credit protection has been sold. In other words, offsetting may only be recognised 
when the pool of reference entities and the level of subordination in both transactions are identical. 
For each reference name, the notional amounts of credit protection taken into for the reporting 
purpose in this cell shall not exceed the amounts reported in {0020;0075} and {0050;0075}.  
{0060;0010}  Financial derivatives – Accounting balance sheet value  
Point (77) of Article 4(1) CRR 
Institutions shall report the accounting balance sheet value under the applicable accounting 
framework of contracts listed in Annex II CRR where the contracts are recognised as assets on 
the balance sheet.  
{0060;0020}  Financial derivatives – Accounting value assuming no netting or other CRM  
Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting 
framework of contracts listed in Annex II CRR where the contracts are recognised as assets on the 
balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of 
accounting netting or CRM that have affected the accounting value shall be reversed)  
{0060;0070}  Financial derivatives – Notional amount  
This cell shall include the notional amount referenced by contracts listed in Annex II CRR.  
{0071;0010}  Security Financing Transactions – Accounting balance sheet value  
Point (77) of Article 4(1) CRR; the accounting balance sheet value of SFTs under the applicable 
accounting framework where the contracts are recognised as assets on the balance sheetEN L 97/1442 Official Journal of the European Union 19.3.2021
 
Row and 
column  Legal references and instructions  
Institutions shall not include in this cell cash received or any security that is provided to a 
counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the 
accounting criteria for derecognition are not met). Institutions shall instead include this in 
{0090,0010}.  
{0071;0020}  Security Financing Transactions – Accounting value assuming no netting or other CRM  
Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting 
framework where the contracts are recognised as an asset on the balance sheet assuming no 
prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or 
CRM that have affected the accounting value shall be reversed). 
Where sale accounting is achieved for an SFT under the applicable accounting framework, insti ­
tutions shall reverse all sales-related accounting entries. 
Institutions shall not include in this cell cash received or any security that is provided to a 
counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the 
accounting criteria for derecognition are not met). Institutions shall instead include this in 
{0090,0020}.  
{0090;0010}  Other assets – Accounting balance sheet value  
Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting 
framework of all assets other than contracts listed in Annex II CRR, credit derivatives and SFTs.  
{0090;0020}  Other assets – Accounting value assuming no netting or other CRM  
Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting 
framework of all assets other than contracts listed in Annex II CRR, credit derivatives and SFTs 
assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM 
that have affected the accounting value shall be reversed)  
{0095;0070}  Off-balance sheet items  
Institutions shall report the nominal value of off-balance sheet items. This value shall not be 
reduced by specific credit risk adjustments. 
Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives and 
SFTs in accordance with Article 429f(1) CRR.  
{0210;0020}  Cash collateral received in derivatives transactions – Accounting value assuming no netting 
or other CRM  
The accounting balance sheet value under the applicable accounting framework of cash collateral 
received in derivatives transactions assuming no accounting netting or other CRM effects (i.e. any 
effects of accounting netting or CRM that have affected the accounting value shall be reversed)EN 19.3.2021 Official Journal of the European Union L 97/1443
 
Row and 
column  Legal references and instructions  
For the purpose of this cell, cash shall be defined as the total amount of cash including coins and 
banknotes/currency. Total amount of deposits held with central banks shall be included to the 
extent that these deposits can be withdrawn in times of stress. Institutions shall not report cash on 
deposit with other institutions in this cell.  
{0220;0020}  Receivables for cash collateral posted in derivatives transactions – Accounting value 
assuming no netting or other CRM  
The accounting balance sheet value under the applicable accounting framework of receivables for 
cash collateral posted against derivatives transactions assuming no accounting netting or CRM 
effects (i.e. any effects of accounting netting or CRM that have affected the accounting value 
shall be reversed) 
Institutions that are permitted under the applicable accounting framework to net the receivable for 
cash collateral posted against the related derivative liability (negative fair value) and that elect to do 
so shall reverse out the netting and report the net cash receivable.  
{0230;0020}  Securities received in an SFT that are recognised as an asset – Accounting value assuming 
no netting or other CRM  
The accounting balance sheet value under the applicable accounting framework of securities 
received in an SFT that are recognised as an asset under the applicable accounting framework 
assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM 
that have affected the accounting value shall be reversed)  
{0240;0020}  SFT cash conduit lending (cash receivables) – Accounting value assuming no netting or 
other CRM  
The accounting balance sheet value under the applicable accounting framework of the cash 
receivable for the cash on-lent to the securities owner in a qualifying cash conduit lending trans ­
action (CCLT) assuming no accounting netting or other CRM effects (i.e. any effects of accounting 
netting or CRM that have affected the accounting value shall be reversed) 
For the purpose of this cell, cash shall be defined as the total amount of cash including coins and 
banknotes/currency. Total amount of deposits held with central banks shall be included to the 
extent that these deposits can be withdrawn in times of stress. Institutions shall not report in this 
cell cash on deposit with other institutions. 
A CCLT shall be defined as a combination of two transactions where an institution borrows 
securities from the securities owner and on-lends securities to the securities borrower. Concurrently, 
the institution receives cash collateral from the securities borrower and on-lends the cash received 
to the securities owner. A qualifying CCLT shall comply with all the following conditions: 
(a) both of the individual transactions which comprise the qualifying CCLT shall be effected on the 
same trade date, or for international transactions adjacent business days; 
(b) where its comprising transactions do not specify a maturity, the institution shall have the legal 
right to close out either side of the CCLT, that is both of its comprising transactions, at any 
time and without prior notice;EN L 97/1444 Official Journal of the European Union 19.3.2021
 
Row and 
column  Legal references and instructions  
(c) where its comprising transactions specify a maturity, the CCLT shall not give rise to maturity 
mismatches for the institution; the institution shall have the legal right to close out either side 
of the CCLT, that is both of its comprising transactions, at any time and without prior notice; 
(d) it does not give rise to any other incremental exposures.  
{0270;0010}  Public sector investments- Claims on central governments – Accounting balance sheet value  
Where the institution is a public development credit institution, the accounting balance sheet value 
under the applicable accounting framework of assets that constitute claims on central governments 
in relation to public sector investments 
The accounting balance sheet values of an institution that is treated as a public development credit 
institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall 
also be considered.  
{0280;0010}  Public sector investments- Claims on regional governments – Accounting balance sheet 
value  
Where the institution is a public development credit institution, the accounting balance sheet value 
under the applicable accounting framework of assets that constitute claims on regional 
governments in relation to public sector investments 
The accounting balance sheet values of an institution that is treated as a public development credit 
institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall 
also be considered.  
{0290;0010}  Public sector investments – Claims on local authorities – Accounting balance sheet value  
Where the institution is a public development credit institution, the accounting balance sheet value 
under the applicable accounting framework of assets that constitute claims on local authorities in 
relation to public sector investments 
The accounting balance sheet values of an institution that is treated as a public development credit 
institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall 
also be considered.  
{0300;0010}  Public sector investments- Claims on public sector entities – Accounting balance sheet value  
Where the institution is a public development credit institution, the accounting balance sheet value 
under the applicable accounting framework of assets that constitute claims on public sector entities 
in relation to public sector investments 
The accounting balance sheet values of the unit of an institution that is treated as a public 
development credit institution by a competent authority in accordance with the last paragraph 
of Article 429a(2) shall also be considered.  
{0310;0010}  Promotional loans – Claims on central governments – Accounting balance sheet value  
Where the institution is a public development credit institution, the accounting balance sheet value 
under the applicable accounting framework of assets that constitute claims on central governments 
in relation to promotional loansEN 19.3.2021 Official Journal of the European Union L 97/1445
 
Row and 
column  Legal references and instructions  
The accounting balance sheet values of the unit of an institution that is treated as a public 
development credit institution by a competent authority in accordance with the last paragraph 
of Article 429a(2) shall also be considered.  
{0310;0070}  Promotional loans – Claims on central governments – Notional amount/nominal value  
Where the institution is a public development credit institution, the nominal amount of off 
balance-sheet items in relation to the undrawn part of promotional loans granted to central 
governments 
The nominal amounts of the unit of an institution that is treated as a public development credit 
institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall 
also be considered.  
{0320;0010}  Promotional loans – Claims on regional governments – Accounting balance sheet value  
Where the institution is a public development credit institution, the accounting balance sheet value 
under the applicable accounting framework of assets that constitute claims on regional 
governments in relation to promotional loans 
The accounting balance sheet values of the unit of an institution that is treated as a public 
development credit institution by a competent authority in accordance with the last paragraph 
of Article 429a(2) shall also be considered.  
{0320;0070}  Promotional loans – Claims on regional governments – Notional amount/nominal value  
Where the institution is a public development credit institution, the nominal amount of off 
balance-sheet items in relation to the undrawn part of promotional loans granted to regional 
governments 
The nominal amounts of the unit of an institution that is treated as a public development credit 
institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall 
also be considered.  
{0330;0010}  Promotional loans – Claims on local authorities – Accounting balance sheet value  
Where the institution is a public development credit institution, the accounting balance sheet value 
under the applicable accounting framework of assets that constitute claims on local authorities in 
relation to promotional loans 
The accounting balance sheet values of the unit of an institution that is treated as a public 
development credit institution by a competent authority in accordance with the last paragraph 
of Article 429a(2) shall also be considered.  
{0330;0070}  Promotional loans – Claims on local authorities – Notional amount/nominal value  
Where the institution is a public development credit institution, the nominal amount of off 
balance-sheet items in relation to the undrawn part of promotional loans granted to local 
authorities 
The nominal amounts of the unit of an institution that is treated as a public development credit 
institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall 
also be considered.EN L 97/1446 Official Journal of the European Union 19.3.2021
 
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column  Legal references and instructions  
{0340;0010}  Promotional loans – Claims on public sector entities – Accounting balance sheet value  
Where the institution is a public development credit institution, the accounting balance sheet value 
under the applicable accounting framework of assets that constitute claims on public sector entities 
in relation to promotional loans 
The accounting balance sheet values of the unit of an institution that is treated as a public 
development credit institution by a competent authority in accordance with the last paragraph 
of Article 429a(2) shall also be considered.  
{0340;0070}  Promotional loans – Claims on public sector entities – Notional amount/nominal value  
Where the institution is a public development credit institution, the nominal amount of off 
balance-sheet items in relation to the undrawn part of promotional loans granted to public 
sector entities 
The nominal amounts of the unit of an institution that is treated as a public development credit 
institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall 
also be considered.  
{0350;0010}  Promotional loans – Claims on non-financial corporations – Accounting balance sheet value  
Where the institution is a public development credit institution, the accounting balance sheet value 
under the applicable accounting framework of assets that constitute claims on non-financial 
corporations in relation to promotional loans 
The accounting balance sheet values of the unit of an institution that is treated as a public 
development credit institution by a competent authority in accordance with the last paragraph 
of Article 429a(2) shall also be considered.  
{0350;0070}  Promotional loans – Claims on non-financial corporations – Notional amount/nominal value  
Where the institution is a public development credit institution, the nominal amount of off 
balance-sheet items in relation to the undrawn part of promotional loans granted to non- 
financial corporations 
The nominal amounts of the unit of an institution that is treated as a public development credit 
institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall 
also be considered.  
{0360;0010}  Promotional loans – Claims on households – Accounting balance sheet value  
Where the institution is a public development credit institution, the accounting balance sheet value 
under the applicable accounting framework of assets that constitute claims on households in 
relation to promotional loans 
The accounting balance sheet values of the unit of an institution that is treated as a public 
development credit institution by a competent authority in accordance with the last paragraph 
of Article 429a(2) shall also be considered.  
{0360;0070}  Promotional loans – Claims on households – Notional amount/nominal value  
Where the institution is a public development credit institution, the nominal amount of off 
balance-sheet items in relation to the undrawn part of promotional loans granted to households 
The nominal amounts of the unit of an institution that is treated as a public development credit 
institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall 
also be considered.EN 19.3.2021 Official Journal of the European Union L 97/1447
 
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{0370;0010}  Promotional loans – Passing-through- Accounting balance sheet value  
Where the institution is a public development credit institution, the accounting balance sheet value 
under the applicable accounting framework of passing-through promotional loans, when the 
promotional loans have not been granted by the institution itself 
The accounting balance sheet values of the unit of an institution that is treated as a public 
development credit institution by a competent authority in accordance with the last paragraph 
of Article 429a(2) shall also be considered.  
{0370;0070}  Promotional loans – Passing-through- Notional amount/nominal value  
Where the institution is a public development credit institution, the nominal amount of off 
balance-sheet items in relation to the undrawn part of passing-through promotional loans, when 
the promotional loans have not been granted by the institution itself 
The nominal amounts of the unit of an institution that is treated as a public development credit 
institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall 
also be considered.  
{0380;0010}  Central bank exposures – Accounting balance sheet value  
Institutions shall report, in accordance with the applicable accounting framework, the value of the 
following exposures to the institution’s central bank: (i) coins and banknotes constituting legal 
currency in the jurisdiction of the central bank; (ii) assets representing claims on the central bank, 
including reserves held at the central bank. 
Institutions shall only include exposures that meet both of the following conditions: (a) they are 
denominated in the same currency as the deposits taken by the institution; (b) their average 
maturity does not significantly exceed the average maturity of the deposits taken by the institution. 
Institutions shall report these exposures irrespectively of whether they are exempted from the total 
exposure measure following Article 429a(5) and (6) CRR.  
{0390;0140}  The central bank exposures value used for the calculation of the adjusted leverage ratio 
requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount  
The daily average total value of the institution’s exposures to its central bank, calculated over the 
full reserve maintenance period of the central bank just preceding the date referred to in point (c) 
of Article 429a(5) CRR, that are eligible to be excluded in accordance with point (n) of 
Article 429a(1) CRR.  
{0400;0140}  Leverage ratio exposure measure used for the calculation of the adjusted leverage ratio 
requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount  
The institution’s total exposure measure as defined in Article 429(4) CRR, including any exposures 
excluded in accordance with point (n) of Article 429(1) CRR, on the date referred to in point (c) of 
Article 429a(5) CRR  
{0410;0010}  Total assets  
Institutions shall report in this item the total assets following the scope used in the published 
financial statements.  
5. C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4)  
24. Institutions shall report the leverage ratio exposure values in LR4 after the application of exemptions and 
deductions in the LRCalc template, i.e. the items with a negative sign in accordance with the sign convention 
in paragraph 9 of Part I of this Annex, except rows {0270;0010} {0280;0010}.EN L 97/1448 Official Journal of the European Union 19.3.2021
 
25. In order to avoid double-counting, institutions shall uphold the following equation:  
The sum of all rows from {0010; 0010} to {0267;0010} in template LRCalc shall be equal to = 
[{LR4;0010;0010} + {LR4;0040;0010} + {LR4;0050;0010} + {LR4;0060;0010} + {LR4;0065;0010} + 
{LR4;0070;0010} + {LR4;0080;0010} + {LR40;080;0020} + {LR4;0090;0010} + {LR4;00090;0020} + 
{LR4;0140;0010} + {LR4;0140;0020} + {LR4;0180;0010} + {LR4;0180;0020} + {LR4;190;0010} + 
{LR4;0190;0020} + {LR4;0210;0010} + {LR4;0210;0020} + {LR4;0230;0010} + {LR4;0230;0020} + 
{LR4;0280;0010} + {LR4;0280;0020} + {LR4;0290;0010} + {LR4;0290;0020}].  
26. In order to be consistent with the leverage ratio exposure values, the risk-weighted exposure amounts shall also 
be reported fully phased in.  
27. Institutions shall report the counterparty in relation to RWEA after credit risk mitigation (CRM) techniques and 
its substitution effects. Institutions shall report the counterparty in relation to LRE in accordance with the 
original counterparty, i.e. without taking into account any CRM or substitution effect applicable to RWEA.  
Row and 
column  Legal references and instructions  
{0010;0010}  Off-balance sheet items– Leverage Ratio Exposure Value  
The leverage ratio exposure value calculated as the sum of {LRCalc;0150;0010}, 
{LRCalc;0160;0010}, {LRCalc;0170;0010} and {LRCalc;0180;0010} excluding the respective 
intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR.  
{0010;0020}  Off-balance sheet items– RWEA  
The risk-weighted exposure amount of off-balance sheet items – excluding SFTs and derivatives – as 
in the Standardised Approach and the IRB Approach. For exposures under the Standardised 
Approach, institutions shall determine the risk-weighted exposure amount in accordance with 
Chapter 2 of Title II of Part Three CRR. For exposures under the IRB Approach, institutions 
shall determine the risk-weighted exposure amount in accordance with Chapter 3 of Title II of 
Part Three CRR.  
{0020;0010}  of which: Trade Finance;– Leverage Ratio Exposure Value  
The leverage ratio exposure value of off-balance sheet items related to trade finance 
For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate 
to issued and confirmed import and export letters of credit that are short-term and self-liquidating, 
and similar transactions.  
{0020;0020}  of which: Trade Finance– RWEA  
The risk-weighted exposure value of off-balance sheet items – excluding SFTs and derivatives – 
related to trade finance 
For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate 
to issued and confirmed import and export letters of credit that are short-term and self-liquidating, 
and similar transactions.  
{0030;0010}  of which: Under official export credit insurance scheme – Leverage Ratio Exposure Value  
The leverage ratio exposure value of off-balance sheet items related to trade finance under an 
official export credit insurance schemeEN 19.3.2021 Official Journal of the European Union L 97/1449
 
Row and 
column  Legal references and instructions  
For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to 
official support provided by the government or another entity such as an export credit agency in 
the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed 
interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit 
insurance and guarantees.  
{0030;0020}  of which: Under official export credit insurance scheme – RWEA  
The risk-weighted exposure value of off-balance sheet items – excluding SFTs and derivatives – 
related to trade finance under an official export credit insurance scheme 
For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to 
official support provided by the government or another entity such as an export credit agency in 
the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed 
interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit 
insurance and guarantees.  
{0040;0010}  Derivatives and SFTs subject to a cross-product netting agreement – Leverage Ratio 
Exposure Value  
The leverage ratio exposure value of derivatives and SFTs if subject to a cross-product netting 
agreement as defined in Article 272(25) CRR  
{0040;0020}  Derivatives and SFTs subject to a cross-product netting agreement – RWEA  
The risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title 
II of Part Three CRR of derivatives and SFTs, including those that are off-balance sheet, if subject to 
a cross-product netting agreement as defined in Article 272(25) CRR  
{0050;0010}  Derivatives not subject to a cross-product netting agreement – Leverage Ratio Exposure 
Value  
The leverage ratio exposure value of derivatives if not subject to a cross-product netting agreement 
as defined in Article 272(25) CRR  
{0050;0020}  Derivatives not subject to a cross-product netting agreement – RWEA  
The risk-weighted exposure amounts to credit and counterparty credit risk of derivatives as 
calculated under Title II of Part Three CRR, including those that are off-balance sheet, if not 
subject to a cross-product netting agreement as defined in Article 272(25) CRR  
{0060;0010}  SFTs not subject to a cross-product netting agreement – Leverage Ratio Exposure Value  
The leverage ratio exposure value of exposures of SFTs if not subject to a cross-product netting 
agreement as defined in Article 272(25) CRR  
{0060;0020}  SFTs not subject to a cross-product netting agreement – RWEA  
The risk-weighted exposure amounts to credit and counterparty credit risk of SFTs, as calculated 
under Title II of Part Three CRR, including those that are off-balance sheet, if not subject to a cross- 
product netting agreement as defined in Article 272(25) CRREN L 97/1450 Official Journal of the European Union 19.3.2021
 
Row and 
column  Legal references and instructions  
{0065;0010}  Exposure amounts resulting from the additional treatment for credit derivatives – Leverage 
Ratio Exposure Value  
This cell shall equal the difference between {LRCalc;0130;0010} and {LRCalc;0140;0010} excluding 
the respective intragroup exposures (solo basis) exempted in accordance with point (c) of 
Article 429a(1) CRR.  
{0070;0010}  Other assets belonging to the trading book – Leverage Ratio Exposure Value  
The leverage ratio exposure value of items reported in {LRCalc;0190;0010} excluding non-trading 
book items  
{0070;0020}  Other assets belonging to the trading book – RWEA  
Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three CRR  
{0080;0010}  Covered bonds – Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures in the form of covered bonds as 
in Article 129 CRR 
Institutions shall report net of defaulted SA exposures.  
{0080;0020}  Covered bonds – Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures in the form of covered bonds as 
in point (d) of Article 161(1) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0080;0030}  Covered bonds – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures in the form of covered bonds 
as in Article 129 CRR 
Institutions shall report net of defaulted SA exposures.  
{0080;0040}  Covered bonds – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures in the form of covered bonds 
as in point (d) of Article 161(1) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0090,0010}  Exposures treated as sovereigns – Leverage Ratio Exposure Value – SA exposures  
This shall be the sum of cells from {0100,0010} to {0130,0010}. 
Institutions shall report net of defaulted SA exposures.  
{0090;0020}  Exposures treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures  
This shall be the sum of cells from {0100,0020} to {0130,0020}. 
Institutions shall report net of defaulted IRB exposures.  
{0090;0030}  Exposures treated as sovereigns – RWEA – SA exposures  
This shall be the sum of cells from {0100,0030} to {0130,0030}. 
Institutions shall report net of defaulted SA exposures.EN 19.3.2021 Official Journal of the European Union L 97/1451
 
Row and 
column  Legal references and instructions  
{0090;0040}  Exposures treated as sovereigns – RWEA – IRB exposures  
This shall the sum of cells from {0100,0040} to {0130,0040}. 
Institutions shall report net of defaulted IRB exposures.  
{0100;0010}  Central governments and central banks – Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to central governments or central 
banks as in Article 114 CRR 
Institutions shall report net of defaulted SA exposures.  
{0100;0020}  Central governments and central banks – Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to central governments or central 
banks as in point (a) of Article 147(2) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0100;0030}  Central governments and central banks – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to central governments or 
central banks as in Article 114 CRR 
Institutions shall report net of defaulted SA exposures.  
{0100;0040}  Central governments and central banks – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to central governments or 
central banks as in point (a) of Article 147(2) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0110;0010}  Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure 
Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to regional governments and local 
authorities treated as sovereigns that fall under paragraph (2) and (4) of Article 115 CRR 
Institutions shall report net of defaulted SA exposures.  
{0110;0020}  Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure 
Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to regional governments and 
local authorities that fall under point (a) of Article 147(3) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0110;0030}  Regional governments and local authorities treated as sovereigns – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to regional governments and 
local authorities treated as sovereigns that fall under paragraphs (2) and (4) of Article 115 CRR 
Institutions shall report net of defaulted SA exposures.EN L 97/1452 Official Journal of the European Union 19.3.2021
 
Row and 
column  Legal references and instructions  
{0110;0040}  Regional governments and local authorities treated as sovereigns – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to regional governments and 
local authorities that fall under point (a) of Article 147(3) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0120;0010}  MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure 
Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to multilateral development banks 
and international organisations that fall under Articles 117(2) and 118 CRR 
Institutions shall report net of defaulted SA exposures.  
{0120;0020}  MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure 
Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to multilateral development 
banks and international organisations that fall under point (b) and (c) of Article 147(3) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0120;0030}  MDBs and international organisations treated as sovereigns – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to multilateral development 
banks and international organisations that fall under Articles 117(2) and 118 CRR 
Institutions shall report net of defaulted SA exposures.  
{1020;0040}  MDBs and international organisations treated as sovereigns – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to multilateral development 
banks and international organisations that fall under point (b) and (c) of Article 147(3) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0130;0010}  PSEs treated as sovereigns – Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to public sector entities that fall 
under Article 116(4) CRR 
Institutions shall report net of defaulted SA exposures.  
{0130;0020}  PSEs treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure amount of assets that are IRB exposures to public sector entities that 
fall under point (a) of Article 147(3) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0130;0030}  PSEs treated as sovereigns – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to public sector entities that fall 
under Article 116(4) CRR 
Institutions shall report net of defaulted SA exposures.EN 19.3.2021 Official Journal of the European Union L 97/1453
 
Row and 
column  Legal references and instructions  
{0130;0040}  PSEs treated as sovereigns – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to public sector entities that 
fall under point (a) of Article 147(3) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0140;0010}  Exposures to regional governments, MDBs, international organisations and PSEs not treated 
as sovereigns – Leverage Ratio Exposure Value – SA exposures  
This is shall be the sum of cells from {0150,0010} to {0170,0010}. 
Institutions shall report net of defaulted SA exposures.  
{0140;0020}  Exposures to regional governments, MDBs, international organisations and PSEs not treated 
as sovereigns – Leverage Ratio Exposure Value – IRB exposures  
This shall be the sum of cells from {0150,0020} to {0170,0020}. 
Institutions shall report net of defaulted IRB exposures.  
{0140;0030}  Exposures to regional governments, MDBs, international organisations and PSEs not treated 
as sovereigns – RWEA – SA exposures  
This shall be the sum of cells from {0150,0030} to {0170,0030}. 
Institutions shall report net of defaulted SA exposures.  
{0140;0040}  Exposures to regional governments, MDBs, international organisations and PSEs not treated 
as sovereigns – RWEA – IRB exposures  
This shall be the sum of cells from {0150,0040} to {0170,0040}. 
Institutions shall report net of defaulted IRB exposures.  
{0150;0010}  Regional governments and local authorities not treated as sovereigns – Leverage Ratio 
Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to regional governments and local 
authorities not treated as sovereigns that fall under paragraphs (1), (3) and (5) of Article 115 CRR 
Institutions shall report net of defaulted SA exposures.  
{0150;0020}  Regional governments and local authorities not treated as sovereigns – Leverage Ratio 
Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to regional governments and 
local authorities not treated as sovereigns that fall under point (a) of Article 147(4) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0150;0030}  Regional governments and local authorities not treated as sovereigns – RWEA – SA 
exposures  
The risk-weighted exposure amount of assets that are SA exposures to regional governments and 
local authorities not treated as sovereigns that fall under paragraphs (1), (3) and (5) of Article 115 
CRR 
Institutions shall report net of defaulted SA exposures.EN L 97/1454 Official Journal of the European Union 19.3.2021
 
Row and 
column  Legal references and instructions  
{0150;0040}  Regional governments and local authorities not treated as sovereigns – RWEA – IRB 
exposures  
The risk-weighted exposure amount of assets that are IRB exposures to regional governments and 
local authorities not treated as sovereigns that fall under point (a) of Article 147(4) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0160;0010}  MDBs  not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to multilateral development banks 
that fall under paragraphs (1) and (3) of Article 117 CRR 
Institutions shall report net of defaulted SA exposures.  
{0160;0020}  MDBs  not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to multilateral development 
banks not treated as sovereigns that fall under point (c) of Article 147(4) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0160;0030}  MDBs not treated as sovereigns – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to multilateral development 
banks that fall under paragraphs (1) and (3) of Article 117 CRR 
Institutions shall report net of defaulted SA exposures.  
{0160;0040}  MDBs not treated as sovereigns – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to multilateral development 
banks not treated as sovereigns that fall under point (c) of Article 147(4) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0170;0010}  PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to public sector entities that fall 
under paragraphs (1), (2), (3) and (5) of Article 116 CRR 
Institutions shall report net of defaulted SA exposures.  
{0170;0020}  PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to public sector entities not 
treated as sovereigns that fall under point (b) of Article 147(4) CRR 
Institutions shall report net of defaulted IRB exposures.EN 19.3.2021 Official Journal of the European Union L 97/1455
 
Row and 
column  Legal references and instructions  
{0170;0030}  PSEs not treated as sovereigns – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to public sector entities that fall 
under paragraphs (1), (2), (3) and (5) of Article 116 CRR 
Institutions shall report net of defaulted SA exposures.  
{0170;0040}  PSEs not treated as sovereigns – RWEA – IRB exposures  
The risk-weighted exposure amount assets that are IRB exposures to public sector entities not 
treated as sovereigns that fall under point (b) of Article 147(4) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0180;0010}  Institutions – Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to institutions that fall under 
Articles 119 to 121 CRR 
Institutions shall report net of defaulted SA exposures.  
{0180;0020}  Institutions – Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to institutions that fall under 
point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point 
(d) of Article 161(1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0180;0030}  Institutions – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to institutions that fall under 
Articles 119 to 121 CRR 
Institutions shall report net of defaulted SA exposures.  
{0180;0040}  Institutions – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to institutions that fall under 
point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point 
(d) of Article 161(1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0190;0010}  Secured by mortgages on immovable properties– Leverage Ratio Exposure Value – SA 
exposures  
The leverage ratio exposure value of assets that are SA exposures secured by mortgages on 
immovable property that fall under Article 124 CRR 
Institutions shall report net of defaulted SA exposures.EN L 97/1456 Official Journal of the European Union 19.3.2021
 
Row and 
column  Legal references and instructions  
{0190;0020}  Secured by mortgages on immovable properties– Leverage Ratio Exposure Value – IRB 
exposures  
The leverage ratio exposure value of assets that are IRB exposures to corporate under point (c) of 
Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are 
secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0190;0030}  Secured by mortgages on immovable properties– RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures secured by mortgages on 
immovable property that fall under Article 124 CRR 
Institutions shall report net of defaulted SA exposures.  
{0190;0040}  Secured by mortgages on immovable properties– RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to corporate under point (c) of 
Article 147(2 or retail exposures under point (d) of Article 147(2) CRR if these exposures are 
secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0200;0010}  of which: Secured by mortgages of residential properties – Leverage Ratio Exposure Value – 
SA exposures  
The leverage ratio exposure value of assets that are SA exposures fully and completely secured by 
mortgages on residential property that fall under Article 125 CRR 
Institutions shall report net of defaulted SA exposures.  
{0200;0020}  of which: Secured by mortgages of residential properties – Leverage Ratio Exposure Value – 
IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of 
Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are 
secured by mortgages on residential property in accordance with point (a) of Article 199(1) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0200;0030}  of which: Secured by mortgages of residential properties – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures fully and completely secured by 
mortgages on residential property that fall under Article 125 CRR 
Institutions shall report net of defaulted SA exposures.EN 19.3.2021 Official Journal of the European Union L 97/1457
 
Row and 
column  Legal references and instructions  
{0200;0040}  of which: Secured by mortgages of residential properties – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) 
of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are 
secured by mortgages on residential property in accordance with point (a) of Article 199(1) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0210;0010}  Retail exposures– Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are retail SA exposures that fall under Article 123 
CRR 
Institutions shall report net of defaulted SA exposures.  
{0210;0020}  Retail exposures– Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are retail IRB exposures under point (d) of 
Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in 
accordance with point (a) of Article 199(1) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0210;0030}  Retail exposures– RWEA – SA exposures  
The risk-weighted exposure amount of assets that are retail SA exposures that fall under Article 123 
CRR 
Institutions shall report net of defaulted SA exposures.  
{0210;0040}  Retail exposures– RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are retail IRB exposures under point (d) of 
Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in 
accordance with point (a) of Article 199(1) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0220;0010}  of which: Retail SME – Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are retail SA exposures to small- and medium-sized 
enterprises that fall under Article 123 CRR 
For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined 
in point (b) of Article 501(2) CRR. 
Institutions shall report net of defaulted SA exposures.  
{0220;0020}  of which: Retail SME – Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are retail IRB exposures under point (d) of 
Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises 
and are not secured by mortgages on immovable property in accordance with point (a) of 
Article 199(1) CRREN L 97/1458 Official Journal of the European Union 19.3.2021
 
Row and 
column  Legal references and instructions  
For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined 
in point (b) of Article 501(2) CRR. 
Institutions shall report net of defaulted IRB exposures.  
{0220;0030}  of which: Retail SME – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are retail SA exposures to small- and medium- 
sized enterprises that fall under Article 123 CRR 
For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined 
in point (b) of Article 501(2) CRR. 
Institutions shall report net of defaulted SA exposures.  
{0220;0040}  of which: Retail SME – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are retail IRB exposures under point (d) of 
Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises 
and are not secured by mortgages on immovable property in accordance with point (a) of 
Article 199(1) CRR 
For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined 
in point (b) of Article 501(2) CRR. 
Institutions shall report net of defaulted IRB exposures.  
{0230;0010}  Corporate– Leverage Ratio Exposure Value – SA exposures  
This shall be the sum of {0240,0010} and {0250,0010}. 
Institutions shall report net of defaulted SA exposures.  
{0230;0020}  Corporate– Leverage Ratio Exposure Value – IRB exposures  
This shall be the sum of {0240,0020} and {0250,0020}. 
Institutions shall report net of defaulted IRB exposures.  
{0230;0030}  Corporate– RWEA – SA exposures  
This shall be the sum of {0240,0030} and {0250,0030}. 
Institutions shall report net of defaulted SA exposures.  
{0230;0040}  Corporate– RWEA – IRB exposures  
This shall be the sum of {0240,0040} and {0250,0040}. 
Institutions shall report net of defaulted IRB exposures.  
{0240;0010}  Financial – Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to financial corporates that fall 
under Article 122 CRR 
For the purpose of the reporting in LR4, financial corporates shall mean regulated and unregulated 
undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to 
acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 
2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than 
institutions referred to in {0180;0010}. 
Institutions shall report net of defaulted SA exposures.EN 19.3.2021 Official Journal of the European Union L 97/1459
 
Row and 
column  Legal references and instructions  
{0240;0020}  Financial – Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to financial corporates under 
point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable 
property in accordance with point (a) of Article 199(1) CRR 
For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated 
undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to 
acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 
2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than 
institutions referred to in {0180;0010}. 
Institutions shall report net of defaulted IRB exposures.  
{0240;0030}  Financial – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to financial corporates that fall 
under Article 122 CRR 
For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated 
undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to 
acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 
2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than 
institutions referred to in {0180;0010}. 
Institutions shall report net of defaulted SA exposures.  
{0240;0040}  Financial – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to financial corporates under 
point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable 
property in accordance with point (a) of Article 199(1) CRR 
For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated 
undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to 
acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 
2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than 
institutions referred to in {0180;0010}. 
Institutions shall report net of defaulted IRB exposures.  
{0250;0010}  Non-financial– Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to non-financial corporates that 
fall under Article 122 CRR 
This shall be the sum of {0260,0010} and {0270,0010}. 
Institutions shall report net of defaulted SA exposures.  
{0250;0020}  Non-financial– Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to non-financial corporates under 
point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable 
property in accordance with point (a) of Article 199(1) CRREN L 97/1460 Official Journal of the European Union 19.3.2021
 
Row and 
column  Legal references and instructions  
This shall be the sum of {0260,0020} and {0270,0020}. 
Institutions shall report net of defaulted IRB exposures.  
{0250;0030}  Non-financial– RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to non-financial corporates that 
fall under Article 122 CRR 
This shall be the sum of {0260,0030} and {0270,0030}. 
Institutions shall report net of defaulted SA exposures.  
{0250;0040}  Non-financial– RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to non-financial corporates 
under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on 
immovable property in accordance with point (a) of Article 199(1) CRR 
This shall be the sum of {0260,0040} and {0270,0040}. 
Institutions shall report net of defaulted IRB exposures.  
{0260;0010}  SME exposures – Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to corporates in the form of 
small- and medium-sized enterprises that fall under Article 122 CRR 
For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined 
in point (b) of Article 501(2) CRR. 
Institutions shall report net of defaulted SA exposures.  
{0260;0020}  SME exposures – Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of 
Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and 
are not secured by mortgages on immovable property in accordance with point (a) of 
Article 199(1) CRR 
For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined 
in point (b) of Article 501(2) CRR. 
Institutions shall report net of defaulted IRB exposures.  
{0260;0030}  SME exposures – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to corporates in the form of 
small- and medium-sized enterprises that fall under Article 122 CRR 
For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined 
in point (b) of Article 501(2) CRR. 
Institutions shall report net of defaulted SA exposures.  
{0260;0040}  SME exposures – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) 
of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and 
are not secured by mortgages on immovable property in accordance with point (a) of 
Article 199(1) CRREN 19.3.2021 Official Journal of the European Union L 97/1461
 
Row and 
column  Legal references and instructions  
For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined 
in point (b) of Article 501(2) CRR. 
Institutions shall report net of defaulted IRB exposures.  
{0270;0010}  Exposures other than SME exposures – Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to corporates that fall under 
Article 122 CRR and that are not reported in {0230;0040} and {0250;0040} 
Institutions shall report net of defaulted SA exposures.  
{0270;0020}  Exposures other than SME exposures – Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of 
Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in 
accordance with point (a) of Article 199(1) CRR and that are not reported in {0230;0040} and 
{0250;0040} 
Institutions shall report net of defaulted IRB exposures.  
{0270;0030}  Exposures other than SME exposures – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to corporates that fall under 
Article 122 CRR and that are not reported in {0230;0040} and {0250;0040} 
Institutions shall report net of defaulted SA exposures.  
{0270;0040}  Exposures other than SME exposures – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) 
of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in 
accordance with point (a) of Article 199(1) CRR and that are not reported in {0230;0040} and 
{0250;0040} 
Institutions shall report net of defaulted IRB exposures.  
{0280;0010}  Exposures in default – Leverage Ratio Exposure Value – SA exposures  
Institutions shall report the leverage ratio exposure value of assets that are SA exposures in default 
and thus fall under Article 127 CRR.  
{0280;0020}  Exposures in default – Leverage Ratio Exposure Value – IRB exposures  
Institutions shall report the leverage ratio exposure value of assets categorised in the exposures 
classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred.  
{0280;0030}  Exposures in default – RWEA – SA exposures  
Institutions shall report the risk-weighted exposure amount of assets that are exposures in default 
and thus fall under Article 127 CRR.  
{0280;0040}  Exposures in default – RWEA – IRB exposures  
Institutions shall report the risk-weighted exposure amount of assets categorised in the exposures 
classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred.EN L 97/1462 Official Journal of the European Union 19.3.2021
 
Row and 
column  Legal references and instructions  
{0290;0010}  Other exposures– Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets categorised in the exposures classes listed in paragraphs 
(k), (m), (n), (o), (p) and (q) of Article 112 CRR 
Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be 
categorised otherwise here, even if such a categorisation is not required for determining risk-based 
own funds requirements in columns {*; 0030} and {*; 0040}. 
Institutions shall report net of defaulted SA exposures.  
{0290;0020}  Other exposures– Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure amount of assets categorised in the exposures classes listed in points 
(e), (f) and (g) of Article 147(2) CRR 
Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be 
categorised otherwise here, even if such a categorisation is not required for determining risk-based 
own funds requirements in columns {*; 0030} and {*; 0040}. 
Institutions shall report net of defaulted IRB exposures.  
{0290;0030}  Other exposures– RWEA – SA exposures  
The risk-weighted exposure value of assets categorised in the exposures classes listed in paragraphs 
(k), (m), (n), (o), (p) and (q) of Article 112 CRR 
Institutions shall report net of defaulted SA exposures.  
{0290;0040}  Other exposures– RWEA – IRB exposures  
The risk-weighted exposure value of assets categorised in the exposures classes listed in points (e), 
(f) and (g) of Article 147(2) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0300;0010}  of which: Securitisation exposures – Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of assets that are SA exposures to securitisations that fall under 
Article 112(m) CRR 
Institutions shall report net of defaulted SA exposures.  
{0300;0020}  of which: Securitisation exposures – Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure value of assets that are IRB exposures to securitisations and fall under 
point (f) of Article 147(2) CRR 
Institutions shall report net of defaulted IRB exposures.  
{0300;0030}  of which: Securitisation exposures – RWEA – SA exposures  
The risk-weighted exposure amount of assets that are SA exposures to securitisations that fall under 
Article 112(m) CRR 
Institutions shall report net of defaulted SA exposures.  
{0300;0040}  of which: Securitisation exposures – RWEA – IRB exposures  
The risk-weighted exposure amount of assets that are IRB exposures to securitisations and fall 
under point (f) of Article 147(2) CRR 
Institutions shall report net of defaulted IRB exposures.EN 19.3.2021 Official Journal of the European Union L 97/1463
 
Row and 
column  Legal references and instructions  
{0310;0010}  Trade finance (memo item)– Leverage Ratio Exposure Value – SA exposures  
The leverage ratio exposure value of on-balance sheet items related to lending to an exporter or an 
importer of goods or services through import and export credits and similar transactions 
Institutions shall report net of defaulted SA exposures.  
{0310;0020}  Trade finance (memo item)– Leverage Ratio Exposure Value – IRB exposures  
The leverage ratio exposure amount of on-balance sheet items related to lending to an exporter or 
an importer of goods or services through import and export credits and similar transactions 
Institutions shall report net of defaulted IRB exposures.  
{0310;0030}  Trade finance (memo item)– RWEA – SA exposures  
The risk-weighted exposure value of on-balance sheet items related to lending to an exporter or an 
importer of goods or services through import and export credits and similar transactions 
Institutions shall report net of defaulted SA exposures.  
{0310;0040}  Trade finance (memo item)– RWEA – IRB exposures  
The risk-weighted exposure amount of on-balance sheet items related to lending to an exporter or 
an importer of goods or services through import and export credits and similar transactions 
Institutions shall report net of defaulted IRB exposures.  
{0320;0010}  of which: Under official export credit insurance scheme – Leverage Ratio Exposure Value – 
SA exposures  
The leverage ratio exposure value of on-balance sheet items related to trade finance under an 
official export credit insurance scheme 
For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to 
official support provided by the government or another entity such as an export credit agency in 
the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed 
interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit 
insurance and guarantees. 
Institutions shall report net of defaulted SA exposures.  
{0320;0020}  of which: Under official export credit insurance scheme – Leverage Ratio Exposure Value – 
IRB exposures  
The leverage ratio exposure amount of on-balance sheet items related to trade finance under an 
official export credit insurance scheme 
For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to 
official support provided by the government or another entity such as an export credit agency in 
the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed 
interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit 
insurance and guarantees. 
Institutions shall report net of defaulted IRB exposures.EN L 97/1464 Official Journal of the European Union 19.3.2021
 
Row and 
column  Legal references and instructions  
{0320;0030}  of which: Under official export credit insurance scheme – RWEA – SA exposures  
The risk-weighted exposure value of on-balance sheet items related to trade finance under an 
official export credit insurance scheme 
For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to 
official support provided by the government or another entity such as an export credit agency in 
the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed 
interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit 
insurance and guarantees. 
Institutions shall report net of defaulted SA exposures.  
{0320;0040}  of which: Under official export credit insurance scheme – RWEA – IRB exposures  
The risk-weighted exposure amount of on-balance sheet items related to trade finance under an 
official export credit insurance scheme 
For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to 
official support provided by the government or another entity such as an export credit agency in 
the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed 
interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit 
insurance and guarantees. 
Institutions shall report net of defaulted IRB exposures.  
6. C 44.00 – General information (LR5)  
28. Additional information is collected here for the purpose of categorising the institution activities and the 
regulatory options chosen by the institution.  
Row and 
column  Instructions  
{0010;0010}  Institution’s company structure  
The institution shall classify its company structure in accordance with the categories given below: 
— Joint stock company; 
— Mutual/cooperative; 
— Other non-joint stock company.  
{0020;0010}  Derivatives treatment  
The institution shall specify the regulatory derivatives treatment in accordance with the categories 
given below: 
— Standardised Approach for Counterparty Credit Risk (SA-CCR); 
— Simplified Standardised Approach for Counterparty Credit Risk; 
— Original exposure method.  
{0040;0010}  Institution type  
The institution shall classify its institution type in accordance with the categories given below: 
— Universal banking (retail/commercial and investment banking); 
— Retail/commercial banking; 
— Investment banking;EN 19.3.2021 Official Journal of the European Union L 97/1465
 
Row and 
column  Instructions  
— Specialised lender; 
— Public development credit institutions; 
— Other business model.  
{0070;0010}  Institution with a public development unit  
Institutions that are not public development credit institutions shall indicate whether they have a 
public development unit.  
{0080;0010}, 
{00090;0010}, 
{0100;0010}  Entity guaranteeing the public development credit institution/unit in accordance with 
point (d) of Article 429a(2) CRR: Central government, Regional government, Local 
authority  
The institutions that either are a public development credit institution or have a public devel ­
opment unit shall report whether they are guaranteed by a central government, a regional 
government or a local authority 
Institutions shall indicate ‘TRUE’ in the row corresponding to the applicable type(s) of protection 
provider and ‘FALSE’ otherwise.  
{0080;0010}  Central government guaranteeing the public development credit institutions/unit  
{0090;0010}  Regional government guaranteeing the public development credit institutions/unit  
{0100;0010}  Local authority guaranteeing the public development credit institutions/unit  
{0110;0010}; 
{0120;0010}; 
{0130;0010}  Type of guarantee received in accordance with point (d) of Article 429a(2) CRR  
The institutions that either are a public development credit institution or have a public devel ­
opment unit shall report the type of protection received 
Institutions shall indicate ‘TRUE’ in the row corresponding to the applicable type(s) of protection 
and ‘FALSE’ otherwise.  
{0110;0010}  Obligation to protect the credit institutions’ viability  
{0120;0010}  Direct guarantee of the credit institutions’ own funds requirements, funding requirements 
or promotional loans granted  
{0130;0010}  Indirect guarantee of the credit institutions’ own funds requirements, funding 
requirements or promotional loans granted  
7. C 48.00 Leverage ratio volatility (LR6)  
29. Information is collected for the purpose of monitoring the volatility of the leverage ratio. The information shall 
be reported by large institutions only.  
8. C 48.01 Leverage ratio volatility: Mean value for the reporting period  
Row and 
column  Instructions  
{0010;0010}  Mean value for the reporting period – SFTs exposure value  
Institutions shall report the mean of the daily values of the reporting quarter of the SFT exposure 
value net of the exempted CCP leg of client-cleared trade exposures as defined in rows 0010 and 
0050 of template C47.00.EN L 97/1466 Official Journal of the European Union 19.3.2021
 
Row and 
column  Instructions  
{0010;0020}  Mean value for the reporting period – Adjustments for SFT sales accounting transactions  
Institutions shall report the mean of the daily values of the reporting quarter of the adjustments for 
SFT sales accounting transactions as defined in row 0230 of template C47.00.  
9. C 48.02 Leverage ratio volatility: Daily values for the reporting period  
30. The daily values over the quarter shall be reported.  
Row and 
column  Instructions  
{0010;0010}  Reference date within reporting period  
Institutions shall report the date to which the reported daily value reported refers to. Each day of 
the reporting quarter shall be reported.  
{0010;0020}  SFTs exposure value  
Institutions shall report the daily values of the reporting quarter of the SFT exposure value net of 
the exempted CCP leg of client-cleared trade exposures as refer to in rows 0010 and 0050 of 
template C47.00.  
{0010;0030}  Adjustments for SFT sales accounting transactions  
Institutions shall report the daily values of the reporting quarter of the adjustments for SFT sales 
accounting transactions as defined in row 0230 of template C 47.00.EN 19.3.2021 Official Journal of the European Union L 97/1467
 EN L 97/1468 Official Journal of the European Union 19.3.2021
 ANNEX XII  
REPORTING ON NET STABLE FUNDING RATIO 
LIQUIDITY TEMPLATES  
Template number  Template code  Name of the template/group of templates  
NSFR  
80 C 80.00  REQUIRED STABLE FUNDING  
81 C 81.00  AVAILABLE STABLE FUNDING  
SIMPLIFIED NSFR  
82 C 82.00  SIMPLIFIED REQUIRED STABLE FUNDING  
83 C 83.00  SIMPLIFIED AVAILABLE STABLE FUNDING  
SUMMARY NSFR  
84 C 84.00  SUMMARY NSFR
EN 19.3.2021 Official Journal of the European Union L 97/1469
 C 80.00 — NSFR — REQUIRED STABLE FUNDING  
Currency  
Amount  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  0040  
0010  1  REQUIRED STABLE FUNDING  
0020  1.1  RSF from central bank assets  
0030  1.1.1  cash, reserves and HQLA exposures to central banks  
0040  1.1.1.1  unencumbered or encumbered for a residual maturity of less than six months  
0050  1.1.1.2  encumbered for a residual maturity of at least six months but less than one year  
0060  1.1.1.3  encumbered for a residual maturity of one year or more  
0070  1.1.2  other non-HQLA central bank exposures  
0080  1.2  RSF from liquid assets  
0090  1.2.1  level 1 assets eligible for 0 % LCR haircut  
0100  1.2.1.1  unencumbered or encumbered for a residual maturity of less than six months  
0110  1.2.1.2  encumbered for a residual maturity of at least six months but less than one year  
0120  1.2.1.3  encumbered for a residual maturity of one year or more  
0130  1.2.2  level 1 assets eligible for 5 % LCR haircut
EN L 97/1470 Official Journal of the European Union 19.3.2021
 Amount  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  0040  
0140  1.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  
0150  1.2.2.2  encumbered for a residual maturity of at least six months but less than one year  
0160  1.2.2.3  encumbered for a residual maturity of one year or more  
0170  1.2.3  level 1 eligible for 7 % LCR haircut  
0180  1.2.3.1  unencumbered or encumbered for a residual maturity of less than six months  
0190  1.2.3.2  encumbered for a residual maturity of at least six months but less than one year  
0200  1.2.3.3  encumbered for a residual maturity of one year or more  
0210  1.2.4  level 1 assets eligible for 12 % LCR haircut  
0220  1.2.4.1  unencumbered or encumbered for a residual maturity of less than six months  
0230  1.2.4.2  encumbered for a residual maturity of at least six months but less than one year  
0240  1.2.4.3  encumbered for a residual maturity of one year or more  
0250  1.2.5  level 2A assets eligible for 15 % LCR haircut  
0260  1.2.5.1  unencumbered or encumbered for a residual maturity of less than six months
EN 19.3.2021 Official Journal of the European Union L 97/1471
 Amount  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  0040  
0270  1.2.5.2  encumbered for a residual maturity of at least six months but less than one year  
0280  1.2.5.3  encumbered for a residual maturity of one year or more  
0290  1.2.6  level 2A assets eligible for 20 % LCR haircut  
0300  1.2.6.1  unencumbered or encumbered for a residual maturity of less than six months  
0310  1.2.6.2  encumbered for a residual maturity of at least six months but less than one year  
0320  1.2.6.3  encumbered for a residual maturity of one year or more  
0330  1.2.7  level 2B securitizations eligible for 25 % LCR haircut  
0340  1.2.7.1  unencumbered or encumbered for a residual maturity of less than six months  
0350  1.2.7.2  encumbered for a residual maturity of at least six months but less than one year  
0360  1.2.7.3  encumbered for a residual maturity of one year or more  
0370  1.2.8  level 2B assets eligible for 30 % LCR haircut  
0380  1.2.8.1  unencumbered or encumbered for a residual maturity of less than six months  
0390  1.2.8.2  encumbered for a residual maturity of at least six months but less than one year
EN L 97/1472 Official Journal of the European Union 19.3.2021
 Amount  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  0040  
0400  1.2.8.3  encumbered for a residual maturity of one year or more  
0410  1.2.9  level 2B assets eligible for 35 % LCR haircut  
0420  1.2.9.1  unencumbered or encumbered for a residual maturity of less than six months  
0430  1.2.9.2  encumbered for a residual maturity of at least six months but less than one year  
0440  1.2.9.3  encumbered for a residual maturity of one year or more  
0450  1.2.10  level 2B assets eligible for 40 % LCR haircut  
0460  1.2.10.1  unencumbered or encumbered for a residual maturity of less than six months  
0470  1.2.10.2  encumbered for a residual maturity of at least six months but less than one year  
0480  1.2.10.3  encumbered for a residual maturity of one year or more  
0490  1.2.11  level 2B assets eligible for 50 % LCR haircut  
0500  1.2.11.1  unencumbered or encumbered for a residual maturity of less than one year  
0510  1.2.11.2  encumbered for a residual maturity of one year or more  
0520  1.2.12  level 2B assets eligible for 55 % LCR haircut  
0530  1.2.12.1  unencumbered or encumbered for a residual maturity of less than one year
EN 19.3.2021 Official Journal of the European Union L 97/1473
 Amount  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  0040  
0540  1.2.12.2  encumbered for a residual maturity of one year or more  
0550  1.2.13  HQLAs encumbered for a residual maturity of one year or morein cover pool  
0560  1.3  RSF from securities other than liquid assets  
0570  1.3.1  non- HQLA securities and exchange traded equities  
0580  1.3.1.1  unencumbered or encumbered for a residual maturity of less than one year  
0590  1.3.1.2  encumbered for a residual maturity of one year or more  
0600  1.3.2  non-HQLA non-exchange traded equities  
0610  1.3.3  non-HQLA securities encumbered for a residual maturity of one year or more in a cover 
pool  
0620  1.4  RSF from loans  
0630  1.4.1  operational deposits  
0640  1.4.2  securities financing transactions with financial customers  
0650  1.4.2.1  collateralized by level 1 assets eligible for 0 % LCR haircut  
0660  1.4.2.1.1  unencumbered or encumbered for a residual maturity of less than six months
EN L 97/1474 Official Journal of the European Union 19.3.2021
 Amount  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  0040  
0670  1.4.2.1.2  encumbered for a residual maturity of at least six months but less than one year  
0680  1.4.2.1.3  encumbered for a residual maturity of one year or more  
0690  1.4.2.2  collateralized by other assets  
0700  1.4.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  
0710  1.4.2.2.2  encumbered for a residual maturity of at least six months but less than one year  
0720  1.4.2.2.3  encumbered for a residual maturity of one year or more  
0730  1.4.3  other loans and advances to financial customers  
0740  1.4.4  assets encumbered for a residual maturity of one year or morein cover pool  
0750  1.4.5  loans to non-financial customers other than central banks where those loans are assigned a 
risk weight of 35 % or less  
0760  1.4.5.0.1  of which, residential mortgages  
0770  1.4.5.1  unencumbered or encumbered for a residual maturity of less than six months  
0780  1.4.5.2  encumbered for a residual maturity of at least six months but less than one year  
0790  1.4.5.3  encumbered for a residual maturity of one year or more
EN 19.3.2021 Official Journal of the European Union L 97/1475
 Amount  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  0040  
0800  1.4.6  other loans to non-financial customers other than central banks  
0810  1.4.6.0.1  of which, residential mortgages  
0820  1.4.6.1  unencumbered or encumbered for a residual maturity of less than one year  
0830  1.4.6.2  encumbered for a residual maturity of one year or more  
0840  1.4.7  trade finance on-balance sheet products  
0850  1.5  RSF from interdependent assets  
0860  1.5.1  centralised regulated savings  
0870  1.5.2  promotional loans and credit and liquidity facilities  
0880  1.5.3  eligible covered bonds  
0890  1.5.4  derivatives client clearing activities  
0900  1.5.5  others  
0910  1.6  RSF from assets within a group or an IPS if subject to preferential treatment  
0920  1.7  RSF from derivatives  
0930  1.7.1  required stable funding for derivative liabilities  
0940  1.7.2  NSFR derivative assets
EN L 97/1476 Official Journal of the European Union 19.3.2021
 Amount  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  0040  
0950  1.7.3  initial margin posted  
0960  1.8  RSF from contributions to CCP default fund  
0970  1.9  RSF from other assets  
0980  1.9.1  physically traded commodities  
0990  1.9.1.1  unencumbered or encumbered for a residual maturity of less than one year  
1000  1.9.1.2  encumbered for a residual maturity of one year or more  
1010  1.9.2  trade date receivables  
1020  1.9.3  non-performing assets  
1030  1.9.4  other assets  
1040  1.10  RSF from OBS items  
1050  1.10.1  committed facilities within a group or an IPS if subject to preferential treatment  
1060  1.10.2  committed facilities  
1070  1.10.3  trade finance off-balance sheet items  
1080  1.10.4  non-performing off-balance sheet items  
1090  1.10.5  other off-balance sheet exposures for which the competent authority has determined RSF 
factors
EN 19.3.2021 Official Journal of the European Union L 97/1477
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0050  0060  0070  0080  
0010  1  REQUIRED STABLE FUNDING  
0020  1.1  RSF from central bank assets  
0030  1.1.1  cash, reserves and HQLA exposures to central banks  
0040  1.1.1.1  unencumbered or encumbered for a residual maturity of less than six months  0 %  0 %  0 %  0 %  
0050  1.1.1.2  encumbered for a residual maturity of at least six months but less than one year  50 %  50 %  50 %  50 %  
0060  1.1.1.3  encumbered for a residual maturity of one year or more  100 %  100 %  100 %  100 %  
0070  1.1.2  other non-HQLA central bank exposures  0 %  50 %  100 %  
0080  1.2  RSF from liquid assets  
0090  1.2.1  level 1 assets eligible for 0 % LCR haircut  
0100  1.2.1.1  unencumbered or encumbered for a residual maturity of less than six months  0 %  
0110  1.2.1.2  encumbered for a residual maturity of at least six months but less than one year  50 %  
0120  1.2.1.3  encumbered for a residual maturity of one year or more  100 %  
0130  1.2.2  level 1 assets eligible for 5 % LCR haircut
EN L 97/1478 Official Journal of the European Union 19.3.2021
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0050  0060  0070  0080  
0140  1.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  5 %  
0150  1.2.2.2  encumbered for a residual maturity of at least six months but less than one year  50 %  
0160  1.2.2.3  encumbered for a residual maturity of one year or more  100 %  
0170  1.2.3  level 1 eligible for 7 % LCR haircut  
0180  1.2.3.1  unencumbered or encumbered for a residual maturity of less than six months  7 %  
0190  1.2.3.2  encumbered for a residual maturity of at least six months but less than one year  50 %  
0200  1.2.3.3  encumbered for a residual maturity of one year or more  100 %  
0210  1.2.4  level 1 assets eligible for 12 % LCR haircut  
0220  1.2.4.1  unencumbered or encumbered for a residual maturity of less than six months  12 %  
0230  1.2.4.2  encumbered for a residual maturity of at least six months but less than one year  50 %  
0240  1.2.4.3  encumbered for a residual maturity of one year or more  100 %  
0250  1.2.5  level 2A assets eligible for 15 % LCR haircut  
0260  1.2.5.1  unencumbered or encumbered for a residual maturity of less than six months  15 %
EN 19.3.2021 Official Journal of the European Union L 97/1479
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0050  0060  0070  0080  
0270  1.2.5.2  encumbered for a residual maturity of at least six months but less than one year  50 %  
0280  1.2.5.3  encumbered for a residual maturity of one year or more  100 %  
0290  1.2.6  level 2A assets eligible for 20 % LCR haircut  
0300  1.2.6.1  unencumbered or encumbered for a residual maturity of less than six months  20 %  
0310  1.2.6.2  encumbered for a residual maturity of at least six months but less than one year  50 %  
0320  1.2.6.3  encumbered for a residual maturity of one year or more  100 %  
0330  1.2.7  level 2B securitizations eligible for 25 % LCR haircut  
0340  1.2.7.1  unencumbered or encumbered for a residual maturity of less than six months  25 %  
0350  1.2.7.2  encumbered for a residual maturity of at least six months but less than one year  50 %  
0360  1.2.7.3  encumbered for a residual maturity of one year or more  100 %  
0370  1.2.8  level 2B assets eligible for 30 % LCR haircut  
0380  1.2.8.1  unencumbered or encumbered for a residual maturity of less than six months  30 %  
0390  1.2.8.2  encumbered for a residual maturity of at least six months but less than one year  50 %
EN L 97/1480 Official Journal of the European Union 19.3.2021
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0050  0060  0070  0080  
0400  1.2.8.3  encumbered for a residual maturity of one year or more  100 %  
0410  1.2.9  level 2B assets eligible for 35 % LCR haircut  
0420  1.2.9.1  unencumbered or encumbered for a residual maturity of less than six months  35 %  
0430  1.2.9.2  encumbered for a residual maturity of at least six months but less than one year  50 %  
0440  1.2.9.3  encumbered for a residual maturity of one year or more  100 %  
0450  1.2.10  level 2B assets eligible for 40 % LCR haircut  
0460  1.2.10.1  unencumbered or encumbered for a residual maturity of less than six months  40 %  
0470  1.2.10.2  encumbered for a residual maturity of at least six months but less than one year  50 %  
0480  1.2.10.3  encumbered for a residual maturity of one year or more  100 %  
0490  1.2.11  level 2B assets eligible for 50 % LCR haircut  
0500  1.2.11.1  unencumbered or encumbered for a residual maturity of less than one year  50 %  
0510  1.2.11.2  encumbered for a residual maturity of one year or more  100 %  
0520  1.2.12  level 2B assets eligible for 55 % LCR haircut  
0530  1.2.12.1  unencumbered or encumbered for a residual maturity of less than one year  55 %
EN 19.3.2021 Official Journal of the European Union L 97/1481
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0050  0060  0070  0080  
0540  1.2.12.2  encumbered for a residual maturity of one year or more  100 %  
0550  1.2.13  HQLAs encumbered for a residual maturity of one year or morein cover pool  85 %  
0560  1.3  RSF from securities other than liquid assets  
0570  1.3.1  non- HQLA securities and exchange traded equities  
0580  1.3.1.1  unencumbered or encumbered for a residual maturity of less than one year  50 %  50 %  85 %  
0590  1.3.1.2  encumbered for a residual maturity of one year or more  100 %  100 %  100 %  
0600  1.3.2  non-HQLA non-exchange traded equities  100 %  
0610  1.3.3  non-HQLA securities encumbered for a residual maturity of one year or more in a cover 
pool  85 %  85 %  85 %  
0620  1.4  RSF from loans  
0630  1.4.1  operational deposits  50 %  50 %  100 %  
0640  1.4.2  securities financing transactions with financial customers  
0650  1.4.2.1  collateralized by level 1 assets eligible for 0 % LCR haircut  
0660  1.4.2.1.1  unencumbered or encumbered for a residual maturity of less than six months  0 %  50 %  100 %
EN L 97/1482 Official Journal of the European Union 19.3.2021
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0050  0060  0070  0080  
0670  1.4.2.1.2  encumbered for a residual maturity of at least six months but less than one year  50 %  50 %  100 %  
0680  1.4.2.1.3  encumbered for a residual maturity of one year or more  100 %  100 %  100 %  
0690  1.4.2.2  collateralized by other assets  
0700  1.4.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  5 %  50 %  100 %  
0710  1.4.2.2.2  encumbered for a residual maturity of at least six months but less than one year  50 %  50 %  100 %  
0720  1.4.2.2.3  encumbered for a residual maturity of one year or more  100 %  100 %  100 %  
0730  1.4.3  other loans and advances to financial customers  10 %  50 %  100 %  
0740  1.4.4  assets encumbered for a residual maturity of one year or morein cover pool  85 %  85 %  85 %  
0750  1.4.5  loans to non-financial customers other than central banks where those loans are assigned a 
risk weight of 35 % or less  
0760  1.4.5.0.1  of which, residential mortgages  
0770  1.4.5.1  unencumbered or encumbered for a residual maturity of less than six months  50 %  50 %  65 %  
0780  1.4.5.2  encumbered for a residual maturity of at least six months but less than one year  50 %  50 %  65 %  
0790  1.4.5.3  encumbered for a residual maturity of one year or more  100 %  100 %  100 %
EN 19.3.2021 Official Journal of the European Union L 97/1483
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0050  0060  0070  0080  
0800  1.4.6  other loans to non-financial customers other than central banks  
0810  1.4.6.0.1  of which, residential mortgages  
0820  1.4.6.1  unencumbered or encumbered for a residual maturity of less than one year  50 %  50 %  85 %  
0830  1.4.6.2  encumbered for a residual maturity of one year or more  100 %  100 %  100 %  
0840  1.4.7  trade finance on-balance sheet products  10 %  50 %  85 %  
0850  1.5  RSF from interdependent assets  
0860  1.5.1  centralised regulated savings  0 %  0 %  0 %  
0870  1.5.2  promotional loans and credit and liquidity facilities  0 %  0 %  0 %  
0880  1.5.3  eligible covered bonds  0 %  0 %  0 %  
0890  1.5.4  derivatives client clearing activities  0 %  0 %  0 %  
0900  1.5.5  others  0 %  0 %  0 %  
0910  1.6  RSF from assets within a group or an IPS if subject to preferential treatment  
0920  1.7  RSF from derivatives  
0930  1.7.1  required stable funding for derivative liabilities  5 %  
0940  1.7.2  NSFR derivative assets  100 %
EN L 97/1484 Official Journal of the European Union 19.3.2021
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  
Row  ID  Item  0050  0060  0070  0080  
0950  1.7.3  initial margin posted  85 %  85 %  85 %  85 %  
0960  1.8  RSF from contributions to CCP default fund  85 %  85 %  85 %  85 %  
0970  1.9  RSF from other assets  
0980  1.9.1  physically traded commodities  
0990  1.9.1.1  unencumbered or encumbered for a residual maturity of less than one year  85 %  
1000  1.9.1.2  encumbered for a residual maturity of one year or more  100 %  
1010  1.9.2  trade date receivables  0 %  
1020  1.9.3  non-performing assets  100 %  100 %  100 %  
1030  1.9.4  other assets  50 %  50 %  100 %  
1040  1.10  RSF from OBS items  
1050  1.10.1  committed facilities within a group or an IPS if subject to preferential treatment  
1060  1.10.2  committed facilities  5 %  5 %  5 %  
1070  1.10.3  trade finance off-balance sheet items  5 %  7.5 %  10 %  
1080  1.10.4  non-performing off-balance sheet items  100 %  100 %  100 %  
1090  1.10.5  other off-balance sheet exposures for which the competent authority has determined RSF 
factors
EN 19.3.2021 Official Journal of the European Union L 97/1485
 Applicable RSF factor  
Required 
stable 
funding  Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months 
to < 1 year  ≥ 1 year  
Row  ID  Item  0090  0100  0110  0120  0130  
0010  1  REQUIRED STABLE FUNDING  
0020  1.1  RSF from central bank assets  
0030  1.1.1  cash, reserves and HQLA exposures to central banks  
0040  1.1.1.1  unencumbered or encumbered for a residual maturity of less than six months  
0050  1.1.1.2  encumbered for a residual maturity of at least six months but less than one year  
0060  1.1.1.3  encumbered for a residual maturity of one year or more  
0070  1.1.2  other non-HQLA central bank exposures  
0080  1.2  RSF from liquid assets  
0090  1.2.1  level 1 assets eligible for 0 % LCR haircut  
0100  1.2.1.1  unencumbered or encumbered for a residual maturity of less than six months  
0110  1.2.1.2  encumbered for a residual maturity of at least six months but less than one year  
0120  1.2.1.3  encumbered for a residual maturity of one year or more  
0130  1.2.2  level 1 assets eligible for 5 % LCR haircut
EN L 97/1486 Official Journal of the European Union 19.3.2021
 Applicable RSF factor  
Required 
stable 
funding  Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months 
to < 1 year  ≥ 1 year  
Row  ID  Item  0090  0100  0110  0120  0130  
0140  1.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  
0150  1.2.2.2  encumbered for a residual maturity of at least six months but less than one year  
0160  1.2.2.3  encumbered for a residual maturity of one year or more  
0170  1.2.3  level 1 eligible for 7 % LCR haircut  
0180  1.2.3.1  unencumbered or encumbered for a residual maturity of less than six months  
0190  1.2.3.2  encumbered for a residual maturity of at least six months but less than one year  
0200  1.2.3.3  encumbered for a residual maturity of one year or more  
0210  1.2.4  level 1 assets eligible for 12 % LCR haircut  
0220  1.2.4.1  unencumbered or encumbered for a residual maturity of less than six months  
0230  1.2.4.2  encumbered for a residual maturity of at least six months but less than one year  
0240  1.2.4.3  encumbered for a residual maturity of one year or more  
0250  1.2.5  level 2A assets eligible for 15 % LCR haircut  
0260  1.2.5.1  unencumbered or encumbered for a residual maturity of less than six months
EN 19.3.2021 Official Journal of the European Union L 97/1487
 Applicable RSF factor  
Required 
stable 
funding  Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months 
to < 1 year  ≥ 1 year  
Row  ID  Item  0090  0100  0110  0120  0130  
0270  1.2.5.2  encumbered for a residual maturity of at least six months but less than one year  
0280  1.2.5.3  encumbered for a residual maturity of one year or more  
0290  1.2.6  level 2A assets eligible for 20 % LCR haircut  
0300  1.2.6.1  unencumbered or encumbered for a residual maturity of less than six months  
0310  1.2.6.2  encumbered for a residual maturity of at least six months but less than one year  
0320  1.2.6.3  encumbered for a residual maturity of one year or more  
0330  1.2.7  level 2B securitizations eligible for 25 % LCR haircut  
0340  1.2.7.1  unencumbered or encumbered for a residual maturity of less than six months  
0350  1.2.7.2  encumbered for a residual maturity of at least six months but less than one year  
0360  1.2.7.3  encumbered for a residual maturity of one year or more  
0370  1.2.8  level 2B assets eligible for 30 % LCR haircut  
0380  1.2.8.1  unencumbered or encumbered for a residual maturity of less than six months  
0390  1.2.8.2  encumbered for a residual maturity of at least six months but less than one year
EN L 97/1488 Official Journal of the European Union 19.3.2021
 Applicable RSF factor  
Required 
stable 
funding  Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months 
to < 1 year  ≥ 1 year  
Row  ID  Item  0090  0100  0110  0120  0130  
0400  1.2.8.3  encumbered for a residual maturity of one year or more  
0410  1.2.9  level 2B assets eligible for 35 % LCR haircut  
0420  1.2.9.1  unencumbered or encumbered for a residual maturity of less than six months  
0430  1.2.9.2  encumbered for a residual maturity of at least six months but less than one year  
0440  1.2.9.3  encumbered for a residual maturity of one year or more  
0450  1.2.10  level 2B assets eligible for 40 % LCR haircut  
0460  1.2.10.1  unencumbered or encumbered for a residual maturity of less than six months  
0470  1.2.10.2  encumbered for a residual maturity of at least six months but less than one year  
0480  1.2.10.3  encumbered for a residual maturity of one year or more  
0490  1.2.11  level 2B assets eligible for 50 % LCR haircut  
0500  1.2.11.1  unencumbered or encumbered for a residual maturity of less than one year  
0510  1.2.11.2  encumbered for a residual maturity of one year or more  
0520  1.2.12  level 2B assets eligible for 55 % LCR haircut  
0530  1.2.12.1  unencumbered or encumbered for a residual maturity of less than one year
EN 19.3.2021 Official Journal of the European Union L 97/1489
 Applicable RSF factor  
Required 
stable 
funding  Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months 
to < 1 year  ≥ 1 year  
Row  ID  Item  0090  0100  0110  0120  0130  
0540  1.2.12.2  encumbered for a residual maturity of one year or more  
0550  1.2.13  HQLAs encumbered for a residual maturity of one year or morein cover pool  
0560  1.3  RSF from securities other than liquid assets  
0570  1.3.1  non- HQLA securities and exchange traded equities  
0580  1.3.1.1  unencumbered or encumbered for a residual maturity of less than one year  
0590  1.3.1.2  encumbered for a residual maturity of one year or more  
0600  1.3.2  non-HQLA non-exchange traded equities  
0610  1.3.3  non-HQLA securities encumbered for a residual maturity of one year or more in a cover 
pool  
0620  1.4  RSF from loans  
0630  1.4.1  operational deposits  
0640  1.4.2  securities financing transactions with financial customers  
0650  1.4.2.1  collateralized by level 1 assets eligible for 0 % LCR haircut  
0660  1.4.2.1.1  unencumbered or encumbered for a residual maturity of less than six months
EN L 97/1490 Official Journal of the European Union 19.3.2021
 Applicable RSF factor  
Required 
stable 
funding  Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months 
to < 1 year  ≥ 1 year  
Row  ID  Item  0090  0100  0110  0120  0130  
0670  1.4.2.1.2  encumbered for a residual maturity of at least six months but less than one year  
0680  1.4.2.1.3  encumbered for a residual maturity of one year or more  
0690  1.4.2.2  collateralized by other assets  
0700  1.4.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  
0710  1.4.2.2.2  encumbered for a residual maturity of at least six months but less than one year  
0720  1.4.2.2.3  encumbered for a residual maturity of one year or more  
0730  1.4.3  other loans and advances to financial customers  
0740  1.4.4  assets encumbered for a residual maturity of one year or morein cover pool  
0750  1.4.5  loans to non-financial customers other than central banks where those loans are assigned a 
risk weight of 35 % or less  
0760  1.4.5.0.1  of which, residential mortgages  
0770  1.4.5.1  unencumbered or encumbered for a residual maturity of less than six months  
0780  1.4.5.2  encumbered for a residual maturity of at least six months but less than one year  
0790  1.4.5.3  encumbered for a residual maturity of one year or more
EN 19.3.2021 Official Journal of the European Union L 97/1491
 Applicable RSF factor  
Required 
stable 
funding  Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months 
to < 1 year  ≥ 1 year  
Row  ID  Item  0090  0100  0110  0120  0130  
0800  1.4.6  other loans to non-financial customers other than central banks  
0810  1.4.6.0.1  of which, residential mortgages  
0820  1.4.6.1  unencumbered or encumbered for a residual maturity of less than one year  
0830  1.4.6.2  encumbered for a residual maturity of one year or more  
0840  1.4.7  trade finance on-balance sheet products  
0850  1.5  RSF from interdependent assets  
0860  1.5.1  centralised regulated savings  
0870  1.5.2  promotional loans and credit and liquidity facilities  
0880  1.5.3  eligible covered bonds  
0890  1.5.4  derivatives client clearing activities  
0900  1.5.5  others  
0910  1.6  RSF from assets within a group or an IPS if subject to preferential treatment  
0920  1.7  RSF from derivatives  
0930  1.7.1  required stable funding for derivative liabilities  
0940  1.7.2  NSFR derivative assets
EN L 97/1492 Official Journal of the European Union 19.3.2021
 Applicable RSF factor  
Required 
stable 
funding  Non-HQLA by maturity  
HQLA  
< 6 months  ≥ 6 months 
to < 1 year  ≥ 1 year  
Row  ID  Item  0090  0100  0110  0120  0130  
0950  1.7.3  initial margin posted  
0960  1.8  RSF from contributions to CCP default fund  
0970  1.9  RSF from other assets  
0980  1.9.1  physically traded commodities  
0990  1.9.1.1  unencumbered or encumbered for a residual maturity of less than one year  
1000  1.9.1.2  encumbered for a residual maturity of one year or more  
1010  1.9.2  trade date receivables  
1020  1.9.3  non-performing assets  
1030  1.9.4  other assets  
1040  1.10  RSF from OBS items  
1050  1.10.1  committed facilities within a group or an IPS if subject to preferential treatment  
1060  1.10.2  committed facilities  
1070  1.10.3  trade finance off-balance sheet items  
1080  1.10.4  non-performing off-balance sheet items  
1090  1.10.5  other off-balance sheet exposures for which the competent authority has determined RSF 
factors
EN 19.3.2021 Official Journal of the European Union L 97/1493
 C 81.00 — NSFR — AVAILABLE STABLE FUNDING  
Currency  
Row  ID  Item  Amount  
< 6 months  ≥ 6 months to < 1 
year  ≥ 1 year  
0010  0020  0030  
0010  2  AVAILABLE STABLE FUNDING  
0020  2.1  ASF from capital items and instruments  
0030  2.1.1  Common Equity Tier 1  
0040  2.1.2  Additional Tier 1  
0050  2.1.3  Tier 2  
0060  2.1.4  Other capital instruments  
0070  2.2  ASF from retail deposits  
0080  2.2.0.1  of which, retail bonds  
0090  2.2.1  Stable retail deposits  
0100  2.2.0.2  of which with a material early withdrawable penalty  
0110  2.2.2  Other retail deposits  
0120  2.2.0.3  of which with a material early withdrawable penalty  
0130  2.3  ASF from other non-financial customers (except central banks)  
0140  2.3.0.1  of which, securities financing transactions
EN L 97/1494 Official Journal of the European Union 19.3.2021
 Row  ID  Item  Amount  
< 6 months  ≥ 6 months to < 1 
year  ≥ 1 year  
0010  0020  0030  
0150  2.3.0.2  of which, operational deposits  
0160  2.3.1  Liabilities provided by the central government of a Member State or a third country  
0170  2.3.2  Liabilities provided by regional governments or local authorities of a Member State or a 
third country  
0180  2.3.3  Liabilities provided by public sector entities of a Member State or a third country  
0190  2.3.4  Liabilities provided by multilateral development banks and international organisations  
0200  2.3.5  Liabilities provided by non-financial corporate customers  
0210  2.3.6  Liabilities provided by credit unions, personal investment companies and deposit brokers  
0220  2.4  ASF from liabilities and committed facilities within a group or an IPS if subject to 
preferential treatment  
0230  2.5  ASF from financial customers and central banks  
0240  2.5.0.1  of which, sight deposits provided by network member to central institution  
0250  2.5.1  Liabilities provided by the ECB or the central bank of a Member State  
0260  2.5.2  Liabilities provided by the central bank of a third country  
0270  2.5.3  Liabilities provided by financial customers
EN 19.3.2021 Official Journal of the European Union L 97/1495
 Row  ID  Item  Amount  
< 6 months  ≥ 6 months to < 1 
year  ≥ 1 year  
0010  0020  0030  
0280  2.5.3.1  Operational deposits  
0290  2.5.3.2  Excess operational deposits  
0300  2.5.3.3  Other liabilities  
0310  2.6  ASF from liabilities provided where the counterparty cannot be determined  
0320  2.7  ASF from net derivatives liabilities  
0330  2.8  ASF from interdependent liabilities  
0340  2.8.1  Centralised regulated savings  
0350  2.8.2  Promotional loans and relevant credit and liquidity facilities  
0360  2.8.3  Eligible covered bonds  
0370  2.8.4  Derivatives client clearing activities  
0380  2.8.5  Others  
0390  2.9  ASF from other liabilities  
0400  2.9.1  Trade date payables  
0410  2.9.2  Deferred tax liabilities  
0420  2.9.3  Minority interests  
0430  2.9.4  Other liabilities
EN L 97/1496 Official Journal of the European Union 19.3.2021
 Row  ID  Item  Standard ASF factor  
< 6 months  ≥ 6 months to < 1 
year  ≥ 1 year  
0040  0050  0060  
0010  2  AVAILABLE STABLE FUNDING  
0020  2.1  ASF from capital items and instruments  
0030  2.1.1  Common Equity Tier 1  100 %  
0040  2.1.2  Additional Tier 1  0 %  0 %  100 %  
0050  2.1.3  Tier 2  0 %  0 %  100 %  
0060  2.1.4  Other capital instruments  0 %  0 %  100 %  
0070  2.2  ASF from retail deposits  
0080  2.2.0.1  of which, retail bonds  
0090  2.2.1  Stable retail deposits  95 %  95 %  100 %  
0100  2.2.0.2  of which with a material early withdrawable penalty  100 %  
0110  2.2.2  Other retail deposits  90 %  90 %  100 %  
0120  2.2.0.3  of which with a material early withdrawable penalty  100 %  
0130  2.3  ASF from other non-financial customers (except central banks)  
0140  2.3.0.1  of which, securities financing transactions
EN 19.3.2021 Official Journal of the European Union L 97/1497
 Row  ID  Item  Standard ASF factor  
< 6 months  ≥ 6 months to < 1 
year  ≥ 1 year  
0040  0050  0060  
0150  2.3.0.2  of which, operational deposits  
0160  2.3.1  Liabilities provided by the central government of a Member State or a third country  50 %  50 %  100 %  
0170  2.3.2  Liabilities provided by regional governments or local authorities of a Member State or a 
third country  50 %  50 %  100 %  
0180  2.3.3  Liabilities provided by public sector entities of a Member State or a third country  50 %  50 %  100 %  
0190  2.3.4  Liabilities provided by multilateral development banks and international organisations  50 %  50 %  100 %  
0200  2.3.5  Liabilities provided by non-financial corporate customers  50 %  50 %  100 %  
0210  2.3.6  Liabilities provided by credit unions, personal investment companies and deposit brokers  50 %  50 %  100 %  
0220  2.4  ASF from liabilities and committed facilities within a group or an IPS if subject to 
preferential treatment  
0230  2.5  ASF from financial customers and central banks  
0240  2.5.0.1  of which, sight deposits provided by network member to central institution  
0250  2.5.1  Liabilities provided by the ECB or the central bank of a Member State  0 %  50 %  100 %  
0260  2.5.2  Liabilities provided by the central bank of a third country  0 %  50 %  100 %  
0270  2.5.3  Liabilities provided by financial customers
EN L 97/1498 Official Journal of the European Union 19.3.2021
 Row  ID  Item  Standard ASF factor  
< 6 months  ≥ 6 months to < 1 
year  ≥ 1 year  
0040  0050  0060  
0280  2.5.3.1  Operational deposits  50 %  50 %  100 %  
0290  2.5.3.2  Excess operational deposits  0 %  50 %  100 %  
0300  2.5.3.3  Other liabilities  0 %  50 %  100 %  
0310  2.6  ASF from liabilities provided where the counterparty cannot be determined  0 %  50 %  100 %  
0320  2.7  ASF from net derivatives liabilities  0 %  0 %  0 %  
0330  2.8  ASF from interdependent liabilities  
0340  2.8.1  Centralised regulated savings  0 %  0 %  0 %  
0350  2.8.2  Promotional loans and relevant credit and liquidity facilities  0 %  0 %  0 %  
0360  2.8.3  Eligible covered bonds  0 %  0 %  0 %  
0370  2.8.4  Derivatives client clearing activities  0 %  0 %  0 %  
0380  2.8.5  Others  0 %  0 %  0 %  
0390  2.9  ASF from other liabilities  
0400  2.9.1  Trade date payables  0 %  0 %  0 %  
0410  2.9.2  Deferred tax liabilities  0 %  50 %  100 %  
0420  2.9.3  Minority interests  0 %  50 %  100 %  
0430  2.9.4  Other liabilities  0 %  50 %  100 %
EN 19.3.2021 Official Journal of the European Union L 97/1499
 Row  ID  Item  Applicable ASF factor  Available 
stable funding  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  Total  
0070  0080  0090  0100  
0010  2  AVAILABLE STABLE FUNDING  
0020  2.1  ASF from capital items and instruments  
0030  2.1.1  Common Equity Tier 1  
0040  2.1.2  Additional Tier 1  
0050  2.1.3  Tier 2  
0060  2.1.4  Other capital instruments  
0070  2.2  ASF from retail deposits  
0080  2.2.0.1  of which, retail bonds  
0090  2.2.1  Stable retail deposits  
0100  2.2.0.2  of which with a material early withdrawable penalty  
0110  2.2.2  Other retail deposits  
0120  2.2.0.3  of which with a material early withdrawable penalty  
0130  2.3  ASF from other non-financial customers (except central banks)  
0140  2.3.0.1  of which, securities financing transactions
EN L 97/1500 Official Journal of the European Union 19.3.2021
 Row  ID  Item  Applicable ASF factor  Available 
stable funding  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  Total  
0070  0080  0090  0100  
0150  2.3.0.2  of which, operational deposits  
0160  2.3.1  Liabilities provided by the central government of a Member State or a third country  
0170  2.3.2  Liabilities provided by regional governments or local authorities of a Member State or a 
third country  
0180  2.3.3  Liabilities provided by public sector entities of a Member State or a third country  
0190  2.3.4  Liabilities provided by multilateral development banks and international organisations  
0200  2.3.5  Liabilities provided by non-financial corporate customers  
0210  2.3.6  Liabilities provided by credit unions, personal investment companies and deposit brokers  
0220  2.4  ASF from liabilities and committed facilities within a group or an IPS if subject to 
preferential treatment  
0230  2.5  ASF from financial customers and central banks  
0240  2.5.0.1  of which, sight deposits provided by network member to central institution  
0250  2.5.1  Liabilities provided by the ECB or the central bank of a Member State  
0260  2.5.2  Liabilities provided by the central bank of a third country  
0270  2.5.3  Liabilities provided by financial customers
EN 19.3.2021 Official Journal of the European Union L 97/1501
 Row  ID  Item  Applicable ASF factor  Available 
stable funding  
< 6 months  ≥ 6 months to 
< 1 year  ≥ 1 year  Total  
0070  0080  0090  0100  
0280  2.5.3.1  Operational deposits  
0290  2.5.3.2  Excess operational deposits  
0300  2.5.3.3  Other liabilities  
0310  2.6  ASF from liabilities provided where the counterparty cannot be determined  
0320  2.7  ASF from net derivatives liabilities  
0330  2.8  ASF from interdependent liabilities  
0340  2.8.1  Centralised regulated savings  
0350  2.8.2  Promotional loans and relevant credit and liquidity facilities  
0360  2.8.3  Eligible covered bonds  
0370  2.8.4  Derivatives client clearing activities  
0380  2.8.5  Others  
0390  2.9  ASF from other liabilities  
0400  2.9.1  Trade date payables  
0410  2.9.2  Deferred tax liabilities  
0420  2.9.3  Minority interests  
0430  2.9.4  Other liabilities
EN L 97/1502 Official Journal of the European Union 19.3.2021
 C 82.00 — NSFR — SIMPLIFIED REQUIRED STABLE FUNDING  
Currency  
Amount  
Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  
0010  1  REQUIRED STABLE FUNDING  
0020  1.1  RSF from central bank assets  
0030  1.1.1  cash, reserves and HQLA exposures to central banks  
0040  1.1.2  other non-HQLA central bank exposures  
0050  1.2  RSF from liquid assets  
0060  1.2.1  level 1 assets eligible for 0 % LCR haircut  
0070  1.2.1.1  unencumbered or encumbered for a residual maturity of less than six months  
0080  1.2.1.2  encumbered for a residual maturity of at least six months but less than one year  
0090  1.2.1.3  encumbered for a residual maturity of one year or more  
0100  1.2.2  level 1 assets eligible for 7 % LCR haircut  
0110  1.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  
0120  1.2.2.2  encumbered for a residual maturity of at least six months but less than one year
EN 19.3.2021 Official Journal of the European Union L 97/1503
 Amount  
Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  
0130  1.2.2.3  encumbered for a residual maturity of one year or more  
0140  1.2.3  level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0- 
20 % LCR haircuts  
0150  1.2.3.1  unencumbered or encumbered for a residual maturity of less than six months  
0160  1.2.3.2  encumbered for a residual maturity of at least six months but less than one year  
0170  1.2.3.3  encumbered for a residual maturity of one year or more  
0180  1.2.4  Level 2B assets eligible for 25-35 % LCR haircut and shares or units in CIUs eligible for 
30-55 % LCR haircuts  
0190  1.2.4.1  unencumbered or encumbered for a residual maturity of less than one year  
0200  1.2.4.2  encumbered for a residual maturity of one year or more  
0210  1.3  RSF from securities other than liquid assets  
0220  1.3.1  unencumbered or encumbered for a residual maturity of less than one year  
0230  1.3.2  encumbered for a residual maturity of one year or more  
0240  1.4  RSF from loans  
0250  1.4.1  loans to non-financials  
0260  1.4.1.1  unencumbered or encumbered for a residual maturity of less than one year
EN L 97/1504 Official Journal of the European Union 19.3.2021
 Amount  
Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  
0270  1.4.1.2  encumbered for a residual maturity of one year or more  
0280  1.4.2  loans to financials  
0290  1.4.2.1  unencumbered or encumbered for a residual maturity of less than one year  
0300  1.4.2.2  encumbered for a residual maturity of one year or more  
0310  1.4.3  trade finance on-balance sheet products  
0320  1.5  RSF from interdependent assets  
0330  1.6  RSF from assets within a group or an IPS if subject to preferential treatment  
0340  1.7  RSF from derivatives  
0350  1.7.1  required stable funding for derivative liabilities  
0360  1.7.2  NSFR derivative assets  
0370  1.7.3  Initial margin posted  
0380  1.8  RSF from contributions to CCP default fund  
0390  1.9  RSF from other assets
EN 19.3.2021 Official Journal of the European Union L 97/1505
 Amount  
Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0010  0020  0030  
0400  1.10  RSF from OBS items  
0410  1.10.1  committed facilities within a group or an IPS if subject to preferential treatment  
0420  1.10.2  commited facilities  
0430  1.10.3  trade finance off-balance sheet items  
0440  1.10.4  non-performing off-balance sheet items  
0450  1.10.5  other off-balance sheet exposures determined by competent authorities
EN L 97/1506 Official Journal of the European Union 19.3.2021
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0040  0050  0060  
0010  1  REQUIRED STABLE FUNDING  
0020  1.1  RSF from central bank assets  
0030  1.1.1  cash, reserves and HQLA exposures to central banks  0 %  0 %  0 %  
0040  1.1.2  other non-HQLA central bank exposures  0 %  100 %  
0050  1.2  RSF from liquid assets  
0060  1.2.1  level 1 assets eligible for 0 % LCR haircut  
0070  1.2.1.1  unencumbered or encumbered for a residual maturity of less than six months  0 %  
0080  1.2.1.2  encumbered for a residual maturity of at least six months but less than one year  50 %  
0090  1.2.1.3  encumbered for a residual maturity of one year or more  100 %  
0100  1.2.2  level 1 assets eligible for 7 % LCR haircut  
0110  1.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  10 %  
0120  1.2.2.2  encumbered for a residual maturity of at least six months but less than one year  50 %
EN 19.3.2021 Official Journal of the European Union L 97/1507
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0040  0050  0060  
0130  1.2.2.3  encumbered for a residual maturity of one year or more  100 %  
0140  1.2.3  level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0- 
20 % LCR haircuts  
0150  1.2.3.1  unencumbered or encumbered for a residual maturity of less than six months  20 %  
0160  1.2.3.2  encumbered for a residual maturity of at least six months but less than one year  50 %  
0170  1.2.3.3  encumbered for a residual maturity of one year or more  100 %  
0180  1.2.4  Level 2B assets eligible for 25-35 % LCR haircut and shares or units in CIUs eligible for 
30-55 % LCR haircuts  
0190  1.2.4.1  unencumbered or encumbered for a residual maturity of less than one year  55 %  
0200  1.2.4.2  encumbered for a residual maturity of one year or more  100 %  
0210  1.3  RSF from securities other than liquid assets  
0220  1.3.1  unencumbered or encumbered for a residual maturity of less than one year  50 %  85 %  
0230  1.3.2  encumbered for a residual maturity of one year or more  100 %  100 %  
0240  1.4  RSF from loans  
0250  1.4.1  loans to non-financials  
0260  1.4.1.1  unencumbered or encumbered for a residual maturity of less than one year  50 %  85 %
EN L 97/1508 Official Journal of the European Union 19.3.2021
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0040  0050  0060  
0270  1.4.1.2  encumbered for a residual maturity of one year or more  100 %  100 %  
0280  1.4.2  loans to financials  
0290  1.4.2.1  unencumbered or encumbered for a residual maturity of less than one year  50 %  100 %  
0300  1.4.2.2  encumbered for a residual maturity of one year or more  100 %  100 %  
0310  1.4.3  trade finance on-balance sheet products  50 %  85 %  
0320  1.5  RSF from interdependent assets  0 %  0 %  
0330  1.6  RSF from assets within a group or an IPS if subject to preferential treatment  
0340  1.7  RSF from derivatives  
0350  1.7.1  required stable funding for derivative liabilities  5 %  
0360  1.7.2  NSFR derivative assets  100 %  
0370  1.7.3  Initial margin posted  85 %  85 %  85 %  
0380  1.8  RSF from contributions to CCP default fund  
0390  1.9  RSF from other assets  100 %  100 %
EN 19.3.2021 Official Journal of the European Union L 97/1509
 Standard RSF factor  
Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0040  0050  0060  
0400  1.10  RSF from OBS items  
0410  1.10.1  committed facilities within a group or an IPS if subject to preferential treatment  
0420  1.10.2  commited facilities  5 %  5 %  
0430  1.10.3  trade finance off-balance sheet items  10 %  10 %  
0440  1.10.4  non-performing off-balance sheet items  100 %  100 %  
0450  1.10.5  other off-balance sheet exposures determined by competent authorities
EN L 97/1510 Official Journal of the European Union 19.3.2021
 Applicable RSF factor  
Required 
stable funding  Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0070  0080  0090  0100  
0010  1  REQUIRED STABLE FUNDING  
0020  1.1  RSF from central bank assets  
0030  1.1.1  cash, reserves and HQLA exposures to central banks  
0040  1.1.2  other non-HQLA central bank exposures  
0050  1.2  RSF from liquid assets  
0060  1.2.1  level 1 assets eligible for 0 % LCR haircut  
0070  1.2.1.1  unencumbered or encumbered for a residual maturity of less than six months  
0080  1.2.1.2  encumbered for a residual maturity of at least six months but less than one year  
0090  1.2.1.3  encumbered for a residual maturity of one year or more  
0100  1.2.2  level 1 assets eligible for 7 % LCR haircut  
0110  1.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  
0120  1.2.2.2  encumbered for a residual maturity of at least six months but less than one year
EN 19.3.2021 Official Journal of the European Union L 97/1511
 Applicable RSF factor  
Required 
stable funding  Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0070  0080  0090  0100  
0130  1.2.2.3  encumbered for a residual maturity of one year or more  
0140  1.2.3  level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0- 
20 % LCR haircuts  
0150  1.2.3.1  unencumbered or encumbered for a residual maturity of less than six months  
0160  1.2.3.2  encumbered for a residual maturity of at least six months but less than one year  
0170  1.2.3.3  encumbered for a residual maturity of one year or more  
0180  1.2.4  Level 2B assets eligible for 25-35 % LCR haircut and shares or units in CIUs eligible for 
30-55 % LCR haircuts  
0190  1.2.4.1  unencumbered or encumbered for a residual maturity of less than one year  
0200  1.2.4.2  encumbered for a residual maturity of one year or more  
0210  1.3  RSF from securities other than liquid assets  
0220  1.3.1  unencumbered or encumbered for a residual maturity of less than one year  
0230  1.3.2  encumbered for a residual maturity of one year or more  
0240  1.4  RSF from loans  
0250  1.4.1  loans to non-financials  
0260  1.4.1.1  unencumbered or encumbered for a residual maturity of less than one year
EN L 97/1512 Official Journal of the European Union 19.3.2021
 Applicable RSF factor  
Required 
stable funding  Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0070  0080  0090  0100  
0270  1.4.1.2  encumbered for a residual maturity of one year or more  
0280  1.4.2  loans to financials  
0290  1.4.2.1  unencumbered or encumbered for a residual maturity of less than one year  
0300  1.4.2.2  encumbered for a residual maturity of one year or more  
0310  1.4.3  trade finance on-balance sheet products  
0320  1.5  RSF from interdependent assets  
0330  1.6  RSF from assets within a group or an IPS if subject to preferential treatment  
0340  1.7  RSF from derivatives  
0350  1.7.1  required stable funding for derivative liabilities  
0360  1.7.2  NSFR derivative assets  
0370  1.7.3  Initial margin posted  
0380  1.8  RSF from contributions to CCP default fund  
0390  1.9  RSF from other assets
EN 19.3.2021 Official Journal of the European Union L 97/1513
 Applicable RSF factor  
Required 
stable funding  Non-HQLA by maturity  
HQLA  
< 1 year  ≥ 1 year  
Row  ID  Item  0070  0080  0090  0100  
0400  1.10  RSF from OBS items  
0410  1.10.1  committed facilities within a group or an IPS if subject to preferential treatment  
0420  1.10.2  commited facilities  
0430  1.10.3  trade finance off-balance sheet items  
0440  1.10.4  non-performing off-balance sheet items  
0450  1.10.5  other off-balance sheet exposures determined by competent authorities
EN L 97/1514 Official Journal of the European Union 19.3.2021
 C 83.00 — NSFR — SIMPLIFIED AVAILABLE STABLE FUNDING  
Currency  
Row  ID  Item  Amount  Standard ASF factor  Applicable ASF factor  Available 
stable 
funding  < 1 year  ≥ 1 year  < 1 year  ≥ 1 year  < 1 year  ≥ 1 year  
0010  0020  0030  0040  0050  0060  0070  
0010  2  AVAILABLE STABLE FUNDING  
0020  2.1  ASF from capital items and instruments  0 %  100 %  
0030  2.2  ASF from retail deposits  
0040  2.2.1  Stable retail deposits  95 %  100 %  
0050  2.2.2  Other retail deposits  90 %  100 %  
0060  2.3  ASF from other non-financial customers (except central banks)  50 %  100 %  
0070  2.4  ASF from operational deposits  50 %  100 %  
0080  2.5  ASF from liabilities and committed facilities within a group or an 
IPS if subject to preferential treatment  
0090  2.6  ASF from financial customers and central banks  0 %  100 %  
0100  2.7  ASF from liabilities provided where the counterparty cannot be 
determined  0 %  100 %  
0110  2.8  ASF from interdependent liabilities  0 %  
0120  2.9  ASF from other liabilities  0 %  100 %
EN 19.3.2021 Official Journal of the European Union L 97/1515
 C 84.00 — NSFR Summary  
Currency  
Row  ID  Item  Amount  Required stable 
funding  Available stable 
funding  Ratio  
0010  0020  0030  0040  
0010  1  REQUIRED STABLE FUNDING  
0020  1.1  RSF from central bank assets  
0030  1.2  RSF from liquid assets  
0040  1.3  RSF from securities other than liquid assets  
0050  1.4  RSF from loans  
0060  1.5  RSF from interdependent assets  
0070  1.6  RSF from assets within a group or an IPS if subject to preferential treatment  
0080  1.7  RSF from derivatives  
0090  1.8  RSF from contributions to CCP default fund  
0100  1.9  RSF from other assets  
0110  1.10  RSF from OBS items
EN L 97/1516 Official Journal of the European Union 19.3.2021
 Row  ID  Item  Amount  Required stable 
funding  Available stable 
funding  Ratio  
0010  0020  0030  0040  
0120  2  AVAILABLE STABLE FUNDING  
0130  2.1  ASF from capital items and instruments  
0140  2.2  ASF from retail deposits  
0150  2.3  ASF from other non-financial customers (except central banks)  
0160  2.4  ASF from operational deposits  
0170  2.5  ASF from liabilities and committed facilities within a group or an IPS if subject 
to preferential treatment  
0180  2.6  ASF from financial customers and central banks  
0190  2.7  ASF from liabilities provided where the counterparty cannot be determined  
0200  2.8  ASF from interdependent liabilities  
0210  2.9  ASF from other liabilities  
0220  3  NSFR
 ANNEX XIII  
INSTRUCTIONS FOR REPORTING ON STABLE FUNDING  
PART I: GENERAL INSTRUCTIONS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1518  
PART II: REQUIRED STABLE FUNDING  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1519  
1. Specific remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . 1519  
2. Instructions concerning specific columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . 1522  
3. Instructions concerning specific rows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1523  
PART III: AVAILABLE STABLE FUNDING  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1533  
1. Specific remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . 1533  
2. Instructions concerning specific columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . 1536  
3. Instructions concerning specific rows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1536  
PART IV: SIMPLIFIED REQUIRED STABLE FUNDING  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1541  
1. Specific remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . 1541  
2. Instructions concerning specific columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . 1543  
3. Instructions concerning specific rows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1544  
PART V: SIMPLIFIED AVAILABLE STABLE FUNDING  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1548  
1. Specific remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . 1548  
2. Instructions concerning specific columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . 1550  
3. Instructions concerning specific rows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1551  
PART VI: SUMMARY NSFR  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1554  
1. Specific remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . 1554  
2. Instructions concerning specific columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . 1554  
3. Instructions concerning specific rows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1555EN 19.3.2021 Official Journal of the European Union L 97/1517
 
PART I: GENERAL INSTRUCTIONS  
1. This annex covers instructions for the net stable funding ratio (NSFR) templates, which contains information about 
required and available stable funding items, for the purpose of reporting the NSFR as specified in Title IV of Part Six 
of Regulation (EU) No 575/2013 (CRR). Items that do not need to be completed by institutions are coloured grey.  
2. In accordance with Article 415(1) CRR, institutions shall report the template in the reporting currency, regardless of 
the actual denomination of assets, liabilities and off-balance sheet items. Institutions shall separately report the 
template in the corresponding currencies in accordance with Article 415(2) CRR.  
3. With regard to the calculation of the NSFR, the CRR refers to stable funding factors. The word ‘factor’ in the context 
of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted 
amount, i.e. the value referred to in Article 428c(2) CRR.  
4. In order to avoid any double counting, institutions shall not report assets or liabilities that are associated with 
collateral posted or received as variation margin in accordance with Article 428k(4) CRR and Article 428ah(2) CRR, 
initial margin and contribution to the default fund of a CCP in accordance point (a) of Article 428ag and point (b) of 
Article 428ag CRR.  
5. Items provided by and extended to members of a group or an institutional protection scheme where the competent 
authority has granted permission to apply a preferential treatment according to Article 428h CRR shall be reported 
in a separate category. Deposits maintained in the context of an institutional protection scheme or a cooperative 
network considered as liquid assets shall be reported as liquid assets in accordance with Article 428g CRR. Other 
items within a group or an institutional protection scheme shall be reported in the relevant categories.  
6. For reporting purposes, in the columns referred as “Amount” the accounting value shall always be reported, except 
for the cases of derivative contracts, for which institutions shall refer to the fair value as specified in Article 428d(2) 
CRR.  
7. For the purposes of reporting by currency subject to separate reporting as envisaged in Article 415(2) CRR, as 
regards derivatives as envisaged in Article 428d(4) CRR, institutions shall calculate the fair value for each netting set 
in its settlement currency. For all netting sets with matching settlement currencies a net amount shall be calculated in 
accordance with Articles 428k(4) and 428ah(2) CRR, and reported in the relevant currency subject to separate 
reporting. In this context, settlement currency shall be understood as the currency in which the settlement of a 
netting set has been agreed. Netting set refers to the group of receivables and payables stemming from derivatives 
transactions with a counterparty irrespective of whether they are denominated in a different currency to the 
settlement currency. In the case of multi-currency optionality, the credit institution shall make an assessment of 
the currency in which the settlement is likely to occur and shall report only in that separate currency.  
8. The amount of assets and liabilities resulting from securities financing transactions (SFTs) with a single counterparty 
and the same type of collateral underlying (level 1 or non-level 1 liquid assets) pursuant to the delegated act referred 
to in Article 460(1) of CRR shall be reported on a net basis where Article 428e of CRR applies.. In the case of SFTs 
with collateral baskets underlying, the less liquid collateral within those pool of collateral shall be understood to be 
first pledged.  
9. In accordance with Article 428ai CRR, small and non-complex institutions may choose, with the prior permission of 
their competent authority, to calculate their NSFR in accordance with the simplified methodology set out in Chapters 
6-7 of Title IV of Part Six CRR. Institutions that use this simplified methodology for the calculation of the net stable 
funding ratio shall use the reporting templates C 82.00 and C 83.00. All other institutions shall use the reporting 
templates C 80.00 and C 81.00. All institutions shall report the reporting template C 84.00.EN L 97/1518 Official Journal of the European Union 19.3.2021
 
PART II: REQUIRED STABLE FUNDING  
1. Specific remarks  
10. Institutions shall report in the appropriate category all assets on which they retain beneficial ownership even if they 
are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not 
be reported even if these assets are accounted for in their balance sheet. In the case of reverse repos, where the assets 
borrowed are not accounted for on balance sheet but the bank that received them has their beneficial ownership, the 
cash leg, or the collateral leg if a higher RSF factor applies, will be reported only.  
11. In accordance with Article 428p CRR, unless specified otherwise in Chapter 4 of Title IV of Part Six CRR, the 
amount of required stable funding (RSF) shall be calculated by multiplying the amount of assets and off-balance sheet 
items by the required stable funding factors.  
12. Assets that are eligible as liquid assets (HQLA) in accordance with Delegated Regulation (EU) 2015/61 shall be 
reported as such, regardless if they comply with the operational requirements referred to in Article 8 of that 
Delegated Regulation. Those assets shall be reported in designated columns regardless of their residual maturity.  
13. All non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in 
accordance with Article 428q CRR. The maturity buckets of the amounts, standard factors and applicable factors are 
the following:  
i. Residual maturity of less than six months or without stated maturity;  
ii. Residual maturity of a minimum of six months but less than one year;  
iii. Residual maturity of one year or more.  
14. In accordance with Article 428q(3) CRR, when calculating the residual maturity of non-HQLA assets and off-balance 
sheet items, institutions shall take options into account, based on the assumption that the issuer or counterparty will 
exercise any option to extend the asset's maturity. For options exercisable at the discretion of the institution, the 
institution and competent authority shall take into account reputational factors that may limit the institution's ability 
not to exercise the option, in particular considering markets’ and clients’ expectations that the institution should 
extend the maturity of certain assets at their maturity date.  
15. For some items, institutions shall report assets according to status of and/or maturity of encumbrance of that asset in 
accordance with paragraphs (4), (5) and (6) of Article 428pCRR.  
16. The decision tree for the reporting template C 80.00 is part of the instructions to specify prioritization assessment 
criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going 
through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instructions. 
For the sake of simplicity the decision tree ignores totals, subtotals and “of which” items; this however does not mean 
that they shall not be reported as well.  
17. As specified under Article 428p(5) CRR, where an institution re-uses or re-pledges an asset that was borrowed, 
including in securities financing transactions, and that is accounted for off-balance sheet, the transaction through 
which the that assets has been borrowed shall be treated as encumbered to the extent that this transaction cannot 
mature without the institution returning the asset borrowed. The residual maturity of this encumbrance shall be the 
higher between: i) the residual maturity of the transaction where the assets were borrowed and ii) the residual 
maturity of the transaction where the assets were re-pledged.EN 19.3.2021 Official Journal of the European Union L 97/1519
 
# Item  Decision  Action  
1 Netting sets of derivative contracts with a negative fair value gross of collateral 
posted or settlement payments and receipts related to market valuation changes of 
these contracts?  Yes ID 1.7.1  
No # 2  
2 An asset or an off-balance sheet item posted as initial margin for derivatives?  Yes  ID 1.7.3  
No # 3  
3 An asset or an off-balance sheet item posted as contribution to CCP default fund?  Yes  ID 1.8  
No # 4  
4 An item on which the institution retains beneficial ownership?  Yes  # 5  
No # 23  
5 An asset associated with collateral posted as variation margin for derivatives?  Yes  Do not 
report.  
No # 6  
6 Non-performing assets or defaulted securities?  Yes  ID 1.9.3  
No # 7  
7 Trade date receivables?  Yes  ID 1.9.2  
No # 8  
8 Interdependent assets?  Yes  Allocate into 
one relevant 
item of ID 
1.5 
No # 9  
9 Assets within a group or an IPS for which the competent authority has granted 
the preferential treatment?  Yes ID 1.6  
No # 10  
10 Central bank assets?  Yes  Allocate into 
one relevant 
item of ID 
1.1 
No # 11  
11 Liquid assets?  Yes  # 12  
No # 13  
12 Liquid assets encumbered for a residual maturity of one year or more in a cover 
pool?  Yes ID 1.2.13  
No Allocate into 
one relevant 
item of ID 
1.2.1 to 
1.2.12  
13 Non-liquid asset securities?  Yes  Allocate into 
one relevant 
item of ID 
1.3 
No # 14EN L 97/1520 Official Journal of the European Union 19.3.2021
 
# Item  Decision  Action  
14 Trade finance on-balance sheet products?  Yes  ID 1.4.7  
No # 15  
15 NSFR derivative assets?  Yes  ID 1.7.2  
No # 16  
16 Loans?  Yes  # 17  
No # 21  
17 Loans encumbered for a residual maturity of one year or more in a cover pool?  Yes  ID 1.4.4  
No # 18  
18 Loans classified as operational deposits?  Yes  ID 1.4.1  
No # 19  
19 Securities financing transactions with financial customers?  Yes  Allocate into 
one relevant 
item of ID 
1.4.2.  
No # 20  
20 Other loans and advances to financial customers?  Yes  ID 1.4.3  
No Allocate into 
one relevant 
item of ID 
1.4.5 or 
1.4.6.  
21 Physically traded commodities?  Yes  Allocate into 
one relevant 
item of ID 
1.9.1  
No # 22  
22 Any other asset not considered in the above categories?  Yes  ID 1.9.4  
No Do not 
report.  
23 An off-balance sheet exposure?  Yes  # 24  
No Do not 
report.  
24 Non-performing exposure?  Yes  ID 1.10.4  
No # 25  
25 Committed facilities?  Yes  # 26  
No # 27  
26 Committed facilities for which the competent authority has granted the prefer ­
ential treatment?  Yes ID 1.10.1  
No ID 1.10.2EN 19.3.2021 Official Journal of the European Union L 97/1521
 
# Item  Decision  Action  
27 Trade finance off-balance sheet item?  Yes  ID 1.10.3  
No # 28  
28 Other off-balance sheet exposure for which the competent authority has 
determined the RSF factor?  Yes ID 1.10.5  
No Do not 
report.  
2. Instructions concerning specific columns  
Column  Legal references and instructions  
0010- 
0030  Amount of non-HQLA  
Institutions shall report in columns 0010-0030 the amount, unless specified otherwise in Chapter 4 of 
Title IV of Part Six CRR, of the assets and off-balance sheet items referred to in Section 2 of Chapter 4 of 
Title IV of Part Six CRR for each maturity bucket. 
The amount shall be reported in columns 0010-0030 when the corresponding item is not eligible as 
liquid asset pursuant to the Delegated Regulation (EU) 2015/61, regardless of whether they comply with 
the operational requirements referred to in Article 8 of that Delegated Regulation.  
0040  Amount of HQLA  
See instructions in columns 0010-0030. 
The amount shall be reported in column 0040 when the corresponding item is eligible as high-quality 
liquid asset pursuant to the Delegated Regulation (EU) 2015/61, regardless of whether they comply with 
the operational requirements referred to in Article 8 of that Delegated Regulation.  
0050- 
0080  Standard RSF factor  
Section 2 of Chapter 4 of Title IV of Part Six CRR 
The standard factors in columns 0050-0080 are those specified in Chapter 4 of Title IV of Part Six CRR 
by default that would determine the part of the amount of the assets and off-balance sheet items that is 
required stable funding. They are provided for information only and are not meant to be filled in by 
institutions.  
0090- 
0120  Applicable RSF factor  
Section 2 of Chapter 4 of Title IV of Part Six CRR 
Institutions shall report in columns 0090-0120 the applicable factor applied to items in Chapter 4 of 
Title IV of Part Six CRR. Applicable factors may result in weighted average values and shall be reported 
in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 
50 per cent). Applicable factors may reflect, but are not limited to, firm-specific and national discretions.  
0130  Required stable funding:  
Institutions shall report in Column 0130 the required stable funding in accordance with Chapter 4 of 
Title IV of Part Six CRR. 
This shall be calculated using the following formula: 
c0130 = SUM{(c0010 * c 0090), (c0020 * c 0100), (c0030 * c 0110), (c0040 * c 0120)}.EN L 97/1522 Official Journal of the European Union 19.3.2021
 
3. Instructions concerning specific rows  
Row  Legal references and instructions  
0010  1  REQUIRED STABLE FUNDING  
Chapter 4 of Title IV of Part Six CRR 
Institutions shall report here items subject to the required stable funding in accordance with Chapter 4 of 
Title IV of Part Six CRR.  
0020  1.1  RSF from central bank assets  
Points (c) and (d) of Article 428r(1) and point (d) of Article 428ad CRR 
Institutions shall report here central bank assets. 
A reduced RSF factor may apply in accordance with Article 428p(7) CRR.  
0030  1.1.1  cash, reserves and HQLA exposures to central banks  
Institutions shall report here cash and reserves at central banks, including excess reserves. Institutions 
shall also report here any other exposures to central banks that are considered as liquid assets pursuant 
to the Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements 
referred to in Article 8 of that Delegated Regulation. 
Minimum reserves that are not considered as liquid assets pursuant to Delegated Regulation (EU) 
2015/61 shall be reported in the relevant non-HQLA column.  
0040  1.1.1.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.1.1 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months  
0050  1.1.1.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.1.1 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0060  1.1.1.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.1.1 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0070  1.1.2  other non-HQLA central bank exposures  
Institutions shall report here any other claims on central banks other than those reported under item 
1.1.1.  
0080  1.2  RSF from liquid assets  
Points (a) and (b) of Article 428r(1) to Article 428ae CRR 
Institutions shall report here liquid assets pursuant to Delegated Regulation (EU) 2015/61, regardless if 
they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.  
0090  1.2.1  level 1 assets eligible for 0 % LCR haircut  
Institutions shall report here assets that are eligible as level 1 liquid assets and shares or units in CIUs 
that are eligible for a 0 % haircut pursuant to Delegated Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1523
 
Row  Legal references and instructions  
Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds 
as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, 
but under item 1.2.13.  
0100  1.2.1.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.1 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months  
0110  1.2.1.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0120  1.2.1.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0130  1.2.2  level 1 assets eligible for 5 % LCR haircut  
Institutions shall report here shares or units in CIUs that are eligible for a 5 % haircut pursuant to 
Delegated Regulation (EU) 2015/61. 
Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds 
as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, 
but under item 1.2.13.  
0140  1.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.2 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months  
0150  1.2.2.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0160  1.2.2.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0170  1.2.3  level 1 assets eligible for 7 % LCR haircut  
Institutions shall report here assets that are eligible as level 1 extremely high quality covered bonds 
pursuant to Delegated Regulation (EU) 2015/61. 
Assets encumbered for a residual maturity of one year or more in a cover pool of funded by covered 
bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but 
under item 1.2.13.  
0180  1.2.3.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.3 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six monthsEN L 97/1524 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0190  1.2.3.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.3 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0200  1.2.3.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.3 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0210  1.2.4  level 1 assets eligible for 12 % LCR haircut  
Institutions shall report here shares or units in CIUs that are eligible for a 12 % haircut pursuant to 
Delegated Regulation (EU) 2015/61. 
Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds 
as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, 
but under item 1.2.13.  
0220  1.2.4.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.4 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months  
0230  1.2.4.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.4 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0240  1.2.4.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.4 that is encumbered for a residual maturity of one year or more  
0250  1.2.5  level 2A assets eligible for 15 % LCR haircut  
Institutions shall report here assets that are eligible as Level 2A assets pursuant to Delegated Regulation 
(EU) 2015/61. 
Assets encumbered for a residual maturity of one year or more in a cover pool of covered bonds as 
referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, 
but under item 1.2.13.  
0260  1.2.5.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.5 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months  
0270  1.2.5.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.5 that is encumbered for a residual maturity of at least six months but 
less than one year  
0280  1.2.5.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0290  1.2.6  level 2A assets eligible for 20 % LCR haircut  
Institutions shall report here shares or units in CIUs that are eligible for a 20 % haircut pursuant to 
Delegated Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1525
 
Row  Legal references and instructions  
Assets encumbered for a residual maturity of one year or more in a cover pool of covered bonds as 
referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, 
but under item 1.2.13.  
0300  1.2.6.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.6 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months  
0310  1.2.6.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.6 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0320  1.2.6.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.6 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0330  1.2.7  level 2B securitizations eligible for 25 % LCR haircut  
Institutions shall report here level 2B securitizations that are eligible for a 25 % haircut pursuant to 
Delegated Regulation (EU) 2015/61. 
Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds 
as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, 
but under item 1.2.13.  
0340  1.2.7.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.7 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months  
0350  1.2.7.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.7 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0360  1.2.7.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.7 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0370  1.2.8  level 2B assets eligible for 30 % LCR haircut  
Institutions shall report here high quality covered bonds and shares or units in CIUs that are eligible for 
a 30 % haircut pursuant to Delegated Regulation (EU) 2015/61. 
Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds 
as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, 
but under item 1.2.13.  
0380  1.2.8.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.8 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six monthsEN L 97/1526 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0390  1.2.8.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.8 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0400  1.2.8.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.8 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0410  1.2.9  level 2B assets eligible for 35 % LCR haircut  
Institutions shall report here level 2B securitizations and shares or units in CIUs that are eligible for a 
35 % haircut pursuant to Delegated Regulation (EU) 2015/61. 
Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds 
as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, 
but under item 1.2.13.  
0420  1.2.9.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.9 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months  
0430  1.2.9.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.9 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0440  1.2.9.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.9 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0450  1.2.10  level 2B assets eligible for 40 % LCR haircut  
Institutions shall report here shares or units in CIUs that are eligible for a 40 % haircut pursuant to 
Delegated Regulation (EU) 2015/61. 
Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds 
as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, 
but under item 1.2.13.  
0460  1.2.10.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.10 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months  
0470  1.2.10.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.10 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0480  1.2.10.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.10 that is related to assets that are encumbered for a residual maturity of 
one year or moreEN 19.3.2021 Official Journal of the European Union L 97/1527
 
Row  Legal references and instructions  
0490  1.2.11  level 2B assets eligible for 50 % LCR haircut  
Institutions shall report here level 2B assets pursuant to Delegated Regulation (EU) 2015/61, excluding 
level 2B securitizations and high quality covered bonds. 
Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds 
as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, 
but under item 1.2.13.  
0500  1.2.11.1  unencumbered or encumbered for a residual maturity of less than one year  
The amount reported under 1.2.11 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than one year  
0510  1.2.11.2  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.11 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0520  1.2.12  level 2B assets eligible for 55 % LCR haircut  
Institutions shall report here shares or units in CIUs that are eligible for a 55 % haircut pursuant to 
Delegated Regulation (EU) 2015/61. 
Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds 
as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, 
but under item 1.2.13.  
0530  1.2.12.1  unencumbered or encumbered for a residual maturity of less than one year  
The amount reported under 1.2.12 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than one year  
0540  1.2.12.2  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.12 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0550  1.2.13  HQLAs encumbered for a residual maturity of one year or more in a cover pool  
Point (h) of Article 428ag CRR; the amount reported in 1.2 that is related to assets that are encumbered 
for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in 
Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the 
treatment as set out in Article 129(4) or (5) CRR  
0560  1.3  RSF from securities other than liquid assets  
Points (e) and (f) of Article 428ag CRR 
Institutions shall report here securities that are not in default in accordance with Article 178 CRR and 
that are not liquid assets pursuant to Delegated Regulation (EU) 2015/61, regardless if they comply with 
the operational requirements laid down therein.EN L 97/1528 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0570  1.3.1  non-HQLA securities and exchange traded equities  
Points (e) and (f) of Article 428ag and point (b) of Article 428ah(1) CRR 
The amount reported in 1.3 that is related to non-HQLA securities other than non-exchange traded 
equities, excluding the securities reported under item 1.3.3. Exchange traded equities shall be reported in 
the one or more than one year time bucket.  
0580  1.3.1.1  unencumbered or encumbered for a residual maturity of less than one year  
The amount reported under 1.3.1 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than one year  
0590  1.3.1.2  encumbered for a residual maturity of one year or more  
The amount reported under 1.3.1 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0600  1.3.2  non-HQLA non-exchange traded equities  
Point (b) of Article 428ah(1) CRR;The amount reported under 1.3 that is related to non-exchange traded 
equity, excluding the securities reported under item 1.3.3.  
0610  1.3.3  non-HQLA securities encumbered for a residual maturity of one year or more in a 
cover pool  
Point (h) of Article 428ag CRR; the amount reported under 1.3 that is related to assets that are 
encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as 
referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR  
0620  1.4  RSF from loans  
Institutions shall report here monies due from loans that are not in default in accordance with 
Article 178 CRR. 
As specified under Article 428q(4) CRR, for amortizing loans with a residual contractual maturity of 
one year or more, any portion that matures in less than six months and any portion that matures 
between six months and less than one year shall be treated as having a residual maturity of less than six 
months and between six months and less than one year respectively.  
0630  1.4.1  Operational deposits  
Point (b) of Article 428ad and point (b) of article 428ah(1) CRR; the amount reported under 1.4 that is 
related to deposits that are operational pursuant to Delegated Regulation (EU) 2015/61  
0640  1.4.2  securities financing transactions with financial customers  
Articles 428e, point (g) of Article 428r(1) and point (b) of Article 428s(1) CRR; the amount reported 
under 1.4 that is related to monies due from securities financing transactions with financial customers  
0650  1.4.2.1  collateralized by level 1 assets eligible for 0 % LCR haircut  
Point (g) of Article 428r(1), point (d) of Article 428ad and point (b) of Article 428ah(1) CRR; the 
amount reported under 1.4.2 that is related to transactions collateralized by level 1 assets eligible for 0 % 
haircut pursuant to Delegated Regulation (EU) 2015/61  
0660  1.4.2.1.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.4.2.1 related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months  
0670  1.4.2.1.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.4.2.1 that is related to assets that are encumbered for a residual maturity 
of at least six months but less than one yearEN 19.3.2021 Official Journal of the European Union L 97/1529
 
Row  Legal references and instructions  
0680  1.4.2.1.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.4.2.1 that is related to assets that are encumbered for a residual maturity 
of one year or more  
0690  1.4.2.2  collateralized by other assets  
Point (b) of Article 428s(1), point (d) of Article 428ad and point (b) of Article 428ah(1) CRR; the 
amount reported under 1.4.2 that is related to transactions that are collateralized by assets other than 
level 1 assets eligible for 0 % haircut pursuant to Delegated Regulation (EU) 2015/61  
0700  1.4.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.4.2.2 related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months  
0710  1.4.2.2.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.4.2.2 that is related to assets that are encumbered for a residual maturity 
of at least six months but less than one year  
0720  1.4.2.2.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.4.2.2 that is related to assets that are encumbered for a residual maturity 
of one year or more  
0730  1.4.3  other loans and advances to financial customers  
Point (a) of Articles 428v and point (d)(iii) of Article 428ad CRR; the amount reported under 1.4 arising 
from other loans and advances to financial customers not reported under 1.4.1 and 1.4.2  
0740  1.4.4  assets encumbered for a residual maturity of one year or more in a cover pool  
Point (h) of Article 428ag CRR; the amount reported under 1.4 that is related to assets that are 
encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as 
referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility 
requirements for the treatment as set out in Article 129(4) or (5) CRR  
0750  1.4.5  loans to non-financial customers other than central banks where those loans are 
assigned a risk weight of 35 % or less  
Point (c) of Articles 428ad and Article 428af CRR; the amount reported under 1.4 that is related to 
loans secured by mortgages on residential property or residential loans fully guaranteed by an eligible 
protection provider as referred to in point (e) of Article 129(1) CRR or loans, excluding loans to 
financial customers and loans referred to in Articles 428r to 428ad CRR, provided that those loans 
are assigned a risk weight of 35 % or less in accordance with Chapter 2 of Title II of Part Three CRR  
0760  1.4.5.0.1.  of which, residential mortgages  
The amount reported under 1.4.5 that is related to exposures secured by mortgages on residential 
property  
0770  1.4.5.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.4.5 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six monthsEN L 97/1530 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0780  1.4.5.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.4.5 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0790  1.4.5.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.4.5 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0800  1.4.6  other loans to non-financial customers other than central banks  
Point (c) of Article 428ad and point (c) of 428ag CRR; the amount reported under 1.4.5 that is related 
to loans to non-financial customers other than central banks with a risk weight of more than 35 % in 
accordance with Chapter 2 of Title II of Part Three CRR  
0810  1.4.6.0.1  of which, residential mortgages  
The amount reported under 1.4.6 that is related to exposures secured by mortgages on residential 
property  
0820  1.4.6.1  unencumbered or encumbered for a residual maturity of less than one year  
The amount reported under 1.4.6 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than one year  
0830  1.4.6.2  encumbered a residual maturity of one year or more  
The amount reported under 1.4.6 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0840  1.4.7  trade finance on-balance sheet products  
Point (b) of Article 428v, point (e) of Article 428ad and point (d) of Article 428ag CRR; the amount 
related to trade finance on-balance sheet related products  
0850  1.5  RSF from interdependent assets  
Article 428f and point (f) of Article 428r(1) CRR 
Institutions shall report here assets that are interdependent with liabilities in accordance with 
Article 428f CRR.  
0860  1.5.1  centralised regulated savings  
Point (a) of Article 428f(2) CRR; the amount reported under 1.5 that is related to centralized regulated 
savings  
0870  1.5.2  promotional loans and credit and liquidity facilities  
Point (b) of Article 428f(2) CRR; the amount reported under 1.5 that is related to promotional loans 
and credit and liquidity facilities  
0880  1.5.3  eligible covered bonds  
Point (c) of Article 428f(2) CRR; the amount reported under 1.5 that is related to eligible covered bonds  
0890  1.5.4  derivatives client clearing activities  
Point (d) of Article 428f(2) CRR; the amount reported under 1.5 that is related to derivative client 
clearing activitiesEN 19.3.2021 Official Journal of the European Union L 97/1531
 
Row  Legal references and instructions  
0900  1.5.5  other  
Article 428f(1) CRR; the amount reported under 1.5 that is related to assets not referred to in items 
1.5.1 to 1.5.4  
0910  1.6  RSF from assets within a group or an IPS if subject to preferential treatment  
Institutions shall report here assets authorized by competent authorities for the preferential treatment in 
accordance with Article 428h CRR.  
0920  1.7  RSF from derivatives  
Article 428d, Article 428s(2), point (a) of Article 428ag and Article 428ah(2) CRR 
Institutions shall report here the amount of required stable funding arising from derivatives.  
0930  1.7.1  required stable funding for derivative liabilities  
The amount reported under 1.7 that is the absolute fair value of netting sets with a negative fair value 
calculated in accordance with Article 428s(2) CRR  
0940  1.7.2  NSFR derivative assets  
Articles 428d CRR; the amount reported under 1.7 that is calculated as the positive difference between 
netting sets calculated in accordance with Article 428ah(2) CRR  
0950  1.7.3  initial margin posted  
Point (a) of Article 428ag CRR; the amount reported under 1.7 that is related to initial margin for 
derivative contracts  
0960  1.8  RSF from contributions to CCP default fund  
Point (b) of Article 428ag CRR 
Institutions shall report here items posted as contribution to the default fund of a CCP.  
0970  1.9  RSF from other assets  
Institutions shall report here any asset not referred to in items 1.1 to 1.8.  
0980  1.9.1  physically traded commodities  
Point (g) of Article 428ag CRR; the amount reported under 1.9 that is related to physically traded 
commodities 
This item shall not include commodity derivatives that fall under item 1.7.  
0990  1.9.1.1  unencumbered or encumbered for a residual maturity of less than one year  
The amount reported under 1.9.1 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than one year  
1000  1.9.1.2  encumbered for a residual maturity of one year or more  
The amount reported under 1.9.1 that is related to assets that are encumbered for a residual maturity of 
one year or more  
1010  1.9.2  trade date receivables  
Point (e) of Article 428r(1) CRR; the amount reported under 1.9 that is related to trade date receivablesEN L 97/1532 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
1020  1.9.3  non-performing assets  
Point (b) of Article 428ah(1) CRR; the amount reported in 1.9 that is related to non-performing assets  
1030  1.9.4  other assets  
Point (b) of Article 428ah(1) CRR; the amount reported under 1.9 that is related to assets that are not 
referred to in items 1.9.1 to 1.9.3  
1040  1.10  RSF from OBS items  
Institutions shall report here the amount of off-balance sheet items not referred to in items 1.1 to 1.9 
that are subject to the required stable funding requirements  
1050  1.10.1  committed facilities within a group or an IPS if subject to preferential treatment  
The amount reported under 1.10 that is related to committed facilities authorized by competent 
authorities for the preferential treatment in accordance with Article 428h CRR  
1060  1.10.2  committed facilities  
Point (c) of Article 428s(1) CRR; the amount reported under 1.10 that is related to committed facilities 
in accordance with Delegated Regulation (EU) 2015/61 that are not reported under item 1.9.1  
1070  1.10.3  trade finance off-balance sheet items  
Point (d) of Article 428s(1), Article 428u and point (c) of Article 428v CRR; the amount reported 
under 1.10 that is related to trade finance off-balance sheet related product as referred to in Annex I 
CRR  
1080  1.10.4  non-performing off-balance sheet items  
Point (b) of Article 428ah(1) CRR; the amount reported under 1.10 that is related to non-performing 
off-balance sheet exposures  
1090  1.10.5  other off-balance sheet exposures for which the competent authority has determined 
RSF factors  
The amount reported under 1.10 that is off-balance sheet exposures for which the competent authority 
has determined RSF factors in accordance with Article 428p(10) CRR  
PART III: AVAILABLE STABLE FUNDING  
1. Specific remarks  
18. All liabilities and own funds shall be reported with a breakdown by their residual maturity in accordance with 
Article 428j CRR. The maturity buckets of the amounts, standard available stable funding (ASF) factors and applicable 
ASF factors are the following:  
i. Residual maturity of less than six months or without stated maturity;  
ii. Residual maturity of a minimum of six months but less than one year;  
iii. Residual maturity of one year or more.  
19. All liabilities with a residual maturity of one year or more shall be subject to a 100 % ASF factor, unless otherwise 
specified in Articles 428k to 428n CRR, in accordance with Article 428o CRR.EN 19.3.2021 Official Journal of the European Union L 97/1533
 
20. All sight deposits shall be reported in the bucket referring to liabilities with a residual maturity of less than six 
months.  
21. According to Article 428j(2) CRR, institutions shall take into account existing options to determine the residual 
maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call 
options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and the 
competent authorities shall take into account reputational factors that may limit an institution’s ability not to exercise 
the option, in particular market expectations that institutions should redeem certain liabilities before their maturity.  
22. Furthermore, as established in Article 428o CRR, additional Tier 1 items, Tier 2 items and any other capital 
instruments with explicit or embedded options that, if exercised (even if they are not exercised yet on the 
reporting reference date), would reduce the effective residual maturity at the reporting reference date to less than 
one year shall not receive a 100 % ASF factor.  
23. According to Article 428j(3) CRR, institutions shall treat deposits with fixed notice periods in accordance with their 
notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation from 
paragraph 21, institutions shall not take into account options for early withdrawals, where the depositor has to pay a 
material penalty for early withdrawals which occur in less than one year, such penalty as laid down in Article 25(4) 
of Delegated Regulation (EU) 2015/61, to determine the residual maturity of term retail deposits.  
24. The decision tree for reporting template C 81.00 is part of the instructions to specify prioritization assessment 
criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going 
through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instructions. 
For the sake of simplicity the decision tree ignores totals, subtotals and “of which” items; this however does not mean 
that they shall not be reported as well.  
# Item  Decision  Action  
1 Common Equity Tier 1capital?  Yes  ID 2.1.1  
No # 2  
2 Additional Tier 1 capital?  Yes  ID 2.1.2  
No # 3  
3 Tier 2 capital?  Yes  ID 2.1.3  
No # 4  
4 Other capital instruments?  Yes  ID 2.1.4  
No # 5  
5 A liability associated with collateral received as variation margin for derivatives?  Yes  Do not 
report.  
No # 6  
6 Trade date payables?  Yes  ID 2.9.1  
No # 7EN L 97/1534 Official Journal of the European Union 19.3.2021
 
# Item  Decision  Action  
7 Interdependent liability?  Yes  Allocate into 
one relevant 
item of ID 
2.8 
No # 8  
8 Liabilities and committed facilities within a group or an IPS for which the 
competent authority has granted a preferential treatment?  Yes ID 2.4  
No # 9  
9 NSFR derivative liabilities?  Yes  ID 2.7  
No # 10  
10 Deferred tax liabilities?  Yes  ID 2.9.2  
No # 11  
11 Minority interests?  Yes  ID 2.9.3  
No # 12  
12 Stable retail deposits?  Yes  ID 2.2.1  
No # 13  
13 Other retail deposits?  Yes  ID 2.2.2  
No # 14  
14 Liabilities where the counterparty cannot be determined?  Yes  ID 2.6  
No # 15  
15 Liabilities provided by central banks?  Yes  Allocate into 
ID 2.5.1 or 
2.5.2  
No # 16  
16 Liabilities provided by financial customers?  Yes  Allocate into 
one relevant 
item of ID 
2.5.3  
No # 17  
17 Liabilities from non-financial customers other than central banks?  Yes  Allocate into 
relevant 
item of ID 
2.3 
No # 18  
18 Any other liabilities not considered in the above categories?  Yes  ID 2.9.4  
No Do not 
report.EN 19.3.2021 Official Journal of the European Union L 97/1535
 
2. Instructions concerning specific columns  
Column  Legal references and instructions  
0010- 
0030  Amount  
Institutions shall report in columns 0010-0030 the amount of liabilities and own funds allocated to the 
applicable residual maturity bucket.  
0040- 
0060  Standard ASF factor  
The standard factors in columns 0040-0060 are those specified in Chapter 3 of Title IV of Part Six CRR 
by default that would determine the part of the amount of the liabilities and own funds that constitutes 
available stable funding. They shall be provided for information only and are not meant to be filled in by 
institutions.  
0070- 
0090  Applicable ASF factor  
Chapter 2 and Chapter 3 of Title IV of Part Six CRR. 
Institutions shall report in columns 0070-0090 the applicable ASF factors in Chapter 3 of Title IV of 
Part Six CRR as weights that, multiplied by the amount of the liabilities or own funds, would determine 
the amount of the relevant available stable funding. Applicable factors may result in weighted average 
values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 
for an applicable weight of 50 per cent). Applicable factors may reflect, but are not limited to, firm- 
specific and national discretions.  
0100  Available Stable Funding  
Institutions shall report in column 0100 the value of the available stable funding in accordance with the 
definition set out in Article 428i CRR. 
This shall be calculated using the following formula: 
c0100 = SUM{(c0010 * c 0070), (c0020 * c 0080), (c0030 * c 0090)}.  
3. Instructions concerning specific rows  
Row  Legal references and instructions  
0010  2.  AVAILABLE STABLE FUNDING  
Chapter 3 of Title IV of Part Six CRR  
0020  2.1  ASF from capital items and instruments  
Institutions shall report here the sum of items reported under 2.1.1 to 2.1.4.  
0030  2.1.1  Common Equity Tier 1  
Point (a) of Article 428o CRR; Common Equity Tier 1 items before the application of prudential filters, 
deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR  
0040  2.1.2  Additional Tier 1  
Point (b) of Article 428o and point (d) of Article 428k(3) CRR; additional Tier 1 items before the 
application of the deductions and exemptions stipulated in Articles 56 and 79 CRR.  
0050  2.1.3  Tier 2  
Point (c) of Article 428o and point (d) of Article 428k(3) CRR; Tier 2 items before the application of 
the deductions and exemptions stipulated in Articles 66 and 79 CRR and having a residual maturity of 
one year or more at the reporting reference dateEN L 97/1536 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0060  2.1.4  Other capital instruments  
Point (d) of Article 428o and point (d) of Article 428k(3) CRR; other capital instruments with a residual 
maturity of one year or more at the reporting reference date  
0070  2.2.  ASF from retail deposits  
Institutions shall report here the sum of items reported under 2.2.1 and 2.2.2. This item includes both 
unsecured and secured liabilities.  
0080  2.2.0.1  of which, retail bonds  
Article 428i CRR 
Institutions shall report here bonds and other debt securities issued which are sold exclusively in the 
retail market and held in a retail account. These retail bonds shall be reported also within the 
corresponding category of retail deposits as “stable retail deposits” or “other retail deposits” under 
items 2.2.1 and 2.2.2 respectively.  
0090  2.2.1.  Stable retail deposits  
Article 428n CRR 
Institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee 
Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit 
guarantee scheme in a third country and either is part of an established relationship making withdrawal 
highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of the 
Commission delegated Regulation (EU) 2015/61 respectively and where: 
These deposits do not fulfill the criteria for a higher outflow rate in accordance with Article 25 
paragraphs 2, 3, or 5 of the Commission delegated Regulation (EU) 2015/61 in which case they 
shall be reported as “other retail deposits”; or 
These deposits have not been taken in third countries where a higher outflow is applied in accordance 
with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported as “other 
retail deposits”.  
0100  2.2.0.2  of which with a material early withdrawable penalty  
Article 428j(3) CRR 
Stable retail deposits that can be early withdrawn before one year upon the payment of a penalty that 
has been assessed as material in line with Article 25(4) of Delegated Regulation (EU) 2015/61.  
0110  2.2.2  Other retail deposits  
Article 428m CRR 
Institutions shall report the amount of other retail deposits than those captured as “stable retail deposits” 
under item 2.2.1.  
0120  2.2.0.3  of which with a material early withdrawable penalty  
‘Other retail deposits’ that can be early withdrawn before one year upon the payment of a penalty that 
has been assessed as material in line with Article 25(4) of Delegated Regulation (EU) 2015/61  
0130  2.3  ASF from other non-financial customers (except central banks)  
Article 428l CRR; liabilities provided by wholesale non-financial customers (except central banks) 
Institutions shall report here the sum of items under 2.3.1 to 2.3.6.EN 19.3.2021 Official Journal of the European Union L 97/1537
 
Row  Legal references and instructions  
0140  2.3.0.1  of which, securities financing transactions  
Articles 428e, point (g) of Article 428r(1) and point (b) of Article 428s(1) CRR; the amount reported 
under 2.3 that is related to monies due from securities financing transactions with non-financial 
customers  
0150  2.3.0.2  of which, operational deposits  
The amount reported under 2.3 that is provided in the form of operational deposits and is required for 
the provision of operational services as set out in Article 27 of Delegated Regulation (EU) 2015/61  
0160  2.3.1  Liabilities provided by the central government of a Member State or a third country  
Point (b)(i) of Article 428l CRR; the amount reported under 2.3 that is provided by the central 
government of a Member State or a third country  
0170  2.3.2  Liabilities provided by regional governments or local authorities of a Member State or a 
third country  
Point (b)(ii) of Article 428l CRR; the amount reported under 2.3 that is provided by regional 
governments or local authorities of a Member State or a third country  
0180  2.3.3  Liabilities provided by public sector entities of a Member State or a third country  
Point (b)(iii) of Article 428l CRR; the amount reported under 2.3 that is provided by public sector 
entities of a Member State or a third country  
0190  2.3.4  Liabilities provided by multilateral development banks and international organisations  
Point (b)(iv) of Article 428l CRR; the amount reported under 2.3 that is provided by multilateral 
development banks and international organisations  
0200  2.3.5  Liabilities provided by non-financial corporate customers  
Point (b)(v) of Article 428l CRR; the amount reported under 2.3 that is provided by non-financial 
corporate customers  
0210  2.3.6  Liabilities provided by credit unions, personal investment companies and deposit 
brokers  
Point (b)(vi) of Article 428l CRR; the amount reported under 2.3 that is provided by credit unions, 
personal investment companies and deposit brokers  
0220  2.4  ASF from liabilities and committed facilities within a group or an IPS if subject to 
preferential treatment  
Article 428h CRRInstitutions shall report here liabilities and committed facilities for which the 
competent authority has granted the preferential treatment referred to in Article 428h CRR.  
0230  2.5  ASF from financial customers and central banks  
Institutions shall report here the sum of items reported under 2.5.1 to 2.5.3.  
0240  2.5.0.1  of which sight deposits provided by network member to central institution  
Article 428g CRR 
Central institutions in an IPS or in cooperative networks shall report the sight deposits received by 
institutions belonging to that IPS or cooperative network that are treated as liquid assets by the 
depositing institution in accordance with Article 16 of Delegated Regulation (EU) 2015/61.EN L 97/1538 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0250  2.5.1  Liabilities provided by the ECB or the central bank of a Member State  
Point (c)(i) of Article 428k(3) and point (c)(i) of Article 428l CRR; liabilities provided by the ECB or the 
central bank of a Member State irrespective of whether or not they are related to securities financing 
transactions  
0260  2.5.2  Liabilities provided by the central bank of a third country  
Point (c)(ii) of Article 428k(3) and point (c)(ii) of Article 428l CRR; liabilities provided by the central 
bank of a third country irrespective of whether or not they are related to securities financing transactions  
0270  2.5.3  Liabilities provided by financial customers  
Point (c)(iii) of Article 428k(3) and point (c)(iii) of Article 428l CRR; liabilities provided by financial 
customers irrespective of whether or not they are related to securities financing transactions  
0280  2.5.3.1  Operational deposits  
Point (a) of Article 428l CRR 
Institutions shall report here the part of the operational deposits from financial customers, in accordance 
with Article 27 of Delegated Regulation (EU) 2015/61, which is necessary for the provision of oper ­
ational services. Deposits arising out of a correspondent banking relationship or from the provision of 
prime brokerage services shall be considered non-operational deposits in accordance with Article 27(5) 
of Delegated Regulation (EU) 2015/61 shall be reported under item 2.5.3.3. 
Operational deposits as per point (c) of Article 27(1) of the Commission Delegated Regulation (EU) 
2015/61 shall not be reported here but within item 2.3. ‘ASF from other non-financial customers 
(except central banks)’. 
The part of the operational deposits in excess of the amount necessary for the provision of operational 
services shall not be reported here but shall be reported under item 2.5.3.2.  
0290  2.5.3.2  Excess operational deposits  
Institutions shall report here the part of the operational deposits from financial customers in excess of 
those required for the provision of operational services. 
Operational deposits as per point (c) of Article 27(1) of the Commission Delegated Regulation (EU) 
2015/61 shall not be reported here but within item 2.3. “ASF from other non-financial customers 
(except central banks)”.  
0300  2.5.3.3  Other liabilities  
Institutions shall report here liabilities provided by financial customer that are not operational deposits 
where the counterparty can be identified. 
The part of operational deposits in excess of those required for the provision of operational services shall 
not be reported here but shall be reported under item 2.5.3.2.  
0310  2.6  ASF from liabilities provided where the counterparty cannot be determined  
Point (d) of Article 428k(3) and point (d) of Article 428l CRR 
Institutions shall report here liabilities where the counterparty cannot be determined, including securities 
issued where the holder cannot be identified.  
0320  2.7  ASF from net derivatives liabilities  
The negative difference between netting sets calculated in accordance with Article 428k(4) CRREN 19.3.2021 Official Journal of the European Union L 97/1539
 
Row  Legal references and instructions  
0330  2.8  ASF from interdependent liabilities  
Institutions shall report here liabilities that are interdependent with assets in accordance with 
Article 428f CRR. Institutions shall report here the sum of items 2.8.1 to 2.8.5.  
0340  2.8.1  Centralised regulated savings  
Liabilities related to centralized regulated savings to be treated as interdependent with assets in 
accordance with point (a) of Article 428f(2) CRR  
0350  2.8.2  Promotional loans and relevant credit and liquidity facilities  
Liabilities related to promotional loans and credit and liquidity facilities that are interdependent with 
assets in accordance with point (b) of Article 428f(2) CRR.  
0360  2.8.3  Eligible covered bonds  
Liabilities related to covered bonds to be treated as interdependent with assets in accordance with point 
(c) of Article 428f(2) CRR  
0370  2.8.4  Derivatives client clearing activities  
Liabilities related to derivatives client clearing activities to be treated as interdependent with assets in 
accordance with point (d) of Article 428f(2) CRR  
0380  2.8.5  Others  
Liabilities that fulfil all the conditions established in Article 428f(1) CRR and to be treated as inter ­
dependent with assets in accordance with Article 428f(1) CRR  
0390  2.9  ASF from other liabilities  
Institutions shall report here the sum of items reported under 2.9.1 to 2.9.4.  
0400  2.9.1  Trade date payables  
Point (a) of Article 428k(3) CRR 
Institutions shall report here trade date payables arising from purchases of financial instruments, foreign 
currencies and commodities that are expected to settle within the standard settlement cycle or period 
that is customary for the relevant exchange or type of transactions or that have failed to, but are still 
expected to settle.  
0410  2.9.2  Deferred tax liabilities  
Point (a) of Article 428k(1) CRR 
Institution shall report here deferred tax liabilities and shall consider the nearest possible date on which 
their amount can be realised as residual maturity.  
0420  2.9.3  Minority interests  
Point (b) of Article 428k(1) CRR 
Institution shall report here minority interests and shall consider the term of the instrument as residual 
maturity.  
0430  2.9.4  Other liabilities  
Articles 428k(1) and 428k(3) CRR 
Institutions shall report here other liabilities, including short positions and open maturity positions.EN L 97/1540 Official Journal of the European Union 19.3.2021
 
PART IV: SIMPLIFIED REQUIRED STABLE FUNDING  
1. Specific remarks  
25. Institutions shall report in the appropriate category all assets on which they retain beneficial ownership even if they 
are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not 
be reported even if these assets are accounted for in their balance sheet.  
26. In accordance with Article 428aq CRR, unless specified otherwise in Chapter 7 of Title IV of Part Six CRR, the 
amount of required stable funding (RSF) shall be calculated by multiplying the amount of assets and off-balance sheet 
items by the required stable funding factors.  
27. Assets that are eligible as liquid assets (HQLA) in accordance with Delegated Regulation (EU) 2015/61 shall be 
reported as such, regardless if they comply with the operational requirements referred to in Article 8 of that 
Delegated Regulation. Those assets shall be reported in designated columns regardless of their residual maturity.  
28. All non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in 
accordance with Article 428ar CRR. The maturity buckets of the amount, standard factors and applicable factors are 
the following:  
i. Residual maturity of less than one year or without stated maturity;  
ii. Residual maturity of one year or more.  
29. When calculating the residual maturity of non-HQLA assets and off-balance sheet items, institutions shall take 
options into account, based on the assumption that the issuer or counterparty will exercise any option to extend 
the asset's maturity. For options exercisable at the discretion of the institution, the institution and competent 
authority shall take into account reputational factors that may limit the institution's ability not to exercise the 
option, in particular considering markets’ and clients’ expectations that the institution should extend the maturity 
of certain assets at their maturity date.  
30. For some items, institutions shall report assets according to status of and/or maturity of encumbrance of that asset in 
accordance with paragraphs (4), (5) and (6) of Article 428aq CRR.  
31. The decision tree for reporting template C 82.00 is part of the instructions to specify prioritization assessment 
criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going 
through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instructions. 
For the sake of simplicity the decision tree ignores totals and subtotals; this however does not mean that they shall 
not be reported as well.  
32. As specified under Article 428aq(5) CRR, where an institution re-uses or re-pledges an asset that was borrowed, 
including in securities financing transactions, and that is accounted for off-balance sheet, the transaction through 
which the that assets has been borrowed shall be treated as encumbered to the extent that this transaction cannot 
mature without the institution returning the asset borrowed.  
# Item  Decision  Action  
1 Netting sets of derivative contracts with a negative fair value gross of collateral 
posted or settlement payments and receipts related to market valuation changes of 
these contracts?  Yes ID 1.7.1  
No # 2  
2 An asset or an off-balance sheet item posted as initial margin for derivatives?  Yes  ID 1.7.3  
No # 3EN 19.3.2021 Official Journal of the European Union L 97/1541
 
# Item  Decision  Action  
3 An asset or an off-balance sheet item posted as contribution to CCP default fund?  Yes  ID 1.8  
No # 4  
4 An item on which the institution retains beneficial ownership?  Yes  # 5  
No # 19  
5 An asset associated with collateral posted as initial or variation margin for deri ­
vatives or as contribution to CCP default fund?  Yes Do not 
report.  
No # 6  
6 Non-performing assets or defaulted securities?  Yes  ID 1.9  
No # 7  
7 Trade date receivables?  Yes  ID 1.9  
No # 8  
8 Interdependent assets?  Yes  Allocate 
into one 
relevant 
item of ID 
1.5 
No # 9  
9 Assets within a group or an IPS for which the competent authority has granted 
the preferential treatment?  Yes ID 1.6  
No # 10  
10 Central bank assets?  Yes  Allocate 
into one 
relevant 
item of ID 
1.1 
No # 11  
11 Liquid assets?  Yes  Allocate 
into one 
relevant 
item of ID 
1.2.1 to 
1.2.4  
No # 12  
12 Non-liquid asset securities?  Yes  ID 1.3  
No # 13  
13 Trade finance on-balance sheet products?  Yes  ID 1.4.3  
No # 14  
14 NSFR derivative assets?  Yes  ID 1.7.2  
No # 15  
15 Loans?  Yes  # 16  
No # 20EN L 97/1542 Official Journal of the European Union 19.3.2021
 
# Item  Decision  Action  
16 Loans to non-financial customers?  Yes  ID 1.4.1  
No # 17  
17 Loans to financial customers?  Yes  ID 1.4.2  
No # 18  
18 Any other asset not considered in the above categories?  Yes  ID 1.9  
No Do not 
report.  
19 An off-balance sheet exposure?  Yes  # 20  
No Do not 
report.  
20 Non-performing exposure?  Yes  ID 1.10.4  
No # 21  
21 Committed facilities?  Yes  # 22  
No # 23  
22 Committed facilities for which the competent authority has granted the prefer ­
ential treatment?  Yes ID 1.10.1  
No ID 1.10.2  
23 Trade finance off-balance sheet item?  Yes  ID 1.10.3  
No # 24  
24 Other off-balance sheet exposure for which the competent authority has 
determined the RSF factor?  Yes ID 1.10.5  
No Do not 
report.  
2. Instructions concerning specific columns  
Column  Legal references and instructions  
0010- 
0020  Amount of non-HQLA  
Institutions shall report in columns 0010-0020 the amount, unless specified otherwise in Chapter 7 of 
Title IV of Part Six CRR, of the assets and off-balance sheet items referred to in Section 2 of Chapter 7 of 
Title IV of Part Six CRR. 
The amount shall be reported in columns 0010-0020 when the corresponding item is not eligible as 
liquid asset pursuant to Delegated Regulation (EU) 2015/61, regardless of whether they comply with the 
operational requirements referred to in Article 8 of that Delegated Regulation.  
0030  Amount of HQLA  
See instructions in columns 0010-0020. 
The amount shall be reported in column 0030 when the corresponding item is eligible as liquid asset 
pursuant to Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational 
requirements referred to in Article 8 of that Delegated Regulation.EN 19.3.2021 Official Journal of the European Union L 97/1543
 
Column  Legal references and instructions  
0040- 
0060  Standard RSF factor  
Section 2 of Chapter 7 of Title IV of Part Six CRR 
The standard factors in columns 0040-0060 are those specified in Chapter 7 of Title IV of Part Six CRR 
by default that would determine the part of the amount of the assets and off-balance sheet items that is 
required stable funding. They are provided for information only and are not meant to be filled in by 
institutions.  
0070- 
0900  Applicable RSF factor  
Chapter 2 and Chapter 7 CRR 
Institutions shall report in columns 0070-0900 the applicable factor applied to items in Chapter 7 of 
Title IV of Part Six CRR. Applicable factors may result in weighted average values and shall be reported 
in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 
50 per cent). Applicable factors may reflect, but are not limited to, firm-specific and national discretions.  
0100  Required stable funding:  
Institutions shall report in Column 0100 the required stable funding in accordance with Chapter 7 of 
Title IV of Part Six CRR. 
This shall be calculated using the following formula: 
c0100 = SUM{(c0010 * c 0070), (c0020 * c 0080), (c0030 * c 0090)}.  
3. Instructions concerning specific rows  
Row  Legal references and instructions  
0010  1  REQUIRED STABLE FUNDING  
Institutions shall report here items subject to the required stable funding in accordance with Chapter 7 of 
Title IV of Part Six CRR.  
0020  1.1  RSF from central bank assets  
Points (b) and (c) of Article 428as(1) and point (d) of Article 428ad CRR 
Institutions shall report here central bank assets. 
A reduced RSF factor may apply in accordance with Article 428aq(7) CRR.  
0030  1.1.1  cash, reserves and HQLA exposures to central banks  
Institutions shall report here cash and reserves at central banks, including excess reserves. Institutions 
shall also report here any other exposures to central banks that are considered as liquid assets pursuant 
to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements 
referred to in Article 8 of that Delegated Regulation. 
Minimum reserves that are not considered as liquid assets pursuant to Delegated Regulation (EU) 
2015/61 shall be reported in the relevant non-HQLA column.  
0040  1.1.2  other non-HQLA central bank exposures  
Institutions shall report here any other claims on central banks other than those reported under item 
1.1.1.EN L 97/1544 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0050  1.2  RSF from liquid assets  
Articles 428ar to 428av and Article 428ax CRR 
Institutions shall report here liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if 
they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.  
0060  1.2.1  level 1 assets eligible for 0 % LCR haircut  
Institutions shall report here assets that are eligible as level 1 liquid assets pursuant to Article 10 of 
Delegated Regulation (EU) 2015/61.  
0070  1.2.1.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.1 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months.  
0080  1.2.1.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year.  
0090  1.2.1.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of 
one year or more.  
0100  1.2.2  level 1 assets eligible for 7 % LCR haircut  
Institutions shall report here level 1 assets that are eligible for a 7 % haircut pursuant to Delegated 
Regulation (EU) 2015/61 as well as shares or units in CIUs that are eligible for a 5 % haircut pursuant to 
Delegated Regulation (EU) 2015/61.  
0110  1.2.2.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.2 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six months.  
0120  1.2.2.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year.  
0130  1.2.2.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of 
one year or more.  
0140  1.2.3  level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 
0-20 % LCR haircuts  
Institutions shall report here assets that are eligible as Level 2A assets pursuant to Delegated Regulation 
(EU) 2015/61 and shares or units in CIUs eligible for 0-20 % LCR haircuts pursuant to Delegated 
Regulation (EU) 2015/61.  
0150  1.2.3.1  unencumbered or encumbered for a residual maturity of less than six months  
The amount reported under 1.2.5 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than six monthsEN 19.3.2021 Official Journal of the European Union L 97/1545
 
Row  Legal references and instructions  
0160  1.2.3.2  encumbered for a residual maturity of at least six months but less than one year  
The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of 
at least six months but less than one year  
0170  1.2.3.3  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0180  1.2.4  level 2B assets eligible for 25 % LCR haircut and shares or units in CIUs eligible for 30- 
55 % haircuts  
Institutions shall report here level 2B assets that are eligible for a haircut of 25 % pursuant to Delegated 
Regulation (EU) 2015/61 and shares or units in CIUs eligible for 30-55 % haircuts pursuant to Delegated 
Regulation (EU) 2015/61.  
0190  1.2.4.1  unencumbered or encumbered for a residual maturity of less than one year  
The amount reported under 1.2.4 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than one year  
0200  1.2.4.2  encumbered for a residual maturity of one year or more  
The amount reported under 1.2.4 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0210  1.3  RSF from securities other than liquid assets  
Point (b) of Article 428aw, point (d) of Article 428ay and point (b) of Article 428az(1) CRR 
Institutions shall report here securities that are not in default in accordance with Article 178 CRR and 
that are not liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with 
the operational requirements laid down therein.  
0220  1.3.1  unencumbered or encumbered for a residual maturity of less than one year  
The amount reported under 1.3 that is related to assets that are unencumbered or encumbered for a 
residual maturity of less than one year  
0230  1.3.2  encumbered for a residual maturity of one year or more  
The amount reported under 1.3 that is related to assets that are encumbered for a residual maturity of 
one year or more  
0240  1.4  RSF from loans  
Institutions shall report here monies due from loans that are not in default in accordance with 
Article 178 CRR. 
As specified under Article 428ar(4) CRR, for amortizing loans with a residual contractual maturity of 
one year or more, any portion that matures in less than six months and any portion that matures 
between six months and less than one year shall be treated as having a residual maturity of less than six 
months and between six months and less than one year respectively.  
0250  1.4.1  loans to non-financials  
The amount reported under 1.4 that is related to loans to non-financial customers  
0260  1.4.1.1  unencumbered or encumbered for a residual maturity of less than one year  
Point (a) of Article 428aw and point (b) of Article 428ay CRR; the amount reported under 1.4.1 that is 
related to assets that are unencumbered or encumbered for a residual maturity of less than one year.EN L 97/1546 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0270  1.4.1.2  encumbered for a residual maturity of one year or more  
Point (b) of Article 428az(1) CRR; the amount reported under 1.4.1 that is related to assets that are 
encumbered for a residual maturity of one year or more  
0280  1.4.2  loans to financials  
The amount reported under 1.4 that is related to loans to financial customers  
0290  1.4.2.1  unencumbered or encumbered for a residual maturity of less than one year  
Point (a) of Articles 428aw and point (b) of Article 428az(1) CRR; the amount reported under 1.4.2 that 
is related to assets that are unencumbered or encumbered for a residual maturity of less than one year  
0300  1.4.2.2  encumbered for a residual maturity of one year or more  
Point (b) of Article 428az(1) CRR; the amount reported under 1.4.2 that is related to assets that are 
encumbered for a residual maturity of one year or more  
0310  1.4.3  trade finance on-balance sheet products  
Point (b) of Article 428aw and point (c) of Article 428ay CRR; the amount reported under 1.4 arising 
from trade finance on-balance sheet products  
0320  1.5  RSF from interdependent assets  
Article 428f and point (f) of Article 428r(1) CRR; institutions shall report here assets that are inter ­
dependent with liabilities in accordance with Article 428f CRR  
0330  1.6  RSF from assets within a group or an IPS if subject to preferential treatment  
Institutions shall report here assets for which the competent authority has granted the preferential 
treatment referred to in Article 428h CRR.  
0340  1.7  RSF from derivatives  
Article 428d, Article 428at(2), point (a) of Article 428ay and Article 428az(2) CRR 
Institutions shall report here the amount of required stable funding arising from derivatives.  
0350  1.7.1  required stable funding for derivative liabilities  
Article 428at(2) CRR; the amount reported under 1.7 which is the absolute fair value of netting sets 
with a negative fair value calculated in accordance with Article 428at(2) CRR.  
0360  1.7.2  NSFR derivative assets  
Articles 428d; the amount reported under 1.7 which is the positive difference between netting sets 
calculated in accordance with Article 428az(2) CRR  
0370  1.7.3  initial margin posted  
Point (a) of Article 428ay CRR; the amount reported under 1.7 that is related to initial margin for 
derivative contracts  
0380  1.8  RSF from contributions to CCP default fund  
Point (a) of Article 428ay CRR 
Institutions shall report here items posted as contribution to the default fund of a CCP.EN 19.3.2021 Official Journal of the European Union L 97/1547
 
Row  Legal references and instructions  
0390  1.9  RSF from other assets  
Institutions shall report here any asset not referred to in items 1.1 to 1.8.  
0400  1.10  RSF from OBS items  
Institutions shall report here the amount of off-balance sheet items not referred to in items 1.1 to 1.8 
that are subject to the required stable funding requirements.  
0410  1.10.1  committed facilities within a group or an IPS if subject to preferential treatment  
The amount reported in 1.10 that is related to committed facilities for which the competent authority 
has granted the preferential treatment referred to in Article 428h CRR  
0420  1.10.2  committed facilities  
Article 428at(1) CRR; the amount reported under 1.10 that is committed facilities in accordance with 
Delegated Regulation (EU) 2015/61 that are not considered under item 1.10.1.  
0430  1.10.3  trade finance off-balance sheet items  
Point (b) of Article 428au CRR; the amount reported under 1.10 that is trade finance off-balance sheet 
related product as referred to in Annex I CRR  
0440  1.10.4  non-performing off-balance sheet items  
The amount reported under 1.10 that is related to non-performing exposures  
0450  1.10.5  other off-balance sheet exposures determined by competent authorities  
The amount reported under 1.10 that is off-balance sheet exposures for which the competent authority 
has determined RSF factors in accordance with Article 428aq(10) CRR  
PART V: SIMPLIFIED AVAILABLE STABLE FUNDING  
1. Specific remarks  
33. All liabilities and own funds shall be reported with a breakdown by their residual contractual maturity in accordance 
with Article 428ak CRR. The maturity buckets of the amounts, standard available stable funding (ASF) factors and 
applicable ASF factors are the following:  
i. Residual maturity of less than one year or without stated maturity;  
ii. Residual maturity of one year or more.  
34. All liabilities with a residual maturity of one year or more shall be subject to a 100 % ASF factor, unless otherwise 
specified in Articles 428al to 428ao CRR, in accordance with Article 428ap CRR.  
35. All sight deposits shall be reported in the bucket referring to liabilities with a residual maturity of less than one year.  
36. According to Article 428ak(2) CRR institutions shall take into account existing options to determine the residual 
maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call 
options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and 
the competent authorities shall take into account reputational factors that may limit an institution’s ability not to 
exercise the option, in particular market expectations that institutions should redeem certain liabilities before their 
maturity.EN L 97/1548 Official Journal of the European Union 19.3.2021
 
37. Furthermore, as established in Article 428ap CRR, additional Tier 1 items, Tier 2 items and any other capital 
instruments with explicit or embedded options that, if exercised (even if they are not exercised yet on the 
reporting reference date), would reduce the effective residual maturity at the reporting reference date to less than 
one year shall not receive a 100 % ASF factor.  
38. According to Article 428ak(3) CRR, institutions shall treat deposits with fixed notice periods in accordance with 
their notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation 
from paragraph 36, institutions shall not take into account options for early withdrawals, where the depositor has to 
pay a material penalty for early withdrawals which occur in less than one year, such penalty as laid down in 
Article 25(4) of Delegated Regulation (EU) 2015/61, to determine the residual maturity of term retail deposits.  
39. The decision tree for reporting template C 83.00 is part of the instructions to specify prioritization assessment 
criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going 
through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instruc ­
tions. For the sake of simplicity the decision tree ignores totals and subtotals; this however does not mean that they 
shall not be reported as well.  
# Item  Decision  Action  
1 Common Equity Tier 1capital?  Yes  ID 2.1  
No # 2  
2 Additional Tier 1 capital?  Yes  ID 2.1  
No # 3  
3 Tier 2 capital?  Yes  ID 2.1  
No # 4  
4 Other capital instruments?  Yes  ID 2.1  
No # 5  
5 A liability associated with collateral received as variation margin for derivatives?  Yes  Do not 
report.  
No # 6  
6 Trade date payables?  Yes  ID 2.9  
No # 7  
7 Interdependent liability?  Yes  ID 2.8  
No # 8  
8 Liabilities and committed facilities within a group or an IPS for which the 
competent authority has granted the preferential treatment?  Yes ID 2.5  
No # 9  
9 NSFR derivative liabilities?  Yes  ID 2.9  
No # 10EN 19.3.2021 Official Journal of the European Union L 97/1549
 
# Item  Decision  Action  
10 Deferred tax liabilities?  Yes  ID 2.9  
No # 11  
11 Minority interest?  Yes  ID 2.9  
No # 12  
12 Stable retail deposits?  Yes  ID 2.2.1  
No # 13  
13 Other retail deposits?  Yes  ID 2.2.2  
No # 14  
14 Operational deposits provided by financial or non-financial customers?  Yes  ID 2.4  
No # 15  
15 Liabilities where the counterparty cannot be determined?  Yes  ID 2.7  
No # 16  
16 Liabilities provided by central banks?  Yes  ID 2.6  
No # 17  
17 Liabilities provided by financial customers?  Yes  ID 2.6  
No # 18  
18 Liabilities from non-financial customers other than central banks?  Yes  ID 2.3  
No # 19  
19 Any other liabilities not considered in the above categories?  Yes  ID 2.9  
No Do not 
report.  
2. Instructions concerning specific columns  
Column  Legal references and instructions  
0010- 
0020  Amount  
Institutions shall report in columns 0010-0020 the amount of liabilities and own funds allocated to the 
applicable residual maturity bucket.  
0030- 
0040  Standard ASF factor  
Section 2 of Chapter 6 of Title IV of Part Six CRR 
The standard factors in columns 0030-0040 shall be those specified in Chapter 8 of Title IV of Part Six 
CRR by default that would determine the part of the amount of the liabilities and own funds that is 
available stable funding. They shall provided for information only and are not meant to be filled in by 
institutions.  
0050- 
0060  Applicable ASF factor  
Chapter 2 and Chapter 6 of Title IV of Part Six CRR 
Institutions shall report in columns 0050-0060 the applicable ASF factors in Chapter 6 of Title IV Part 
Six CRR as weights that, multiplied by the amount of the liabilities or own funds, would determine the 
amount of the relevant available stable funding. Applicable factors shall be reported in decimal terms (i.e. 
1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). 
Applicable factors may reflect, but are not limited to, firm-specific and national discretions.EN L 97/1550 Official Journal of the European Union 19.3.2021
 
Column  Legal references and instructions  
0070  Available Stable Funding  
Institutions shall report in column 0070 the value of the available stable funding in accordance with the 
definition set out in Article 428aj CRR. 
This shall be calculated using the following formula: 
c0070 = SUM{(c0010 * c 0050), (c0020 * c 0060)}.  
3. Instructions concerning specific rows  
Row  Legal references and instructions  
0010  2.  AVAILABLE STABLE FUNDING  
Chapter 6 of Title IV of Part Six CRR  
0020  2.1  ASF from capital items and instruments 
Common Equity Tier 1  
Point (a) of Article 428ap CRR; Common Equity Tier 1 items before the application of prudential filters, 
deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR  
Additional Tier 1  
Point (b) of Article 428ap CRR; additional Tier 1 items before the application of the deductions and 
exemptions stipulated in Articles 56 and 79 CRR  
Tier 2  
Point (c) of Article 428ap CRR; Tier 2 items before the application of the deductions and exemptions 
stipulated in Articles 66 and 79 CRR  
Other capital instruments  
Point (d) of Article 428ap and point (d) of Article 428al(3) CRR; other capital instruments not referred 
to in any of the abovementioned categories  
0030  2.2  ASF from retail deposits  
Institutions shall reporting the following: 
— bonds and other debt securities issued which are sold exclusively in the retail market and held in a 
retail account. These retail bonds shall be reported also within the corresponding category of retail 
deposits as ‘stable retail deposits’ or ‘other retail deposits’ under items 2.2.1 and 2.2.2 respectively; 
see Article 428aj(2); 
— retail deposits maturing not before one year that can be early withdrawn before one year upon the 
payment of a penalty that has been assessed as material within the corresponding category of retail 
deposits as “stable retail deposits” or “other retail deposits” under items 2.2.1 and 2.2.2 respectively, 
in line with Article 25(4) of Delegated Regulation (EU) 2015/61; see Article 428ak(3) CRR. 
This item shall include both unsecured and secured liabilitiesEN 19.3.2021 Official Journal of the European Union L 97/1551
 
Row  Legal references and instructions  
0040  2.2.1  Stable retail deposits  
Article 428ao CRR 
Institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee 
Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit 
guarantee scheme in a third country and either is part of an established relationship making withdrawal 
highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of the 
Commission delegated Regulation (EU) 2015/61 respectively and where: 
— these deposits do not fulfill the criteria for a higher outflow rate in accordance with Article 25 
paragraphs 2, 3, or 5 of Delegated Regulation (EU) 2015/61 in which case they shall be reported as 
‘other retail deposits’; or 
— these deposits have not been taken in third countries where a higher outflow is applied in 
accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall 
be reported as “other retail deposits”.  
0050  2.2.2  Other retail deposits  
Article 428an CRR 
Institutions shall report the amount of other retail deposits than those that are “stable retail deposits” 
under item 2.2.1.  
0060  2.3  ASF from other non-financial customers (except central banks)  
Institutions shall report liabilities provided by wholesale non-financial customers (except central banks) 
that include: 
— liabilities provided by the central government of a Member State or a third country; see point (b)(i) 
of Article 428am CRR; 
— liabilities provided by regional governments or local authorities of a Member State or a third 
country; see point (b)(ii) of Article 428am CRR; 
— liabilities provided by public sector entities of a Member State or a third country; see point (b)(iii) of 
Article 428am CRR; 
— liabilities provided by multilateral development banks and international organisations; see point 
(b)(iv) of Article 428am CRR; 
— liabilities provided by non-financial corporate customers; see point (b)(v) of Article 428am CRR; 
— liabilities provided by credit unions, personal investment companies and deposit brokers; see point 
(b)(vi) of Article 428am CRR.  
0070  2.4  ASF from operational deposits  
Point (a) of Article 428am CRR; deposits received for the provision of operational services that fulfil the 
criteria for operational deposits set out in Article 27 of Delegated Regulation (EU) 2015/61.  
0080  2.5  ASF from liabilities and committed facilities within a group or an IPS if subject to prefer ­
ential treatment  
Institutions shall report here liabilities and committed facilities for which the competent authority has 
granted the preferential treatment referred to in Article 428h CRR.EN L 97/1552 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0090  2.6  ASF from financial customers and central banks  
Institutions shall report the following liabilities: 
— liabilities provided by the ECB or the central bank of a Member State (see point (c) of 
Article 428al(3)): 
(i) liabilities provided by the ECB or the central bank of a Member State irrespective of whether or 
not they are securities financing transactions; see point (c)(i) of Article 428al(3) CRR; 
(ii) liabilities provided by the central bank of a third country; liabilities provided by the central 
bank of a third country irrespective of whether or not they are securities financing transactions; 
see point (c)(ii) of Article 428al(3) CRR; 
(iii) liabilities provided by financial customers; liabilities provided by financial customers irrespective 
of whether or not they are securities financing transactions; see point (c)(iii) of Article 428al(3) 
CRR; 
— liabilities provided by financial customers and central banks with a residual maturity of one year or 
more; see point (e) of Article 428ap CRR.  
0100  2.7  ASF from liabilities provided where the counterparty cannot be determined  
Point (d) of Article 428al(3) and point (e) of Article 428ap CRR 
Institutions shall report here liabilities where the counterparty cannot be determined, including securities 
issued where the holder cannot be identified.  
0110  2.8  ASF from interdependent liabilities  
Institutions shall report the following liabilities: 
— liabilities that are interdependent with assets in accordance with Article 428f CRR; see also point 
(b) of Article 428al(3) CRR 
— liabilities linked to centralized regulated savings to be treated as interdependent with assets in 
accordance with point (a) of Article 428f(2) CRR; 
— liabilities linked to promotional loans and credit and liquidity facilities to be treated as inter ­
dependent with assets in accordance with point (b) of Article 428f(2) CRR. 
— liabilities linked to covered bonds to be treated as interdependent with assets in accordance with 
point (c) of Article 428f(2) CRR; 
— liabilities linked to derivatives client clearing activities to be treated as interdependent with assets in 
accordance with point (d) of Article 428f(2) CRR; 
— liabilities that fulfil all the conditions set out in Article 428f(1) CRR and are interdependent with 
assets in accordance with Article 428f(1) CRR.  
0120  2.9  ASF from other liabilities  
Institutions shall report the following: 
— trade date payables arising from purchases of financial instruments, foreign currencies and 
commodities that are expected to settle within the standard settlement cycle or period that is 
customary for the relevant exchange or type of transactions or that have failed to, but are still 
expected to settle; see point (a) of Article 428al(3) CRR;EN 19.3.2021 Official Journal of the European Union L 97/1553
 
Row  Legal references and instructions  
— deferred tax liabilities; the nearest possible date on which their amount can be realised as residual 
maturity shall be used; see point (a) of Article 428al(1) CRR; 
— minority interests; the term of the instrument shall be used as residual maturity; see point (b) of 
Article 428al(1) CRR; 
— other liabilities without a stated maturity, including short positions and open maturity positions 
unless otherwise specified in this Section; see article 428al(1) CRR; 
— the negative difference between netting sets calculated in accordance with Article 428al(4) CRR; all 
derivative liabilities shall be reported as if having a residual maturity of less than one year; 
— any other liabilities not referred to in Articles 428al to 428ap CRR; all capital items shall be 
reported under item 2.1 regardless of their residual maturity; see also point (d) of Article 428al(3) 
CRR.  
PART VI: SUMMARY NSFR  
1. Specific remarks  
40. The purpose of this template is to provide information on the net stable funding ratio, both for institutions 
reporting the fully-fledged NSFR (reporting templates C 80.00 and C 81.00) and for institutions reporting the 
simplified NSFR (reporting templates C 82.00 and C 83.00).  
41. In accordance with Article 428b(1) CRR, the net stable funding requirement laid down in Article 413(1) CRR shall 
be equal to the ratio of the institution’s available stable funding as referred to in Chapter 3 and 6 to the institution’s 
required stable funding as referred to in Chapter 4 and 7, and shall be expressed as a percentage. The rules for the 
calculation of the ratio are laid down in Chapter 2.  
42. The items in rows 0010 to 0210 shall be the same as the equivalent ones reported in reporting templates C 80.00 
to C 83.00.  
2. Instructions concerning specific columns  
Column  Legal references and instructions  
0010  Amount  
Institutions shall report in column 0010 the amount of assets, off-balance sheet items, liabilities and 
own funds allocated to the sum of all applicable residual maturity and HQLA buckets. The amounts to 
be reported shall be those before application of the relevant ASF and RSF factors.  
0020  Required Stable Funding  
Institutions shall report in column 0020 the required stable funding calculated in accordance with 
Chapters 4 and 7 of Title IV of Part Six CRR.  
0030  Available Stable Funding  
Institutions shall report in column 0030 the available stable funding calculated in accordance with 
Chapters 3 and 6 of Title IV of Part Six CRR.  
0040  Ratio  
Institutions shall report in column 0040 the NSFR ratio in accordance to Article 428b(1) CRR.EN L 97/1554 Official Journal of the European Union 19.3.2021
 
3. Instructions concerning specific rows  
Row  Legal references and instructions  
0010  1.  REQUIRED STABLE FUNDING  
Item 1 of reporting templates C 80.00 and C 82.00  
0020  1.1  RSF from central bank assets  
Item 1.1 of reporting templates C 80.00 and C 82.00  
0030  1.2  RSF from liquid assets  
Item 1.2 of reporting templates C 80.00 and C 82.00  
0040  1.3  RSF from securities other than liquid assets  
Item 1.3 of reporting templates C 80.00 and C 82.00  
0050  1.4  RSF from loans  
Item 1.4 of reporting templates C 80.00 and C 82.00  
0060  1.5  RSF from interdependent assets  
Item 1.5 of reporting templates C 80.00 and C 82.00  
0070  1.6  RSF from assets within a group or an IPS if subject to preferential treatment  
Item 1.6 of reporting templates C 80.00 and C 82.00  
0080  1.7  RSF from derivatives  
Item 1.7 of reporting templates C 80.00 and C 82.00  
0090  1.8  RSF from contributions to CCP default fund  
Item 1.8 of reporting templates C 80.00 and C 82.00  
0100  1.9  RSF from other assets  
Item 1.9 of reporting templates C 80.00 and C 82.00  
0110  1.10  RSF from OBS items  
Item 1.10 of reporting templates C 80.00 and C 82.00  
0120  2.  AVAILABLE STABLE FUNDING  
Item 2 of reporting templates C 81.00 and C 83.00  
0130  2.1  ASF from capital items and instruments  
Item 2.1 of reporting templates C 81.00 and C 83.00  
0140  2.2  ASF from retail deposits  
Item 2.2 of reporting templates C 81.00 and C 83.00  
0150  2.3  ASF from other non-financial customers (except central banks)  
Item 2.3 (except 2.3.0.2) of reporting template C 81.00 and reporting template C 83.00EN 19.3.2021 Official Journal of the European Union L 97/1555
 
Row  Legal references and instructions  
0160  2.4  ASF from operational deposits  
Items 2.3.0.2 and 2.5.3.1 of reporting template C 81.00 and 2.4 of reporting template C 83.00  
0170  2.5  ASF from liabilities within a group or an IPS if subject to preferential treatment  
Item 2.4 of reporting template C 81.00 and 2.5 of reporting template C 83.00  
0180  2.6  ASF from financial customers and central banks  
Item 2.5 (except 2.5.3.1) of reporting template C 81.00 and 2.6 of reporting template C 83.00  
0190  2.7  ASF from liabilities provided where the counterparty cannot be determined  
Item 2.6 of reporting template C 81.00 and 2.7 of reporting template C 83.00  
0200  2.8  ASF from interdependent liabilities  
Item 2.8 of reporting template C 81.00 and reporting template C 83.00  
0210  2.9  ASF from other liabilities  
Item 2.7 and 2.9 of reporting template C 81.00 and 2.9 of reporting template C 83.00  
0220  3.  NSFR  
NSFR calculated in accordance with Article 428b(1) CRREN L 97/1556 Official Journal of the European Union 19.3.2021
 
ANNEX XIV  
Single Data Point Model  
All data items set out in the Annexes to this Regulation shall be transformed into a single data point model which is the 
basis for uniform IT systems of institutions and competent authorities.  
The single data point model shall meet the following criteria:  
(a) provide a structured representation of all data items set out in the Annexes to this Regulation;  
(b) identify all the business concepts set out in the Annexes to this Regulation;  
(c) provide a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and 
member labels;  
(d) provide metrics which define the property or amount of data points;  
(e) provide data point definitions that are expressed as a composition of characteristics that univocally identify the 
financial concept;  
(f) contain all the relevant technical specifications necessary for developing IT reporting solutions producing uniform 
supervisory data.EN 19.3.2021 Official Journal of the European Union L 97/1557
 
ANNEX XV  
Validation Rules  
The data items set out in the Annexes to this Regulation shall be subject to validation rules ensuring data quality and 
consistency.  
The validation rules shall meet the following criteria:  
(a) define the logical relationships between relevant data points;  
(b) include filters and preconditions that define a set of data to which a validation rule applies;  
(c) check the consistency of the reported data;  
(d) check the accuracy of the reported data;  
(e) set default values which shall be applied where the relevant information has not been reported.EN L 97/1558 Official Journal of the European Union 19.3.2021
 EN 19.3.2021 Official Journal of the European Union L 97/1559
 ANNEX XVI  
REPORTING TEMPLATES ON ASSET ENCUMBRANCE 
ASSET ENCUMBRANCE TEMPLATES  
Template 
number  Template 
code  Name of the template /group of templates  Short name  
PART A - ENCUMBRANCE OVERVIEW  
32,1  F 32.01  ASSETS OF THE REPORTING INSTITUTION  AE-ASS  
32,2  F 32.02  COLLATERAL RECEIVED  AE-COL  
32,3  F 32.03  OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED  AE-NPL  
32,4  F 32.04  SOURCES OF ENCUMBRANCE  AE-SOU  
PART B - MATURITY DATA  
33 F 33.00  MATURITY DATA  AE-MAT  
PART C - CONTINGENT ENCUMBRANCE  
34 F 34.00  CONTINGENT ENCUMBRANCE  AE-CONT  
PART D - COVERED BONDS  
35 F 35.00  COVERED BONDS ISSUANCE  AE-CB  
PART E - ADVANCED DATA  
36,1  F 36.01  ADVANCED DATA. PART I  AE-ADV1  
36,2  F 36.02  ADVANCED DATA. PART II  AE-ADV2
EN L 97/1560 Official Journal of the European Union 19.3.2021
 F 32.01 - ASSETS OF THE REPORTING INSTITUTION (AE-ASS)  
Carrying amount of encumbered assets  Fair value of encumbered assets  
of which: issued by 
other entities of the 
group  of which: central 
bank's eligible  of which notionally 
eligible EHQLA and 
HQLA  of which: central 
bank's eligible  of which notionally 
eligible EHQLA and 
HQLA  
010  020  030  035  040  050  055  
010  Assets of the reporting institution  
020  Loans on demand  
030  Equity instruments  
040  Debt securities  
050  of which: covered bonds  
060  of which: securitisations  
070  of which: issued by general 
governments  
080  of which: issued by financial 
corporations  
090  of which: issued by non- 
financial corporations  
100  Loans and advances other than 
loans on demand  
110  of which: Loans collateralised 
with Immovable Property  
120  Other assets
EN 19.3.2021 Official Journal of the European Union L 97/1561
 Carrying amount of non-encumbered assets  Fair value of non-encumbered assets  
of which: issued by 
other entities of the 
group  of which: central 
bank's eligible  of which EHQLA 
and HQLA  of which: central 
bank's eligible  of which EHQLA 
and HQLA  
060  070  080  085  090  100  105  
010  Assets of the reporting institution  
020  Loans on demand  
030  Equity instruments  
040  Debt securities  
050  of which: covered bonds  
060  of which: securitisations  
070  of which: issued by general 
governments  
080  of which: issued by financial 
corporations  
090  of which: issued by non- 
financial corporations  
100  Loans and advances other than 
loans on demand  
110  of which: Loans collateralised 
with Immovable Property  
120  Other assets
EN L 97/1562 Official Journal of the European Union 19.3.2021
 F 32.02 - COLLATERAL RECEIVED (AE-COL)  
Fair value of encumbered collateral received or own debt 
securities issued  Non-encumbered  
Fair value of collateral received or own debt securities 
issued available for encumbrance  Nominal of 
collateral received 
or own debt 
securities issued 
non available for 
encumbrance  of which: 
issued by 
other entities 
of the group  of which: 
central bank's 
eligible  of which 
notionally 
eligible 
EHQLA and 
HQLA  of which: 
issued by 
other entities 
of the group  of which: 
central bank's 
eligible  of which 
EHQLA and 
HQLA  
010  020  030  035  040  050  060  065  070  
130  Collateral received by the reporting 
institution  
140  Loans on demand  
150  Equity instruments  
160  Debt securities  
170  of which: covered bonds  
180  of which: securitisations  
190  of which: issued by general governments  
200  of which: issued by financial corpor ­
ations  
210  of which: issued by non-financial corpor ­
ations  
220  Loans and advances other than loans on 
demand  
230  Other collateral received
EN 19.3.2021 Official Journal of the European Union L 97/1563
 Fair value of encumbered collateral received or own debt 
securities issued  Non-encumbered  
Fair value of collateral received or own debt securities 
issued available for encumbrance  Nominal of 
collateral received 
or own debt 
securities issued 
non available for 
encumbrance  of which: 
issued by 
other entities 
of the group  of which: 
central bank's 
eligible  of which 
notionally 
eligible 
EHQLA and 
HQLA  of which: 
issued by 
other entities 
of the group  of which: 
central bank's 
eligible  of which 
EHQLA and 
HQLA  
010  020  030  035  040  050  060  065  070  
240  Own debt securities issued other than 
own covered bonds or securitisations  
245  Own covered bonds and securitisation 
issued and not yet pledged  
250  TOTAL ASSETS, COLLATERAL 
RECEIVED AND OWN DEBT 
SECURITIES ISSUED
EN L 97/1564 Official Journal of the European Union 19.3.2021
 F 32.03 - OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED (AE-NPL)  
Non-encumbered  
Carrying amount 
of the underlying 
pool of assets  Fair value of debt securities issued available for 
encumbrance  Nominal of own 
debt securities 
issued non 
available for 
encumbrance  of which: central 
bank's eligible  of which 
notionally 
eligible EHQLA 
and HQLA  
010  020  030  035  040  
010  Own covered bonds and asset-backed securities issued and not yet pledged  
020  Retained covered bonds issued  
030  Retained asset-backed securities issued  
040  Senior  
050  Mezzanine  
060  First Loss
EN 19.3.2021 Official Journal of the European Union L 97/1565
 F 32.04 - SOURCES OF ENCUMBRANCE (AE-SOU)  
Matching liabilities, contingent liabilities or 
securities lent  Assets, collateral received and own debt securities issued other than covered 
bonds and securitisations encumbered  
of which: from other 
entities of the group  of which: collateral 
received re-used  of which: own debt 
securities encumbered  
010  020  030  040  050  
010  Carrying amount of selected financial 
liabilities  
020  Derivatives  
030  of which: Over-The-Counter  
040  Deposits  
050  Repurchase agreements  
060  of which: central banks  
070  Collateralised deposits other than 
repurchase agreements  
080  of which: central banks  
090  Debt securities issued  
100  of which: covered bonds issued  
110  of which:securitisations issued  
120  Other sources of encumbrance  
130  Nominal of loan commitments received  
140  Nominal of financial guarantees received  
150  Fair value of securities borrowed with non 
cash-collateral  
160  Other  
170  TOTAL SOURCES OF ENCUMBRANCE  
Not to be filled on a consolidated basis template  
Not to be filled in any case
EN L 97/1566 Official Journal of the European Union 19.3.2021
 F 33.00 - MATURITY DATA (AE-MAT)  
Open 
maturity  Overnight  >1day 
<=1wk  >1wk 
<=2wks  >2wks 
<=1mth  >1mth 
<=3mths  >3mths 
<=6mths  >6mths 
<=1yr  >1yr 
<=2yrs  >2yrs 
<=3yrs  3yrs 
<=5yrs  5yrs 
<=10yrs  >10yrs  
Residual maturity of liabilities  010  020  030  040  050  060  070  080  090  100  110  120  130  
010  Encumbered assets  
020  Collateral received re-used 
(receiving leg)  
030  Collateral received re-used (re- 
using leg)
EN 19.3.2021 Official Journal of the European Union L 97/1567
 F 34.00 - CONTINGENT ENCUMBRANCE (AE-CONT)  
Matching liabilities, 
contingent liabilities 
or securities lent  Contingent Encumbrance  
A. Decrease by 30% of 
the fair value of 
encumbered assets  B. Net effect of a 10% depreciation of significant currencies  
Additional amount of encumbered assets  
Additional amount of 
encumbered assets  Significant 
currency 1  Significant 
currency 2  ... Significant 
currency n  
010  020  030  040  050  
010  Carrying amount of selected 
financial liabilities  
020  Derivatives  
030  of which: Over-The-Counter  
040  Deposits  
050  Repurchase agreements  
060  of which: central banks  
070  Collateralised deposits other 
than repurchase agreements  
080  of which: central banks  
090  Debt securities issued  
100  of which: covered bonds issued  
110  of which: securitisations issued  
120  Other sources of encumbrance  
170  TOTAL SOURCES OF 
ENCUMBRANCE
EN L 97/1568 Official Journal of the European Union 19.3.2021
 F 35.00 - COVERED BONDS ISSUANCE (AE-CB)  
z-axis  Cover pool identifier (open)  
Compliance with Art. 129 
CRR?  Covered bond liabilities  
Reporting date  + 6 months  +12 months  + 2 years  +5 years  + 10 years  Cover pool 
derivative 
positions with 
net negative 
market value  [YES/NO]  If YES, indicate 
primary asset 
class of cover 
pool  
Reporting date  
010  012  020  030  040  050  060  070  080  
010  Nominal amount  
020  Present value (swap) / Market 
value  
030  Asset-specific value  
040  Carrying amount  
Covered bond liabilities  Cover pool  
External credit rating on covered bond  
Reporting 
date  + 6 
months  +12 
months  + 2 years  +5 years  + 10 years  Credit rating 
agency 1  Credit 
rating 1  Credit 
rating 
agency 2  Credit 
rating 2  Credit 
rating 
agency 3  Credit 
rating 3  
090  100  110  120  130  140  150  160  170  180  190  200  
010  Nominal amount  
020  Present value (swap) / Market 
value  
030  Asset-specific value  
040  Carrying amount
EN 19.3.2021 Official Journal of the European Union L 97/1569
 Cover pool  
Cover pool derivative 
positions with net positive 
market value  Cover pool amount in excess of minimum coverage requirements  
as per the relevant statutory 
covered bond regime  as per credit rating agencies' methodology to maintain current external credit rating of 
covered bond  
Reporting date  Credit rating agency 1  Credit rating agency 2  Credit rating agency 3  
210  220  230  240  250  
010  Nominal amount  
020  Present value (swap) / Market 
value  
030  Asset-specific value  
040  Carrying amount
EN L 97/1570 Official Journal of the European Union 19.3.2021
 F 36.01 - ADVANCED DATA. PART I (AE-ADV-1)  
Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Loans on demand  Equity instruments  Debt Securities  
Total  of which: covered bonds  
of which: issued by 
other entities of the 
group  
010  020  030  040  050  
010  
Central bank funding (of all 
types, including e.g. repos)  Encumbered assets  
020  Matching liabilities  
030  
Exchange traded derivatives  Encumbered assets  
040  Matching liabilities  
050  
Over-the-counter derivatives  Encumbered assets  
060  Matching liabilities  
070  
Repurchase agreements  Encumbered assets  
080  Matching liabilities  
090  
Collateralised deposits other 
than repurchase agreements  Encumbered assets  
100  Matching liabilities  
110  
Covered bonds securities 
issued  Encumbered assets  
120  Matching liabilities  
130  
Securitisations issued  Encumbered assets  
140  Matching liabilities
EN 19.3.2021 Official Journal of the European Union L 97/1571
 Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Loans on demand  Equity instruments  Debt Securities  
Total  of which: covered bonds  
of which: issued by 
other entities of the 
group  
010  020  030  040  050  
150  
Debt securities issued other 
than covered bonds and 
securitisations  Encumbered assets  
160  Matching liabilities  
170  
Other sources of encum ­
brance  Encumbered assets  
180  Contingent liabilities or securities 
lent 
190  Total encumbered assets  
200  of which central bank eligible  
210  Total non-encumbered Assets  
220  of which central bank eligible  
230  Encumbered + Non-encumbered Assets
EN L 97/1572 Official Journal of the European Union 19.3.2021
 Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Debt Securities  Loans and advances other than 
loans on demand  
of which: securitisations  
of which: 
issued by 
general 
governments  of which: 
issued by 
financial 
corporations  of which: 
issued by non 
financial 
corporations  Central banks 
and general 
governments  Financial 
corporations  of which: 
issued by 
other entities 
of the group  
060  070  080  090  100  110  120  
010  
Central bank funding (of all 
types, including e.g. repos)  Encumbered assets  
020  Matching liabilities  
030  
Exchange traded derivatives  Encumbered assets  
040  Matching liabilities  
050  
Over-the-counter derivatives  Encumbered assets  
060  Matching liabilities  
070  
Repurchase agreements  Encumbered assets  
080  Matching liabilities  
090  
Collateralised deposits other 
than repurchase agreements  Encumbered assets  
100  Matching liabilities  
110  
Covered bonds securities 
issued  Encumbered assets  
120  Matching liabilities  
130  
Securitisations issued  Encumbered assets  
140  Matching liabilities
EN 19.3.2021 Official Journal of the European Union L 97/1573
 Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Debt Securities  Loans and advances other than 
loans on demand  
of which: securitisations  
of which: 
issued by 
general 
governments  of which: 
issued by 
financial 
corporations  of which: 
issued by non 
financial 
corporations  Central banks 
and general 
governments  Financial 
corporations  of which: 
issued by 
other entities 
of the group  
060  070  080  090  100  110  120  
150  
Debt securities issued other 
than covered bonds and 
securitisations  Encumbered assets  
160  Matching liabilities  
170  
Other sources of encum ­
brance  Encumbered assets  
180  Contingent liabilities or securities 
lent 
190  Total encumbered assets  
200  of which central bank eligible  
210  Total non-encumbered Assets  
220  of which central bank eligible  
230  Encumbered + Non-encumbered Assets
EN L 97/1574 Official Journal of the European Union 19.3.2021
 Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Total  Loans and advances other than loans on demand  
Other 
assets  Non financial Corporations  Households  
of which: Loans 
collateralised 
with Immovable 
Property  of which: Loans 
collateralised 
with Immovable 
Property  
130  140  150  160  170  180  
010  
Central bank funding (of all 
types, including e.g. repos)  Encumbered assets  
020  Matching liabilities  
030  
Exchange traded derivatives  Encumbered assets  
040  Matching liabilities  
050  
Over-the-counter derivatives  Encumbered assets  
060  Matching liabilities  
070  
Repurchase agreements  Encumbered assets  
080  Matching liabilities  
090  
Collateralised deposits other 
than repurchase agreements  Encumbered assets  
100  Matching liabilities  
110  
Covered bonds securities 
issued  Encumbered assets  
120  Matching liabilities  
130  
Securitisations issued  Encumbered assets  
140  Matching liabilities
EN 19.3.2021 Official Journal of the European Union L 97/1575
 Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Total  Loans and advances other than loans on demand  
Other 
assets  Non financial Corporations  Households  
of which: Loans 
collateralised 
with Immovable 
Property  of which: Loans 
collateralised 
with Immovable 
Property  
130  140  150  160  170  180  
150  Debt securities issued other 
than covered bonds and 
securitisations  Encumbered assets  
160  Matching liabilities  
170  
Other sources of encum ­
brance  Encumbered assets  
180  Contingent liabilities or securities 
lent 
190  Total encumbered assets  
200  of which central bank eligible  
210  Total non-encumbered Assets  
220  of which central bank eligible  
230  Encumbered + Non-encumbered Assets
EN L 97/1576 Official Journal of the European Union 19.3.2021
 F 36.02 - ADVANCE DATA. PART II (AE-ADV-2)  
Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Loans on demand  Equity instruments  Debt Securities  
Total  of which: covered bonds  
of which: issued by 
other entities of the 
group  
010  020  030  040  050  
010  
Central bank funding (of all 
types, including e.g. repos)  Encumbered collateral received  
020  Matching liabilities  
030  
Exchange traded Derivatives  Encumbered collateral received  
040  Matching liabilities  
050  
Over-the-counter derivatives  Encumbered collateral received  
060  Matching liabilities  
070  
Repurchase agreements  Encumbered collateral received  
080  Matching liabilities  
090  
Collateralised deposits other 
than repurchase agreements  Encumbered collateral received  
100  Matching liabilities  
110  
Covered bonds securities 
issued  Encumbered collateral received  
120  Matching liabilities  
130  
Securitisations issued  Encumbered collateral received  
140  Matching liabilities
EN 19.3.2021 Official Journal of the European Union L 97/1577
 Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Loans on demand  Equity instruments  Debt Securities  
Total  of which: covered bonds  
of which: issued by 
other entities of the 
group  
010  020  030  040  050  
150  Debt securities issued other 
than Covered bonds and 
securitisations  Encumbered collateral received  
160  Matching liabilities  
170  
Other sources of encum ­
brance  Encumbered collateral received  
180  Contingent liabilities or securities 
lent 
190  Total encumbered collateral received  
200  of which central bank eligible  
210  Total non-encumbered collateral received  
220  of which central bank eligible  
230  Encumbered + Non-encumbered collateral received  
Not to be filled on a consolidated basis template  
Not to be filled in any case
EN L 97/1578 Official Journal of the European Union 19.3.2021
 Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Debt Securities  Loans and advances other than 
loans on demand  
of which: securitisations  
of which: 
issued by 
general 
governments  of which: 
issued by 
financial 
corporations  of which: 
issued by non 
financial 
corporations  Central banks 
and general 
governments  Financial 
corporations  of which: 
issued by 
other entities 
of the group  
060  070  080  090  100  110  120  
010  
Central bank funding (of all 
types, including e.g. repos)  Encumbered collateral received  
020  Matching liabilities  
030  
Exchange traded Derivatives  Encumbered collateral received  
040  Matching liabilities  
050  
Over-the-counter derivatives  Encumbered collateral received  
060  Matching liabilities  
070  
Repurchase agreements  Encumbered collateral received  
080  Matching liabilities  
090  
Collateralised deposits other 
than repurchase agreements  Encumbered collateral received  
100  Matching liabilities  
110  
Covered bonds securities 
issued  Encumbered collateral received  
120  Matching liabilities  
130  
Securitisations issued  Encumbered collateral received  
140  Matching liabilities
EN 19.3.2021 Official Journal of the European Union L 97/1579
 Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Debt Securities  Loans and advances other than 
loans on demand  
of which: securitisations  
of which: 
issued by 
general 
governments  of which: 
issued by 
financial 
corporations  of which: 
issued by non 
financial 
corporations  Central banks 
and general 
governments  Financial 
corporations  of which: 
issued by 
other entities 
of the group  
060  070  080  090  100  110  120  
150  Debt securities issued other 
than Covered bonds and 
securitisations  Encumbered collateral received  
160  Matching liabilities  
170  
Other sources of encum ­
brance  Encumbered collateral received  
180  Contingent liabilities or securities 
lent 
190  Total encumbered collateral received  
200  of which central bank eligible  
210  Total non-encumbered collateral received  
220  of which central bank eligible  
230  Encumbered + Non-encumbered collateral received  
Not to be filled on a consolidated basis template  
Not to be filled in any case
EN L 97/1580 Official Journal of the European Union 19.3.2021
 Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Total  Loans and advances other than loans on demand  
Other 
collateral 
received  Own debt 
securities 
issued other 
than own 
covered bonds 
or securitisa ­
tions  Non financial Corporations  Households  
of which: 
Loans collat ­
eralised with 
Immovable 
Property  of which: 
Loans collat ­
eralised with 
Immovable 
Property  
130  140  150  160  170  180  190  
010  
Central bank funding (of all 
types, including e.g. repos)  Encumbered collateral received  
020  Matching liabilities  
030  
Exchange traded Derivatives  Encumbered collateral received  
040  Matching liabilities  
050  
Over-the-counter derivatives  Encumbered collateral received  
060  Matching liabilities  
070  
Repurchase agreements  Encumbered collateral received  
080  Matching liabilities  
090  
Collateralised deposits other 
than repurchase agreements  Encumbered collateral received  
100  Matching liabilities  
110  
Covered bonds securities 
issued  Encumbered collateral received  
120  Matching liabilities  
130  
Securitisations issued  Encumbered collateral received  
140  Matching liabilities
EN 19.3.2021 Official Journal of the European Union L 97/1581
 Sources of encumbrance  Assets/Liabilities  Collateral Type - Classification by Asset type  
Total  Loans and advances other than loans on demand  
Other 
collateral 
received  Own debt 
securities 
issued other 
than own 
covered bonds 
or securitisa ­
tions  Non financial Corporations  Households  
of which: 
Loans collat ­
eralised with 
Immovable 
Property  of which: 
Loans collat ­
eralised with 
Immovable 
Property  
130  140  150  160  170  180  190  
150  Debt securities issued other 
than Covered bonds and 
securitisations  Encumbered collateral received  
160  Matching liabilities  
170  
Other sources of encum ­
brance  Encumbered collateral received  
180  Contingent liabilities or securities 
lent 
190  Total encumbered collateral received  
200  of which central bank eligible  
210  Total non-encumbered collateral received  
220  of which central bank eligible  
230  Encumbered + Non-encumbered collateral received  
Not to be filled on a consolidated basis template  
Not to be filled in any case  ’
 ANNEX XVII  
INSTRUCTION FOR REPORTING ON ASSET ENCUMBRANCE  
Table of Contents  
GENERAL INSTRUCTIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1548  
1. STRUCTURE AND CONVENTIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1548  
1.1. STRUCTURE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1548  
1.2. ACCOUNTING STANDARD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1548  
1.3. NUMBERING CONVENTION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . 1585  
1.4. SIGN CONVENTION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1585  
1.5. LEVEL OF APPLICATION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . 1585  
1.6. PROPORTIONALITY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1585  
1.7. DEFINITION OF ENCUMBRANCE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1585  
TEMPLATE-RELATED INSTRUCTIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . . . . . .  1586  
2. PART A: ENCUMBRANCE OVERVIEW . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . 1586  
2.1. TEMPLATE AE-ASS. ASSETS OF THE REPORTING INSTITUTION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1586  
2.1.1. GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1586  
2.1.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1588  
2.1.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159 0 
2.2. TEMPLATE: AE-COL. COLLATERAL RECEIVED BY THE REPORTING INSTITUTION . . . . . . . . . . . . . . . 1592  
2.2.1. GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1592  
2.2.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1593  
2.2.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159 5 
2.3. TEMPLATE: AE-NPL. OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET 
PLEDGED . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . . 1597  
2.3.1. GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1597  
2.3.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1597EN L 97/1582 Official Journal of the European Union 19.3.2021
 
2.3.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159 8 
2.4. TEMPLATE: AE-SOU. SOURCES OF ENCUMBRANCE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1599  
2.4.1. GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1599  
2.4.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1599  
2.4.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160 1 
3. PART B: MATURITY DATA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1602  
3.1. GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1602  
3.2. TEMPLATE: AE-MAT. MATURITY DATA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1602  
3.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1602  
3.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160 3 
4. PART C: CONTINGENT ENCUMBRANCE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1603  
4.1. GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1603  
4.1.1. SCENARIO A: DECREASE OF 30 % OF ENCUMBERED ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1604  
4.1.2. SCENARIO B: DEPRECIATION OF 10 % IN SIGNIFICANT CURRENCIES . . . . . . . . . . . . . . . . . . . . . . . . 1604  
4.2. TEMPLATE: AE-CONT. CONTINGENT ENCUMBRANCE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1604  
4.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1604  
4.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160 5 
5. PART D: COVERED BONDS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1605  
5.1. GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1605  
5.2. TEMPLATE: AE-CB. COVERED BONDS ISSUANCE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 06 
5.2.1. INSTRUCTIONS CONCERNING Z-AXIS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . 1606  
5.2.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1606  
5.2.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160 6 
6. PART E: ADVANCED DATA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1609  
6.1. GENERAL REMARKS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1609EN 19.3.2021 Official Journal of the European Union L 97/1583
 
6.2. TEMPLATE: AE-ADV1. ADVANCED TEMPLATE FOR ASSETS OF THE REPORTING INSTITUTION . . . . 1610  
6.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1610  
6.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161 1 
6.3. TEMPLATE: AE-ADV2. ADVANCED TEMPLATE FOR COLLATERAL RECEIVED BY THE REPORTING 
INSTITUTION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  . . . . . . . . . 1613  
6.3.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1613  
6.3.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161 3 
GENERAL INSTRUCTIONS  
1. STRUCTURE AND CONVENTIONS  
1.1. Structure  
1. The framework consists of five sets of templates which comprise a total of nine templates according to the 
following scheme:  
(a) Part A: Encumbrance overview:  
— AE-ASS template. Assets of the reporting institution;  
— AE-COL template. Collateral received by the reporting institution;  
— AE-NPL template. Own covered bonds and securitisations issued and not yet pledged;  
— AE-SOU template. Sources of encumbrance;  
(b) Part B: Maturity data:  
— AE-MAT template. Maturity data;  
(c) Part C: Contingent encumbrance:  
— AE-CONT template. Contingent encumbrance;  
(d) Part D: Covered bonds:  
— AE-CB template. Covered bonds issuance;  
(e) Part E: Advanced data:  
— AE-ADV-1 template. Advanced template for assets of the reporting institution;  
— AE-ADV-2 template. Advanced template for collateral received by the reporting institution.  
2. For each template legal references are provided as well as further detailed information regarding more 
general aspects of the reporting.  
1.2. Accounting standard  
3. Institutions shall report carrying amounts under the accounting framework they use for the reporting of 
financial information in accordance with Articles 9 to 11. Institutions that are not required to report 
financial information shall use their respective accounting framework. In AE-SOU, institutions shall 
generally report carrying amounts gross of accounting netting, if any, in line with the reporting on a 
gross basis of encumbrance of assets and collateral.EN L 97/1584 Official Journal of the European Union 19.3.2021
 
4. For the purposes of this Annex, “IAS” and “ IFRS” refer to the international accounting standards as defined in 
Article 2 of Regulation (EC) No 1606/2002. For institutions which report under IFRS standards, references 
have been inserted to the relevant IFRS standards.  
1.3. Numbering convention  
5. The following general notation is used in these instructions to refer to the columns, rows and cells of a 
template: {Template; Row; Column}. An asterisk sign is used to indicate that the validation is applied to the 
whole row or column. For example {AE-ASS; *; 2} refers to the data point of any row for column 2 of the 
AE-ASS template.  
6. In the case of validations within a template the following notation is used to refer to data points from that 
template: {Row; Column}.  
1.4. Sign convention  
7. Templates in Annex XVI shall follow the sign convention described in paragraphs 9 and 10 of Part 1 of 
Annex V.  
1.5. Level of application  
8. The level of application of the reporting on asset encumbrance follows that of the reporting requirements on 
own funds under the first subparagraph of Article 99(1) of Regulation (EU) No 575/2013 (CRR). 
Consequently, institutions that are not subject to prudential requirements in accordance with Article 7 of 
CRR are not required to report information on asset encumbrance.  
1.6. Proportionality  
9. For the purpose of Article 16a(2)(b), the asset encumbrance level shall be calculated as follows:  
— Carrying amount of encumbered assets and collateral = {AE-ASS;010;010}+{AE-COL;130;010};  
— Total assets and collateral = {AE-ASS;010;010} + {AE-ASS;010;060}+{AE-COL;130;010}+{AE- 
COL;130;040};  
— Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and 
collateral).  
10. For the purpose of Article 16a(2)(a), the sum of total assets shall be calculated as follows:  
— Total assets = {AE-ASS;010;010} + {AE-ASS;010;060}  
1.7. Definition of encumbrance  
11. For the purpose of this Annex and Annex XVI, an asset shall be treated as encumbered if it has been pledged 
or if it is subject to any form of arrangement to secure, collateralise or credit enhance any transaction from 
which it cannot be freely withdrawn.  
It is important to note, that assets pledged that are subject to any restrictions in withdrawal, such as for 
instance assets that require prior approval before withdrawal or replacement by other assets, shall be 
considered encumbered. The definition is not based on an explicit legal definition, such as title transfer, 
but rather on economic principles, as the legal frameworks may differ in this respect across countries. The 
definition is however closely linked to contractual conditions. The EBA sees the following types of contracts 
being well covered by the definition (this is a non-exhaustive list):  
— secured financing transactions, including repurchase contracts and agreements, securities lending and 
other forms of secured lending;  
— various collateral agreements, for instance collateral placed for the market value of derivatives trans ­
actions;  
— financial guarantees that are collateralised. It should be noted, that if there is no impediment to with ­
drawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount 
shall be allocated (on a pro-rata allocation);EN 19.3.2021 Official Journal of the European Union L 97/1585
 
— collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access 
to service. This includes default funds and initial margins;  
— central bank facilities. Pre-positioned assets shall not be considered encumbered, unless the central bank 
does not allow withdrawal of any assets placed without prior approval. As for unused financial guar ­
antees, the unused part, i.e. above the minimum amount required by the central bank, shall be allocated 
on a pro-rata basis among the assets placed at the central bank;  
— underlying assets from securitisation structures, where the financial assets have not been de-recognised 
from the institution’s financial assets. The assets that are underlying retained securities do not count as 
encumbered, unless these securities are pledged or provided as collateral in any way to secure a trans ­
action;  
— assets in cover pools used for covered bond issuance. The assets that are underlying covered bonds count 
as encumbered, except in certain situations where the institution holds the corresponding covered bonds 
(‘own-issued bonds’);  
— as a general principle, assets which are being placed at facilities that are not used and can be freely 
withdrawn shall not be considered encumbered.  
TEMPLATE-RELATED INSTRUCTIONS  
2. PART A: ENCUMBRANCE OVERVIEW  
12. The encumbrance overview templates differentiate assets which are used to support funding or collateral 
needs at the balance sheet date (‘point-in time encumbrance’) from those assets which are available for 
potential funding needs.  
13. The overview template shows the amount of encumbered and non-encumbered assets of the reporting 
institution in a tabular format by products. The same breakdown also applies to collateral received and 
own debt securities issued other than covered bonds and securitisations.  
2.1. Template AE-ASS. Assets of the reporting institution  
2.1.1. General remarks  
14. This paragraph sets out instructions that apply to the main types of transaction that are relevant when 
completing the AE templates:  
All transactions that increase the level of encumbrance of an institution have two aspects that shall be 
reported independently throughout the AE templates. Such transactions shall be reported both as a source 
of encumbrance and as an encumbered asset or collateral.  
The following examples describe how to report a type of transaction of this Part but the same rules apply 
to the other AE templates.  
(a) Collateralised deposit  
A collateralised deposit shall be reported as follows:  
(i) the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r070; 
c010};  
(ii) where the collateral is an asset of the reporting institution: its carrying amount shall be reported in 
{AE-ASS; *; c010} and {AE-SOU; r070; c030}; its fair value shall be reported in {AE-ASS; *; c040};  
(iii) where the collateral has been received by the reporting institution, its fair value shall reported in {AE- 
COL; *; c010}, {AE-SOU; r070; c030} and {AE-SOU; r070; c040}.  
(b) Repo/matching repos  
A repurchase agreement (hereinafter ‘repo’) shall be reported as follows:  
(i) the gross carrying amount of the repo shall be reported as a source of encumbrance in {AE-SOU; 
r050; c010};EN L 97/1586 Official Journal of the European Union 19.3.2021
 
(ii) the collateral of the repo shall be reported as follows:  
— where the collateral is an asset of the reporting institution: its carrying amount shall be reported in 
{AE-ASS; *; c010} and {AE-SOU; r050; c030}; its fair value shall be reported in {AE-ASS; *; c040};  
— where the collateral has been received by the reporting institution through a previous reverse 
repurchase agreement (matching repo), its fair value shall be reported in {AE-COL; *; c010}, {AE- 
SOU; r050; c030} and in {AE-SOU; r050; c040}.  
(c) Central bank funding  
As collateralised central bank funding is only a specific case of a collateralised deposit or a repo trans ­
action in which the counterparty is a central bank, the rules in i) and ii) above apply.  
For operations where it is not possible to identify the specific collateral to each operation, as collateral is 
pooled together, the collateral breakdown must be done on a proportional basis, based on the 
composition of the pool of collateral.  
Assets that have been pre-positioned with central banks are not encumbered assets unless the central bank 
does not allow withdrawal of any assets placed without prior approval. For unused financial guarantees, 
the unused part, i.e. the amount above the minimum required by the central bank, is allocated on a pro- 
rata basis among the assets placed at the central bank.  
(d) Securities lending  
For securities lending with cash collateral the rules for repos/matching repos apply.  
Securities lending without cash collateral shall be reported as follows:  
(i) the fair value of the securities borrowed shall be reported as a source of encumbrance in {AE-SOU; 
r150; c010}. When the lender does not receive any securities in return for the securities lent but 
receives a fee instead, {AE-SOU; r150; c010} shall reported as zero;  
(ii) where the securities lent as collateral are an asset of the reporting institution: their carrying amount 
shall be reported in {AE-ASS; *; c010} and {AE-SOU; r150; c030}; their fair value shall reported in 
{AE-ASS; *; c040};  
(iii) where the securities lent as collateral are received by the reporting institution, their fair value shall be 
reported in {AE-COL; *; c010}, {AE-SOU; r150; c030} and {AE-SOU; r150; c040}.  
(e) Derivatives (liabilities)  
Collateralised derivatives with a negative fair value shall be reported as follows:  
(i) the carrying amount of the derivative shall be reported as a source of encumbrance in {AE-SOU; r020; 
c010};  
(ii) the collateral (initial margins required to open the position and any collateral placed for the market 
value of derivatives transactions) shall be reported as follows:  
— where it is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; 
*; c010} and {AE-SOU; r020; c030}; its fair value shall be reported in {AE-ASS; *; c040};  
— where it is collateral received by the reporting institution, its fair value shall be reported in {AE- 
COL; *; c010}, {AE-SOU; r020; c030} and {AE-SOU; r020; c040}.  
(f) Covered bonds  
Covered bonds for the entire asset encumbrance reporting are instruments referred to in the first 
subparagraph of Article 52(4) of the Directive 2009/65/EU, irrespective of whether these instruments 
take the legal form of a security or not.  
No specific rules apply to covered bonds where there is no retention of part of the securities issued by the 
reporting institution.EN 19.3.2021 Official Journal of the European Union L 97/1587
 
In case of retention of part of the issuance and in order to avoid double counting, the proposed treatment 
below shall apply:  
(i) where the own covered bonds are not pledged, the amount of the cover pool that is backing those 
securities retained and not yet pledged shall be reported in the AE-ASS templates as non-encumbered 
assets. Additional information about the retained covered bonds not yet pledged (underlying assets, 
fair value and eligibility of those available for encumbrance and nominal of those non-available for 
encumbrance) shall be reported in the AE-NPL template;  
(ii) where the own covered bonds are pledged, then the amount of the cover pool that is backing those 
securities retained and pledged shall be included in the AE-ASS template as encumbered assets.  
The following table sets out how to report covered bond issuance of EUR 100 of which 15 % is retained 
and not pledged and 10 % is retained and pledged as collateral in a EUR 11 repo transaction with a 
central bank, where the cover pool comprises unsecured loans and the carrying amount of the loans is 
EUR 150.
  
(g) Securitisations  
Securitisations mean debt securities held by the reporting institution originated in a securitisation trans ­
action as defined in Article 4(61) of CRR.  
For securitisations that remain in the balance sheet (non-derecognised), the rules for covered bonds apply.  
For derecognised securitisations, there is no encumbrance where the institution holds some securities. 
Those securities will appear in the trading book or in the banking book of the reporting institutions as 
any other security issued by a third party.  
2.1.2. Instructions concerning specific rows  
Rows  Legal references and instructions  
010  Assets of the reporting institution  
IAS 1.9 (a), Implementation Guidance (IG) 6; total assets of the reporting institution registered 
in its balance sheet.  
020  Loans on demand  
IAS 1.54 (i) 
Institutions shall report the balances receivable on demand at central banks and other institu ­
tions. Cash on hand, that is, the holding of national and foreign banknotes and coins in 
circulation that are commonly used to make payments shall be included in the row ‘other 
assets’.EN L 97/1588 Official Journal of the European Union 19.3.2021
 
Rows  Legal references and instructions  
030  Equity instruments  
Equity instruments held by the reporting institution as defined in IAS 32.1  
040  Debt securities  
Annex V, Part 1, paragraph 31 
Institutions shall report debt instruments held by the reporting institution issued as securities 
that are not loans in accordance with the ECB BSI Regulation.  
050  of which: covered bonds  
Debt securities held by the reporting institution that are bonds referred to in the first 
subparagraph of Article 52(4) of Directive 2009/65/EC  
060  of which: securitisations  
Debt securities held by the reporting institution that are securitisations as defined in 
Article 4(61) of CRR  
070  of which: issued by general governments  
Debt securities held by the reporting institution which are issued by general governments  
080  of which: issued by financial corporations  
Debt securities held by the reporting institution issued by financial corporations as defined in 
Annex V, Part 1, paragraph 42, points (c) and (d)  
090  of which: issued by non-financial corporations  
Debt securities held by the reporting institution issued by non-financial corporations as defined 
in Annex V, Part 1, paragraph 42, point (e)  
100  Loans and advances other than loans on demand  
Loans and advances that are debt instruments other than securities held by the reporting 
institutions; other than balances receivable on demand  
110  of which: Loans collateralised with Immovable Property  
Loans and advances other than loans on demand that are collateralised with Immovable 
Property according to Annex V, part 2, paragraph 86  
120  Other assets  
Other assets of the reporting institution registered in the balance sheet other than those 
mentioned in the above rows and different from own debt securities and own debt equity 
instruments that may not be derecognised from the balance sheet by a non-IFRS institution 
In this case, own debt instruments shall be included in row 240 of the AE-COL template and 
own equity instruments excluded from the asset encumbrance reporting.EN 19.3.2021 Official Journal of the European Union L 97/1589
 
2.1.3. Instructions concerning specific columns  
Columns  Legal references and instructions  
010  Carrying amount of encumbered assets  
Institutions shall report the carrying amount of its assets that are encumbered in accordance 
with the definition of asset encumbrance referred to in paragraph 11 of this Annex. The 
carrying amount shall mean the amount reported in the asset side of the balance sheet.  
020  of which: issued by other entities of the group  
Carrying amount of encumbered assets held by the reporting institution that are issued by any 
entity within the prudential scope of consolidation  
030  of which: central bank eligible  
Carrying amount of encumbered assets held by the reporting institution which are eligible for 
operations with those central banks to which the reporting institution has access 
Reporting institutions that cannot positively establish central bank eligibility for an item, for 
instance jurisdictions that operate without a clear definition of central bank repo eligible assets 
or do not have access to continuously functioning central bank repo market, may abstain from 
reporting the associated amount for that item, i.e. leave the reporting field blank.  
035  of which notionally eligible EHQLA and HQLA  
The carrying amount of encumbered assets which are notionally eligible to the qualification of 
assets of extremely high liquidity and credit quality (EHQLA) and assets of high liquidity and 
credit quality (HQLA) 
For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally 
eligible encumbered HQLA shall be the assets that are listed in Articles 10, 11, 12 and 13 
of Delegated Regulation (EU) 2015/61 and would comply with the general and operational 
requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their 
status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) 
No 680/2014. 
Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also 
comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 
of Delegated Regulation (EU) 2015/61. The carrying amount of notionally eligible encumbered 
EHQLA and notionally eligible encumbered HQLA shall be the carrying amount before the 
application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.  
040  Fair value of encumbered assets  
IFRS 13 and Article 8 of Directive 2013/34/EU of the European Parliament and of the 
Council (  1 ) for non-IFRS institutions 
Institutions shall report the fair value of its debt securities that are encumbered in accordance 
with the definition of asset encumbrance referred to in paragraph 11 of this Annex. 
Fair value of a financial instrument is the price that would be received to sell an asset or paid to 
transfer a liability in an orderly transaction between market participants at the measurement 
date (see IFRS 13 Fair Value Measurement).EN L 97/1590 Official Journal of the European Union 19.3.2021
 
Columns  Legal references and instructions  
050  of which: central bank eligible  
Fair value of the encumbered debt securities held by the reporting institution which are eligible 
for operations with those central banks to which the reporting institution has access 
Reporting institutions that cannot positively establish central bank eligibility for an item, for 
instance jurisdictions that operate without a clear definition of central bank repo eligible assets 
or do not have access to continuously functioning central bank repo market, may abstain from 
reporting the associated amount for that item, i.e. leave the reporting field blank.  
055  of which notionally eligible EHQLA and HQLA  
Fair value of encumbered assets that are notionally eligible to the qualification of EHQLA and 
HQLA 
For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally 
eligible encumbered HQLA shall be the assets that are listed in Articles 10, 11, 12 and 13 
of Delegated Regulation (EU) 2015/61 and would comply with the general and operational 
requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their 
status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) 
No 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered 
HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 
to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible 
encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the 
application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.  
060  Carrying amount of non-encumbered assets  
Institutions shall report the carrying amount of its assets that are non-encumbered in 
accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex. 
Carrying amount shall mean the amount reported in the asset side of the balance sheet  
070  of which: issued by other entities of the group  
Carrying amount of non-encumbered assets held by the reporting institution that are issued by 
any entity within the prudential scope of consolidation  
080  of which: central bank eligible  
Carrying amount of non-encumbered assets held by the reporting institution which are eligible 
for operations with those central banks to which the reporting institution has access 
Reporting institutions that cannot positively establish central bank eligibility for an item, for 
instance jurisdictions that operate without a clear definition of central bank repo eligible assets 
or do not have access to continuously functioning central bank repo market, may abstain from 
reporting the associated amount for that item, i.e. leave the reporting field blank.EN 19.3.2021 Official Journal of the European Union L 97/1591
 
Columns  Legal references and instructions  
085  of which EHQLA and HQLA  
Carrying amount of unencumbered EHQLA and HQLA that are listed in Articles 10, 11, 12 and 
13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational 
requirements set out in Articles 7 and 8 of that Delegated Regulation as well as with the 
exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of that 
Delegated Regulation 
The carrying amount of EHQLA and HQLA shall be the carrying amount before the application 
of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.  
090  Fair value of non-encumbered assets  
IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions 
Institutions shall report the fair value of its debt securities that are non-encumbered in 
accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex. 
Fair value of a financial instrument shall be the price that would be received to sell an asset or 
paid to transfer a liability in an orderly transaction between market participants at the 
measurement date (see IFRS 13 Fair Value Measurement).  
100  of which: central bank eligible  
Fair value of the non-encumbered debt securities held by the reporting institution which are 
eligible for operations with those central banks to which the reporting institution has access 
Reporting institutions that cannot positively establish central bank eligibility for an item, for 
instance jurisdictions that operate without a clear definition of central bank repo eligible assets 
or do not have access to continuously functioning central bank repo market, may abstain from 
reporting the associated amount for that item, i.e. leave the reporting field blank.  
105  of which EHQLA and HQLA  
Fair value of unencumbered EHQLA and HQLA that are listed in Articles 10, 11, 12 and 13 of 
Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements 
set out in Articles 7 and 8 of that Delegated Regulation as well as with the exposure class- 
specific requirements set out in Articles 10 to 16 and 35 to 37 of that Delegated Regulation 
The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts 
specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.  
( 1 ) Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, 
consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of 
the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 
29.6.2013, p. 19).  
2.2. Template: AE-COL. Collateral received by the reporting institution  
2.2.1. General remarks  
15. For the collateral received by the reporting institution and the own debt securities issued other than own 
covered bonds or securitisations, the category of ‘non-encumbered’ assets is split between those ‘available for 
encumbrance’ or potentially eligible to be encumbered and those ‘non-available for encumbrance’.  
16. Assets are ‘non-available for encumbrance’ when they have been received as collateral and the reporting 
institution is not permitted to sell or re-pledge the collateral, except in the case of a default by the owner of 
the collateral. Own debt securities issued other than own covered bonds or securitisations are non-available 
for encumbrance when there is any restriction in the terms of the issuance to sell or re-pledge the securities 
held.EN L 97/1592 Official Journal of the European Union 19.3.2021
 
17. For the purpose of the asset encumbrance reporting, securities borrowed in exchange for a fee without 
providing cash-collateral or non-cash collateral shall be reported as collateral received.  
2.2.2. Instructions concerning specific rows  
Rows  Legal references and instructions  
130  Collateral received by the reporting institution  
All classes of collateral received by the reporting institution  
140  Loans on demand  
Collateral received by the reporting institution that comprises loans on demand 
See legal references and instructions regarding row 020 of the AE-ASS template.  
150  Equity instruments  
Collateral received by the reporting institution that comprises equity instruments 
See legal references and instructions regarding row 030 of the AE-ASS template.  
160  Debt securities  
Collateral received by the reporting institution that comprises debt securities 
See legal references and instructions regarding row 040 of the AE-ASS template.  
170  of which: covered bonds  
Collateral received by the reporting institution that comprises covered bonds 
See legal references and instructions regarding row 050 of the AE-ASS template.  
180  of which: securitisations  
Collateral received by the reporting institution that comprises securitisations 
See legal references and instructions regarding row 060 of the AE-ASS template.  
190  of which: issued by general governments  
Collateral received by the reporting institution that comprises debt securities issued by general 
governments 
See legal references and instructions regarding row 070 of the AE-ASS template.  
200  of which: issued by financial corporations  
Collateral received by the reporting institution that comprises debt securities issued by financial 
corporations 
See legal references and instructions regarding row 080 of the AE-ASS template.EN 19.3.2021 Official Journal of the European Union L 97/1593
 
Rows  Legal references and instructions  
210  of which: issued by non-financial corporations  
Collateral received by the reporting institution that comprises debt securities issued by non- 
financial corporations 
See legal references and instructions regarding row 090 of the AE-ASS template.  
220  Loans and advances other than loans on demand  
Collateral received by the reporting institution that comprises loans and advances other than 
loans on demand 
See legal references and instructions regarding row 100 of the AE-ASS template.  
230  Other collateral received  
Collateral received by the reporting institution that comprises other assets 
See legal references and instructions regarding row 120 of the AE-ASS template.  
240  Own debt securities issued other than own covered bonds or securitisations  
Own debt securities issued retained by the reporting institution that are not own covered bonds 
issued or own securitisations issued. 
As the retained or repurchased own debt securities issued, according to IAS 39.42, decrease the 
relating financial liabilities, these securities shall not be included in the category of assets of the 
reporting institution (row 010 of the AE-ASS template). Own debt securities that may not be 
derecognised from the balance sheet by a non-IFRS institution shall be included in this row. 
Own covered bonds issued or own securitisations issued shall not be reported in this category 
since different rules apply to those cases to avoid double counting: 
(a) where the own debt securities are pledged, the amount of the cover pool/underlying assets 
that are backing those securities retained and pledged shall be reported in the AE-ASS 
template as encumbered assets; 
(b) where the own debt securities are not yet pledged, the amount of the cover pool/underlying 
assets that are backing those securities retained and not yet pledged shall be reported in the 
AE-ASS templates as non-encumbered assets. Additional information about this second type 
of own debt securities not yet pledged (underlying assets, fair value and eligibility of those 
available for encumbrance and nominal of those non-available for encumbrance) shall be 
reported in the AE-NPL template.  
245  Own covered bonds and securitisation issued and not yet pledged  
Own covered bonds and securitisations issued that are retained by the reporting institution and 
not encumbered 
To avoid double counting, the following rule applies in relation to own covered bonds and 
securitisations issued and retained by the reporting institution:EN L 97/1594 Official Journal of the European Union 19.3.2021
 
Rows  Legal references and instructions  
(a) where those securities are pledged, the amount of the cover pool/underlying assets that are 
backing them shall be reported in Template AE-ASS (F32.01) as encumbered assets. The 
source of funding in the event of pledging own covered bonds and securitisations is the new 
transaction in which the securities are being pledged (central bank funding or other type of 
secured funding) and not the original issuance of covered bonds or securitisations; 
(b) where those securities are not yet pledged, the amount of the cover pool/underlying assets 
that are backing those securities shall be reported in Template AE-ASS (F32.01) as non- 
encumbered assets.  
250  TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED  
All assets of the reporting institution registered in its balance sheet, all classes of collateral 
received by the reporting institution and own debt securities issued retained by the reporting 
institution that are not own covered bonds issued or own securitisations issued.  
2.2.3. Instructions concerning specific columns  
Columns  Legal references and instructions  
010  Fair value of encumbered collateral received or own debt securities issued  
Institutions shall report the fair value of the collateral received or own debt securities it holds/ 
retains, which are encumbered in accordance with the definition of asset encumbrance referred 
to in paragraph 11 of this Annex. 
The fair value of a financial instrument shall be the price that would be received to sell an asset 
or paid to transfer a liability in an orderly transaction between market participants at the 
measurement date (see IFRS 13 Fair Value Measurement).  
020  of which: issued by other entities of the group  
Fair value of the encumbered collateral received or own debt securities issued held/retained by 
the reporting institution that are issued by any entity within the prudential scope of consoli ­
dation  
030  of which: central bank eligible  
Fair value of the encumbered collateral received or own debt securities issued held/retained by 
the reporting institution which are eligible for operations with those central banks to which the 
reporting institution has access 
Reporting institutions that cannot positively establish central bank eligibility for an item, for 
instance jurisdictions that operate without a clear definition of central bank repo eligible assets 
or do not have access to continuously functioning central bank repo market, may abstain from 
reporting the associated amount for that item, i.e. leave the reporting field blank.  
035  of which notionally eligible EHQLA and HQLA  
Fair value of the encumbered collateral received, including in any securities borrowing trans ­
action, or own debt securities issued held/retained by the institution that are notionally eligible 
to the qualification of EHQLA and HQLAEN 19.3.2021 Official Journal of the European Union L 97/1595
 
Columns  Legal references and instructions  
For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally 
eligible encumbered HQLA shall be the items of collateral received or own debt securities 
issued held/retained by the institution that are listed in Articles 10, 11, 12 and 13 of 
Delegated Regulation (EU) 2015/61 and would comply with the general and operational 
requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their 
status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) 
No 680/2014. Notionally eligible encumbered EHQLA and encumbered HQLA shall also 
comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 
37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered 
EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application 
of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.  
040  Fair value of collateral received or own debt securities issued available for encumbrance  
Fair value of the collateral received by the reporting institution that are non-encumbered but are 
available for encumbrance since the reporting institution is permitted to sell or re-pledge it in 
absence of default by the owner of the collateral. It also includes the fair value of own debt 
securities issued, other than own covered bonds or securitisations that are non-encumbered but 
available for encumbrance.  
050  of which: issued by other entities of the group  
Fair value of collateral received or own debt securities issued other than own covered bonds or 
securitisations available for encumbrance that are issued by any entity within the prudential 
scope of consolidation  
060  of which: central bank eligible  
Fair value of collateral received or own debt securities issued other than own covered bonds or 
securitisations available for encumbrance, which are eligible for operations with those central 
banks to which the reporting institution has access. 
Reporting institutions that cannot positively establish central bank eligibility for an item, for 
instance jurisdictions that operate without a clear definition of central bank repo eligible assets 
or do not have access to continuously functioning central bank repo market, may abstain from 
reporting the associated amount for that item, i.e. leave the reporting field blank.  
065  of which EHQLA and HQLA  
Fair value of the unencumbered collateral received or own debt securities issued held/retained by 
the institution other than own covered bonds or securitisation positions available for encum ­
brance which qualify as EHQLA and HQLA that are listed in Articles 10, 11, 12 and 13 of 
Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements 
set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class- 
specific requirements set out in Articles 10 to 16 and 35 to 37 of that Delegated Regulation 
The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts 
specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.EN L 97/1596 Official Journal of the European Union 19.3.2021
 
Columns  Legal references and instructions  
070  Nominal of collateral received or own debt securities issued non available for encum ­
brance  
Nominal amount of the collateral received held by the reporting institution that are non- 
encumbered and non-available for encumbrance 
It shall include the nominal amount of the own debt securities issued other than own covered 
bonds or securitisations retained by the reporting institution that are non-encumbered and also 
non-available for encumbrance.  
2.3. Template: AE-NPL. Own covered bonds and securitisations issued and not yet pledged  
2.3.1. General remarks  
18. To avoid double counting, the following rule applies in relation to own covered bonds and securitisations 
issued and retained by the reporting institution:  
(a) where those securities are pledged, the amount of the cover pool/underlying assets that are backing them 
shall be reported in the AE-ASS template as encumbered assets. The source of funding in the event of 
pledging own covered bonds and securitisations is the new transaction in which the securities are being 
pledged (central bank funding or other type of secured funding) and not the original issuance of covered 
bonds or securitisations;  
(b) where those securities are not yet pledged, the amount of the cover pool/underlying assets that are 
backing those securities shall be reported in the AE-ASS template as non-encumbered assets.  
2.3.2. Instructions concerning specific rows  
Rows  Legal references and instructions  
010  Own covered bonds and securitisations issued and not yet pledged  
Own covered bonds and securitisations issued that are retained by the reporting institution and 
not encumbered  
020  Retained covered bonds issued  
Own covered bonds issued that are retained by the reporting institution and not encumbered  
030  Retained securitisations issued  
Own securitisations issued that are retained by the reporting institution and not encumbered  
040  Senior  
Senior tranches of the own securitisations issued that are retained by the reporting institution 
and not encumbered 
See Article 4(67) of CRR.  
050  Mezzanine  
Mezzanine tranches of the own securitisations issued that are retained by the reporting insti ­
tution and not encumbered 
All tranches that are not senior tranches, i.e. the last to absorb the loss or first loss tranches, 
shall be considered mezzanine tranches. See Article 4(67) of CRR.EN 19.3.2021 Official Journal of the European Union L 97/1597
 
Rows  Legal references and instructions  
060  First loss  
First loss tranches of the own securitisations issued that are retained by the reporting institution 
and are not encumbered 
See Article 4(67) of CRR.  
2.3.3. Instructions concerning specific columns  
Columns  Legal references and instructions  
010  Carrying amount of the underlying pool of assets  
Carrying amount of the cover pool/underlying assets that back the own covered bonds and own 
securitisations retained and are not yet pledged  
020  Fair value of debt securities issued available for encumbrance  
Fair value of the own covered bonds and own securitisations retained that are non-encumbered 
but available for encumbrance  
030  Of which: central bank eligible  
Fair value of the own covered bonds and own securitisations retained that meet each of the 
following conditions: 
(i) they are non-encumbered; 
(ii) they are available for encumbrance; 
(iii) they are eligible for operations with those central banks to which the reporting institution 
has access 
Reporting institutions that cannot positively establish central bank eligibility for an item, for 
instance jurisdictions that operate without a clear definition of central bank repo eligible assets 
or do not have access to continuously functioning central bank repo market, may abstain from 
reporting the associated amount for that item, i.e. leave the reporting field blank.  
035  of which notionally eligible EHQLA and HQLA  
Fair value of the encumbered collateral received, including in any securities borrowing trans ­
action, or own debt securities issued held/retained by the institution that are notionally eligible 
to the qualification of EHQLA and HQLA 
For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally 
eligible encumbered HQLA shall be the items of collateral received or own debt securities 
issued held/retained by the institution that are listed in Articles 10, 11, 12 and 13 of 
Delegated Regulation (EU) 2015/61 and would comply with the general and operational 
requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their 
status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) 
No 680/2014. Notionally eligible encumbered EHQLA and encumbered HQLA shall also 
comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 
37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered 
EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application 
of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.EN L 97/1598 Official Journal of the European Union 19.3.2021
 
Columns  Legal references and instructions  
040  Nominal of own debt securities issued non-available for encumbrance  
Nominal amount of the own covered bonds and own securitisations retained that are non- 
encumbered and also non-available for encumbrance  
2.4. Template: AE-SOU. Sources of encumbrance  
2.4.1. General remarks  
19. This template provides information on the importance for the reporting institution of the different sources 
of encumbrance, including those with no associated funding as loans commitments or financial guarantees 
received and securities lending with non-cash collateral.  
20. The total amounts of assets and collateral received in the AE-ASS and the AE-COL templates meet the 
following validation rule: {AE-SOU; r170; c030} = {AE-ASS; r010; c010} + {AE-COL; r130; c010} + {AE- 
COL; r240; c010}.  
2.4.2. Instructions concerning specific rows  
Rows  Legal references and instructions  
010  Carrying amount of selected financial liabilities  
Carrying amount of selected collateralised financial liabilities of the reporting institution insofar 
as these liabilities entail asset encumbrance for that institution  
020  Derivatives  
Carrying amount of the collateralised derivatives of the reporting institution that are financial 
liabilities, that is, with a negative fair value, insofar as these derivatives entail asset encumbrance 
for that institution  
030  of which: over-the-counter  
Carrying amount of the collateralised derivatives of the reporting institution that are financial 
liabilities which are traded over-the-counter, insofar as these derivatives entail asset encum ­
brance  
040  Deposits  
Carrying amount of the collateralised deposits of the reporting institution insofar as these 
deposits entail asset encumbrance for that institution  
050  Repurchase agreements  
Gross carrying amount (without any netting allowed in the accounting framework) of the 
repurchase agreements of the reporting institution insofar as these transactions entail asset 
encumbrance for that institution 
Repurchase agreements (repos) shall be the transactions in which the reporting institution 
receives cash in exchange for financial assets sold at a given price under a commitment to 
repurchase the same (or identical) assets at a fixed price on a specified future date. The following 
variants of repo-type operations are all required to be reported as repurchase agreements: – 
amounts received in exchange for securities temporarily transferred to a third party in the form 
of securities lending against cash collateral and – amounts received in exchange for securities 
temporarily transferred to a third party in the form of a sale/buy-back agreement.EN 19.3.2021 Official Journal of the European Union L 97/1599
 
Rows  Legal references and instructions  
060  of which: central banks  
Carrying amount of the repurchase agreements of the reporting institution with central banks 
insofar as these transactions entail asset encumbrance  
070  Collateralised deposits other than repurchase agreements  
Carrying amount of the of the collateralised deposits other than repurchase agreements of the 
reporting institution insofar as these deposits entail asset encumbrance for that institution  
080  of which: central banks  
Carrying amount of the collateralised deposits other than repurchase agreements of the 
reporting institution with central banks insofar as these deposits entail asset encumbrance for 
that institution  
090  Debt securities issued  
Carrying amount of the debt securities issued by the reporting institution insofar as these 
securities issued entail asset encumbrance for that institution 
The retained part of any issuance shall follow the specific treatment set out in point (vi) of 
paragraph 15 of Part A so that only the percentage of debt securities placed outside the entities 
of the group are to be included under this category.  
100  of which: covered bonds issued  
Carrying amount of covered bonds the assets of which are originated by the reporting insti ­
tution insofar as these securities issued entail asset encumbrance for that institution  
110  of which: securitisations issued  
Carrying amount of the securitisations issued by the reporting institution insofar as these 
securities issued entail asset encumbrance for that institution  
120  Other sources of encumbrance  
Amount of collateralised transactions of the reporting institution other than financial liabilities, 
insofar as these transactions entail asset encumbrance for that institution  
130  Nominal of loan commitments received  
Nominal amount of the loan commitments received by the reporting institution, insofar as these 
commitments received entail asset encumbrance for that institution  
140  Nominal of financial guarantees received  
Nominal amount of the financial guarantees received by the reporting institution, insofar as 
these guarantees received entail asset encumbrance for that institutionEN L 97/1600 Official Journal of the European Union 19.3.2021
 
Rows  Legal references and instructions  
150  Fair value of securities borrowed with non-cash collateral  
Fair value of the securities borrowed by the reporting institution without cash collateral, insofar 
as these transactions entail asset encumbrance for that institution  
160  Other  
Amount of collateralised transactions of the reporting institution other than financial liabilities, 
not covered by the above items, insofar as these transactions entail asset encumbrance for that 
institution  
170  TOTAL SOURCES OF ENCUMBRANCE  
Amount of all collateralised transactions of the reporting institution insofar as these transactions 
entail asset encumbrance for that institution  
2.4.3. Instructions concerning specific columns  
Columns  Legal references and instructions  
010  Matching liabilities, contingent liabilities or securities lent  
Amount of the matching financial liabilities, contingent liabilities (loan commitments received 
and financial guarantees received) and of the securities lent with non-cash collateral, insofar as 
these transactions entail asset encumbrance for that institution 
Financial liabilities shall be reported at their carrying amount; contingent liabilities shall be 
reported at their nominal value; and securities lent with non-cash collateral shall be reported 
at their fair value.  
020  of which: from other entities of the group  
Amount of the matching financial liabilities, contingent liabilities (loan commitments received 
and financial guarantees received) and of the securities lent with non-cash collateral, insofar as 
the counterparty is any other entity within the prudential scope of consolidation and the 
transaction entail for the reporting institution asset encumbrance. 
For rules applying to amount types, see instructions for column 010.  
030  Assets, collateral received and own securities issued other than covered bonds and 
securitisations encumbered  
Amount of the assets, collateral received and own securities issued other than covered bonds 
and securitisations that are encumbered as a result of the different type of transactions specified 
in the rows 
To ensure consistency with the criteria in the templates AE-ASS and AE-COL, assets of the 
reporting institution registered in the balance sheet shall be reported at their carrying amount, 
re-used collateral received and encumbered own securities issued other than covered bonds and 
securitisations shall be reported at their fair value.EN 19.3.2021 Official Journal of the European Union L 97/1601
 
Columns  Legal references and instructions  
040  of which: collateral received re-used  
Fair value of the collateral received that are re-used/encumbered as a result of the different type 
of transactions specified in the rows  
050  Of which: own debt securities encumbered  
Fair value of the own securities issued other than covered bonds and securitisations that are 
encumbered as a result of the different type of transactions specified in the rows  
3. PART B: MATURITY DATA  
3.1. General remarks  
21. The template included in Part B shows a general overview of the amount of encumbered assets and collateral 
received re-used that fall under the defined intervals of the matching liabilities’ residual maturity.  
3.2. Template: AE-MAT. Maturity data  
3.2.1. Instructions concerning specific rows  
Rows  Legal references and instructions  
010  Encumbered assets  
For the purpose of this template, encumbered assets shall include all of the following: 
(a) the assets of the reporting institution (see instruction for row 010 of the AE-ASS template), 
which shall be reported at their carrying amount; 
(b) own debt securities issued other than covered bonds or securitisations (see instruction for 
row 240 of the AE-COL template), which shall be reported at fair value. 
These amounts shall be distributed among the set of residual maturity buckets specified in the 
columns according to the residual maturity of the source of its encumbrance (matching liability, 
contingent liability or securities lending transaction).  
020  Collateral received re-used (receiving leg)  
See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU 
template. 
Institutions shall report the amounts at fair value and distribute among the set of residual 
maturity buckets specified in the columns according to the residual maturity of the transaction 
that generated for the entity the reception of the collateral that is being re-used (receiving leg).  
030  Collateral received re-used (re-using leg)  
See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU template 
Institutions shall report the amounts at fair value and distribute among the set of residual 
maturity buckets specified in the columns according to the residual maturity of the source of 
its encumbrance (re-using leg): matching liability, contingent liability or securities lending trans ­
action.EN L 97/1602 Official Journal of the European Union 19.3.2021
 
3.2.2. Instructions concerning specific columns  
Columns  Legal references and instructions  
010  Open maturity  
On demand, without a specific maturity date  
020  Overnight  
Due date earlier or equal to 1 day  
030  > 1 day<=1wk  
Due date later than 1 day and earlier than or equal to 1 week  
040  > 1 wk<=2wks  
Due date later than 1 week and earlier than or equal to 2 weeks  
050  > 2wks <=1mth  
Due date later than 2 weeks and earlier than or equal to 1 month  
060  > 1mth <=3mths  
Due date later than 1 month and earlier than or equal to 3 months  
070  > 3mths <=6mths  
Due date later than 3 months and earlier than or equal to 6 months  
080  > 6mths<=1yr  
Due date later than 6 months and earlier than or equal to 1 year  
090  > 1yr <=2yrs  
Due date later than 1 year and earlier than or equal to 2 years  
100  > 2yrs <=3yrs  
Due date later than 2 years and earlier than or equal to 3 years  
110  > 3yrs <=5yrs  
Due date later than 3 years and earlier than or equal to 5 years  
120  > 5yrs <=10yrs  
Due date later than 5 years and earlier than or equal to 10 years  
130  > 10yrs  
Due date later than 10 years  
4. PART C: CONTINGENT ENCUMBRANCE  
4.1. General remarks  
22. This template requires institutions to calculate the level of asset encumbrance in a number of stressed 
scenarios.EN 19.3.2021 Official Journal of the European Union L 97/1603
 
23. Contingent encumbrance refers to the additional assets which may need to be encumbered when the 
reporting institutions faces adverse developments triggered by an external event over which the reporting 
institution has no control (including a downgrade, decrease of the fair value of the encumbered assets or a 
general loss of confidence). In these cases, the reporting institution will need to encumber additional assets as 
a consequence of already existing transactions. The additional amount of encumbered assets shall be net of 
the impact of the institution’s hedge transactions against the events described under the aforementioned 
stressed scenarios.  
24. This template includes the following two scenarios for reporting contingent encumbrance which are set out 
in more detail in points 4.1.1. and 4.1.2. The information reported shall be the institution’s reasonable 
estimate based on the best available information.  
(a) Decrease of the fair value of the encumbered assets by 30 %. This scenario only covers a change in the 
underlying fair value of the assets, and not any other change which may affect its carrying amount such 
as foreign exchange gains or losses or potential impairment. The reporting institution may then be 
forced to post more collateral in order to keep the value of the collateral constant.  
(b) A 10 % depreciation in each currency in which the institution has aggregate liabilities amounting to or 
exceeding 5 % of the institution’s total liabilities.  
25. The scenarios shall be reported independently of each other, and significant currency depreciations shall also 
be reported independently of depreciations of other significant currencies. Consequently institutions shall not 
take correlations between the scenarios into account.  
4.1.1. Scenario A: Decrease of 30 % of encumbered assets  
26. It shall be assumed that all encumbered assets decrease 30 % in value. The need of additional collateral 
arising from such a decrease shall take into account existing levels of over-collateralisation, such that only 
the minimum collateralisation level is maintained. The need of additional collateral shall also take into 
account the contractual requirements of the contracts and agreements impacted, including threshold triggers.  
27. Only contracts and agreements, where there is a legal obligation to supply additional collateral shall be 
included. This shall include covered bond issues where there is a legal requirement to uphold minimum 
levels of over collateralisation but no requirement to maintain existing rating levels on the covered bond.  
4.1.2. Scenario B: Depreciation of 10 % in significant currencies  
28. A currency shall be a significant currency if the reporting institution has aggregate liabilities in that currency 
amounting to or exceeding 5 % of the institution’s total liabilities.  
29. The calculation of a 10 % depreciation shall take into account both changes on the asset and liability side, 
i.e. focus the asset-liability mismatches. For instance a repo transactions in USD based on USD assets does 
not cause additional encumbrance, whereas a repo transaction in USD based on a EUR asset causes 
additional encumbrance.  
30. All transactions which have a cross-currency element shall be covered by this calculation.  
4.2. Template: AE-CONT. Contingent encumbrance  
4.2.1. Instructions concerning specific rows  
31. See instructions concerning specific rows of the AE-SOU template in point 2.4.2The content of the rows in 
AE-CONT template does not differ from the AE-SOU template.EN L 97/1604 Official Journal of the European Union 19.3.2021
 
4.2.2. Instructions concerning specific columns  
Columns  Legal references and instructions  
010  Matching liabilities, contingent liabilities or securities lent  
Same instructions and data as for column 010 of the AE-SOU template; amount of the 
matching financial liabilities, contingent liabilities (loan commitments received and financial 
guarantees received) and of the securities lent with non–cash collateral, insofar as these trans ­
actions entail asset encumbrance for that institution 
As referred for each row in the template, institutions shall report financial liabilities at their 
carrying amount, contingent liabilities at their nominal and securities lent with non-cash 
collateral at their fair value.  
020  A.  Additional amount of encumbered assets  
Additional amount of assets that would become encumbered due to a legal, regulatory or 
contractual provision that could be triggered in the event of occurrence of scenario A 
Following the instructions laid down in Part A of this Annex, institutions shall report these 
amounts at their carrying amount if the amount is related to assets of the reporting institution 
or at their fair value if related to collateral received. Amounts exceeding the non-encumbered 
assets and collateral of the institution shall be reported at fair value.  
030  B.  Additional amount of encumbered assets. Significant currency 1  
Additional amount of assets that would become encumbered due to a legal, regulatory or 
contractual provision that could be triggered in the event of a depreciation of significant 
currency number 1 in scenario B 
See rules for amount types in row 020.  
040  B.  Additional amount of encumbered assets. Significant currency 2  
Additional amount of assets that would become encumbered due to a legal, regulatory or 
contractual provision that could be triggered in the event of a depreciation of significant 
currency number 2 in scenario B 
See rules for amount types in row 020.  
5. PART D: COVERED BONDS  
5.1. General remarks  
32. The information in this template shall be reported for all UCITS-compliant covered bonds issued by the 
reporting institution. UCITS-compliant covered bonds are the bonds referred to in the first subparagraph of 
Article 52(4) of Directive 2009/65/EC. These are covered bonds issued by the reporting institution if the 
reporting institution is in relation to the covered bond subject by law to special public supervision designed 
to protect bond-holders and if for such covered bond it is required that sums deriving from the issue of 
those bonds shall be invested in accordance with the law in assets which, during the whole period of validity 
of the bonds, are capable of covering claims attaching to the bonds and which, in the event of failure of the 
issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued 
interest.  
33. Covered bonds issued by or on behalf of the reporting institution that are not UCITS-compliant covered 
bonds shall not be reported within the AE-CB templates.  
34. The reporting shall be based on the statutory covered bond regime, i.e. the legal framework which applies 
the to the covered bond programme.EN 19.3.2021 Official Journal of the European Union L 97/1605
 
5.2. Template: AE-CB. Covered bonds issuance  
5.2.1. Instructions concerning z-axis  
z-axis  Legal references and instructions  
010  Cover pool identifier (open)  
The cover pool identifier shall consist of the name or unambiguous abbreviation of the cover 
pool issuing entity and the designation of the cover pool that individually is subject to the 
relevant covered bond protective measures.  
5.2.2. Instructions concerning specific rows  
Rows  Legal references and instructions  
010  Nominal amount  
Nominal amount shall be the sum of claims to payment of principal, determined in accordance 
with the respective statutory covered bond regime’s rules that apply for determining sufficient 
coverage.  
020  Present value (swap)/Market value  
Present value (swap) shall be the sum of claims to payment of principal and interest, as 
discounted by a foreign exchange-specific risk-free yield curve, determined in accordance with 
the relevant statutory covered bond regime’s rules that apply for determining sufficient coverage. 
For columns 080 and 210 referring to cover pool derivative positions, the market value shall be 
reported.  
030  Asset-specific value  
The asset-specific value shall be the economic value of the cover pool assets, as may be 
described by a fair value in accordance with IFRS 13, a market value observable from 
executed transactions in liquid markets, or a present value that would discount future cash 
flows of an asset by an asset-specific interest rate curve.  
040  Carrying amount  
Carrying amount of a covered bond liability or a cover pool asset shall be the accounting value 
at the covered bond issuer.  
5.2.3. Instructions concerning specific columns  
010  Compliance with Article 129 of CRR? [YES/NO]  
Institutions shall specify whether the cover pool meets the requirements set out in Article 129 
of CRR in order to be eligible for the preferential treatment set out in Article 129(4) and (5) of 
that Regulation.EN L 97/1606 Official Journal of the European Union 19.3.2021
 
012  If YES, indicate primary asset class of the cover pool  
If the cover pool is eligible for the preferential treatment set out in Article 129(4) and (5) of 
CRR (answer YES in column 011), the primary asset class of the cover pool shall be indicated in 
this cell. The classification in Article 129(1) of that Regulation shall be used for this purpose 
and codes “a”, “b”, “c”, “d”, “e”,  “f” and “g” shall be indicated accordingly. Code “h” will be applied 
when the primary asset class of the cover pool does not fall under any of the previous 
categories.  
020-140  Covered bond liabilities  
Covered bond liabilities shall be the liabilities of the issuing entity incurred by issuing covered 
bonds and extends to all positions as defined by the respective statutory covered bond regime 
that are subject to the relevant covered bond protective measures (this may, for instance, include 
securities in circulation as well as the position of counterparts of the covered bond issuer in 
derivative positions with, from the perspective of the covered bond issuer, a negative market 
value attributed to the cover pool and treated as covered bond liabilities in accordance with the 
relevant statutory covered bond regime).  
020  Reporting date  
Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the 
different future date ranges  
030  + 6 months  
The date  "+ 6 months " shall be the point in time 6 months after the reporting reference date. 
Amounts shall be provided assuming no change in covered bond liabilities compared to the 
reporting reference date except for amortization. In the absence of a fixed payment schedule, for 
amounts outstanding at future dates the expected maturity shall be used in a consistent manner.  
040-070  + 12 months – + 10 years  
As for  "+ 6 months " (column 030) for the respective point in time from the reporting reference 
date  
080  Cover pool derivative positions with net negative market value  
Net negative market value of cover pool derivative positions which from the perspective of the 
covered bond issuer have a net negative market value 
The cover pool derivative positions shall be such net derivative positions that in accordance 
with the relevant statutory covered bond regime have been included in the cover pool and are 
subject to the respective covered bond protective measures in that such derivative positions with 
a negative market value require coverage by eligible cover pool assets. 
The net negative market value shall be reported for the reporting reference date only.  
090-140  External credit rating on covered bond  
Institutions shall provide information on external credit ratings on the respective covered bond, 
as existing on the reporting date.EN 19.3.2021 Official Journal of the European Union L 97/1607
 
090  Credit rating agency 1  
If a credit rating of at least one credit rating agency exists as of the reporting date, institutions 
shall provide the name of one of these credit rating agencies. If credit ratings by more than 
three credit rating agencies exist as of the reporting date, the three credit rating agencies to 
whom information is provided shall be selected based on their respective market prevalence.  
100  Credit rating 1  
The credit rating issued by the credit rating agency reported in column 090 on the covered 
bond as of the reporting reference date 
If long- and short-term credit ratings by the same credit rating agency exist, the long-term credit 
rating shall be reported. The credit rating to be reported shall include any modifiers.  
110, 130  Credit rating agency 2 and credit rating agency 3  
As for credit rating agency 1 (column 090) for further credit rating agencies that have issued 
credit ratings on the covered bond as of the reporting reference date  
120, 140  Credit rating 2 and credit rating 3  
As for credit rating 1 (column 100) for further credit ratings issued by credit rating agencies 2 
and 3 on the covered bond existing as of the reporting reference date  
150-250  Cover pool  
The cover pool shall consist of all positions, including cover pool derivative positions, from the 
perspective of the covered bond issuer, with a net positive market value, that are subject to the 
respective covered bond protective measures.  
150  Reporting date  
Amounts of assets in the cover pool, excluding cover pool derivative positions 
This amount shall include minimum over-collateralisation requirements plus any additional 
over-collateralisation in excess of the minimum, to the extent subject to the respective 
covered bond protective measures.  
160  + 6 months  
The reporting date  "+ 6 months " shall be the point in time 6 months after the reporting 
reference date. Institutions shall report the amounts assuming no change in cover pool 
compared to the reporting date except for amortization. In the absence of a fixed payment 
schedule, for amounts outstanding at future dates expected maturity shall be used in a 
consistent manner.  
170-200  + 12 months – + 10 years  
As for  "+ 6 months " (column 160) for the respective point in time from the reporting reference 
dateEN L 97/1608 Official Journal of the European Union 19.3.2021
 
210  Cover pool derivative positions with net positive market value  
The net positive market value of cover pool derivative positions which, from the perspective of 
the covered bond issuer, have a net positive market value 
The cover pool derivative positions shall be such net derivative positions that in accordance 
with the relevant statutory covered bond regime have been included in the cover pool and are 
subject to the respective covered bond protective measures in that such derivative positions with 
a positive market value would not form part of the covered bond issuer’s general insolvency 
estate. 
The net positive market value shall be reported for the reporting date only.  
220-250  Cover pool amounts in excess of minimum coverage requirements  
Amounts of cover pool, including cover pool derivative positions with net positive market 
values, in excess of requirements of minimum coverage (over-collateralisation)  
220  As per the relevant statutory covered bond regime  
Amounts of over-collateralisation compared with the minimum coverage required by the 
relevant statutory covered bond regime  
230-250  As per credit rating agencies’ methodology to maintain current external credit rating on 
covered bond  
Amounts of over-collateralisation compared with the level that, according to information on the 
respective credit rating agency’s methodology available to the covered bond issuer, would at a 
minimum be required to support the existing credit rating issued by the respective credit rating 
agency  
230  Credit rating agency 1  
Amounts of over-collateralisation compared with the level that, according to information on the 
methodology of credit rating agency 1 (column 090) available to the covered bond issuer, 
would at a minimum be required to support credit rating 1 (column 100).  
240-250  Credit rating agency 2 and credit rating agency 3  
The instructions for credit rating agency 1 (column 230) shall also apply to credit rating agency 
2 (column 110) and credit rating agency 3 (column 130).  
6. PART E: ADVANCED DATA  
6.1. General remarks  
35. Part E follows the same structure as in the encumbrance overview templates in Part A with different 
templates for the encumbrance of the assets of the reporting institution and for the collateral received: 
AE-ADV1 and AE-ADV2 respectively. Consequently, matching liabilities correspond to the liabilities that are 
secured by the encumbered assets and no one-to-one relation has to exist.EN 19.3.2021 Official Journal of the European Union L 97/1609
 
6.2. Template: AE-ADV1. Advanced template for assets of the reporting institution  
6.2.1. Instructions concerning specific rows  
Rows  Legal references and instructions  
010-020  Central bank funding (of all types, including repos)  
All types of liabilities of the reporting institution in which the counterparty of the transaction is 
a central bank 
Assets that have been pre-positioned with central banks shall not be treated as encumbered 
assets unless the central bank does not allow withdrawal of any asset placed without prior 
approval. For unused financial guarantees, the unused part, i.e., the amount above the minimum 
required by the central bank, shall be allocated on a pro-rata basis among the assets placed at 
the central bank.  
030-040  Exchanged traded derivatives  
Carrying amount of the collateralised derivatives of the reporting institution that are financial 
liabilities, insofar as these derivatives are listed or traded on a recognised or designated 
investment exchange and they entail asset encumbrance for that institution  
050-060  Over-the counter derivatives  
Carrying amount of the collateralised derivatives of the reporting institution that are financial 
liabilities, insofar as these derivatives are traded over-the-counter and they entail asset encum ­
brance for that institution; same instruction in row 030 of the AE-SOU template  
070-080  Repurchase agreements  
Carrying amount of the repurchase agreements of the reporting institution in which the 
counterparty of the transaction is not a central bank, insofar as these transactions entail asset 
encumbrance for that institution 
For tri-party repurchase agreements, the same treatment shall be followed as for the repurchase 
agreements insofar as these transactions entail asset encumbrance for the reporting institution.  
090-100  Collateralised deposits other than repurchase agreements  
Carrying amount of the collateralised deposits other than repurchase agreements of the 
reporting institution in which the counterparty of the transaction is not a central bank, 
insofar as these deposits entail asset encumbrance for that institution  
110-120  Covered bonds securities issued  
See instructions in row 100 of the AE-SOU template.  
130-140  Securitisations issued  
See instructions in row 110 of the AE-SOU template.  
150-160  Debt securities issued other than covered bonds and securitisations  
Carrying amount of the debt securities issued by the reporting institution other than covered 
bonds and securitisations insofar as these securities issued entail asset encumbrance for that 
institutionEN L 97/1610 Official Journal of the European Union 19.3.2021
 
Rows  Legal references and instructions  
In the event that the reporting institution had retained some of the debt securities issued, either 
from the issuance date or thereafter as a result of a repurchase, these retained securities shall not 
be included under this item. Additionally, the collateral assigned to them shall be classified as 
non-encumbered for the purpose of this template.  
170-180  Other sources of encumbrance  
See instructions in row 120 of the AE-SOU template.  
190  Total encumbered assets  
For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of 
the assets held by the reporting institution that are encumbered  
200  of which: central bank eligible  
For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the 
assets held by the reporting institution that are encumbered and which are eligible for oper ­
ations with those central banks to which the reporting institution has access 
Reporting institutions that cannot positively establish central bank eligibility for an item, for 
instance jurisdictions that operate without a clear definition of central bank repo eligible assets 
or do not have access to continuously functioning central bank repo market, may abstain from 
reporting the associated amount for that item, i.e. leave the reporting field blank.  
210  Total non-encumbered assets  
For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of 
the assets held by the reporting institution that are non-encumbered 
The carrying amount shall means the amount reported in the asset side of the balance sheet.  
220  of which: central bank eligible  
For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the 
assets held by the reporting institution that are non-encumbered and which are eligible for 
operations with those central banks to which the reporting institution has access 
Reporting institutions that cannot positively establish central bank eligibility for an item, for 
instance jurisdictions that operate without a clear definition of central bank repo eligible assets 
or do not have access to continuously functioning central bank repo market, may abstain from 
reporting the associated amount for that item, i.e. leave the reporting field blank.  
230  Encumbered + non-encumbered assets  
For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of 
the assets held by the reporting institution  
6.2.2. Instructions concerning specific columns  
Columns  Legal references and instructions  
010  Loans on demand  
See instructions for row 020 of the AE-ASS template.EN 19.3.2021 Official Journal of the European Union L 97/1611
 
Columns  Legal references and instructions  
020  Equity instruments  
See instructions for row 030 of the AE-ASS template.  
030  Total  
See instructions for row 040 of the AE-ASS template.  
040  of which: covered bonds  
See description instructions for row 050 of the AE-ASS template.  
050  of which: issued by other entities of the group  
Covered bonds as described in the instructions for row 050 of the AE-ASS template that are 
issued by any entity within the prudential scope of consolidation  
060  of which: securitisations  
See instructions for row 060 of the AE-ASS template.  
070  of which: issued by other entities of the group  
Securitisations as described in the instructions for row 060 of the AE-ASS template that are 
issued by any entity within the prudential scope of consolidation  
080  of which: issued by general governments  
See instructions for row 070 of the AE-ASS template.  
090  of which: issued by financial corporations  
See instructions for row 080 of the AE-ASS template.  
100  of which: issued by non-financial corporations  
See instructions for row 090 of the AE-ASS template.  
110  Central banks and general governments  
Loans and advances other than loans on demand to a central bank or a general government  
120  Financial corporations  
Loans and advances other than loans on demand to financial corporations  
130  Non-financial corporations  
Loans and advances other than loans on demand to non-financial corporations  
140  of which: Loans collateralised with Immovable Property  
Loans and advances other than loans on demand guaranteed with a Loan collateralised with 
Immovable Property given to non-financial corporationsEN L 97/1612 Official Journal of the European Union 19.3.2021
 
Columns  Legal references and instructions  
150  Households  
Loans and advances other than loans on demand given to households  
160  of which: Loans collateralised with Immovable Property  
Loans and advances other than loans on demand guaranteed with a Loan collateralised with 
Immovable Property given to households  
170  Other assets  
See instruction for row 120 of the AE-ASS template.  
180  Total  
See instruction for row 010 of the AE-ASS template.  
6.3. Template: AE-ADV2. Advanced template for collateral received by the reporting institution  
6.3.1. Instructions concerning specific rows  
36. See point 6.2.1 as instructions are similar for both templates.  
6.3.2. Instructions concerning specific columns  
Columns  Legal references and instructions  
010  Loans on demand  
See instructions for row 140 of the AE-COL template.  
020  Equity instruments  
See instructions for row 150 of the AE-COL template.  
030  Total  
See instructions for row 160 of the AE-COL template.  
040  of which: covered bonds  
See instructions in row 170 of the AE-COL template.  
050  of which: issued by other entities of the group  
Collateral received by the reporting institution that are covered bonds issued by any entity 
within the prudential scope of consolidation  
060  of which: securitisations  
See instructions for row 180 of the AE-COL template.  
070  of which: issued by other entities of the group  
Collateral received by the reporting institution that are securitisations issued by any entity 
within the prudential scope of consolidationEN 19.3.2021 Official Journal of the European Union L 97/1613
 
Columns  Legal references and instructions  
080  of which: issued by general governments  
See instructions for row 190 of the AE-COL template.  
090  of which: issued by financial corporations  
See instructions for row 200 of the AE-COL template.  
100  of which: issued by non-financial corporations  
See instructions for row 210 of the AE-COL template.  
110  Central banks and general governments  
Collateral received by the reporting institution that are loans and advances other than loans on 
demand to a central bank or a general government  
120  Financial corporations  
Collateral received by the reporting institution that are loans and advances other than loans on 
demand to financial corporations  
130  Non-financial corporations  
Collateral received by the reporting institution that are loans and advances other than loans on 
demand to non-financial corporations  
140  of which: Loans collateralised with Immovable Property  
Collateral received by the reporting institution that are loans and advances collateralised with 
immovable property given to non-financial corporations, excluding loans on demand  
150  Households  
Collateral received by the reporting institution that are loans and advances other than loans on 
demand given to households  
160  of which: Loans collateralised with Immovable Property  
Collateral received by the reporting institution that are loans and advances other than loans on 
demand guaranteed with a Loan collateralised with Immovable Property given to households  
170  Other assets  
See instructions for row 230 of the AE-COL template.  
180  Own debt securities issued other than own covered bonds or securitisations  
See instructions for row 240 of the AE-COL template.  
190  Total  
See instructions for rows 130 and 140 of the AE-COL template.EN L 97/1614 Official Journal of the European Union 19.3.2021
 
ANNEX XVIII  
AMM TEMPLATES  
Template number  Template code  Name of the template /group of templates  
ADDITIONAL MONITORING TOOLS TEMPLATES  
67 C 67.00  CONCENTRATION OF FUNDING BY COUNTERPARTY  
68 C 68.00  CONCENTRATION OF FUNDING BY PRODUCT TYPE  
69 C 69.00  PRICES FOR VARIOUS LENGTHS OF FUNDING  
70 C 70.00  ROLL-OVER OF FUNDINGEN 19.3.2021 Official Journal of the European Union L 97/1615
 EN L 97/1616 Official Journal of the European Union 19.3.2021
 C 67.00 — CONCENTRATION OF FUNDING BY COUNTERPARTY  
Total and significant currencies  
Concentration of funding by counterparty  
Counterparty 
Name  Code  Type of code  National 
code  Counterparty 
Sector  Residence of 
Counter­
party  Product 
Type  Amount 
Received  Weighted 
average original 
maturity  Weighted 
average residual 
maturity  
Row  ID  010  015  016  017  030  040  050  060  070  080  
010  1.  TOP TEN COUNTER ­
PARTIES EACH 
GREATER THAN 1% 
OF TOTAL LIABIL ­
ITIES  
020  1.01  
030  1.02  
040  1.03  
050  1.04  
060  1.05  
070  1.06  
080  1.07  
090  1.08  
100  1.09  
110  1.10  
120  2.  ALL OTHER 
FUNDING
EN 19.3.2021 Official Journal of the European Union L 97/1617
 C 68.00 — CONCENTRATION OF FUNDING BY PRODUCT TYPE  
Total and significant currencies  
Concentration of funding by product type  
Row  ID  Product Name  Carrying amount 
received  Amount covered by a 
Deposit Guarantee 
Scheme in accordance 
with Directive 
2014/49/EU or an 
equivalent deposit 
guarantee scheme in a 
third country  Amount not 
covered by a 
Deposit Guarantee 
Scheme in 
accordance with 
Directive 
2014/49/EU or an 
equivalent deposit 
guarantee scheme 
in a third country  Weighted average 
original maturity  Weighted average 
residual maturity  
010  020  030  040  050  
PRODUCTS GREATER THAN 1% OF TOTAL LIABILITIES  
010  1  RETAIL FUNDING  
020  1.1  of which sight deposits  
031  1.2  of which term deposits not withdrawable within the following 
30 days  
041  1.3  of which term deposits withdrawable within the following 30 
days  
070  1.4  Savings accounts  
080  1.4.1  with a notice period for withdrawal greater than 30 days  
090  1.4.2  without a notice period for withdrawal greater than 30 days  
100  2  WHOLESALE FUNDING  
110  2.1  Unsecured wholesale funding
EN L 97/1618 Official Journal of the European Union 19.3.2021
 Concentration of funding by product type  
Row  ID  Product Name  Carrying amount 
received  Amount covered by a 
Deposit Guarantee 
Scheme in accordance 
with Directive 
2014/49/EU or an 
equivalent deposit 
guarantee scheme in a 
third country  Amount not 
covered by a 
Deposit Guarantee 
Scheme in 
accordance with 
Directive 
2014/49/EU or an 
equivalent deposit 
guarantee scheme 
in a third country  Weighted average 
original maturity  Weighted average 
residual maturity  
010  020  030  040  050  
120  2.1.1  of which loans and deposits from financial customers  
130  2.1.2  of which loans and deposits from non financial customers  
140  2.1.3  of which loans and deposits from intra-group entities  
150  2.2  Secured wholesale funding  
160  2.2.1  of which SFTs  
170  2.2.2  of which covered bond issuance  
180  2.2.3  of which asset backed security issuance  
190  2.2.4  of which loans and deposits from intra-group entities
EN 19.3.2021 Official Journal of the European Union L 97/1619
 C 69.00 — PRICES FOR VARIOUS LENGTHS OF FUNDING  
Total and significant currencies  
Prices for various lengths of funding  
Overnight  1 week  1 month  3 months  6 months  
Spread  Volume  Spread  Volume  Spread  Volume  Spread  Volume  Spread  Volume  
Row  ID  Item  010  020  030  040  050  060  070  080  090  100  
010  1  Total Funding  
020  1.1  of which: Retail funding  
030  1.2  of which: Unsecured wholesale 
funding  
040  1.3  of which: Secured funding  
050  1.4  of which: Senior unsecured secur ­
ities  
060  1.5  of which: Covered bonds  
070  1.6  of which: Asset backed securities 
including ABCP
EN L 97/1620 Official Journal of the European Union 19.3.2021
 Prices for various lengths of funding  
1 year  2 years  5 years  10 years  
Spread  Volume  Spread  Volume  Spread  Volume  Spread  Volume  
Row  ID  Item  110  120  130  140  150  160  170  180  
010  1  Total Funding  
020  1.1  of which: Retail funding  
030  1.2  of which: Unsecured wholesale 
funding  
040  1.3  of which: Secured funding  
050  1.4  of which: Senior unsecured secur ­
ities  
060  1.5  of which: Covered bonds  
070  1.6  of which: Asset backed securities 
including ABCP
EN 19.3.2021 Official Journal of the European Union L 97/1621
 C 70.00 — ROLL-OVER OF FUNDING  
Total and significant currencies  
Roll-over of funding  
Overnight  > 1 day ≤ 7 days  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  010  020  030  040  050  060  070  080  
010  1.1  
1 Total funding  
020  1.1.1  Retail funding  
030  1.1.2  Unsecured wholesale funding  
040  1.1.3  Secured funding  
050  1.2  
2 Total funding  
060  1.2.1  Retail funding  
070  1.2.2  Unsecured wholesale funding  
080  1.2.3  Secured funding  
090  1.3  
3 Total funding  
100  1.3.1  Retail funding  
110  1.3.2  Unsecured wholesale funding  
120  1.3.3  Secured funding
EN L 97/1622 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
Overnight  > 1 day ≤ 7 days  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  010  020  030  040  050  060  070  080  
130  1.4  
4 Total funding  
140  1.4.1  Retail funding  
150  1.4.2  Unsecured wholesale funding  
160  1.4.3  Secured funding  
170  1.5  
5 Total funding  
180  1.5.1  Retail funding  
190  1.5.2  Unsecured wholesale funding  
200  1.5.3  Secured funding  
210  1.6  
6 Total funding  
220  1.6.1  Retail funding  
230  1.6.2  Unsecured wholesale funding  
240  1.6.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1623
 Roll-over of funding  
Overnight  > 1 day ≤ 7 days  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  010  020  030  040  050  060  070  080  
250  1.7  
7 Total funding  
260  1.7.1  Retail funding  
270  1.7.2  Unsecured wholesale funding  
280  1.7.3  Secured funding  
290  1.8  
8 Total funding  
300  1.8.1  Retail funding  
310  1.8.2  Unsecured wholesale funding  
320  1.8.3  Secured funding  
330  1.9  
9 Total funding  
340  1.9.1  Retail funding  
350  1.9.2  Unsecured wholesale funding  
360  1.9.3  Secured funding
EN L 97/1624 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
Overnight  > 1 day ≤ 7 days  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  010  020  030  040  050  060  070  080  
370  1.10  
10 Total funding  
380  1.10.1  Retail funding  
390  1.10.2  Unsecured wholesale funding  
400  1.10.3  Secured funding  
410  1.11  
11 Total funding  
420  1.11.1  Retail funding  
430  1.11.2  Unsecured wholesale funding  
440  1.11.3  Secured funding  
450  1.12  
12 Total funding  
460  1.12.1  Retail funding  
470  1.12.2  Unsecured wholesale funding  
480  1.12.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1625
 Roll-over of funding  
Overnight  > 1 day ≤ 7 days  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  010  020  030  040  050  060  070  080  
490  1.13  
13 Total funding  
500  1.13.1  Retail funding  
510  1.13.2  Unsecured wholesale funding  
520  1.13.3  Secured funding  
530  1.14  
14 Total funding  
540  1.14.1  Retail funding  
550  1.14.2  Unsecured wholesale funding  
560  1.14.3  Secured funding  
570  1.15  
15 Total funding  
580  1.15.1  Retail funding  
590  1.15.2  Unsecured wholesale funding  
600  1.15.3  Secured funding
EN L 97/1626 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
Overnight  > 1 day ≤ 7 days  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  010  020  030  040  050  060  070  080  
610  1.16  
16 Total funding  
620  1.16.1  Retail funding  
630  1.16.2  Unsecured wholesale funding  
640  1.16.3  Secured funding  
650  1.17  
17 Total funding  
660  1.17.1  Retail funding  
670  1.17.2  Unsecured wholesale funding  
680  1.17.3  Secured funding  
690  1.18  
18 Total funding  
700  1.18.1  Retail funding  
710  1.18.2  Unsecured wholesale funding  
720  1.18.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1627
 Roll-over of funding  
Overnight  > 1 day ≤ 7 days  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  010  020  030  040  050  060  070  080  
730  1.19  
19 Total funding  
740  1.19.1  Retail funding  
750  1.19.2  Unsecured wholesale funding  
760  1.19.3  Secured funding  
770  1.20  
20 Total funding  
780  1.20.1  Retail funding  
790  1.20.2  Unsecured wholesale funding  
800  1.20.3  Secured funding  
810  1.21  
21 Total funding  
820  1.21.1  Retail funding  
830  1.21.2  Unsecured wholesale funding  
840  1.21.3  Secured funding
EN L 97/1628 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
Overnight  > 1 day ≤ 7 days  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  010  020  030  040  050  060  070  080  
850  1.22  
22 Total funding  
860  1.22.1  Retail funding  
870  1.22.2  Unsecured wholesale funding  
880  1.22.3  Secured funding  
890  1.23  
23 Total funding  
900  1.23.1  Retail funding  
910  1.23.2  Unsecured wholesale funding  
920  1.23.3  Secured funding  
930  1.24  
24 Total funding  
940  1.24.1  Retail funding  
950  1.24.2  Unsecured wholesale funding  
960  1.24.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1629
 Roll-over of funding  
Overnight  > 1 day ≤ 7 days  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  010  020  030  040  050  060  070  080  
970  1.25  
25 Total funding  
980  1.25.1  Retail funding  
990  1.25.2  Unsecured wholesale funding  
1000  1.25.3  Secured funding  
1010  1.26  
26 Total funding  
1020  1.26.1  Retail funding  
1030  1.26.2  Unsecured wholesale funding  
1040  1.26.3  Secured funding  
1050  1.27  
27 Total funding  
1060  1.27.1  Retail funding  
1070  1.27.2  Unsecured wholesale funding  
1080  1.27.3  Secured funding
EN L 97/1630 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
Overnight  > 1 day ≤ 7 days  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  010  020  030  040  050  060  070  080  
1090  1.28  
28 Total funding  
1100  1.28.1  Retail funding  
1110  1.28.2  Unsecured wholesale funding  
1120  1.28.3  Secured funding  
1130  1.29  
29 Total funding  
1140  1.29.1  Retail funding  
1150  1.29.2  Unsecured wholesale funding  
1160  1.29.3  Secured funding  
1170  1.30  
30 Total funding  
1180  1.30.1  Retail funding  
1190  1.30.2  Unsecured wholesale funding  
1200  1.30.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1631
 Roll-over of funding  
Overnight  > 1 day ≤ 7 days  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  010  020  030  040  050  060  070  080  
1210  1.31  
31 Total funding  
1220  1.31.1  Retail funding  
1230  1.31.2  Unsecured wholesale funding  
1240  1.31.3  Secured funding
EN L 97/1632 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
>7days ≤ 14 days  > 14 days ≤ 1 month  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  090  100  110  120  130  140  150  160  
010  1.1  
1 Total funding  
020  1.1.1  Retail funding  
030  1.1.2  Unsecured wholesale funding  
040  1.1.3  Secured funding  
050  1.2  
2 Total funding  
060  1.2.1  Retail funding  
070  1.2.2  Unsecured wholesale funding  
080  1.2.3  Secured funding  
090  1.3  
3 Total funding  
100  1.3.1  Retail funding  
110  1.3.2  Unsecured wholesale funding  
120  1.3.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1633
 Roll-over of funding  
>7days ≤ 14 days  > 14 days ≤ 1 month  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  090  100  110  120  130  140  150  160  
130  1.4  
4 Total funding  
140  1.4.1  Retail funding  
150  1.4.2  Unsecured wholesale funding  
160  1.4.3  Secured funding  
170  1.5  
5 Total funding  
180  1.5.1  Retail funding  
190  1.5.2  Unsecured wholesale funding  
200  1.5.3  Secured funding  
210  1.6  
6 Total funding  
220  1.6.1  Retail funding  
230  1.6.2  Unsecured wholesale funding  
240  1.6.3  Secured funding
EN L 97/1634 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
>7days ≤ 14 days  > 14 days ≤ 1 month  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  090  100  110  120  130  140  150  160  
250  1.7  
7 Total funding  
260  1.7.1  Retail funding  
270  1.7.2  Unsecured wholesale funding  
280  1.7.3  Secured funding  
290  1.8  
8 Total funding  
300  1.8.1  Retail funding  
310  1.8.2  Unsecured wholesale funding  
320  1.8.3  Secured funding  
330  1.9  
9 Total funding  
340  1.9.1  Retail funding  
350  1.9.2  Unsecured wholesale funding  
360  1.9.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1635
 Roll-over of funding  
>7days ≤ 14 days  > 14 days ≤ 1 month  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  090  100  110  120  130  140  150  160  
370  1.10  
10 Total funding  
380  1.10.1  Retail funding  
390  1.10.2  Unsecured wholesale funding  
400  1.10.3  Secured funding  
410  1.11  
11 Total funding  
420  1.11.1  Retail funding  
430  1.11.2  Unsecured wholesale funding  
440  1.11.3  Secured funding  
450  1.12  
12 Total funding  
460  1.12.1  Retail funding  
470  1.12.2  Unsecured wholesale funding  
480  1.12.3  Secured funding
EN L 97/1636 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
>7days ≤ 14 days  > 14 days ≤ 1 month  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  090  100  110  120  130  140  150  160  
490  1.13  
13 Total funding  
500  1.13.1  Retail funding  
510  1.13.2  Unsecured wholesale funding  
520  1.13.3  Secured funding  
530  1.14  
14 Total funding  
540  1.14.1  Retail funding  
550  1.14.2  Unsecured wholesale funding  
560  1.14.3  Secured funding  
570  1.15  
15 Total funding  
580  1.15.1  Retail funding  
590  1.15.2  Unsecured wholesale funding  
600  1.15.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1637
 Roll-over of funding  
>7days ≤ 14 days  > 14 days ≤ 1 month  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  090  100  110  120  130  140  150  160  
610  1.16  
16 Total funding  
620  1.16.1  Retail funding  
630  1.16.2  Unsecured wholesale funding  
640  1.16.3  Secured funding  
650  1.17  
17 Total funding  
660  1.17.1  Retail funding  
670  1.17.2  Unsecured wholesale funding  
680  1.17.3  Secured funding  
690  1.18  
18 Total funding  
700  1.18.1  Retail funding  
710  1.18.2  Unsecured wholesale funding  
720  1.18.3  Secured funding
EN L 97/1638 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
>7days ≤ 14 days  > 14 days ≤ 1 month  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  090  100  110  120  130  140  150  160  
730  1.19  
19 Total funding  
740  1.19.1  Retail funding  
750  1.19.2  Unsecured wholesale funding  
760  1.19.3  Secured funding  
770  1.20  
20 Total funding  
780  1.20.1  Retail funding  
790  1.20.2  Unsecured wholesale funding  
800  1.20.3  Secured funding  
810  1.21  
21 Total funding  
820  1.21.1  Retail funding  
830  1.21.2  Unsecured wholesale funding  
840  1.21.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1639
 Roll-over of funding  
>7days ≤ 14 days  > 14 days ≤ 1 month  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  090  100  110  120  130  140  150  160  
850  1.22  
22 Total funding  
860  1.22.1  Retail funding  
870  1.22.2  Unsecured wholesale funding  
880  1.22.3  Secured funding  
890  1.23  
23 Total funding  
900  1.23.1  Retail funding  
910  1.23.2  Unsecured wholesale funding  
920  1.23.3  Secured funding  
930  1.24  
24 Total funding  
940  1.24.1  Retail funding  
950  1.24.2  Unsecured wholesale funding  
960  1.24.3  Secured funding
EN L 97/1640 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
>7days ≤ 14 days  > 14 days ≤ 1 month  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  090  100  110  120  130  140  150  160  
970  1.25  
25 Total funding  
980  1.25.1  Retail funding  
990  1.25.2  Unsecured wholesale funding  
1000  1.25.3  Secured funding  
1010  1.26  
26 Total funding  
1020  1.26.1  Retail funding  
1030  1.26.2  Unsecured wholesale funding  
1040  1.26.3  Secured funding  
1050  1.27  
27 Total funding  
1060  1.27.1  Retail funding  
1070  1.27.2  Unsecured wholesale funding  
1080  1.27.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1641
 Roll-over of funding  
>7days ≤ 14 days  > 14 days ≤ 1 month  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  090  100  110  120  130  140  150  160  
1090  1.28  
28 Total funding  
1100  1.28.1  Retail funding  
1110  1.28.2  Unsecured wholesale funding  
1120  1.28.3  Secured funding  
1130  1.29  
29 Total funding  
1140  1.29.1  Retail funding  
1150  1.29.2  Unsecured wholesale funding  
1160  1.29.3  Secured funding  
1170  1.30  
30 Total funding  
1180  1.30.1  Retail funding  
1190  1.30.2  Unsecured wholesale funding  
1200  1.30.3  Secured funding
EN L 97/1642 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
>7days ≤ 14 days  > 14 days ≤ 1 month  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  090  100  110  120  130  140  150  160  
1210  1.31  
31 Total funding  
1220  1.31.1  Retail funding  
1230  1.31.2  Unsecured wholesale funding  
1240  1.31.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1643
 Roll-over of funding  
> 1 Month ≤ 3 Months  > 3 Months ≤ 6 Months  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  170  180  190  200  210  220  230  240  
010  1.1  
1 Total funding  
020  1.1.1  Retail funding  
030  1.1.2  Unsecured wholesale funding  
040  1.1.3  Secured funding  
050  1.2  
2 Total funding  
060  1.2.1  Retail funding  
070  1.2.2  Unsecured wholesale funding  
080  1.2.3  Secured funding  
090  1.3  
3 Total funding  
100  1.3.1  Retail funding  
110  1.3.2  Unsecured wholesale funding  
120  1.3.3  Secured funding
EN L 97/1644 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
> 1 Month ≤ 3 Months  > 3 Months ≤ 6 Months  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  170  180  190  200  210  220  230  240  
130  1.4  
4 Total funding  
140  1.4.1  Retail funding  
150  1.4.2  Unsecured wholesale funding  
160  1.4.3  Secured funding  
170  1.5  
5 Total funding  
180  1.5.1  Retail funding  
190  1.5.2  Unsecured wholesale funding  
200  1.5.3  Secured funding  
210  1.6  
6 Total funding  
220  1.6.1  Retail funding  
230  1.6.2  Unsecured wholesale funding  
240  1.6.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1645
 Roll-over of funding  
> 1 Month ≤ 3 Months  > 3 Months ≤ 6 Months  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  170  180  190  200  210  220  230  240  
250  1.7  
7 Total funding  
260  1.7.1  Retail funding  
270  1.7.2  Unsecured wholesale funding  
280  1.7.3  Secured funding  
290  1.8  
8 Total funding  
300  1.8.1  Retail funding  
310  1.8.2  Unsecured wholesale funding  
320  1.8.3  Secured funding  
330  1.9  
9 Total funding  
340  1.9.1  Retail funding  
350  1.9.2  Unsecured wholesale funding  
360  1.9.3  Secured funding
EN L 97/1646 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
> 1 Month ≤ 3 Months  > 3 Months ≤ 6 Months  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  170  180  190  200  210  220  230  240  
370  1.10  
10 Total funding  
380  1.10.1  Retail funding  
390  1.10.2  Unsecured wholesale funding  
400  1.10.3  Secured funding  
410  1.11  
11 Total funding  
420  1.11.1  Retail funding  
430  1.11.2  Unsecured wholesale funding  
440  1.11.3  Secured funding  
450  1.12  
12 Total funding  
460  1.12.1  Retail funding  
470  1.12.2  Unsecured wholesale funding  
480  1.12.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1647
 Roll-over of funding  
> 1 Month ≤ 3 Months  > 3 Months ≤ 6 Months  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  170  180  190  200  210  220  230  240  
490  1.13  
13 Total funding  
500  1.13.1  Retail funding  
510  1.13.2  Unsecured wholesale funding  
520  1.13.3  Secured funding  
530  1.14  
14 Total funding  
540  1.14.1  Retail funding  
550  1.14.2  Unsecured wholesale funding  
560  1.14.3  Secured funding  
570  1.15  
15 Total funding  
580  1.15.1  Retail funding  
590  1.15.2  Unsecured wholesale funding  
600  1.15.3  Secured funding
EN L 97/1648 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
> 1 Month ≤ 3 Months  > 3 Months ≤ 6 Months  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  170  180  190  200  210  220  230  240  
610  1.16  
16 Total funding  
620  1.16.1  Retail funding  
630  1.16.2  Unsecured wholesale funding  
640  1.16.3  Secured funding  
650  1.17  
17 Total funding  
660  1.17.1  Retail funding  
670  1.17.2  Unsecured wholesale funding  
680  1.17.3  Secured funding  
690  1.18  
18 Total funding  
700  1.18.1  Retail funding  
710  1.18.2  Unsecured wholesale funding  
720  1.18.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1649
 Roll-over of funding  
> 1 Month ≤ 3 Months  > 3 Months ≤ 6 Months  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  170  180  190  200  210  220  230  240  
730  1.19  
19 Total funding  
740  1.19.1  Retail funding  
750  1.19.2  Unsecured wholesale funding  
760  1.19.3  Secured funding  
770  1.20  
20 Total funding  
780  1.20.1  Retail funding  
790  1.20.2  Unsecured wholesale funding  
800  1.20.3  Secured funding  
810  1.21  
21 Total funding  
820  1.21.1  Retail funding  
830  1.21.2  Unsecured wholesale funding  
840  1.21.3  Secured funding
EN L 97/1650 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
> 1 Month ≤ 3 Months  > 3 Months ≤ 6 Months  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  170  180  190  200  210  220  230  240  
850  1.22  
22 Total funding  
860  1.22.1  Retail funding  
870  1.22.2  Unsecured wholesale funding  
880  1.22.3  Secured funding  
890  1.23  
23 Total funding  
900  1.23.1  Retail funding  
910  1.23.2  Unsecured wholesale funding  
920  1.23.3  Secured funding  
930  1.24  
24 Total funding  
940  1.24.1  Retail funding  
950  1.24.2  Unsecured wholesale funding  
960  1.24.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1651
 Roll-over of funding  
> 1 Month ≤ 3 Months  > 3 Months ≤ 6 Months  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  170  180  190  200  210  220  230  240  
970  1.25  
25 Total funding  
980  1.25.1  Retail funding  
990  1.25.2  Unsecured wholesale funding  
1000  1.25.3  Secured funding  
1010  1.26  
26 Total funding  
1020  1.26.1  Retail funding  
1030  1.26.2  Unsecured wholesale funding  
1040  1.26.3  Secured funding  
1050  1.27  
27 Total funding  
1060  1.27.1  Retail funding  
1070  1.27.2  Unsecured wholesale funding  
1080  1.27.3  Secured funding
EN L 97/1652 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
> 1 Month ≤ 3 Months  > 3 Months ≤ 6 Months  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  170  180  190  200  210  220  230  240  
1090  1.28  
28 Total funding  
1100  1.28.1  Retail funding  
1110  1.28.2  Unsecured wholesale funding  
1120  1.28.3  Secured funding  
1130  1.29  
29 Total funding  
1140  1.29.1  Retail funding  
1150  1.29.2  Unsecured wholesale funding  
1160  1.29.3  Secured funding  
1170  1.30  
30 Total funding  
1180  1.30.1  Retail funding  
1190  1.30.2  Unsecured wholesale funding  
1200  1.30.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1653
 Roll-over of funding  
> 1 Month ≤ 3 Months  > 3 Months ≤ 6 Months  
Maturing  Roll over  New Funds  Net  Maturing  Roll over  New Funds  Net  
Row  ID  Day  Item  170  180  190  200  210  220  230  240  
1210  1.31  
31 Total funding  
1220  1.31.1  Retail funding  
1230  1.31.2  Unsecured wholesale funding  
1240  1.31.3  Secured funding
EN L 97/1654 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
> 6 Months  
Total net 
cashflows  Average Term (days)  
Maturing  Roll over  New Funds  Net  Maturing 
Funds Term  Roll-over 
Funds Term  New Funds 
Term  
Row  ID  Day  Item  250  260  270  280  290  300  310  320  
010  1.1  
1 Total funding  
020  1.1.1  Retail funding  
030  1.1.2  Unsecured wholesale funding  
040  1.1.3  Secured funding  
050  1.2  
2 Total funding  
060  1.2.1  Retail funding  
070  1.2.2  Unsecured wholesale funding  
080  1.2.3  Secured funding  
090  1.3  
3 Total funding  
100  1.3.1  Retail funding  
110  1.3.2  Unsecured wholesale funding  
120  1.3.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1655
 Roll-over of funding  
> 6 Months  
Total net 
cashflows  Average Term (days)  
Maturing  Roll over  New Funds  Net  Maturing 
Funds Term  Roll-over 
Funds Term  New Funds 
Term  
Row  ID  Day  Item  250  260  270  280  290  300  310  320  
130  1.4  
4 Total funding  
140  1.4.1  Retail funding  
150  1.4.2  Unsecured wholesale funding  
160  1.4.3  Secured funding  
170  1.5  
5 Total funding  
180  1.5.1  Retail funding  
190  1.5.2  Unsecured wholesale funding  
200  1.5.3  Secured funding  
210  1.6  
6 Total funding  
220  1.6.1  Retail funding  
230  1.6.2  Unsecured wholesale funding  
240  1.6.3  Secured funding
EN L 97/1656 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
> 6 Months  
Total net 
cashflows  Average Term (days)  
Maturing  Roll over  New Funds  Net  Maturing 
Funds Term  Roll-over 
Funds Term  New Funds 
Term  
Row  ID  Day  Item  250  260  270  280  290  300  310  320  
250  1.7  
7 Total funding  
260  1.7.1  Retail funding  
270  1.7.2  Unsecured wholesale funding  
280  1.7.3  Secured funding  
290  1.8  
8 Total funding  
300  1.8.1  Retail funding  
310  1.8.2  Unsecured wholesale funding  
320  1.8.3  Secured funding  
330  1.9  
9 Total funding  
340  1.9.1  Retail funding  
350  1.9.2  Unsecured wholesale funding  
360  1.9.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1657
 Roll-over of funding  
> 6 Months  
Total net 
cashflows  Average Term (days)  
Maturing  Roll over  New Funds  Net  Maturing 
Funds Term  Roll-over 
Funds Term  New Funds 
Term  
Row  ID  Day  Item  250  260  270  280  290  300  310  320  
370  1.10  
10 Total funding  
380  1.10.1  Retail funding  
390  1.10.2  Unsecured wholesale funding  
400  1.10.3  Secured funding  
410  1.11  
11 Total funding  
420  1.11.1  Retail funding  
430  1.11.2  Unsecured wholesale funding  
440  1.11.3  Secured funding  
450  1.12  
12 Total funding  
460  1.12.1  Retail funding  
470  1.12.2  Unsecured wholesale funding  
480  1.12.3  Secured funding
EN L 97/1658 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
> 6 Months  
Total net 
cashflows  Average Term (days)  
Maturing  Roll over  New Funds  Net  Maturing 
Funds Term  Roll-over 
Funds Term  New Funds 
Term  
Row  ID  Day  Item  250  260  270  280  290  300  310  320  
490  1.13  
13 Total funding  
500  1.13.1  Retail funding  
510  1.13.2  Unsecured wholesale funding  
520  1.13.3  Secured funding  
530  1.14  
14 Total funding  
540  1.14.1  Retail funding  
550  1.14.2  Unsecured wholesale funding  
560  1.14.3  Secured funding  
570  1.15  
15 Total funding  
580  1.15.1  Retail funding  
590  1.15.2  Unsecured wholesale funding  
600  1.15.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1659
 Roll-over of funding  
> 6 Months  
Total net 
cashflows  Average Term (days)  
Maturing  Roll over  New Funds  Net  Maturing 
Funds Term  Roll-over 
Funds Term  New Funds 
Term  
Row  ID  Day  Item  250  260  270  280  290  300  310  320  
610  1.16  
16 Total funding  
620  1.16.1  Retail funding  
630  1.16.2  Unsecured wholesale funding  
640  1.16.3  Secured funding  
650  1.17  
17 Total funding  
660  1.17.1  Retail funding  
670  1.17.2  Unsecured wholesale funding  
680  1.17.3  Secured funding  
690  1.18  
18 Total funding  
700  1.18.1  Retail funding  
710  1.18.2  Unsecured wholesale funding  
720  1.18.3  Secured funding
EN L 97/1660 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
> 6 Months  
Total net 
cashflows  Average Term (days)  
Maturing  Roll over  New Funds  Net  Maturing 
Funds Term  Roll-over 
Funds Term  New Funds 
Term  
Row  ID  Day  Item  250  260  270  280  290  300  310  320  
730  1.19  
19 Total funding  
740  1.19.1  Retail funding  
750  1.19.2  Unsecured wholesale funding  
760  1.19.3  Secured funding  
770  1.20  
20 Total funding  
780  1.20.1  Retail funding  
790  1.20.2  Unsecured wholesale funding  
800  1.20.3  Secured funding  
810  1.21  
21 Total funding  
820  1.21.1  Retail funding  
830  1.21.2  Unsecured wholesale funding  
840  1.21.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1661
 Roll-over of funding  
> 6 Months  
Total net 
cashflows  Average Term (days)  
Maturing  Roll over  New Funds  Net  Maturing 
Funds Term  Roll-over 
Funds Term  New Funds 
Term  
Row  ID  Day  Item  250  260  270  280  290  300  310  320  
850  1.22  
22 Total funding  
860  1.22.1  Retail funding  
870  1.22.2  Unsecured wholesale funding  
880  1.22.3  Secured funding  
890  1.23  
23 Total funding  
900  1.23.1  Retail funding  
910  1.23.2  Unsecured wholesale funding  
920  1.23.3  Secured funding  
930  1.24  
24 Total funding  
940  1.24.1  Retail funding  
950  1.24.2  Unsecured wholesale funding  
960  1.24.3  Secured funding
EN L 97/1662 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
> 6 Months  
Total net 
cashflows  Average Term (days)  
Maturing  Roll over  New Funds  Net  Maturing 
Funds Term  Roll-over 
Funds Term  New Funds 
Term  
Row  ID  Day  Item  250  260  270  280  290  300  310  320  
970  1.25  
25 Total funding  
980  1.25.1  Retail funding  
990  1.25.2  Unsecured wholesale funding  
1000  1.25.3  Secured funding  
1010  1.26  
26 Total funding  
1020  1.26.1  Retail funding  
1030  1.26.2  Unsecured wholesale funding  
1040  1.26.3  Secured funding  
1050  1.27  
27 Total funding  
1060  1.27.1  Retail funding  
1070  1.27.2  Unsecured wholesale funding  
1080  1.27.3  Secured funding
EN 19.3.2021 Official Journal of the European Union L 97/1663
 Roll-over of funding  
> 6 Months  
Total net 
cashflows  Average Term (days)  
Maturing  Roll over  New Funds  Net  Maturing 
Funds Term  Roll-over 
Funds Term  New Funds 
Term  
Row  ID  Day  Item  250  260  270  280  290  300  310  320  
1090  1.28  
28 Total funding  
1100  1.28.1  Retail funding  
1110  1.28.2  Unsecured wholesale funding  
1120  1.28.3  Secured funding  
1130  1.29  
29 Total funding  
1140  1.29.1  Retail funding  
1150  1.29.2  Unsecured wholesale funding  
1160  1.29.3  Secured funding  
1170  1.30  
30 Total funding  
1180  1.30.1  Retail funding  
1190  1.30.2  Unsecured wholesale funding  
1200  1.30.3  Secured funding
EN L 97/1664 Official Journal of the European Union 19.3.2021
 Roll-over of funding  
> 6 Months  
Total net 
cashflows  Average Term (days)  
Maturing  Roll over  New Funds  Net  Maturing 
Funds Term  Roll-over 
Funds Term  New Funds 
Term  
Row  ID  Day  Item  250  260  270  280  290  300  310  320  
1210  1.31  
31 Total funding  
1220  1.31.1  Retail funding  
1230  1.31.2  Unsecured wholesale funding  
1240  1.31.3  Secured funding
 ANNEX XIX  
INSTRUCTIONS FOR REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS  
1. Additional Monitoring Metrics  
1.1. General  
1. In order to monitor an institution’s liquidity risk that falls outside of the scope of the reports on Liquidity 
Coverage and Stable Funding, institutions shall complete the template in Annex XVIII in accordance with the 
instructions in this Annex.  
2. Total funding shall be all financial liabilities other than derivatives and short positions;  
3. Funding with open maturity including on sight deposits shall be considered as maturing overnight.  
4. Original maturity shall represent the time between the date of origination and the date of maturity of funding. 
The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII. 
This means that in case of optionality such as in the case of paragraph 12 of Annex XXIII, the original 
maturity of a funding item can be shorter than the time elapsed since its origination.  
5. Residual maturity shall represent the time between the end of the reporting period and the date of maturity of 
funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of 
Annex XXIII.  
6. For the purposes of calculating the original or residual weighted average maturity, deposits maturing overnight 
shall be considered to have a one day maturity.  
7. For the purposes of calculating the original and residual maturity, where there is funding with a notice period 
or a cancellation or early withdrawal clause for the institution’s counterparty, a withdrawal at the first possible 
date shall be assumed.  
8. For perpetual liabilities, except where subject to optionality as referred to in paragraph 12 of Annex XXIII, a 
fixed 20 years original and residual maturity shall be assumed.  
9. For calculating the percentage threshold referred to in templates C 67.00 and C 68.00 by significant currency, 
institutions shall use a threshold of 1 % of total liabilities in all currencies.  
1.2. Concentration of funding by counterparty (C 67.00)  
1. In order to collect information about the reporting institutions’ concentration of funding by counterparty in 
template C 67.00, institutions shall apply the instructions contained in this section.  
2. Institutions shall report the top ten largest counterparties or a group of connected clients that is defined in 
point (39) of Article 4(1) of Regulation (EU) No 575/2013, where the funding obtained from each 
counterparty or group of connected clients exceeds a threshold of 1 % of total liabilities in rows 020 to 
110 of section 1 of the template. The counterparty reported in item 1.01 shall be the largest amount of 
funding received from one counterparty or group of connected clients which is above the 1 % threshold as at 
the reporting date. Item 1.02 shall be the second largest above the 1 % threshold, and similarly with the 
remaining items.  
3. Where a counterparty belongs to several groups of connected clients, it shall be reported only once in the 
group with the highest amount of funding.  
4. Institutions shall report the total of all other remaining funding in section 2.  
5. The totals of section 1 and section 2 shall equal an institution’s total funding as per its balance sheet reported 
under the financial reporting framework (FINREP).  
6. For each counterparty, institutions shall report all of the columns 010 to 080.EN 19.3.2021 Official Journal of the European Union L 97/1665
 
7. Where funding is obtained in more than one product type, the type reported shall be the product in which the 
largest proportion of funding was obtained. Identification of the underlying holder of securities may be 
undertaken on a best efforts basis. Where an institution has information concerning the holder of securities 
by virtue of its role as the custodian bank, it shall consider that amount for reporting the concentration of 
counterparties. Where there is no information available on the holder of the securities, the corresponding 
amount does not have to be reported.  
8. Instructions concerning specific columns:  
Column  Legal references and instructions  
010  Counterparty Name  
The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall 
be recorded in column 010 in descending order, that is, in the order of the size of funding 
obtained. 
The name of the counterparty, whether a legal entity or a natural person, shall be reported. 
Where the counterparty is a legal entity, the counterparty name recorded shall be the full name of 
the legal entity from which the funding is derived including any references to the company type 
in accordance with the national company law.  
015  Code  
This code is a row identifier and shall be unique for each counterparty. For institutions and 
insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI 
code, or if not available, a national code. The code shall be unique and used consistently across 
the templates and across time. The code shall always have a value.  
016  Type of code  
The institutions shall identify the type of code reported in column 015 as a ‘LEI code’ or ‘Non-LEI 
code’. 
The type of code shall always be reported.  
017  National code  
Institutions may additionally report the national code when they report LEI code as identifier as in 
the ‘Code’ column.  
030  Counterparty Sector  
One sector shall be allocated to each counterparty on the basis of FINREP economic sector 
classes: 
(i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial 
corporations; (v) Non-financial corporations; (vi) Households. 
For groups of connected clients, no sector shall be reported.  
040  Residence of Counterparty  
ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used, 
including pseudo-ISO codes for international organisations,  available in the most recent edition of  
the Eurostat’s ‘Balance of Payments Vademecum’. 
For groups of connected clients, no country shall be reported.  
050  Product Type  
Counterparties reported in column 010 shall be assigned a product type, corresponding to the 
product issued in which the funding was received or in which the largest proportion of funding 
was received for mixed product types, using the following codes indicated in bold: 
— UWF  (unsecured wholesale funding obtained from financial customers including interbank 
money);EN L 97/1666 Official Journal of the European Union 19.3.2021
 
Column  Legal references and instructions  
— UWNF  (unsecured wholesale funding obtained from non-financial customers); 
— SFT  (funding obtained from repurchase agreements as defined in point (82) of Article 4(1) of 
Regulation (EU) No 575/2013); 
— CB  (funding obtained from covered bond issuance as defined in Article 129(4) or (5) of 
Regulation (EU) No 575/2013 or Article 52(4) of Directive 2009/65/EC); 
— ABS  (funding obtained from asset backed security issuance including asset backed 
commercial paper); 
— IGCP  (funding obtained from intragroup counterparties); 
— OSWF  (other secured wholesale funding); 
— OFP  (other funding products, e.g. retail funding).  
060  Amount Received  
The total amount of funding received from counterparties reported in column 010 shall be 
recorded in column 060 and institutions shall report carrying amounts therein.  
070  Weighted average original maturity  
For the amount of funding received reported in column 060, from the counterparty reported in 
column 010, a weighted average original maturity (in days) for that funding shall be recorded in 
column 070. 
The weighted average original maturity shall be calculated as the average original maturity (in 
days) of the funding received from that counterparty. The average shall be size weighted, based on 
the size of different amounts of funding received in proportion to the total funding received from 
that counterparty.  
080  Weighted average residual maturity  
For the amount of funding received reported in column 060, from the counterparty reported in 
column 010, a weighted average residual maturity, in days, for that funding shall be recorded in 
column 080. 
The weighted average residual maturity shall be calculated as the average maturity, in remaining 
days, of the funding received from that counterparty. The average shall be size weighted, based on 
the size of different amounts of funding received in proportion to the total funding received from 
that counterparty.  
1.3. Concentration of funding by product type (C 68.00)  
1. This template seeks to collect information about the reporting institutions’ concentration of funding by 
product type, broken down into the funding types as specified in the following instructions regarding rows:  
Row  Legal references and instructions  
010  1.  Retail funding  
Retail deposits as defined in Article 3(8) of Delegated Regulation (EU) 2015/61EN 19.3.2021 Official Journal of the European Union L 97/1667
 
Row  Legal references and instructions  
020  1.1.  of which sight deposits  
Of the retail funding of row 010 those that are sight deposits  
031  1.2.  of which term deposits not withdrawable within the following 30 days  
Of the retail funding of row 010 those that are term deposits not withdrawable within the 
following 30 days  
041  1.3.  of which term deposits withdrawable within the following 30 days  
Of the retail funding of row 010 those that are term deposits withdrawable within the following 
30 days  
070  1.4.  of which savings accounts with either of the following characteristics:  
Of the retail funding of row 010 those that are savings accounts with either of the following 
characteristics: 
— with a notice period for withdrawal greater than 30 days; 
— without a notice period for withdrawal which is greater than 30 days. 
This row shall not be reported.  
080  1.4.1.  with a notice period for withdrawal greater than 30 days;  
Of the retail funding of row 010 those that are savings accounts with a notice period for 
withdrawal greater than 30 days  
090  1.4.2.  without a notice period for withdrawal which is greater than 30 days  
Of the retail funding of row 010 those that are savings accounts without a notice period for 
withdrawal which is greater than 30 days  
100  2.  Wholesale funding shall be considered to consist of any of the following:  
All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated 
Regulation (EU) 2015/61 
This row shall not be reported.  
110  2.1.  unsecured wholesale funding  
All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated 
Regulation (EU) 2015/61 where the funding is unsecured  
120  2.1.1.  of which loans and deposits from financial customers  
Of the funding in row 110, those that consist of loans and deposits from financial customers 
Funding from central banks shall be excluded from this row.  
130  2.1.2.  of which loans and deposits from non-financial customers  
Of the funding in row 110, those that consist of loans and deposits from non-financial customers 
Funding from central banks shall be excluded from this row.  
140  2.1.3.  of which loans and deposits from intra-group entities  
Of the funding in row 110, those that consist of loans and deposits from intra-group entities 
Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated 
basis.EN L 97/1668 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
150  2.2.  secured wholesale funding  
All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated 
Regulation (EU) 2015/61 where the funding is secured  
160  2.2.1.  of which Securities Financing Transactions  
Of the funding in row 150, that which is funding obtained from repurchase agreements as 
defined in point (82) of Article 4(1) of Regulation (EU) No 575/2013  
170  2.2.2.  of which covered bond issuances  
Of the funding in row 150, that which is funding obtained from covered bond issuance as 
defined in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Article 52(4) of 
Directive 2009/65/EC  
180  2.2.3.  of which asset backed security issuances  
Of the funding in row 150, that which is funding obtained from asset backed security issuance 
including asset backed commercial paper  
190  2.2.4.  of which loans and deposits from intra-group entities  
Of the funding in row 150, that which is funding obtained from intra-group entities 
Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated 
basis.  
2. For the purpose of completing this template, institutions shall report the total amount of funding received 
from each product type which exceeds a threshold of 1 % of total liabilities.  
3. For each product type, institutions shall report all of the columns 010 to 050.  
4. The 1 % of total liabilities threshold shall be used to determine those product types from which funding has 
been obtained in accordance with the following:  
(a) the 1 % of total liabilities threshold shall be applied for the product types referred to in all of the following 
rows: 1.1 ‘Sight deposit’; 1.2 ‘Term deposits not withdrawable within the following 30 days’; 1.3 ‘Term 
deposits within the following 30 days’; 1.4 ‘Saving accounts’; 2.1 ‘Unsecured wholesale funding’; 2.2 
‘Secured wholesale funding’;  
(b) with regard to the calculation of the 1 % of total liabilities threshold for row 1.4 ‘Saving accounts’ the 
threshold shall apply on the sum of 1.4.1 and 1.4.2;  
(c) for rows 1. ‘Retail Funding’ and 2. ‘Wholesale Funding’ the 1 % of total liabilities threshold applies on 
aggregated level only.  
5. The figures reported in rows 1. ‘Retail’, 2.1 ‘Unsecured wholesale funding’, 2.2 ‘Secured wholesale funding’ can 
include broader product types than the underlying ‘of which’ items.  
6. Instructions concerning specific columns:  
Column  Legal references and instructions  
010  Carrying amount received  
Carrying amount of funding received for each of the product categories listed in the ‘Product 
name’ column shall be reported in column 010 of the template.EN 19.3.2021 Official Journal of the European Union L 97/1669
 
Column  Legal references and instructions  
020  Amount covered by a Deposit Guarantee Scheme in accordance with Directive 
2014/49/EU or an equivalent deposit guarantee scheme in a third country  
Of the total amount of funding received for each of the product categories listed in the ‘Product 
name’ column reported in column 010, the amount which is covered by a Deposit Guarantee 
Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a 
third country 
The amounts reported in column 020 and column 030, for each of the product categories listed 
in the ‘Product name’ column, shall be equal to the total amount received reported in column 
010.  
030  Amount not covered by a Deposit Guarantee Scheme in accordance with Directive 
2014/49/EU or an equivalent deposit guarantee scheme in a third country  
Of the total amount of funding received for each of the product categories listed in the ‘Product 
name’ column reported in column 010, the amount which is  not covered by a Deposit Guarantee 
Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a 
third country 
The amounts reported in column 020 and column 030, for each of the product categories listed 
in the ‘Product name’ column, shall be equal to the total amount received reported in column 
010.  
040  Weighted average original maturity  
For the amount of funding received reported in column 010, from the product categories listed in 
the ‘Product name’ column, a weighted average original maturity (in days) for that funding shall 
be recorded. 
The weighted average original maturity shall be calculated as the average original maturity (in 
days) of the funding received for that product type. The average shall be size weighted, based on 
the size of different amounts of funding received in proportion to the total funding received from 
all issuances of that product type.  
050  Weighted average residual maturity  
For the amount of funding received reported in column 010, from the product categories listed in 
the ‘Product name’ column, a weighted average residual maturity (in days) for that funding shall 
be recorded. 
The weighted average residual maturity shall be calculated as the average maturity (in days) left on 
the funding received for that product type. The average shall be size weighted, based on the size 
of different amounts of funding received in proportion, to the total funding received from all 
issuances of that product type.  
1.4. Prices for Various Lengths of Funding (C 69.00)  
1. Institutions shall report the information about the transaction volume and prices paid by institutions for 
funding obtained during the reporting period and still present at the end of the reporting period in template 
C 69.00 in accordance with the following original maturities:  
— overnight in columns 010 and 020;  
— greater than overnight and less than or equal to 1 week (columns 030 and 040);  
— greater than 1 week and less than or equal to 1 month in columns 050 and 060;  
— greater than 1 month and less than or equal to 3 months in columns 070 and 080;  
— greater than 3 months and less than or equal to 6 months in columns 090 and 100;  
— greater than 6 months and less than or equal to 1 year in columns 110 and 120;EN L 97/1670 Official Journal of the European Union 19.3.2021
 
— greater than 1 year and less than or equal to 2 years in columns 130 and 140;  
— greater than 2 years and less than or equal to 5 years in columns 150 and 160;  
— greater than 5 years and less than or equal to 10 years in columns 170 and 180.  
In case of currency revaluations, no new funding is obtained in the original currency and the reporting 
institution has not paid anything beyond the original price at the initial deposit of the funds. Thus, a 
positive increment caused by the currency revaluation shall not be reported in this template.  
2. For the purposes of determining the maturity of the funding obtained, institutions shall ignore the period 
between trade date and settlement date, e.g. a three-month liability settling in two weeks’ time shall be 
reported in the 3 months maturity (columns 070 and 080).  
3. The spread reported in the left hand column of each time bucket shall be one of the following:  
(a) the spread payable by the institution for liabilities less than or equal to one year, if they were to have been 
swapped to the benchmark overnight index for the appropriate currency no later than close of business on 
the day of the transaction;  
(b) the spread payable by the firm at issuance for liabilities with an original maturity greater than one year, 
were they to be swapped to the relevant benchmark index for the appropriate currency which is three 
month EURIBOR for EUR or  a similar index for other currencies, no later than close of business on the 
day of the transaction.  
Solely for the purposes of spread calculation under points a) and b) above, on the basis of historical 
experience, the institution may determine the original maturity with or without taking into account 
optionality, as appropriate.  
4. Spreads shall be reported in basis points with a negative sign in case the new funding is cheaper than under 
the relevant benchmark rate. They shall be calculated on a weighted average basis.  
5. For the purposes of calculating the average spread payable across multiple issuances/deposits/loans, institutions 
shall calculate the total cost in the currency of issue ignoring any FX swap, but they shall include any premium 
or discount and fees payable or receivable, taking as a basis the term of any theoretical or actual interest rate 
swap matching the term of the liability. The spread shall be the liability rate minus the swap rate.  
6. The amount of funding obtained for the funding categories listed in the ‘Item’ column shall be reported in the 
‘volume’ column of the applicable time bucket.  
7. In the column ‘volume’, institutions shall provide the amounts representing the carrying amount of the new 
funding obtained in the applicable time bucket in accordance with original maturity.  
8. As for all items, also for off-balance sheet commitments, institutions shall only report the related amounts 
reflected in the balance sheet. An off-balance sheet commitment provided to the institution shall only be 
reported in C 69.00 after a drawdown. In the case of a drawdown, the volume and spread to be reported shall 
be the amount drawn and applicable spread at the end of the reporting period. Where the drawdown cannot 
be rolled-over at the discretion of the institution, the actual maturity of the drawdown shall be reported. 
Where the institution has already drawn on the facility at the end of the previous reporting period, and where 
the institution subsequently increases the usage of the facility, only the additional amount drawn shall be 
reported.  
9. Deposits placed by retail customers shall consist of deposits as defined in Article 3(8) of Delegated Regulation 
(EU) 2015/61.  
10. For funding that has rolled-over during the reporting period that is still outstanding at the end of the reporting 
period the average of spreads applying at that time (i.e. end of reporting period) shall be reported. For the 
purposes of C 69.00, funding that rolled-over and is still there at the end of the reporting period shall be 
considered to represent new funding.EN 19.3.2021 Official Journal of the European Union L 97/1671
 
11. By way of deviation from the rest of Section 1.4, the volume and spread of sight deposits shall only be 
reported where the depositor did not have a sight deposit in the preceding reporting period or where there is 
an increase in the deposit amount compared to the previous reference date, in which case the increment shall 
be treated as new funding. The spread shall be that of the end of the period.  
12. Where there is nothing to report, cells relating to spreads shall be left empty.  
13. Instructions concerning specific rows:  
Row  Legal references and instructions  
010  1.  Total Funding  
Total volume and weighted average spread of all funding shall be obtained for all of the following 
lengths of time as follows: 
— overnight in columns 010 and 020; 
— greater than overnight and less than or equal to 1 week in columns 030 and 040; 
— greater than 1 week and less than or equal to 1 month in columns 050 and 060; 
— greater than 1 month and less than or equal to 3 months in columns 070 and 080; 
— greater than 3 months and less than or equal to 6 months in columns 090 and 100; 
— greater than 6 months and less than or equal to 1 year in columns 110 and 120; 
— greater than 1 year and less than or equal to 2 years in columns 130 and 140; 
— greater than 2 years and less than or equal to 5 years in columns 150 and 160; 
— greater than 5 years and less than or equal to 10 years in columns 170 and 180.  
020  1.1.  of which: Retail funding  
Of the total funding reported in item 1, the total volume and weighted average spread of retail 
funding obtained  
030  1.2.  of which: Unsecured wholesale funding  
Of the total funding in item 1, the total volume and weighted average spread of unsecured 
wholesale funding obtained  
040  1.3.  of which: Secured funding  
Of the total funding reported in item 1, the total volume and weighted average spread of secured 
funding obtained  
050  1.4.  of which: Senior unsecured securities  
Of the total funding reported in item 1, the total volume and weighted average spread of senior 
unsecured securities obtained  
060  1.5.  of which: Covered bonds  
Of the total funding reported in item 1, the total volume and weighted average spread of all 
covered bond issuance encumbering the institutions own assets  
070  1.6.  of which: Asset backed securities including ABCP  
Of the total funding reported in item 1, the total volume and weighted average spread of asset 
backed securities issued including asset backed commercial paperEN L 97/1672 Official Journal of the European Union 19.3.2021
 
1.5. Roll-over of funding (C 70.00)  
1. This template seeks to collect information about the volume of funds maturing and new funding obtained i.e. 
‘roll-over of funding’ on a daily basis over the month preceding the reporting date.  
2. Institutions shall report, in calendar days, the funding they have maturing in accordance with the following 
time buckets in accordance with the original maturity:  
— overnight in columns 010 to 040);  
— between 1 and 7 days in columns 050 to 080);  
— between 7 and 14 days in columns 090 to 120);  
— between 14 and 1 month in columns 130 to 160);  
— between 1 and 3 months in columns 170 to 200);  
— between 3 and 6 months in columns 210 to 240);  
— in more than 6 months in columns 250 to 280).  
3. For each time bucket described in paragraph 2, the amount maturing shall be reported in the left-hand 
column, the amount funds rolled over shall be reported in the ‘Roll over’ column, new funds obtained 
shall be reported in the ‘New Funds’ column and the net difference between new funds on the one hand 
and roll-over minus maturing funds on the other shall be reported in the right-hand column.  
4. Total net cash flows shall be reported in column 290 and shall equal the sum of all ‘Net’ columns numbered 
040, 080, 120, 160, 200, 240 and 280.  
5. The average term of funding, in days, for maturing term funds shall be reported in column 300.  
6. The average term of funding, in days, of funds rolled over shall be reported in column 310  
7. The average term of funding, in days, for new term funds shall be reported in column 320.  
8. The ‘Maturing’ amount shall comprise all liabilities that were contractually withdrawable by the provider of the 
funding or due on the relevant day in the reporting period. It shall always be reported with a positive sign.  
9. The ‘Roll-over’ amount shall comprise the maturing amount as defined in paragraphs 2 and 3 that remains 
with the institution on the relevant day of the reporting period. It shall always be reported with a positive sign. 
Where the maturity of the funding has changed due to the roll-over event, the ‘roll-over’ amount shall be 
reported in a time bucket in accordance with the new maturity.  
10. The ‘New funds’ amount shall comprise actual inflows of funding on the relevant day in the reporting period. 
It shall always be reported with a positive sign.  
11. The ‘Net’ amount shall be considered as a change of funding within a particular original maturity time band 
on the relevant day of the reporting period, and shall be calculated by adding in the ‘net’ column the new 
funds plus the roll over funds minus the maturing funds.  
12. Instructions concerning specific columns:  
Column  Legal references and instructions  
010 to 040  Overnight  
The total amount of funding maturing on the relevant day of the reporting period with an 
overnight original maturity shall be reported in column 010 of line item 1.1-1.31. For 
months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. 
The total amount of funding rolled-over on the relevant day of the reporting period with an 
overnight original maturity shall be reported in column 020 of line item 1.1-1.31.EN 19.3.2021 Official Journal of the European Union L 97/1673
 
Column  Legal references and instructions  
The total amount of new funding obtained on the relevant day of the reporting period with an 
overnight original maturity shall be reported in column 030 of line item 1.1-1.31. 
The net difference between, on the one hand, maturing daily funding and, on the other hand, 
roll-overs plus new daily funding obtained shall be reported in column 040 of line item 1.1-1.31.  
050 to 080  > 1 day ≤ 7 days  
The total amount of funding maturing on the relevant day of the reporting period with an 
original maturity between one day and one week shall be reported in column 050 of line 
item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines 
shall be left empty. 
The total amount of funding rolled-over on the relevant day of the reporting period with an 
original maturity between one day and one week shall be reported in column 060 of line item 
1.1-1.31. 
The total amount of new funding obtained on the relevant day of the reporting period with an 
original maturity between one day and one week shall be reported in column 70 of line item 
1.1-1.31. 
The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs 
plus new funding obtained shall be reported in column 080 of line item 
1.1-1.31.  
090 to 120  > 7 days ≤ 14 days  
The total amount of funding maturing on the relevant day of the reporting period with an 
original maturity between one week and two weeks shall be reported in column 090 of line 
item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be 
left empty. 
The total amount of funding rolled-over on the relevant day of the reporting period with an 
original maturity between one week and two weeks shall be reported in column 100 of line item 
1.1-1.31. 
The total amount of new funding obtained on the relevant day of the reporting period with an 
original maturity between one week and two weeks shall be reported in column 110 of line item 
1.1-1.31. 
The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs 
plus new funding obtained, shall be reported in column 120 of line item 1.1-1.31.  
130 to 160  > 14 days ≤ 1 month  
The total amount of funding maturing on the relevant day of the reporting period with an 
original maturity between two weeks and one month shall be reported in column 130 of line 
item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be 
left empty. 
The total amount of funding rolled-over on the relevant day of the reporting period with an 
original maturity between two weeks and one month shall be reported in column 140 of line 
item 1.1-1.31. 
The total amount of new funding obtained on the relevant day of the reporting period with an 
original maturity between two weeks and one month shall be reported in column 150 of line 
item 1.1-1.31. 
The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs 
plus new funding obtained shall be reported in column 160 of line item 1.1-1.31.EN L 97/1674 Official Journal of the European Union 19.3.2021
 
Column  Legal references and instructions  
170 to 200  > 1 Month ≤ 3 Months  
The total amount of funding maturing on the relevant day of the reporting period with an 
original maturity between one month and three months shall be reported in column 170 of 
line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines 
shall be left empty. 
The total amount of funding rolled-over on the relevant day of the reporting period with an 
original maturity between one month and three months shall be reported in column 180 of line 
item 1.1-1.31. 
The total amount of new funding obtained on the relevant day of the reporting period with an 
original maturity between one month and three months shall be reported in column 190 of line 
item 1.1-1.31. 
The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs 
plus new funding obtained, shall be reported in column 200 of line item 1.1-1.31.  
210 to 240  > 3 Months ≤ 6 Months  
The total amount of funding maturing on the relevant day of the reporting period with an 
original maturity between three months and six months shall be reported in column 210 of 
line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines 
shall be left empty. 
The total amount of funding rolled-over on the relevant day of the reporting period with an 
original maturity between three months and six months shall be reported in column 220 of line 
item 1.1-1.31. 
The total amount of new funding obtained on the relevant day of the reporting period with an 
original maturity between three months and six months shall be reported in column 230 of line 
item 1.1-1.31. 
The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs 
plus new funding obtained, shall be reported in column 240 of line item 1.1-1.31.  
250 to 280  > 6 Months  
The total amount of funding maturing on the relevant day of the reporting period with an 
original maturity beyond six months shall be reported in column 250 of line item 1.1-1.31. 
For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. 
The total amount of funding rolled-over on the relevant day of the reporting period with an 
original maturity beyond six months shall be reported in column 260 of line item 1.1-1.31. 
The total amount of new funding obtained on the relevant day of the reporting period with an 
original maturity beyond six months shall be reported in column 270 of line item 1.1-1.31. 
The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs 
plus new funding obtained, shall be reported in column 280 of line item 1.1-1.31.  
290  Total net cash flows  
The total net cash flows equal to the sum of all ‘Net’ columns numbered 040, 080, 120, 160, 
200, 240, 280, shall be reported in column 290.  
300 to 320  Average Term (days)  
The weighted average term, in days, of all funds maturing shall be reported in column 300. The 
weighted average term, in days, of all funds rolled over shall be reported in column 310, the 
weighted average term, in days, of all new funds shall be reported in column 320.EN 19.3.2021 Official Journal of the European Union L 97/1675
 EN L 97/1676 Official Journal of the European Union 19.3.2021
 ANNEX XX  
REPORTING ON COUNTERBALANCING CAPACITY 
AMM TEMPLATES  
Template number  Template code  Name of the template /group of templates  
CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES  
71 C 71.00  CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER  
C 71.00 - CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER  
Total and significant currencies  
Concentration of counterbalancing capacity by issuer  
Issuer  LEI code  Issuer Sector  Residence of 
Issuer  Product Type  Currency  Credit quality 
step  MtM value/ 
nominal  Collateral value 
CB-eligible  
Row  ID  010  020  030  040  050  060  070  080  090  
010  1.  TOP TEN ISSUERS  
020  1,01  
030  1,02  
040  1,03  
050  1,04  
060  1,05  
070  1,06  
080  1,07
EN 19.3.2021 Official Journal of the European Union L 97/1677
 Concentration of counterbalancing capacity by issuer  
Issuer  LEI code  Issuer Sector  Residence of 
Issuer  Product Type  Currency  Credit quality 
step  MtM value/ 
nominal  Collateral value 
CB-eligible  
Row  ID  010  020  030  040  050  060  070  080  090  
090  1,08  
100  1,09  
110  1,10  
120  2.  ALL OTHER ITEMS USED AS 
COUNTERBALANCING 
CAPACITY
 ANNEX XXI  
INSTRUCTIONS FOR REPORTING ON CONCENTRATION OF COUNTERBALANCING CAPACITY  
1. In order to collect information about the reporting institutions’ concentration of counterbalancing capacity by the ten 
largest holdings of assets or liquidity lines granted to the institution for this purpose under template C 71.00, 
institutions shall apply the instructions contained in this Annex.  
2. Where an issuer or counterparty is assigned to more than one product type, currency or credit quality step, the total 
amount shall be reported. The product type, currency or credit quality step to be reported shall be the ones that are 
relevant to the largest proportion of the counterbalancing capacity concentration.  
3. The counterbalancing capacity in C 71.00 shall be the same as that in C 66.01 with the qualification that the assets 
reported as counterbalancing capacity for the purposes of C 71.00 shall be unencumbered to be available for the 
institution to convert into cash on the reporting reference date.  
4. For calculating the concentrations for the purpose of reporting template C 71.00 by significant currency, institutions 
shall use the concentrations in all currencies.  
5. When an issuer or counterparty belongs to several groups of connected clients, it shall be reported only once in the 
group with the higher counterbalancing capacity concentration.  
6. Except for row 120, concentrations of counterbalancing capacity with a central bank as issuer or counterparty shall 
not be reported in this template. In the event that an institution has pre-positioned assets at a central bank for 
standard liquidity operations and to the extent that these assets fall under the top ten issuers or counterparties of 
unencumbered counterbalancing capacity, the institution shall report the original issuer and the original product type.  
Column  Legal references and instructions  
010  Issuer Name  
The name of the top ten issuers of unencumbered assets or counterparties of undrawn committed 
liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The 
largest item will be recorded in 1.01, the second in line item 1.02, and so on. Issuers and counterparties 
forming a group of connected clients shall be reported as one single concentration. 
The issuer or counterparty name recorded shall be the full name of the legal entity which issued the 
assets or granted the liquidity lines, including any references to the company type in accordance with 
the national company law.  
020  LEI code  
The legal entity identifier code of the counterparty  
030  Issuer Sector  
One sector shall be allocated to each issuer or counterparty on the basis of FINREP economic sector 
classes: 
(i) General Governments; (ii) Credit institutions; (iii) Other financial corporations; (iv) Non-financial 
corporations; (v) Households. 
For groups of connected clients, no sector shall be reported.  
040  Residence of Issuer  
ISO code 3166-1-alpha-2 of the country of incorporation of the issuer or counterparty shall be used, 
including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s 
‘Balance of Payments Vademecum’. 
For groups of connected clients, no country shall be reported.EN L 97/1678 Official Journal of the European Union 19.3.2021
 
Column  Legal references and instructions  
050  Product Type  
Issuers/Counterparties recorded in column 010 shall be assigned a product type corresponding to the 
product in which the asset is held or the liquidity stand-by facility has been received, using the following 
codes indicated in bold: 
— SrB  (Senior Bond); 
— SubB  (Subordinated Bond); 
— CP  (Commercial Paper); 
— CB  (Covered Bonds); 
— US  (UCITS-security, i.e. financial instruments representing a share in or asecurity issued by an 
Undertaking for Collective Investments of transferable securities); 
— ABS  (Asset Backed Security); 
— CrCl  (Credit Claim); 
— Eq  (Equity); 
— Gold  (if physical gold, which can be treated as a single counterparty); 
— LiqL  (Undrawn committed liquidity line granted to the institution); 
— OPT  (Other product type).  
060  Currency  
Issuer or counterparties recorded in column 010 shall be assigned a currency ISO code in column 060 
corresponding to the denomination of the asset received or undrawn committed liquidity lines granted 
to the institution. The three-letter currency unit code in accordance with ISO 4217 shall be reported. 
Where a multicurrency line is part of a concentration in counterbalancing capacity, the line shall be 
counted in the currency that is the predominant one in the rest of the concentration. With regard to the 
separate reporting in significant currencies as specified under Article 415(2) of Regulation (EU) 
No 575/2013, institutions shall make an assessment of the currency in which the flow is likely to 
occur and shall report the item only in that significant currency, in line with the instructions for the 
separate reporting of significant currencies in the LCR, in accordance with Regulation (EU) 2016/322.  
070  Credit quality step  
The appropriate credit quality step shall be assigned in accordance with Regulation (EU) No 575/2013, 
which shall be the same as that of the items reported in the maturity ladder. Where there is no rating, 
the step of ‘non-rated’ shall be assigned.  
080  MtM value/nominal  
The market value or fair value of the assets, or, where applicable, the nominal value of the undrawn 
liquidity line granted to the institution  
090  Collateral value CB-eligible  
The collateral value in accordance with the central bank rules for standing facilities for the specific assets 
For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with 
extremely narrow central bank eligibility, institutions shall leave this field blank.EN 19.3.2021 Official Journal of the European Union L 97/1679
 EN L 97/1680 Official Journal of the European Union 19.3.2021
 ANNEX XXII  
REPORTING ON AMM MATURITY LADDER 
AMM TEMPLATES  
Template number  Template code  Name of the template /group of templates  
MATURITY LADDER TEMPLATE  
66 C 66.01  MATURITY LADDER TEMPLATE
EN 19.3.2021 Official Journal of the European Union L 97/1681
 C 66.01 - MATURITY LADDER  
Total and significant currencies  
Code  ID  Item  Contractual Flow Maturity  
010  020  030  040  050  060  070  080  
010- 
380  1 OUTFLOWS  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
010  1.1  Liabilities resulting from securities 
issued (if not treated as retail 
deposits)  
020  1.1.1  unsecured bonds due  
030  1.1.2  regulated covered bonds  
040  1.1.3  securitisations due  
050  1.1.4  other  
060  1.2  Liabilities resulting from secured 
lending and capital market driven 
transactions collateralised by:  
070  1.2.1  Level 1 tradable assets  
080  1.2.1.1  Level 1 excluding covered bonds  
090  1.2.1.1.1  Level 1 central bank  
100  1.2.1.1.2  Level 1 (CQS 1)  
110  1.2.1.1.3  Level 1 (CQS2, CQS3)
EN L 97/1682 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
010  020  030  040  050  060  070  080  
010- 
380  1 OUTFLOWS  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
120  1.2.1.1.4  Level 1 (CQS4+)  
130  1.2.1.2  Level 1 covered bonds (CQS1)  
140  1.2.2  Level 2A tradable assets  
150  1.2.2.1  Level 2A corporate bonds 
(CQS1)  
160  1.2.2.2  Level 2A covered bonds (CQS1, 
CQS2)  
170  1.2.2.3  Level 2A public sector (CQS1, 
CQS2)  
180  1.2.3  Level 2B tradable assets  
190  1.2.3.1  Level 2B Asset Backed Securities 
(ABS) (CQS1)  
200  1.2.3.2  Level 2B covered bonds (CQS1-6)  
210  1.2.3.3  Level 2B: corporate bonds (CQ1- 
3) 
220  1.2.3.4  Level 2B shares  
230  1.2.3.5  Level 2B public sector (CQS 3-5)  
240  1.2.4  other tradable assets  
250  1.2.5  other assets
EN 19.3.2021 Official Journal of the European Union L 97/1683
 Code  ID  Item  Contractual Flow Maturity  
010  020  030  040  050  060  070  080  
010- 
380  1 OUTFLOWS  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
260  1.3  Liabilities not reported in 1.2, 
resulting from deposits received 
(excluding deposits received as 
collateral)  
270  1.3.1  stable retail deposits  
280  1.3.2  other retail deposits  
290  1.3.3  operational deposits  
300  1.3.4  non-operational deposits from 
credit institutions  
310  1.3.5  non-operational deposits from 
other financial customers  
320  1.3.6  non-operational deposits from 
central banks  
330  1.3.7  non-operational deposits from 
non-financial corporates  
340  1.3.8  non-operational deposits from 
other counterparties  
350  1.4  FX-swaps maturing  
360  1.5  Derivatives amount payables other 
than those reported in 1.4  
370  1.6  Other outflows  
380  1.7  Total outflows
EN L 97/1684 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
010  020  030  040  050  060  070  080  
390- 
720  2 INFLOWS  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
390  2.1  Monies due from secured lending 
and capital market driven trans ­
actions collateralised by:  
400  2.1.1  Level 1 tradable assets  
410  2.1.1.1  Level 1 excluding covered bonds  
420  2.1.1.1.1  Level 1 central bank  
430  2.1.1.1.2  Level 1 (CQS 1)  
440  2.1.1.1.3  Level 1 (CQS2, CQS3)  
450  2.1.1.1.4  Level 1 (CQS4+)  
460  2.1.1.2  Level 1 covered bonds (CQS1)  
470  2.1.2  Level 2A tradable assets  
480  2.1.2.1  Level 2A corporate bonds 
(CQS1)  
490  2.1.2.2  Level 2A covered bonds (CQS1, 
CQS2)  
500  2.1.2.3  Level 2A public sector (CQS1, 
CQS2)
EN 19.3.2021 Official Journal of the European Union L 97/1685
 Code  ID  Item  Contractual Flow Maturity  
010  020  030  040  050  060  070  080  
390- 
720  2 INFLOWS  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
510  2.1.3  Level 2B tradable assets  
520  2.1.3.1  Level 2B ABS (CQS1)  
530  2.1.3.2  Level 2B covered bonds 
(CQS1-6)  
540  2.1.3.3  Level 2B: corporate bonds 
(CQ1-3)  
550  2.1.3.4  Level 2B shares  
560  2.1.3.5  Level 2B public sector (CQS 
3-5)  
570  2.1.4  other tradable assets  
580  2.1.5  other assets  
590  2.2  Monies due not reported in 2.1 
resulting from loans and 
advances granted to:  
600  2.2.1  retail customers
EN L 97/1686 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
010  020  030  040  050  060  070  080  
390- 
720  2 INFLOWS  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
610  2.2.2  non-financial corporates  
620  2.2.3  credit institutions  
630  2.2.4  other financial customers  
640  2.2.5  central banks  
650  2.2.6  other counterparties  
660  2.3  FX-swaps maturing  
670  2.4  Derivatives amount receivables 
other than those reported in 2.3  
680  2.5  Paper in own portfolio maturing  
690  2.6  Other inflows  
700  2.7  Total inflows  
710  2.8  Net contractual gap  
720  2.9  Cumulated net contractual gap
EN 19.3.2021 Official Journal of the European Union L 97/1687
 Code  ID  Item  Contractual Flow Maturity  
010  020  030  040  050  060  070  080  
730- 
1080  3 COUNTERBALANCING CAPACITY  Initial 
stock  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
730  3.1  coins and bank notes  
740  3.2  Withdrawable central bank 
reserves  
750  3.3  Level 1 tradable assets  
760  3.3.1  Level 1 excluding covered bonds  
770  3.3.1.1  Level 1 central bank  
780  3.3.1.2  Level 1 (CQS 1)  
790  3.3.1.3  Level 1 (CQS2, CQS3)  
800  3.3.1.4  Level 1 (CQS4+)  
810  3.3.2  Level 1 covered bonds (CQS1)
EN L 97/1688 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
010  020  030  040  050  060  070  080  
730- 
1080  3 COUNTERBALANCING CAPACITY  Initial 
stock  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
820  3.4  Level 2A tradable assets  
830  3.4.1  Level 2A corporate bonds 
(CQS1)  
840  3.4.3  Level 2A covered bonds (CQS 1, 
CQS2)  
850  3.4.4  Level 2A public sector (CQS1, 
CQS2)  
860  3.5  Level 2B tradable assets  
870  3.5.1  Level 2B ABS (CQS1)  
880  3.5.2  Level 2B covered bonds (CQS1-6)  
890  3.5.3  Level 2B corporate bonds 
(CQ1-3)  
900  3.5.4  Level 2B shares
EN 19.3.2021 Official Journal of the European Union L 97/1689
 Code  ID  Item  Contractual Flow Maturity  
010  020  030  040  050  060  070  080  
730- 
1080  3 COUNTERBALANCING CAPACITY  Initial 
stock  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
910  3.5.5  Level 2B public sector (CQS 3-5)  
920  3.6  other tradable assets  
930  3.6.1  central government (CQS1)  
940  3.6.2  central government (CQS 2 & 3)  
950  3.6.3  shares  
960  3.6.4  covered bonds  
970  3.6.5  ABS  
980  3.6.6  other tradable assets  
990  3.7  non tradable assets eligible for 
central banks  
1000  3.8  undrawn committed facilities 
received  
1010  3.8.1  Level 1 facilities  
1020  3.8.2  Level 2B restricted use facilities  
1030  3.8.3  Level 2B IPS facilities
EN L 97/1690 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
010  020  030  040  050  060  070  080  
730- 
1080  3 COUNTERBALANCING CAPACITY  Initial 
stock  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
1040  3.8.4  other facilities  
1050  3.8.4.1  from intragroup counter ­
parties  
1060  3.8.4.2  from other counterparties  
1070  3.9  Net change of Counterbalancing 
Capacity  
1080  3.10  Cumulated Counterbalancing 
Capacity  
1090- 
1130  4 CONTINGENCIES  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
1090  4.1  Outflows from committed facil ­
ities  
1100  4.1.1  Committed credit facilities  
1110  4.1.1.1  considered as Level 2B by the 
receiver  
1120  4.1.1.2  other  
1130  4.1.2  Liquidity facilities  
1140  4.2  Outflows due to downgrade 
triggers
EN 19.3.2021 Official Journal of the European Union L 97/1691
 Code  ID  Item  Contractual Flow Maturity  
010  020  030  040  050  060  070  080  
1150- 
1290  MEMORANDUM ITEMS  Initial 
stock  Overnight  Greater than 
overnight up to 
2 days  Greater than 2 
days up to 3 
days  Greater than 3 
days up to 4 
days  Greater than 4 
days up to 5 
days  Greater than 5 
days up to 6 
days  Greater than 6 
days up to 7 
days  
1200  10  Intragroup or IPS outflows 
(excluding FX)  
1210  11  Intragroup or IPS inflows 
(excluding FX and maturing secur ­
ities)  
1220  12  Intragroup or IPS inflows from 
maturing securities  
1230  13  HQLA central bank eligible  
1240  14  non-HQLA central bank eligible  
1270  17  Behavioural outflows from 
deposits  
1280  18  Behavioural inflows from loans 
and advances  
1290  19  Behavioural draw-downs of 
committed facilities
EN L 97/1692 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
090  100  110  120  130  140  150  
010- 
380  1 OUTFLOWS  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
010  1.1  Liabilities resulting from securities 
issued (if not treated as retail 
deposits)  
020  1.1.1  unsecured bonds due  
030  1.1.2  regulated covered bonds  
040  1.1.3  securitisations due  
050  1.1.4  other  
060  1.2  Liabilities resulting from secured 
lending and capital market driven 
transactions collateralised by:  
070  1.2.1  Level 1 tradable assets  
080  1.2.1.1  Level 1 excluding covered bonds  
090  1.2.1.1.1  Level 1 central bank  
100  1.2.1.1.2  Level 1 (CQS 1)  
110  1.2.1.1.3  Level 1 (CQS2, CQS3)
EN 19.3.2021 Official Journal of the European Union L 97/1693
 Code  ID  Item  Contractual Flow Maturity  
090  100  110  120  130  140  150  
010- 
380  1 OUTFLOWS  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
120  1.2.1.1.4  Level 1 (CQS4+)  
130  1.2.1.2  Level 1 covered bonds (CQS1)  
140  1.2.2  Level 2A tradable assets  
150  1.2.2.1  Level 2A corporate bonds 
(CQS1)  
160  1.2.2.2  Level 2A covered bonds (CQS1, 
CQS2)  
170  1.2.2.3  Level 2A public sector (CQS1, 
CQS2)  
180  1.2.3  Level 2B tradable assets  
190  1.2.3.1  Level 2B Asset Backed Securities 
(ABS) (CQS1)  
200  1.2.3.2  Level 2B covered bonds (CQS1-6)  
210  1.2.3.3  Level 2B: corporate bonds (CQ1- 
3) 
220  1.2.3.4  Level 2B shares  
230  1.2.3.5  Level 2B public sector (CQS 3-5)  
240  1.2.4  other tradable assets  
250  1.2.5  other assets
EN L 97/1694 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
090  100  110  120  130  140  150  
010- 
380  1 OUTFLOWS  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
260  1.3  Liabilities not reported in 1.2, 
resulting from deposits received 
(excluding deposits received as 
collateral)  
270  1.3.1  stable retail deposits  
280  1.3.2  other retail deposits  
290  1.3.3  operational deposits  
300  1.3.4  non-operational deposits from 
credit institutions  
310  1.3.5  non-operational deposits from 
other financial customers  
320  1.3.6  non-operational deposits from 
central banks  
330  1.3.7  non-operational deposits from 
non-financial corporates  
340  1.3.8  non-operational deposits from 
other counterparties  
350  1.4  FX-swaps maturing  
360  1.5  Derivatives amount payables other 
than those reported in 1.4  
370  1.6  Other outflows  
380  1.7  Total outflows
EN 19.3.2021 Official Journal of the European Union L 97/1695
 Code  ID  Item  Contractual Flow Maturity  
090  100  110  120  130  140  150  
390- 
720  2 INFLOWS  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
390  2.1  Monies due from secured lending 
and capital market driven trans ­
actions collateralised by:  
400  2.1.1  Level 1 tradable assets  
410  2.1.1.1  Level 1 excluding covered bonds  
420  2.1.1.1.1  Level 1 central bank  
430  2.1.1.1.2  Level 1 (CQS 1)  
440  2.1.1.1.3  Level 1 (CQS2, CQS3)  
450  2.1.1.1.4  Level 1 (CQS4+)  
460  2.1.1.2  Level 1 covered bonds (CQS1)  
470  2.1.2  Level 2A tradable assets  
480  2.1.2.1  Level 2A corporate bonds 
(CQS1)  
490  2.1.2.2  Level 2A covered bonds (CQS1, 
CQS2)  
500  2.1.2.3  Level 2A public sector (CQS1, 
CQS2)
EN L 97/1696 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
090  100  110  120  130  140  150  
390- 
720  2 INFLOWS  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
510  2.1.3  Level 2B tradable assets  
520  2.1.3.1  Level 2B ABS (CQS1)  
530  2.1.3.2  Level 2B covered bonds 
(CQS1-6)  
540  2.1.3.3  Level 2B: corporate bonds 
(CQ1-3)  
550  2.1.3.4  Level 2B shares  
560  2.1.3.5  Level 2B public sector (CQS 
3-5)  
570  2.1.4  other tradable assets  
580  2.1.5  other assets  
590  2.2  Monies due not reported in 2.1 
resulting from loans and 
advances granted to:  
600  2.2.1  retail customers
EN 19.3.2021 Official Journal of the European Union L 97/1697
 Code  ID  Item  Contractual Flow Maturity  
090  100  110  120  130  140  150  
390- 
720  2 INFLOWS  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
610  2.2.2  non-financial corporates  
620  2.2.3  credit institutions  
630  2.2.4  other financial customers  
640  2.2.5  central banks  
650  2.2.6  other counterparties  
660  2.3  FX-swaps maturing  
670  2.4  Derivatives amount receivables 
other than those reported in 2.3  
680  2.5  Paper in own portfolio maturing  
690  2.6  Other inflows  
700  2.7  Total inflows  
710  2.8  Net contractual gap  
720  2.9  Cumulated net contractual gap
EN L 97/1698 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
090  100  110  120  130  140  150  
730- 
1080  3 COUNTERBALANCING CAPACITY  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
730  3.1  coins and bank notes  
740  3.2  Withdrawable central bank 
reserves  
750  3.3  Level 1 tradable assets  
760  3.3.1  Level 1 excluding covered bonds  
770  3.3.1.1  Level 1 central bank  
780  3.3.1.2  Level 1 (CQS 1)  
790  3.3.1.3  Level 1 (CQS2, CQS3)  
800  3.3.1.4  Level 1 (CQS4+)  
810  3.3.2  Level 1 covered bonds (CQS1)
EN 19.3.2021 Official Journal of the European Union L 97/1699
 Code  ID  Item  Contractual Flow Maturity  
090  100  110  120  130  140  150  
730- 
1080  3 COUNTERBALANCING CAPACITY  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
820  3.4  Level 2A tradable assets  
830  3.4.1  Level 2A corporate bonds 
(CQS1)  
840  3.4.3  Level 2A covered bonds (CQS 1, 
CQS2)  
850  3.4.4  Level 2A public sector (CQS1, 
CQS2)  
860  3.5  Level 2B tradable assets  
870  3.5.1  Level 2B ABS (CQS1)  
880  3.5.2  Level 2B covered bonds (CQS1-6)  
890  3.5.3  Level 2B corporate bonds 
(CQ1-3)  
900  3.5.4  Level 2B shares
EN L 97/1700 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
090  100  110  120  130  140  150  
730- 
1080  3 COUNTERBALANCING CAPACITY  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
910  3.5.5  Level 2B public sector (CQS 3-5)  
920  3.6  other tradable assets  
930  3.6.1  central government (CQS1)  
940  3.6.2  central government (CQS 2 & 3)  
950  3.6.3  shares  
960  3.6.4  covered bonds  
970  3.6.5  ABS  
980  3.6.6  other tradable assets  
990  3.7  non tradable assets eligible for 
central banks  
1000  3.8  undrawn committed facilities 
received  
1010  3.8.1  Level 1 facilities  
1020  3.8.2  Level 2B restricted use facilities  
1030  3.8.3  Level 2B IPS facilities
EN 19.3.2021 Official Journal of the European Union L 97/1701
 Code  ID  Item  Contractual Flow Maturity  
090  100  110  120  130  140  150  
730- 
1080  3 COUNTERBALANCING CAPACITY  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
1040  3.8.4  other facilities  
1050  3.8.4.1  from intragroup counter ­
parties  
1060  3.8.4.2  from other counterparties  
1070  3.9  Net change of Counterbalancing 
Capacity  
1080  3.10  Cumulated Counterbalancing 
Capacity  
1090- 
1130  4 CONTINGENCIES  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
1090  4.1  Outflows from committed facil ­
ities  
1100  4.1.1  Committed credit facilities  
1110  4.1.1.1  considered as Level 2B by the 
receiver  
1120  4.1.1.2  other  
1130  4.1.2  Liquidity facilities  
1140  4.2  Outflows due to downgrade 
triggers
EN L 97/1702 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
090  100  110  120  130  140  150  
1150- 
1290  MEMORANDUM ITEMS  Greater than 7 
days up to 2 
weeks  Greater than 2 
weeks up to 3 
weeks  Greater than 3 
weeks up to 30 
days  Greater than 30 
days up to 5 
weeks  Greater than 5 
weeks up to 2 
months  Greater than 2 
months up to 3 
months  Greater than 3 
months up to 4 
months  
1200  10  Intragroup or IPS outflows 
(excluding FX)  
1210  11  Intragroup or IPS inflows 
(excluding FX and maturing secur ­
ities)  
1220  12  Intragroup or IPS inflows from 
maturing securities  
1230  13  HQLA central bank eligible  
1240  14  non-HQLA central bank eligible  
1270  17  Behavioural outflows from 
deposits  
1280  18  Behavioural inflows from loans 
and advances  
1290  19  Behavioural draw-downs of 
committed facilities
EN 19.3.2021 Official Journal of the European Union L 97/1703
 Code  ID  Item  Contractual Flow Maturity  
160  170  180  190  200  210  220  
010- 
380  1 OUTFLOWS  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
010  1.1  Liabilities resulting from securities 
issued (if not treated as retail 
deposits)  
020  1.1.1  unsecured bonds due  
030  1.1.2  regulated covered bonds  
040  1.1.3  securitisations due  
050  1.1.4  other  
060  1.2  Liabilities resulting from secured 
lending and capital market driven 
transactions collateralised by:  
070  1.2.1  Level 1 tradable assets  
080  1.2.1.1  Level 1 excluding covered bonds  
090  1.2.1.1.1  Level 1 central bank  
100  1.2.1.1.2  Level 1 (CQS 1)  
110  1.2.1.1.3  Level 1 (CQS2, CQS3)
EN L 97/1704 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
160  170  180  190  200  210  220  
010- 
380  1 OUTFLOWS  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
120  1.2.1.1.4  Level 1 (CQS4+)  
130  1.2.1.2  Level 1 covered bonds (CQS1)  
140  1.2.2  Level 2A tradable assets  
150  1.2.2.1  Level 2A corporate bonds 
(CQS1)  
160  1.2.2.2  Level 2A covered bonds (CQS1, 
CQS2)  
170  1.2.2.3  Level 2A public sector (CQS1, 
CQS2)  
180  1.2.3  Level 2B tradable assets  
190  1.2.3.1  Level 2B Asset Backed Securities 
(ABS) (CQS1)  
200  1.2.3.2  Level 2B covered bonds (CQS1-6)  
210  1.2.3.3  Level 2B: corporate bonds (CQ1- 
3) 
220  1.2.3.4  Level 2B shares  
230  1.2.3.5  Level 2B public sector (CQS 3-5)  
240  1.2.4  other tradable assets  
250  1.2.5  other assets
EN 19.3.2021 Official Journal of the European Union L 97/1705
 Code  ID  Item  Contractual Flow Maturity  
160  170  180  190  200  210  220  
010- 
380  1 OUTFLOWS  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
260  1.3  Liabilities not reported in 1.2, 
resulting from deposits received 
(excluding deposits received as 
collateral)  
270  1.3.1  stable retail deposits  
280  1.3.2  other retail deposits  
290  1.3.3  operational deposits  
300  1.3.4  non-operational deposits from 
credit institutions  
310  1.3.5  non-operational deposits from 
other financial customers  
320  1.3.6  non-operational deposits from 
central banks  
330  1.3.7  non-operational deposits from 
non-financial corporates  
340  1.3.8  non-operational deposits from 
other counterparties  
350  1.4  FX-swaps maturing  
360  1.5  Derivatives amount payables other 
than those reported in 1.4  
370  1.6  Other outflows  
380  1.7  Total outflows
EN L 97/1706 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
160  170  180  190  200  210  220  
390- 
720  2 INFLOWS  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
390  2.1  Monies due from secured lending 
and capital market driven trans ­
actions collateralised by:  
400  2.1.1  Level 1 tradable assets  
410  2.1.1.1  Level 1 excluding covered bonds  
420  2.1.1.1.1  Level 1 central bank  
430  2.1.1.1.2  Level 1 (CQS 1)  
440  2.1.1.1.3  Level 1 (CQS2, CQS3)  
450  2.1.1.1.4  Level 1 (CQS4+)  
460  2.1.1.2  Level 1 covered bonds (CQS1)  
470  2.1.2  Level 2A tradable assets  
480  2.1.2.1  Level 2A corporate bonds 
(CQS1)  
490  2.1.2.2  Level 2A covered bonds (CQS1, 
CQS2)  
500  2.1.2.3  Level 2A public sector (CQS1, 
CQS2)
EN 19.3.2021 Official Journal of the European Union L 97/1707
 Code  ID  Item  Contractual Flow Maturity  
160  170  180  190  200  210  220  
390- 
720  2 INFLOWS  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
510  2.1.3  Level 2B tradable assets  
520  2.1.3.1  Level 2B ABS (CQS1)  
530  2.1.3.2  Level 2B covered bonds 
(CQS1-6)  
540  2.1.3.3  Level 2B: corporate bonds 
(CQ1-3)  
550  2.1.3.4  Level 2B shares  
560  2.1.3.5  Level 2B public sector (CQS 
3-5)  
570  2.1.4  other tradable assets  
580  2.1.5  other assets  
590  2.2  Monies due not reported in 2.1 
resulting from loans and 
advances granted to:  
600  2.2.1  retail customers
EN L 97/1708 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
160  170  180  190  200  210  220  
390- 
720  2 INFLOWS  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
610  2.2.2  non-financial corporates  
620  2.2.3  credit institutions  
630  2.2.4  other financial customers  
640  2.2.5  central banks  
650  2.2.6  other counterparties  
660  2.3  FX-swaps maturing  
670  2.4  Derivatives amount receivables 
other than those reported in 2.3  
680  2.5  Paper in own portfolio maturing  
690  2.6  Other inflows  
700  2.7  Total inflows  
710  2.8  Net contractual gap  
720  2.9  Cumulated net contractual gap
EN 19.3.2021 Official Journal of the European Union L 97/1709
 Code  ID  Item  Contractual Flow Maturity  
160  170  180  190  200  210  220  
730- 
1080  3 COUNTERBALANCING CAPACITY  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
730  3.1  coins and bank notes  
740  3.2  Withdrawable central bank 
reserves  
750  3.3  Level 1 tradable assets  
760  3.3.1  Level 1 excluding covered bonds  
770  3.3.1.1  Level 1 central bank  
780  3.3.1.2  Level 1 (CQS 1)  
790  3.3.1.3  Level 1 (CQS2, CQS3)  
800  3.3.1.4  Level 1 (CQS4+)  
810  3.3.2  Level 1 covered bonds (CQS1)
EN L 97/1710 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
160  170  180  190  200  210  220  
730- 
1080  3 COUNTERBALANCING CAPACITY  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
820  3.4  Level 2A tradable assets  
830  3.4.1  Level 2A corporate bonds 
(CQS1)  
840  3.4.3  Level 2A covered bonds (CQS 1, 
CQS2)  
850  3.4.4  Level 2A public sector (CQS1, 
CQS2)  
860  3.5  Level 2B tradable assets  
870  3.5.1  Level 2B ABS (CQS1)  
880  3.5.2  Level 2B covered bonds (CQS1-6)  
890  3.5.3  Level 2B corporate bonds 
(CQ1-3)  
900  3.5.4  Level 2B shares
EN 19.3.2021 Official Journal of the European Union L 97/1711
 Code  ID  Item  Contractual Flow Maturity  
160  170  180  190  200  210  220  
730- 
1080  3 COUNTERBALANCING CAPACITY  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
910  3.5.5  Level 2B public sector (CQS 3-5)  
920  3.6  other tradable assets  
930  3.6.1  central government (CQS1)  
940  3.6.2  central government (CQS 2 & 3)  
950  3.6.3  shares  
960  3.6.4  covered bonds  
970  3.6.5  ABS  
980  3.6.6  other tradable assets  
990  3.7  non tradable assets eligible for 
central banks  
1000  3.8  undrawn committed facilities 
received  
1010  3.8.1  Level 1 facilities  
1020  3.8.2  Level 2B restricted use facilities  
1030  3.8.3  Level 2B IPS facilities
EN L 97/1712 Official Journal of the European Union 19.3.2021
 Code  ID  Item  Contractual Flow Maturity  
160  170  180  190  200  210  220  
730- 
1080  3 COUNTERBALANCING CAPACITY  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
1040  3.8.4  other facilities  
1050  3.8.4.1  from intragroup counter ­
parties  
1060  3.8.4.2  from other counterparties  
1070  3.9  Net change of Counterbalancing 
Capacity  
1080  3.10  Cumulated Counterbalancing 
Capacity  
1090- 
1130  4 CONTINGENCIES  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
1090  4.1  Outflows from committed facil ­
ities  
1100  4.1.1  Committed credit facilities  
1110  4.1.1.1  considered as Level 2B by the 
receiver  
1120  4.1.1.2  other  
1130  4.1.2  Liquidity facilities  
1140  4.2  Outflows due to downgrade 
triggers
EN 19.3.2021 Official Journal of the European Union L 97/1713
 Code  ID  Item  Contractual Flow Maturity  
160  170  180  190  200  210  220  
1150- 
1290  MEMORANDUM ITEMS  Greater than 4 
months up to 5 
months  Greater than 5 
months up to 6 
months  Greater than 6 
months up to 9 
months  Greater than 9 
months up to 12 
months  Greater than 12 
months up to 2 
years  Greater than 2 
years up to 5 
years  Greater than 5 
years  
1200  10  Intragroup or IPS outflows 
(excluding FX)  
1210  11  Intragroup or IPS inflows 
(excluding FX and maturing secur ­
ities)  
1220  12  Intragroup or IPS inflows from 
maturing securities  
1230  13  HQLA central bank eligible  
1240  14  non-HQLA central bank eligible  
1270  17  Behavioural outflows from 
deposits  
1280  18  Behavioural inflows from loans 
and advances  
1290  19  Behavioural draw-downs of 
committed facilities
 ANNEX XXIII  
INSTRUCTIONS FOR REPORTING ON THE MATURITY LADDER  
PART I: GENERAL INSTRUCTIONS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1714  
PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  1716  
PART I: GENERAL INSTRUCTIONS  
1. In order to capture the maturity mismatch of an institution’s activities (‘maturity ladder’) in the template of 
Annex XXII, institutions shall apply the instructions contained in this Annex.  
2. The maturity ladder monitoring tool shall cover contractual flows and contingent outflows. The contractual flows 
resulting from legally binding agreements and the residual maturity from the reporting date shall be reported in 
accordance with the provisions of those legal agreements.  
3. Institutions shall not double count inflows.  
4. In the column ‘initial stock’, the stock of items at the reporting date shall be reported.  
5. Only the blank white cells of the template in Annex XXII shall be completed.  
6. The section of the maturity ladder template entitled ‘Outflows and inflows’ shall cover future contractual cash flows 
from all on- and off- balance sheet items. Only outflows and inflows pursuant to contracts valid at the reporting date 
shall be reported.  
7. The section of the maturity ladder template entitled ‘Counterbalancing capacity’ shall represent the stock of 
unencumbered assets or other funding sources which are legally and practically available to the institution at the 
reporting date to cover potential contractual gaps. Only outflows and inflows pursuant to contracts existing at the 
reporting date shall be reported.  
8. Cash outflows and inflows in the respective sections ‘outflows’ and ‘inflows’ shall be reported on a gross basis with a 
positive sign. Amounts due to be paid and received shall be reported respectively in the outflow and inflow sections.  
9. For the section of the maturity ladder template entitled ‘counterbalancing capacity’ outflows and inflows shall be 
reported on a net basis with a positive sign if they represent inflows and with a negative sign if they represent 
outflows. For cash flows, amounts due shall be reported. Securities flows shall be reported at current market value. 
Flows arising on credit and liquidity lines shall be reported at the contractual available amounts.  
10. Contractual flows shall be allocated across the twenty-two time buckets in accordance with their residual maturity, 
with days referring to calendar days.  
11. All contractual flows shall be reported, including all material cash-flows from non-financial activities such as taxes, 
bonuses, dividends and rents.  
12. In order for institutions to apply a conservative approach in determining contractual maturities of flows, they shall 
ensure all of the following:  
(a) where an option to defer payment or receive an advance payment exists, the option shall be presumed to be 
exercised where it would advance outflows from the institution or defer inflows to the institution;EN L 97/1714 Official Journal of the European Union 19.3.2021
 
(b) where the option to advance outflows from the institution is solely at the discretion of the institution, the option 
shall be presumed to be exercised only where there is a market expectation that the institution will do so. The 
option shall be presumed not to be exercised where it would advance inflows to the institution or defer outflows 
from the institution. Any cash outflow that would be contractually triggered by this inflow – as in pass-through 
financing – shall be reported at the same date as this inflow;  
(c) all sight and non-maturing deposits shall be reported as overnight in column 020;  
(d) open repos or reverse repos and similar transactions which can be terminated by either party on any day shall be 
considered to mature overnight unless the notice period is longer than one day in which case they shall be 
reported in the relevant time bucket in accordance with the notice period;  
(e) retail term deposits with an early withdrawal option shall be considered to mature in the time period during 
which the early withdrawal of the deposit would not incur a penalty in accordance with point (b) of Article 25(4) 
of Delegated Regulation (EU) 2015/61.  
(f) where the institution is not able to establish a minimum contractual payment schedule for a particular item or 
part thereof following the rules set out in this paragraph, it shall report the item or part thereof as greater than 
5 years in column 220.  
13. Interest outflows and inflows from all on and off balance sheet instruments shall be included in all relevant items of 
the ‘outflows’ and ‘inflows’ sections.  
14. Foreign Exchange (‘FX’) swaps maturing shall reflect the maturing notional value of cross-currency swaps, FX forward 
transactions and unsettled FX spot agreements in the applicable time buckets of the template.  
15. Cash flows from unsettled transactions shall be reported, in the short period before settlement, in the appropriate 
rows and buckets.  
16. Items where the institution has no underlying business, such as where it has no deposits of a certain category, shall 
be left blank.  
17. Past due items and items for which the institution has a reason to expect non- performance shall not be reported.  
18. Where the collateral received is re-hypothecated in a transaction that matures beyond the transaction in which the 
institution received the collateral, a securities outflow in the amount of the fair value of the collateral received shall 
be reported in the counterbalancing capacity section in the relevant bucket in accordance with the maturity of the 
transaction that generated the reception of the collateral.  
19. Intragroup items shall not affect the reporting on a consolidated basis.EN 19.3.2021 Official Journal of the European Union L 97/1715
 
PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS  
Row  Legal references and instructions  
010 to 380  1  OUTFLOWS  
The total amount of cash outflows shall be reported in the following sub- categories below:  
010  1.1  Liabilities resulting from securities issued  
Cash outflows arising from debt securities issued by the reporting institution, i.e. own issuances  
020  1.1.1  unsecured bonds due  
The amount of cash outflows resulting from securities issued reported in row 010, which is unsecured 
debt issued by the reporting institution to third parties  
030  1.1.2  regulated covered bonds  
The amount of cash outflows resulting from securities issued, reported in row 010, which is bonds 
eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013 or 
Article 52(4) of Directive 2009/65/EC  
040  1.1.3  securitisations due  
The amount of cash outflows resulting from securities issued, reported in row 010, which is securiti ­
sation transactions with third parties, in accordance with point (61) of Article 4(1) of Regulation (EU) 
No 575/2013  
050  1.1.4  other  
The amount of cash outflows resulting from securities issued reported in row 010, other than those 
reported in the above subcategories  
060  1.2  Liabilities resulting from secured lending and capital market driven transactions, collat ­
eralised by:  
Total amount of all cash outflows arising from secured lending and capital market driven transactions 
as defined in Article 192 of Regulation (EU) No 575/2013 
Institutions shall report only cash flows. Securities flows with regard to secured lending and capital 
market driven transactions shall be reported in the ‘counterbalancing capacity’ section.  
070  1.2.1  Level 1 tradable assets  
The amount of cash outflows reported in row 070 that is collateralised by tradable assets that would 
meet the requirements of Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61 if they were not 
securing the particular transaction 
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify 
as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.  
080  1.2.1.1  Level 1 excluding covered bonds  
The amount of cash outflows reported in row 070 that is collateralised by assets that are not covered 
bondsEN L 97/1716 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
090  1.2.1.1.1  Level 1 central bank  
The amount of cash outflows reported in row 080 that is collateralised by assets representing claims on 
or guaranteed by central banks  
100  1.2.1.1.2  Level 1 (CQS 1)  
The amount of cash outflows reported in row 080 other than those reported in row 090 that is 
collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned 
credit quality step 1 by a nominated ECAI  
110  1.2.1.1.3  Level 1 (CQS 2, CQS3)  
The amount of cash outflows reported in row 080 other than those reported in row 090 that is 
collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned 
credit quality step 2 or 3 by a nominated ECAI  
120  1.2.1.1.4  Level 1 (CQS 4+)  
The amount of cash outflows reported in row 080 other than those reported in row 090 that is 
collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned 
credit quality step 4 or worse by a nominated ECAI  
130  1.2.1.2  Level 1 covered bonds (CQS1)  
The amount of cash outflows reported in row 070 that is collateralised by assets that are covered 
bonds 
In accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 
covered bonds shall be eligible as Level 1 assets.  
140  1.2.2  Level 2A tradable assets  
The amount of cash outflows reported in row 060 that is collateralised by tradable assets that would 
meet the requirements of Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61 if they were not 
securing the particular transaction 
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify 
as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.  
150  1.2.2.1  Level 2A corporate bond (CQS 1)  
The amount of cash outflows reported in row 140 that is collateralised by corporate bonds that are 
assigned credit quality step 1 by a nominated ECAI  
160  1.2.2.2  Level 2A covered bonds (CQS1, CQS2)  
The amount of cash outflows reported in row 140 that is collateralised by covered bonds that are 
assigned credit quality step 1 or 2 by a nominated ECAIEN 19.3.2021 Official Journal of the European Union L 97/1717
 
Row  Legal references and instructions  
170  1.2.2.3  Level 2A public sector (CQS1, CQS2)  
The amount of cash outflows reported in row 140 that is collateralised by assets representing claims on 
or guaranteed by central governments, central banks, regional governments, local authorities or public 
sector entities 
In accordance with points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public 
sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2.  
180  1.2.3  Level 2B tradable assets  
The amount of cash outflows reported row 060 that is collateralised by tradable assets that would meet 
the requirements of Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61 if they were not 
securing the particular transaction 
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify 
as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.  
190  1.2.3.1  Level 2B Asset Backed Securities-ABS (CQS 1)  
The amount of cash outflows reported in row 180 that is collateralised by asset backed securities, 
including RMBS. 
In accordance with point (a) of Article 13(2) of Delegated Regulation (EU) 2015/61 all asset backed 
securities qualifying as Level 2B shall have credit quality step 1.  
200  1.2.3.2  Level 2B covered bonds (CQS 1-6)  
The amount of cash outflows reported in row 180 that is collateralised by covered bonds  
210  1.2.3.3  Level 2B corporate bonds (CQS 1-3)  
The amount of cash outflows reported in row 180 that is collateralised by corporate debt securities  
220  1.2.3.4  Level 2B shares  
The amount of cash outflows reported in row 180 that is collateralised by shares  
230  1.2.3.5  Level 2B public sector (CQS 3-5)  
The amount of cash outflows reported in row 180 that is collateralised by Level 2B assets not reported 
in row 190 to 220.  
240  1.2.4  other tradable assets  
The amount of cash outflows reported in row 060 that is collateralised by tradable assets not reported 
in rows 070, 140 or 180.  
250  1.2.5  other assets  
The amount of cash outflows reported in row 060 that is collateralised by assets not reported in rows 
070, 140, 180 or 240.EN L 97/1718 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
260  1.3  Liabilities not reported under 1.2, resulting from deposits received excluding deposits 
received as collateral  
Cash outflows arising from all deposits received with the exception of outflows reported in row 060 
and deposits received as collateral 
Cash outflows arising from derivative transactions shall be reported in row 350 or 360. 
Deposits shall be reported in accordance with their earliest possible contractual maturity date. Deposits 
that can be withdrawn immediately without notice (‘sight deposits’) or non-maturing deposits shall be 
reported in the ‘overnight’ bucket.  
270  1.3.1  stable retail deposits  
The amount of cash outflows reported in row 260 that derives from retail deposits in accordance with 
point (8) of Article 3 and Article 24 of Delegated Regulation (EU) 2015/61  
280  1.3.2  other retail deposits  
The amount of cash outflows reported in row 260 that derives from retail deposits in accordance with 
point (8) of Article 3 of Delegated Regulation (EU) 2015/61 other than those reported in row 270.  
290  1.3.3  operational deposits  
The amount of cash outflows reported in row 260 that derives from operational deposits in accordance 
with Article 27 of Delegated Regulation (EU) 2015/61.  
300  1.3.4  non-operational deposits from credit institutions  
The amount of cash outflows reported in row 260 that derives from deposits by credit institutions 
other than those reported in row 290.  
310  1.3.5  non-operational deposits from other financial customers  
The amount of cash outflows reported in row 260 that derives from deposits from financial customers 
other than those reported in row 290 and 300  
320  1.3.6  non-operational deposits from central banks  
The amount of cash outflows reported in row 260 that derives from non- operational deposits placed 
by central banks  
330  1.3.7  non-operational deposits from non-financial corporates  
The amount of cash outflows reported in row 260 that derives from non- operational deposits placed 
by non-financial corporates.  
340  1.3.8  non-operational deposits from other counterparties  
The amount of cash outflows reported in row 260 that derives from deposits not reported in rows 270 
to 330.  
350  1.4  FX-swaps maturing  
Total amount of cash outflows resulting from the maturity of FX-swap transactions such as the 
exchange of principal amounts at the end of the contract.EN 19.3.2021 Official Journal of the European Union L 97/1719
 
Row  Legal references and instructions  
360  1.5  Derivatives amount payables other than those reported under 1.4  
Total amount of cash outflows resulting from derivatives payables positions from the contracts listed in 
Annex II to Regulation (EU) No 575/2013 with the exception of outflows resulting from maturing FX 
swaps which shall be reported in row 350. 
The total amount shall reflect settlement amounts including unsettled margin calls as of the reporting 
date. 
The total amount shall be the sum of (1) and (2) as follows, across the various time buckets: 
(1) cash and securities flows related to derivatives for which there is a collateral agreement in place 
requiring full or adequate collateralisation of counterparty exposures, shall be excluded from the 
maturity ladder templates; all flows of cash, securities, cash collateral and securities collateral related 
to those derivatives shall be excluded from the templates. Stocks of cash and securities collateral 
that have already been received or provided in the context of collateralised derivatives shall not be 
included in the ‘stock’ column of section 3 of the maturity ladder covering the counterbalancing 
capacity, with the exception of cash and securities flows in the context of margin calls (‘cash or 
securities collateral flows’) which are payable in due course but have not yet been settled. The latter 
shall be reflected in lines 1.5 ‘derivatives cash-outflows’ and 2.4 ‘derivatives cash- inflows’ for cash 
collateral and in section 3 ‘counterbalancing capacity’ for securities collateral; 
(2) for cash and securities inflows and outflows related to derivatives for which there is no collateral 
agreement in place or where only partial collateralisation is required, a distinction shall be made 
between contracts that involve optionality and other contracts: 
(a) flows related to option-like derivatives shall be included only where the strike price is below the 
market price for a call, or above the market price for a put option (‘in the money’). These flows 
shall be proxied by applying both of the following: 
(i) including the current market value or net present value of the contract as inflow in line 2.4 
of the maturity ladder ‘derivatives cash- inflows’ at the latest exercise date of the option 
where the bank has the right to exercise the option; 
(ii) including the current market value or net present value of the contract as outflow in line 
1.5 of the maturity ladder ‘derivatives cash-outflows’ at the earliest exercise date of the 
option where the bank’s counterparty has the right to exercise the option; 
(b) flows related to other contracts than those referred to in point (a) shall be included by 
projecting the gross contractual flows of cash in the respective time buckets in lines 1.5 
‘derivatives cash- outflows’ and 2.4 ‘derivatives cash-inflows’ and the contractual flows of 
liquid securities in the counterbalancing capacity of the maturity ladder, using the current 
market-implied forward rates applicable on the reporting date where the amounts are not 
yet fixed.  
370  1.6  Other outflows  
Total amount of all other cash outflows, not reported row 010, 060, 260, 350 or 360. Contingent 
outflows shall not be reported here.EN L 97/1720 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
380  1.7  Total outflows  
The sum of outflows reported in row 010, 060, 260, 350,360 and 370.  
390 to 700  2 INFLOWS  
390  2.1  Monies due from secured lending and capital market driven transactions collateralised by:  
Total amount of cash inflows from secured lending and capital market driven transactions as defined in 
Article 192 of Regulation (EU) No 575/2013 
Only cash flows shall be reported here, securities flows relating to secured lending and capital market 
driven transactions shall be reported in the ‘counterbalancing capacity’ section.  
400  2.1.1  Level 1 tradable assets  
The amount of cash inflows reported in row 390 that is collateralised by tradable assets in accordance 
with Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61 
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify 
as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.  
410  2.1.1.1  Level 1 excluding covered bonds  
The amount of cash inflows reported in row 400 that is collateralised by assets that are not covered 
bonds  
420  2.1.1.1.1  Level 1 central bank  
The amount of cash inflows reported in in row 410 that is collateralised by assets representing claims 
on or guaranteed by central banks  
430  2.1.1.1.2  Level 1 (CQS 1)  
The amount of cash inflows reported in row 410 other than those reported in row 420 that is 
collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned 
credit quality step 1 by a nominated ECAI  
440  2.1.1.1.3  Level 1 (CQS 2, CQS3)  
The amount of cash inflows reported in row 410 other than those reported in row 420 that is 
collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned 
credit quality step 2 or 3 by a nominated ECAI  
450  2.1.1.1.4  Level 1 (CQS 4+)  
The amount of cash inflows reported in row 410 other than those reported in row 420 that is 
collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned 
credit quality step 4 or worse by a nominated ECAIEN 19.3.2021 Official Journal of the European Union L 97/1721
 
Row  Legal references and instructions  
460  2.1.1.2  Level 1 covered bonds (CQS1)  
The amount of cash inflows reported in row 400 that is collateralised by assets that are covered bonds 
In accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 
covered bonds shall be eligible as Level 1 assets.  
470  2.1.2  Level 2A tradable assets  
The amount of cash inflows reported in row 390 that is collateralised by tradable assets in accordance 
with Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61 
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify 
as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.  
480  2.1.2.1  Level 2A corporate bond (CQS 1)  
The amount of cash inflows reported in row 470 that is collateralised by corporate bonds that are 
assigned credit quality step 1 by a nominated ECAI  
490  2.1.2.2  Level 2A covered bonds (CQS1, CQS2)  
The amount of cash inflows reported in row 470 that is collateralised by covered bonds that are 
assigned credit quality step 1 or 2 by a nominated ECAI  
500  2.1.2.3  Level 2A public sector (CQS1, CQS2)  
The amount of cash inflows reported in row 470 that is collateralised by assets representing claims on 
or guaranteed by central governments, central banks, regional governments, local authorities or public 
sector entities 
In accordance with points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public 
sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2.  
510  2.1.3  Level 2B tradable assets  
The amount of cash inflows reported in row 390 that is collateralised by tradable assets in accordance 
with Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61 
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify 
as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.  
520  2.1.3.1  Level 2B ABS (CQS 1)  
The amount of cash inflows reported in row 510 that is collateralised by asset backed securities, 
including RMBS.  
530  2.1.3.2  Level 2B covered bonds (CQS 1-6)  
The amount of cash inflows reported in row 510 that is collateralised by covered bonds.  
540  2.1.3.3  Level 2B corporate bonds (CQS 1-3)  
The amount of cash inflows reported in row 510 that is collateralised by corporate debt securities.EN L 97/1722 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
550  2.1.3.4  Level 2B shares  
The amount of cash inflows reported in row 510 that is collateralised by shares.  
560  2.1.3.5  Level 2B public sector (CQS 3-5)  
The amount of cash inflows reported in row 510 that is collateralised by Level 2B assets not reported 
in row 520 to 550  
570  2.1.4  other tradable assets  
The amount of cash inflows reported in row 390 that is collateralised by tradable assets not reported in 
rows 400, 470 or 510.  
580  2.1.5  other assets  
The amount of cash inflows reported in row 390 that is collateralised by assets not reported in rows 
400, 470, 510 or 570.  
590  2.2  Monies due not reported under item 2.1 resulting from loans and advances granted to:  
Cash inflows from loans and advances 
Cash inflows shall be reported at the latest contractual date for repayment. For revolving facilities, the 
existing loan shall be assumed to be rolled-over and any remaining balances shall be treated as 
committed facilities.  
600  2.2.1  retail customers  
The amount of cash inflows reported in row 590 that derives from natural persons or SMEs in 
accordance with point (8) of Article 3 of Delegated Regulation (EU) 2015/61  
610  2.2.2  non-financial corporates  
The amount of cash inflows reported in row 590 that derives from non- financial corporates  
620  2.2.3  credit institutions  
The amount of cash inflows reported in row 590 that derives from credit institutions  
630  2.2.4  other financial customers  
The amount of cash inflows reported in row 590 that derives from financial customers in accordance 
with point (9) of Article 3 of Delegated Regulation (EU) 2015/61 other than those reported in row 
620  
640  2.2.5  central banks  
The amount of cash inflows reported in row 590 that derives from central banks  
650  2.2.6  other counterparties  
The amount of cash inflows reported in row 590 that derives from other counterparties not referred to 
in sections 2.2.1-2.2.5.EN 19.3.2021 Official Journal of the European Union L 97/1723
 
Row  Legal references and instructions  
660  2.3  FX-swaps maturing  
Total amount of contractual cash inflows resulting from the maturity of FX Swap transactions such as 
the exchange of principal amounts at the end of the contract. 
This reflects the maturing notional value of cross-currency swaps, FX spot and forward transactions in 
the applicable time buckets of the template.  
670  2.4.  Derivatives amount receivables other than those reported in 2.3  
Total amount of contractual cash inflows resulting from derivatives receivables positions from the 
contracts listed in Annex II to Regulation (EU) No 575/2013 with the exception of inflows 
resulting from maturing FX swaps which shall be reported in item 2.3. 
The total amount shall include settlement amounts including unsettled margin calls as of the reporting 
date. 
The total amount shall be the sum of (1) and (2) as follows, across the various time buckets: 
1. cash and securities flows related to derivatives for which there is a collateral agreement in place that 
requires full or adequate collateralisation of counterparty exposures shall be excluded from the 
maturity ladder template, and all flows of cash, securities, cash collateral and securities collateral 
related to those derivatives shall be excluded from the template. Stocks of cash and securities 
collateral that have already been received or provided in the context of collateralised derivatives 
shall not be included in the ‘stock’ column of section 3 of the maturity ladder covering the 
counterbalancing capacity with the exception of cash and securities flows in the context of 
margin calls which are payable in due course but have not yet been settled. The latter shall be 
reflected in lines 1.5 ‘derivatives cash-outflows’ and 2.4 ‘derivatives cash- inflows’ for cash collateral 
and in section 3 ‘counterbalancing capacity’ for securities collateral in the maturity ladder; 
2. for cash and securities inflows and outflows related to derivatives for which there is no collateral 
agreement in place or where only partial collateralisation is required, a distinction shall be made 
between contracts that involve optionality and other contracts: 
(a) flows related to option-like derivatives shall be included only if they are in the money. These 
flows shall be proxied by applying both of the folloowing: 
(i) including the current market value or net present value of the contract as inflow in line 2.4 
of the maturity ladder ‘derivatives cash-inflows’ at the latest exercise date of the option where 
the bank has the right to exercise the option; 
(ii) including the current market value or net present value of the contract as outflow in line 1.5 
of the maturity ladder ‘derivatives cash-outflows’ at the earliest exercise date of the option 
where the bank’s counterparty has the right to exercise the option; 
(b) flows related to other contracts than those referred to in point (a) shall be included by projecting 
the gross contractual flows of cash in the respective time buckets in lines 1.5 ‘derivatives cash- 
outflows’ and 2.4 ‘derivatives cash-inflows’ and the contractual flows of securities in the counter ­
balancing capacity of the maturity ladder, using the current market- implied forward rates 
applicable on the reporting date where the amounts are not yet fixed.EN L 97/1724 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
680  2.5  Paper in own portfolio maturing  
The amount of inflows which is principal repayment from own investments due taken in bonds 
reported in accordance with their residual contractual maturity 
This item shall include cash inflows from maturing securities reported in the counterbalancing capacity. 
Therefore, once a security matures, it shall be reported as securities outflow in the counterbalancing 
capacity and consequently as a cash inflow here.  
690  2.6  Other inflows  
Total amount of all other cash inflows that are not reported in rows 390, 590, 660, 670 or 680 
Contingent inflows shall not be reported.  
700  2.7  Total inflows  
Sum of inflows reported in rows 390, 590, 660, 670, 680 and 690  
710  2.8  Net contractual gap  
Total inflows reported in row 700 less total outflows reported in row 380  
720  2.9  Cumulated net contractual gap  
Cumulated net contractual gap from the reporting date to the upper limit of a relevant time bucket  
730-1080  3  COUNTERBALANCING CAPACITY  
The ‘Counterbalancing Capacity’ of the maturity ladder shall contain information on the development 
of an institution’s holdings of assets of varying degrees of liquidity, amongst which tradable assets and 
central bank eligible assets, as well as facilities contractually committed to the institution. 
For reporting at the consolidated level on central bank eligibility, the rules of central bank eligibility 
which apply to each consolidated institution in its jurisdiction of incorporation shall form the basis. 
Where the counterbalancing capacity refers to tradable assets, institutions shall report tradable assets 
traded in large, deep and active repo or cash markets characterised by a low level of concentration. 
Assets reported in the columns of the counterbalancing capacity shall include only unencumbered 
assets available to the institution to convert into cash at any time to fill contractual gaps between cash 
inflows and outflows during the time horizon. For those purposes, the definition of encumbered assets 
in accordance with Commission Delegated Regulation (EU) 2015/61 shall apply. The assets shall not be 
used to provide credit enhancements in structured transactions or to cover operational costs, such as 
rents and salaries, and shall be managed with the clear and sole intent for use as a source of contingent 
funds. 
Assets that the institution received as collateral in reverse repo and Securities Financing Transactions 
(SFT) can be considered as part of the counterbalancing capacity if they are held at the institution, have 
not been rehypothecated, and are legally and contractually available for the institution’s use.EN 19.3.2021 Official Journal of the European Union L 97/1725
 
Row  Legal references and instructions  
In order to avoid double counting, where the institution reports prepositioned assets under items 3.1 to 
3.7, it shall not report the related capacity of those facilities under item 3.8. 
Institutions shall report assets, where they meet the description of a row and are available at the 
reporting date, as an initial stock in column 010. 
Columns 020 to 220 shall contain contractual flows in the counterbalancing capacity. Where an 
institution has entered into a repo transaction, the asset which has been repoed out shall be re- 
entered as a security inflow in the maturity bucket where the repo transaction matures. Correspond ­
ingly, the cash outflow following from the maturing repo shall be reported in the relevant cash outflow 
bucket under item 1.2. Where an institution has entered into a reverse repo transaction, the asset which 
has been repoed in shall be re- entered as a security outflow in the maturity bucket where the repo 
transaction matures. Correspondingly, the cash inflow following from the maturing repo shall be 
reported in the relevant cash inflow bucket under item 2.1. Collateral swaps shall be reported as 
contractual inflows and outflows of securities in the counterbalancing capacity section in accordance 
with the relevant maturity bucket in which these swaps mature. 
A change to the contractually available amount of credit and liquidity lines reported under item 3.8 
shall be reported as a flow in the relevant time bucket. Where an institution has an overnight deposit at 
a central bank, the amount of the deposit shall be reported as an initial stock under item 3.2 and as a 
cash outflow in the maturity bucket ‘overnight’ for this item. Correspondingly, the resultant cash inflow 
shall be reported under item 2.2.5. 
Maturing securities in the counterbalancing capacity shall be reported based on their contractual 
maturity. When a security matures, it shall be removed from the asset category it was initially 
reported in, it shall be treated as an outflow of securities, and the resultant cash inflow shall be 
reported under item 2.5. 
All security values shall be reported in the relevant bucket at current market values. 
Only contractually available amounts shall be reported under item 3.8. 
To avoid double counting, cash-inflows shall not be accounted for under item 3.1 or 3.2 of the 
counterbalancing capacity. 
Items in the counterbalancing capacity shall be reported in the following sub- categories below:  
730  3.1  Coins and bank notes  
Total amount of cash arising from coins and banknotes  
740  3.2  Withdrawable central bank reserves  
Total amount of reserves at central banks in accordance with point (b)(iii) of Article 10(1) of Delegated 
Regulation (EU) 2015/61 withdrawable overnight at the latest 
Securities representing claims on or guaranteed by central banks shall not be reported here.  
750  3.3  Level 1 tradable assets  
The market value of tradable assets in accordance with Articles 7, 8 and 10 of Delegated Regulation 
(EU) 2015/61 
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify 
as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.  
760  3.3.1  Level 1 excluding covered bonds  
The amount reported in row 750 that is not covered bondsEN L 97/1726 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
770  3.3.1.1  Level 1 central bank  
The amount reported in row 760 that is assets representing claims on or guaranteed by central banks  
780  3.3.1.2  Level 1 (CQS 1)  
The amount reported in row 760 other than the amount reported in row 770 that is assets repre ­
senting claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a 
nominated ECAI  
790  3.3.1.3  Level 1 (CQS 2, CQS3)  
The amount reported in row 760 other than those reported in row 770 that is assets representing 
claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a 
nominated ECAI  
800  3.3.1.4  Level 1 (CQS 4+)  
The amount reported in row 760 other than those reported in row 770 that is assets representing 
claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a 
nominated ECAI  
810  3.3.2  Level 1 covered bonds (CQS1)  
The amount reported in row 750 that is covered bonds 
In accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 
covered bonds shall be eligible as Level 1 assets.  
820  3.4  Level 2A tradable assets  
The market value of tradable assets in accordance with Articles 7, 8 and 11 of Delegated Regulation 
(EU) 2015/61 
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify 
as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.  
830  3.4.1  Level 2A corporate bond (CQS 1)  
The amount reported in row 820 that is corporate bonds that are assigned credit quality step 1 by a 
nominated ECAI  
840  3.4.2  Level 2A covered bonds (CQS 1, CQS2)  
The amount reported in row 820 that is covered bonds that are assigned credit quality step 1 or 2 by a 
nominated ECAI  
850  3.4.3  Level 2A public sector (CQS1, CQS2)  
The amount reported in row 820 that is assets representing claims on or guaranteed by central 
governments, central banks, regional governments, local authorities or public sector entities 
In accordance with points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public 
sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2.EN 19.3.2021 Official Journal of the European Union L 97/1727
 
Row  Legal references and instructions  
860  3.5  Level 2B tradable assets  
The market value of tradable assets in accordance with Articles 7, 8 and 12 or 13 of Delegated 
Regulation (EU) 2015/61 
CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify 
as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.  
870  3.5.1  Level 2B ABS (CQS 1)  
The amount reported in row 860 that is asset backed securities (including RMBS) 
In accordance with point (a) of Article 13(2) of Delegated Regulation (EU) 2015/61 all asset backed 
securities qualifying as Level 2B shall have credit quality step 1.  
880  3.5.2  Level 2B covered bonds (CQS 1-6)  
The amount reported in row 860 that is covered bonds  
890  3.5.3  Level 2B corporate bonds (CQS 1-3)  
The amount reported in row 860 that is corporate debt securities  
900  3.5.4  Level 2B shares  
The amount reported in row 860 that is shares  
910  3.5.5  Level 2B public sector (CQS 3-5)  
The amount reported in row 860 that is Level 2B assets not reported in items 3.5.1 to 3.5.4  
920  3.6  other tradable assets  
The market value of tradable assets other than those reported in rows 750, 820 and 860. 
Securities and securities flows from other tradable assets in the form of intragroup or own issuances 
shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall 
be reported in the relevant part of section 1 and 2 of the template.  
930  3.6.1  central government (CQS1)  
The amount reported in row 920 that is an asset representing a claim on or guaranteed by a central 
government that is assigned credit quality step 1 by a nominated ECAI.  
940  3.6.2  central government (CQS2-3)  
The amount reported in row 920 that is an asset representing a claim on or guaranteed by a central 
government that is assigned credit quality step 2 or 3 by a nominated ECAI  
950  3.6.3  shares  
The amount reported in row 920 that is shares  
960  3.6.4  covered bonds  
The amount reported in row 920 that is covered bondsEN L 97/1728 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
970  3.6.5  ABS  
The amount reported in row 920 that is ABS  
980  3.6.6  other tradable assets  
The amount reported in row 920 that is other tradable asset not reported in rows 930 to 970  
990  3.7  non-tradable assets eligible for central bank  
The carrying amount of non-tradable assets that are eligible collateral for standard liquidity operations 
of the central bank to which the institution has direct access at its level of consolidation 
For assets denominated in a currency included in the Annex to Commission Implementing Regulation 
(EU) 2015/233 (  1 ) as a currency with extremely narrow central bank eligibility, institutions shall leave 
this field blank. Securities and securities flows from other tradable assets in the form of intragroup or 
own issuances shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from 
such items shall be reported in the relevant part of section 1 and 2 of the template.  
1000  3.8  Undrawn committed facilities received  
Total amount of undrawn committed facilities extended to the reporting institution 
These shall include contractually irrevocable facilities. Institutions shall report a reduced amount where 
the potential collateral needs for drawing on these facilities exceeds the availability of collateral. 
In order to avoid double-counting, facilities where the reporting institution has already prepositioned 
assets as collateral, for an undrawn credit facility, and has already reported the assets in rows 730 to 
990, shall not be reported in row 1000. The same shall apply for cases where the reporting institution 
may need to preposition assets as collateral in order to draw as reported in this field.  
1010  3.8.1  Level 1 facilities  
The amount reported in row 1000 that is central bank facility in accordance with point (b) of 
Article 19(1) of Delegated Regulation (EU) 2015/61  
1020  3.8.2  Level 2B restricted use facilities  
The amount reported in row 1000 that is facilities in accordance with Article 14 of Delegated 
Regulation (EU) 2015/61  
1030  3.8.3  Level 2B IPS facilities  
The amount reported in row 1000 that is liquidity funding in accordance with Article 16(2) of 
Delegated Regulation (EU) 2015/61  
1040  3.8.4  Other facilities  
The amount reported in row 1000 other than the amount reported in rows 1010 to 1030EN 19.3.2021 Official Journal of the European Union L 97/1729  
( 1 ) http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A3201 5R0233
 Row  Legal references and instructions  
1050  3.8.4.1  from intragroup counterparties  
The amount reported in row 1040 where the counterparty is a parent or a subsidiary of the institution 
or another subsidiary of the same parent or linked to the credit institution by a relationship within the 
meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection 
scheme as referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or 
an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 
575/2013)  
1060  3.8.4.2  from other counterparties  
The amount reported in row 1040 other than the amount reported in row 1050.  
1070  3.9  Net change of Counterbalancing Capacity  
Net change in exposures referred to in items 3.2, 3.3, 3.4 and 3.5, 3.6, 3.7 and 3.8 representing, 
respectively, central banks, securities flows and committed credit lines in a given time bucket shall be 
reported.  
1080  3.10  Cumulated Counterbalancing Capacity  
Cumulated amount of Counterbalancing Capacity from the reporting date to the upper limit of a 
relevant time bucket.  
1090-1140  4  CONTINGENCIES  
The ‘Contingencies’ of the maturity ladder shall contain information on contingent outflows.  
1090  4.1  Outflows from committed facilities  
Cash outflows arising from committed facilities 
Institutions shall report as an outflow the maximum amount that can be drawn in a given time period. 
For revolving credit facilities, only the amount above the existing loan shall be reported.  
1100  4.1.1  Committed credit facilities  
The amount reported in row 1090 that derives from committed credit facilities in accordance with 
Article 31 of Delegated Regulation (EU) 2015/61  
1110  4.1.1.1  considered as Level 2B by the receiver  
The amount reported in row 1100 that is considered liquidity funding in accordance with Article 16(2) 
of Delegated Regulation (EU) 2015/61  
1120  4.1.1.2  other  
The amount reported in row 1100, other than the amount reported in row 1110  
1130  4.1.2  Liquidity facilities  
The amount reported in row 1090 that derives from liquidity facilities in accordance with Article 31 
of Delegated Regulation (EU) 2015/61  
1140  4.2  Outflows due to downgrade triggers  
Institutions shall report here the effect of a material deterioration of the credit quality of the institution 
corresponding to a downgrade in its external credit assessment by at least three notches. 
Positive amounts shall represent contingent outflows and negative amounts shall represent a reduction 
of the original liability.EN L 97/1730 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
Where the effect of the downgrade is an early redemption of outstanding liabilities, the concerned 
liabilities shall be reported with a negative sign in a time band where they are reported in item 1 and 
simultaneously with a positive sign in a time band when the liability becomes due, should the effects of 
the downgrade become applicable at the reporting date. 
Where the effect of the downgrade is a margin call, the market value of the collateral required to be 
posted shall be reported with a positive sign in a time band when the requirement becomes due, should 
the effects of the downgrade become applicable at the reporting date. 
Where the effect of the downgrade is a change in the re-hypothecation rights of the securities received 
as collateral from the counterparties, the market value of the affected securities shall be reported with a 
positive sign in a time band when the securities cease to be available to the reporting institution, should 
the effects of the downgrade become applicable at the reporting date.  
1150-1290  5  MEMORANDUM ITEMS  
1200  10  Intragroup or IPS outflows (excluding FX)  
Sum of outflows reported in rows 010, 060, 260, 360, 370 where the counterparty is a parent or a 
subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution 
by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the 
same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or 
the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of 
Regulation (EU) No 575/2013)  
1210  11  Intragroup or IPS inflows (excluding FX and maturing securities)  
Sum of inflows reported in rows 390, 590, 670, 690 where the counterparty is a parent or a 
subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution 
by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the 
same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or 
the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of 
Regulation (EU) No 575/2013)  
1220  12  Intragroup or IPS inflows from maturing securities  
Sum of inflows in row 680 where the counterparty is a parent or a subsidiary of the institution or 
another subsidiary of the same parent or linked to the credit institution by a relationship within the 
meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection 
scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an 
affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 
575/2013).  
1230  13  HQLA central bank eligible  
Sum of the amounts reported in rows 750, 820 and 860 that is eligible collateral for standard liquidity 
operations of the central bank to which the institution has direct access at its level of consolidation 
For assets denominated in a currency included in the Annex to Regulation (EU) 2015/233 as a 
currency with extremely narrow central bank eligibility, institutions shall leave this field blank.EN 19.3.2021 Official Journal of the European Union L 97/1731
 
Row  Legal references and instructions  
1240  14  non-HQLA central bank eligible  
The sum of: 
i) The sum of the amounts reported in row 920 that is eligible collateral for standard liquidity 
operations of the central bank to which the institution has direct access at its level of consolidation; 
ii) The own issuances which are eligible collateral for standard liquidity operations of a the central 
bank to which the institution has direct access at its level of consolidation. 
For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with 
extremely narrow central bank eligibility, institutions shall leave this field blank.  
1270  17  Behavioural outflows from deposits  
The amount reported in row 260 redistributed into the time buckets in accordance with the behav ­
ioural maturity on a ‘business as usual’ basis used for the purpose of the liquidity risk management of 
the reporting institution 
For the purposes of this field, ‘business as usual’ shall mean ‘a situation without any liquidity stress 
assumption. 
The distribution shall reflect the ‘stickiness’ of the deposits. 
The item does not reflect business plan assumptions and therefore shall not include information 
relating to new business activities. 
Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, 
not all time buckets need to be filled in.  
1280  18  Behavioural inflows from loans and advances  
The amount reported in row 590 redistributed into the time buckets in accordance with the behav ­
ioural maturity on a ‘business as usual’ basis used for the purpose of the liquidity risk management of 
the reporting institution 
For the purposes of this field, ‘business as usual’ shall mean a situation without any liquidity stress 
assumption. 
The item does not reflect business plan assumptions and therefore shall not consider new business 
activities. 
Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, 
not all time buckets must necessarily be filled in.  
1290  19  Behavioural draw-downs of committed facilities  
The amount reported in row 1090 redistributed into the time buckets in accordance with the behav ­
ioural level of draw-downs and resulting liquidity needs on a ‘business as usual’ basis used for the 
purpose of the liquidity risk management of the reporting institution 
For the purposes of this field, ‘business as usual’ means ‘a situation without any liquidity stress 
assumption’. 
The item does not reflect business plan assumptions and therefore shall not consider new business 
activities. 
Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, 
not all time buckets need to be filled in.EN L 97/1732 Official Journal of the European Union 19.3.2021
 
ANNEX XXIV  
REPORTING ON LIQUIDITY 
LIQUIDITY TEMPLATES  
Template 
number  Template code  Name of the template / group of templates  
LIQUIDITY COVERAGE TEMPLATES  
PART I — LIQUID ASSETS  
72 C 72.00  LIQUIDITY COVERAGE — LIQUID ASSETS  
PART II — OUTFLOWS  
73 C 73.00  LIQUIDITY COVERAGE — OUTFLOWS  
PART III — INFLOWS  
74 C 74.00  LIQUIDITY COVERAGE — INFLOWS  
PART IV — COLLATERAL SWAPS  
75 C 75.01  LIQUIDITY COVERAGE — COLLATERAL SWAPS  
PART V — CALCULATIONS  
76 C 76.00  LIQUIDITY COVERAGE — CALCULATIONS  
PART VI — PERIMETER OF CONSOLIDATION  
77 C 77.00  LIQUIDITY COVERAGE — PERIMETEREN 19.3.2021 Official Journal of the European Union L 97/1733
 EN L 97/1734 Official Journal of the European Union 19.3.2021
 C 72.00 — LIQUIDITY COVERAGE — LIQUID ASSETS  
Currency  
Row  ID  Item  Amount/ 
Market 
value  Standard 
weight  Applicable 
weight  Value in 
accordance 
with 
Article 9  
0010  0020  0030  0040  
0010  1  TOTAL UNADJUSTED LIQUID ASSETS  
0020  1.1  Total unadjusted level 1 assets  
0030  1.1.1  Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds  
0040  1.1.1.1  Coins and banknotes  1,00  
0050  1.1.1.2  Withdrawable central bank reserves  1,00  
0060  1.1.1.3  Central bank assets  1,00  
0070  1.1.1.4  Central government assets  1,00  
0080  1.1.1.5  Regional government / local authorities assets  1,00  
0090  1.1.1.6  Public Sector Entity assets  1,00  
0100  1.1.1.7  Recognisable domestic and foreign currency central government and central bank assets  1,00  
0110  1.1.1.8  Credit institution (protected by Member State government, promotional lender) assets  1,00  
0120  1.1.1.9  Multilateral development bank and international organisations assets  1,00  
0130  1.1.1.10  Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure  1,00
EN 19.3.2021 Official Journal of the European Union L 97/1735
 Row  ID  Item  Amount/ 
Market 
value  Standard 
weight  Applicable 
weight  Value in 
accordance 
with 
Article 9  
0010  0020  0030  0040  
0140  1.1.1.11  Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds  0,95  
0150  1.1.1.12  Alternative Liquidity Approaches: Central bank credit facility  1,00  
0160  1.1.1.13  Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit 
institution  
0170  1.1.1.14  Alternative Liquidity Approaches: Level 2A assets recognised as Level 1  0,80  
0180  1.1.2  Total unadjusted LEVEL 1 extremely high quality covered bonds  
0190  1.1.2.1  Extremely high quality covered bonds  0,93  
0200  1.1.2.2  Qualifying CIU shares/units: underlying is extremely high quality covered bonds  0,88  
0210  1.1.2.3  Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit 
institution  
0220  1.2  Total unadjusted level 2 assets  
0230  1.2.1  Total unadjusted LEVEL 2A assets  
0240  1.2.1.1  Regional government / local authorities or Public Sector Entity assets (Member State, RW20%)  0,85  
0250  1.2.1.2  Central bank or central / regional government or local authorities or Public Sector Entity assets (Third 
Country, RW20%)  0,85
EN L 97/1736 Official Journal of the European Union 19.3.2021
 Row  ID  Item  Amount/ 
Market 
value  Standard 
weight  Applicable 
weight  Value in 
accordance 
with 
Article 9  
0010  0020  0030  0040  
0260  1.2.1.3  High quality covered bonds (CQS2)  0,85  
0270  1.2.1.4  High quality covered bonds (Third Country, CQS1)  0,85  
0280  1.2.1.5  Corporate debt securities (CQS1)  0,85  
0290  1.2.1.6  Qualifying CIU shares/units: underlying is Level 2A assets  0,80  
0300  1.2.1.7  Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution  
0310  1.2.2  Total unadjusted LEVEL 2B assets  
0320  1.2.2.1  Asset-backed securities (residential, CQS1)  0,75  
0330  1.2.2.2  Asset-backed securities (auto, CQS1)  0,75  
0340  1.2.2.3  High quality covered bonds (RW35%)  0,70  
0350  1.2.2.4  Asset-backed securities (commercial or individuals, Member State, CQS1)  0,65  
0360  1.2.2.5  Corporate debt securities (CQS2/3)  0,50  
0370  1.2.2.6  Corporate debt securities - non-interest bearing assets (held by credit institutions for religious reasons) 
(CQS1/2/3)  0,50
EN 19.3.2021 Official Journal of the European Union L 97/1737
 Row  ID  Item  Amount/ 
Market 
value  Standard 
weight  Applicable 
weight  Value in 
accordance 
with 
Article 9  
0010  0020  0030  0040  
0380  1.2.2.7  Shares (major stock index)  0,50  
0390  1.2.2.8  Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)  0,50  
0400  1.2.2.9  Restricted-use central bank committed liquidity facilities  1,00  
0410  1.2.2.10  Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1)  0,70  
0420  1.2.2.11  Qualifying CIU shares/units: underlying is High quality covered bonds (RW35%)  0,65  
0430  1.2.2.12  Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, 
CQS1)  0,60  
0440  1.2.2.13  Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or 
non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)  0,45  
0450  1.2.2.14  Deposits by network member with central institution (no obligated investment)  0,75  
0460  1.2.2.15  Liquidity funding available to network member from central institution (non-specified collateralisation)  0,75  
0470  1.2.2.16  Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution
EN L 97/1738 Official Journal of the European Union 19.3.2021
 Row  ID  Item  Amount/ 
Market 
value  Standard 
weight  Applicable 
weight  Value in 
accordance 
with 
Article 9  
0010  0020  0030  0040  
MEMORANDUM ITEMS  
0485  2  Deposits by network member with central institution (obligated investment)  
0580  3  Level 1/2A/2B assets excluded due to currency reasons  
0590  4  Level 1/2A/2B assets excluded for operational reasons except for currency reasons
EN 19.3.2021 Official Journal of the European Union L 97/1739
 C 73.00 — LIQUIDITY COVERAGE — OUTFLOWS  
Currency  
Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
0010  1  OUTFLOWS  
0020  1.1  Outflows from unsecured transactions/deposits  
0030  1.1.1  Retail deposits  
0035  1.1.1.1  deposits exempted from the calculation of outflows  0,00  
0040  1.1.1.2  deposits where the payout has been agreed within the following 30 days  1,00  
0050  1.1.1.3  deposits subject to higher outflows  
0060  1.1.1.3.1  category 1  0,10-0,15  
0070  1.1.1.3.2  category 2  0,15-0,20  
0080  1.1.1.4  stable deposits  0,05  
0090  1.1.1.5  derogated stable deposits  0,03  
0100  1.1.1.6  deposits in third countries where a higher outflow is applied  
0110  1.1.1.7  other retail deposits  0,10
EN L 97/1740 Official Journal of the European Union 19.3.2021
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
0120  1.1.2  Operational deposits  
0130  1.1.2.1  maintained for clearing, custody, cash management or other comparable 
services in the context of an established operational relationship  
0140  1.1.2.1.1  covered by DGS  0,05  
0150  1.1.2.1.2  not covered by DGS  0,25  
0160  1.1.2.2  maintained in the context of IPS or a cooperative network  
0170  1.1.2.2.1  not treated as liquid assets for the depositing institution  0,25  
0180  1.1.2.2.2  treated as liquid assets for the depositing credit institution  1,00  
0190  1.1.2.3  maintained in the context of an established operational relationship (other) with 
non-financial customers  0,25  
0200  1.1.2.4  maintained to obtain cash clearing and central credit institution services within 
a network  0,25  
0203  1.1.3  Excess operational deposits  
0204  1.1.3.1  deposits by financial customers  1,00  
0205  1.1.3.2  deposits by other customers
EN 19.3.2021 Official Journal of the European Union L 97/1741
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
0206  1.1.3.2.1  covered by DGS  0,20  
0207  1.1.3.2.2  not covered by DGS  0,40  
0210  1.1.4  Non-operational deposits  
0220  1.1.4.1  correspondent banking and provisions of prime brokerage deposits  1,00  
0230  1.1.4.2  deposits by financial customers  1,00  
0240  1.1.4.3  deposits by other customers  
0250  1.1.4.3.1  covered by DGS  0,20  
0260  1.1.4.3.2  not covered by DGS  0,40  
0270  1.1.5  Additional outflows  
0280  1.1.5.1  collateral other than Level 1 assets collateral posted for derivatives  0,20  
0290  1.1.5.2  Level 1 EHQ Covered Bonds assets collateral posted for derivatives  0,10  
0300  1.1.5.3  material outflows due to deterioration of own credit quality  1,00
EN L 97/1742 Official Journal of the European Union 19.3.2021
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
0310  1.1.5.4  impact of an adverse market scenario on derivatives transactions  1,00  
0340  1.1.5.5  outflows from derivatives  1,00  
0350  1.1.5.6  short positions  
0360  1.1.5.6.1  covered by collateralized SFT  0,00  
0370  1.1.5.6.2  other  1,00  
0380  1.1.5.7  callable excess collateral  1,00  
0390  1.1.5.8  due collateral  1,00  
0400  1.1.5.9  liquid asset collateral exchangable for non-liquid asset collateral  1,00  
0410  1.1.5.10  loss of funding on structured financing activites  
0420  1.1.5.10.1  structured financing instruments  1,00  
0430  1.1.5.10.2  financing facilites  1,00  
0450  1.1.5.11  internal netting of client's positions  0,50
EN 19.3.2021 Official Journal of the European Union L 97/1743
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
0460  1.1.6  Committed facilities  
0470  1.1.6.1  credit facilities  
0480  1.1.6.1.1  to retail customers  0,05  
0490  1.1.6.1.2  to non-financial customers other than retail customers  0,10  
0500  1.1.6.1.3  to credit institutions  
0510  1.1.6.1.3.1  for funding promotional loans of retail customers  0,05  
0520  1.1.6.1.3.2  for funding promotional loans of non-financial customers  0,10  
0530  1.1.6.1.3.3  other  0,40  
0540  1.1.6.1.4  to regulated financial institutions other than credit institutions  0,40  
0550  1.1.6.1.5  within a group or an IPS if subject to preferential treatment  
0560  1.1.6.1.6  within IPS or cooperative network if treated as liquid asset by the depositing 
institution  0,75  
0570  1.1.6.1.7  to other financial customers  1,00
EN L 97/1744 Official Journal of the European Union 19.3.2021
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
0580  1.1.6.2  liquidity facilities  
0590  1.1.6.2.1  to retail customers  0,05  
0600  1.1.6.2.2  to non-financial customers other than retail customers  0,30  
0610  1.1.6.2.3  to personal investment companies  0,40  
0620  1.1.6.2.4  to SSPEs  
0630  1.1.6.2.4.1  to purchase assets other than securities from non-financial customers  0,10  
0640  1.1.6.2.4.2  other  1,00  
0650  1.1.6.2.5  to credit institutions  
0660  1.1.6.2.5.1  for funding promotional loans of retail customers  0,05  
0670  1.1.6.2.5.2  for funding promotional loans of non-financial customers  0,30  
0680  1.1.6.2.5.3  other  0,40  
0690  1.1.6.2.6  within a group or an IPS if subject to preferential treatment
EN 19.3.2021 Official Journal of the European Union L 97/1745
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
0700  1.1.6.2.7  within IPS or cooperative network if treated as liquid asset by the depositing 
institution  0,75  
0710  1.1.6.2.8  to other financial customers  1,00  
0720  1.1.7  Other products and services  
0731  1.1.7.1  Uncommitted funding facilities  
0740  1.1.7.2  undrawn loans and advances to wholesale counterparties  
0750  1.1.7.3  mortgages that have been agreed but not yet drawn down  
0760  1.1.7.4  credit cards  
0770  1.1.7.5  overdrafts  
0780  1.1.7.6  planned outflows related to renewal or extension of new retail or wholesale 
loans  
0850  1.1.7.7  derivatives payables  
0860  1.1.7.8  trade finance off-balance sheet related products  
0870  1.1.7.9  others
EN L 97/1746 Official Journal of the European Union 19.3.2021
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
0885  1.1.8  Other liabilities and due commitments  
0890  1.1.8.1  liabilities resulting from operating expenses  0,00  
0900  1.1.8.2  in the form of debt securities if not treated as retail deposits  1,00  
0912  1.1.8.4  the excess of funding to non-financial customers  
0913  1.1.8.4.1  the excess of funding to retail customers  1,00  
0914  1.1.8.4.2  the excess of funding to non financial corporates  1,00  
0915  1.1.8.4.3  the excess of funding to sovereigns, MLDBs and PSEs  1,00  
0916  1.1.8.4.4  the excess of funding to other legal entities  1,00  
0917  1.1.8.5  assets borrowed on an unsecured basis  1,00  
0918  1.1.8.6  others  1,00  
0920  1.2  Outflows from secured lending and capital market-driven transactions  
0930  1.2.1  Counterparty is central bank
EN 19.3.2021 Official Journal of the European Union L 97/1747
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
0940  1.2.1.1  level 1 excl. EHQ Covered Bonds collateral  0,00  
0945  1.2.1.1.1  of which collateral extended meets operational requirements  
0950  1.2.1.2  level 1 EHQ Covered Bonds collateral  0,00  
0955  1.2.1.2.1  of which collateral extended meets operational requirements  
0960  1.2.1.3  level 2A collateral  0,00  
0965  1.2.1.3.1  of which collateral extended meets operational requirements  
0970  1.2.1.4  level 2B asset-backed securities (residential or automobile, CQS1) collateral  0,00  
0975  1.2.1.4.1  of which collateral extended meets operational requirements  
0980  1.2.1.5  level 2B covered bonds  0,00  
0985  1.2.1.5.1  of which collateral extended meets operational requirements  
0990  1.2.1.6  level 2B asset-backed securities (commercial or individuals, Member State, 
CQS1) collateral  0,00  
0995  1.2.1.6.1  of which collateral extended meets operational requirements
EN L 97/1748 Official Journal of the European Union 19.3.2021
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
1000  1.2.1.7  other Level 2B assets collateral  0,00  
1005  1.2.1.7.1  of which collateral extended meets operational requirements  
1010  1.2.1.8  non-liquid assets collateral  0,00  
1020  1.2.2  Counterparty is non-central bank  
1030  1.2.2.1  level 1 excl. EHQ Covered Bonds collateral  0,00  
1035  1.2.2.1.1  of which collateral extended meets operational requirements  
1040  1.2.2.2  level 1 EHQ Covered Bonds collateral  0,07  
1045  1.2.2.2.1  of which collateral extended meets operational requirements  
1050  1.2.2.3  level 2A collateral  0,15  
1055  1.2.2.3.1  of which collateral extended meets operational requirements  
1060  1.2.2.4  level 2B asset-backed securities (residential or automobile, CQS1) collateral  0,25  
1065  1.2.2.4.1  of which collateral extended meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1749
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
1070  1.2.2.5  level 2B covered bonds  0,30  
1075  1.2.2.5.1  of which collateral extended meets operational requirements  
1080  1.2.2.6  level 2B asset-backed securities (commercial or individuals, Member State, 
CQS1) collateral  0,35  
1085  1.2.2.6.1  of which collateral extended meets operational requirements  
1090  1.2.2.7  other Level 2B assets collateral  0,50  
1095  1.2.2.7.1  of which collateral extended meets operational requirements  
1100  1.2.2.8  non-liquid assets collateral  1,00  
1130  1.3  Total outflows from collateral swaps  
MEMORANDUM ITEMS  
1170  2  Liquidity outflows to be netted by interdependent inflows  
3 Operational deposits maintained for clearing, custody, cash management or other 
comparable services in the context of an established operational relationship  
1180  3.1  provided by credit institutions
EN L 97/1750 Official Journal of the European Union 19.3.2021
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
1190  3.2  provided by financial customers other than credit institutions  
1200  3.3  provided by sovereigns, central banks, MDBs and PSEs  
1210  3.4  provided by other customers  
4 Intra group or IPS outflows  
1290  4.1  of which: to financial customers  
1300  4.2  of which: to non-financial customers  
1310  4.3  of which: secured  
1320  4.4  of which: credit facilities without preferential treatment  
1330  4.5  of which: liquidity facilites without preferential treatment  
1340  4.6  of which: operational deposits  
1345  4.7  of which: excess operational deposits  
1350  4.8  of which: non-operational deposits
EN 19.3.2021 Official Journal of the European Union L 97/1751
 Amount  Market 
value of 
collateral 
extended  Value of 
collateral 
extended 
in 
accordan ­
ce with 
Article 9  Standard 
Weight  Applicable 
Weight  Outflow  
Row  ID  Item  010  020  030  040  050  060  
1360  4.9  of which: liabilities in the form of debt securities if not treated as retail deposits  
1370  5  FX outflows  
6 Secured funding waived from Article 17 (2) and (3)  
1400  6.1  of which: secured by L1 excl. EHQCB  
1410  6.2  of which: secured by L1 EHQCB  
1420  6.3  of which: secured by L2A  
1430  6.4  of which: secured by L2B  
1440  6.5  of which: secured by non-liquid assets
EN L 97/1752 Official Journal of the European Union 19.3.2021
 C 74.00 — LIQUIDITY COVERAGE — INFLOWS  
Currency  
Amount  Market value 
of collateral 
received  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0010  0020  0030  0040  
0010  1  TOTAL INFLOWS  
0020  1.1  Inflows from unsecured transactions/deposits  
0030  1.1.1  monies due from non-financial customers (except for central banks)  
0040  1.1.1.1  monies due from non-financial customers (except for central banks) not corresponding 
to principal repayment  
0050  1.1.1.2  other monies due from non-financial customers (except for central banks)  
0060  1.1.1.2.1  monies due from retail customers  
0070  1.1.1.2.2  monies due from non-financial corporates  
0080  1.1.1.2.3  monies due from sovereigns, multilateral development banks and public sector entities  
0090  1.1.1.2.4  monies due from other legal entities  
0100  1.1.2  monies due from central banks and financial customers  
0110  1.1.2.1  monies due from financial customers being classified as operational deposits  
0120  1.1.2.1.1  monies due from financial customers being classified as operational deposits where the 
credit institution is able to establish a corresponding symmetrical inflow rate
EN 19.3.2021 Official Journal of the European Union L 97/1753
 Amount  Market value 
of collateral 
received  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0010  0020  0030  0040  
0130  1.1.2.1.2  monies due from financial customers being classified as operational deposits where the 
credit institution is not able to establish a corresponding symmetrical inflow rate  
0140  1.1.2.2  monies due from central banks and financial customers not being classified as oper ­
ational deposits  
0150  1.1.2.2.1  monies due from central banks  
0160  1.1.2.2.2  monies due from financial customers  
0170  1.1.3  inflows corresponding to outflows in accordance with promotional loan commitments 
referred to in Article 31(9) of Delegated Regulation (EU) 2015/61  
0180  1.1.4  monies due from trade financing transactions  
0190  1.1.5  monies due from securities maturing within 30 days  
0201  1.1.6  loans with an undefined contractual end date  
0210  1.1.7  monies due from positions in major index equity instruments provided that there is no 
double counting with liquid assets  
0230  1.1.8  inflows from the release of balances held in segregated accounts in accordance with 
regulatory requirements for the protection of customer trading assets  
0240  1.1.9  inflows from derivatives  
0250  1.1.10  inflows from undrawn credit or liquidity facilities provided by members of a group or an 
institutional protection scheme where the competent authorities have granted permission 
to apply a higher inflow rate
EN L 97/1754 Official Journal of the European Union 19.3.2021
 Amount  Market value 
of collateral 
received  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0010  0020  0030  0040  
0260  1.1.11  other inflows  
0263  1.2  Inflows from secured lending and capital market-driven transactions  
0265  1.2.1  Counterparty is central bank  
0267  1.2.1.1  collateral that qualifies as a liquid asset  
0269  1.2.1.1.1  Level 1 collateral excluding extremely high quality covered bonds  
0271  1.2.1.1.1.1  of which collateral received meets operational requirements  
0273  1.2.1.1.2  Level 1 collateral which is extremely high quality covered bonds  
0275  1.2.1.1.2.1  of which collateral received meets operational requirements  
0277  1.2.1.1.3  Level 2A collateral  
0279  1.2.1.1.3.1  of which collateral received meets operational requirements  
0281  1.2.1.1.4  Level 2B asset backed securities (residential or auto) collateral  
0283  1.2.1.1.4.1  of which collateral received meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1755
 Amount  Market value 
of collateral 
received  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0010  0020  0030  0040  
0285  1.2.1.1.5  Level 2B high quality covered bonds collateral  
0287  1.2.1.1.5.1  of which collateral received meets operational requirements  
0289  1.2.1.1.6  Level 2B asset backed securities (commercial or individuals) collateral  
0291  1.2.1.1.6.1  of which collateral received meets operational requirements  
0293  1.2.1.1.7  Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.6  
0295  1.2.1.1.7.1  of which collateral received meets operational requirements  
0297  1.2.1.2  collateral is used to cover a short position  
0299  1.2.1.3  collateral that does not qualify as a liquid asset  
0301  1.2.1.3.1  collateral is non-liquid equity  
0303  1.2.1.3.2  all other non-liquid collateral  
0305  1.2.2  Counterparty is non-central bank  
0307  1.2.2.1  collateral that qualifies as a liquid asset
EN L 97/1756 Official Journal of the European Union 19.3.2021
 Amount  Market value 
of collateral 
received  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0010  0020  0030  0040  
0309  1.2.2.1.1  Level 1 collateral excluding extremely high quality covered bonds  
0311  1.2.2.1.1.1  of which collateral received meets operational requirements  
0313  1.2.2.1.2  Level 1 collateral which is extremely high quality covered bonds  
0315  1.2.2.1.2.1  of which collateral received meets operational requirements  
0317  1.2.2.1.3  Level 2A collateral  
0319  1.2.2.1.3.1  of which collateral received meets operational requirements  
0321  1.2.2.1.4  Level 2B asset backed securities (residential or auto) collateral  
0323  1.2.2.1.4.1  of which collateral received meets operational requirements  
0325  1.2.2.1.5  Level 2B high quality covered bonds collateral  
0327  1.2.2.1.5.1  of which collateral received meets operational requirements  
0329  1.2.2.1.6  Level 2B asset backed securities (commercial or individuals) collateral  
0331  1.2.2.1.6.1  of which collateral received meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1757
 Amount  Market value 
of collateral 
received  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0010  0020  0030  0040  
0333  1.2.2.1.7  Level 2B collateral not already captured in section 1.2.2.1.4, 1.2.2.1.5 or 1.2.2.1.6  
0335  1.2.2.1.7.1  of which collateral received meets operational requirements  
0337  1.2.2.2  collateral is used to cover a short position  
0339  1.2.2.3  collateral that does not qualify as a liquid asset  
0341  1.2.2.3.1  margin loans: collateral is non-liquid  
0343  1.2.2.3.2  collateral is non-liquid equity  
0345  1.2.2.3.3  all other non-liquid collateral  
0410  1.3  Total inflows from collateral swaps  
0420  1.4  (Difference between total weighted inflows and total weighted outflows arising from 
transactions in third countries where there are transfer restrictions or which are 
denominated in non-convertible currencies)  
0430  1.5  (Excess inflows from a related specialised credit institution)  
MEMORANDUM ITEMS  
0450  2  FX inflows
EN L 97/1758 Official Journal of the European Union 19.3.2021
 Amount  Market value 
of collateral 
received  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0010  0020  0030  0040  
0460  3  Inflows within a group or an institutional protection scheme  
0470  3.1  Monies due from non-financial customers (except for central banks)  
0480  3.2  Monies due from financial customers  
0490  3.3  Secured transactions  
0500  3.4  Monies due from maturing securities within 30 days  
0510  3.5  Any other inflows within a group or an institutional protection scheme  
4 Secured lending waived from Article 17 (2) and (3)  
0530  4.1  of which: secured by L1 excl. EHQCB  
0540  4.2  of which: secured by L1 EHQCB  
0550  4.3  of which: secured by L2A  
0560  4.4  of which: secured by L2B  
0570  4.5  of which: secured by non-liquid assets
EN 19.3.2021 Official Journal of the European Union L 97/1759
 Market value of collateral 
received  
Standard 
Weight  Applicable 
Weight  
Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0050  0060  0070  0080  
0010  1  TOTAL INFLOWS  
0020  1.1  Inflows from unsecured transactions/deposits  
0030  1.1.1  monies due from non-financial customers (except for central banks)  
0040  1.1.1.1  monies due from non-financial customers (except for central banks) not corresponding 
to principal repayment  1,00  
0050  1.1.1.2  other monies due from non-financial customers (except for central banks)  
0060  1.1.1.2.1  monies due from retail customers  0,50  
0070  1.1.1.2.2  monies due from non-financial corporates  0,50  
0080  1.1.1.2.3  monies due from sovereigns, multilateral development banks and public sector entities  0,50  
0090  1.1.1.2.4  monies due from other legal entities  0,50  
0100  1.1.2  monies due from central banks and financial customers  
0110  1.1.2.1  monies due from financial customers being classified as operational deposits  
0120  1.1.2.1.1  monies due from financial customers being classified as operational deposits where the 
credit institution is able to establish a corresponding symmetrical inflow rate
EN L 97/1760 Official Journal of the European Union 19.3.2021
 Market value of collateral 
received  
Standard 
Weight  Applicable 
Weight  
Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0050  0060  0070  0080  
0130  1.1.2.1.2  monies due from financial customers being classified as operational deposits where the 
credit institution is not able to establish a corresponding symmetrical inflow rate  0,05  
0140  1.1.2.2  monies due from central banks and financial customers not being classified as oper ­
ational deposits  
0150  1.1.2.2.1  monies due from central banks  1,00  
0160  1.1.2.2.2  monies due from financial customers  1,00  
0170  1.1.3  inflows corresponding to outflows in accordance with promotional loan commitments 
referred to in Article 31(9) of Delegated Regulation (EU) 2015/61  1,00  
0180  1.1.4  monies due from trade financing transactions  1,00  
0190  1.1.5  monies due from securities maturing within 30 days  1,00  
0201  1.1.6  loans with an undefined contractual end date  0,20  
0210  1.1.7  monies due from positions in major index equity instruments provided that there is no 
double counting with liquid assets  1,00  
0230  1.1.8  inflows from the release of balances held in segregated accounts in accordance with 
regulatory requirements for the protection of customer trading assets  1,00  
0240  1.1.9  inflows from derivatives  1,00  
0250  1.1.10  inflows from undrawn credit or liquidity facilities provided by members of a group or an 
institutional protection scheme where the competent authorities have granted permission 
to apply a higher inflow rate
EN 19.3.2021 Official Journal of the European Union L 97/1761
 Market value of collateral 
received  
Standard 
Weight  Applicable 
Weight  
Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0050  0060  0070  0080  
0260  1.1.11  other inflows  1,00  
0263  1.2  Inflows from secured lending and capital market-driven transactions  
0265  1.2.1  Counterparty is central bank  
0267  1.2.1.1  collateral that qualifies as a liquid asset  
0269  1.2.1.1.1  Level 1 collateral excluding extremely high quality covered bonds  0,00  
0271  1.2.1.1.1.1  of which collateral received meets operational requirements  
0273  1.2.1.1.2  Level 1 collateral which is extremely high quality covered bonds  0,07  
0275  1.2.1.1.2.1  of which collateral received meets operational requirements  
0277  1.2.1.1.3  Level 2A collateral  0,15  
0279  1.2.1.1.3.1  of which collateral received meets operational requirements  
0281  1.2.1.1.4  Level 2B asset backed securities (residential or auto) collateral  0,25  
0283  1.2.1.1.4.1  of which collateral received meets operational requirements
EN L 97/1762 Official Journal of the European Union 19.3.2021
 Market value of collateral 
received  
Standard 
Weight  Applicable 
Weight  
Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0050  0060  0070  0080  
0285  1.2.1.1.5  Level 2B high quality covered bonds collateral  0,30  
0287  1.2.1.1.5.1  of which collateral received meets operational requirements  
0289  1.2.1.1.6  Level 2B asset backed securities (commercial or individuals) collateral  0,35  
0291  1.2.1.1.6.1  of which collateral received meets operational requirements  
0293  1.2.1.1.7  Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.6  0,50  
0295  1.2.1.1.7.1  of which collateral received meets operational requirements  
0297  1.2.1.2  collateral is used to cover a short position  
0299  1.2.1.3  collateral that does not qualify as a liquid asset  
0301  1.2.1.3.1  collateral is non-liquid equity  1,00  
0303  1.2.1.3.2  all other non-liquid collateral  1,00  
0305  1.2.2  Counterparty is non-central bank  
0307  1.2.2.1  collateral that qualifies as a liquid asset
EN 19.3.2021 Official Journal of the European Union L 97/1763
 Market value of collateral 
received  
Standard 
Weight  Applicable 
Weight  
Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0050  0060  0070  0080  
0309  1.2.2.1.1  Level 1 collateral excluding extremely high quality covered bonds  0,00  
0311  1.2.2.1.1.1  of which collateral received meets operational requirements  
0313  1.2.2.1.2  Level 1 collateral which is extremely high quality covered bonds  0,07  
0315  1.2.2.1.2.1  of which collateral received meets operational requirements  
0317  1.2.2.1.3  Level 2A collateral  0,15  
0319  1.2.2.1.3.1  of which collateral received meets operational requirements  
0321  1.2.2.1.4  Level 2B asset backed securities (residential or auto) collateral  0,25  
0323  1.2.2.1.4.1  of which collateral received meets operational requirements  
0325  1.2.2.1.5  Level 2B high quality covered bonds collateral  0,30  
0327  1.2.2.1.5.1  of which collateral received meets operational requirements  
0329  1.2.2.1.6  Level 2B asset backed securities (commercial or individuals) collateral  0,35  
0331  1.2.2.1.6.1  of which collateral received meets operational requirements
EN L 97/1764 Official Journal of the European Union 19.3.2021
 Market value of collateral 
received  
Standard 
Weight  Applicable 
Weight  
Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0050  0060  0070  0080  
0333  1.2.2.1.7  Level 2B collateral not already captured in section 1.2.2.1.4, 1.2.2.1.5 or 1.2.2.1.6  0,50  
0335  1.2.2.1.7.1  of which collateral received meets operational requirements  
0337  1.2.2.2  collateral is used to cover a short position  
0339  1.2.2.3  collateral that does not qualify as a liquid asset  
0341  1.2.2.3.1  margin loans: collateral is non-liquid  0,50  
0343  1.2.2.3.2  collateral is non-liquid equity  1,00  
0345  1.2.2.3.3  all other non-liquid collateral  1,00  
0410  1.3  Total inflows from collateral swaps  
0420  1.4  (Difference between total weighted inflows and total weighted outflows arising from 
transactions in third countries where there are transfer restrictions or which are 
denominated in non-convertible currencies)  
0430  1.5  (Excess inflows from a related specialised credit institution)  
MEMORANDUM ITEMS  
0450  2  FX inflows
EN 19.3.2021 Official Journal of the European Union L 97/1765
 Market value of collateral 
received  
Standard 
Weight  Applicable 
Weight  
Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  
Row  ID  Item  0050  0060  0070  0080  
0460  3  Inflows within a group or an institutional protection scheme  
0470  3.1  Monies due from non-financial customers (except for central banks)  
0480  3.2  Monies due from financial customers  
0490  3.3  Secured transactions  
0500  3.4  Monies due from maturing securities within 30 days  
0510  3.5  Any other inflows within a group or an institutional protection scheme  
4 Secured lending waived from Article 17 (2) and (3)  
0530  4.1  of which: secured by L1 excl. EHQCB  
0540  4.2  of which: secured by L1 EHQCB  
0550  4.3  of which: secured by L2A  
0560  4.4  of which: secured by L2B  
0570  4.5  of which: secured by non-liquid assets
EN L 97/1766 Official Journal of the European Union 19.3.2021
 Applicable Weight  Value of collateral received in 
accordance with Article 9  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0090  0100  0110  0120  
0010  1  TOTAL INFLOWS  
0020  1.1  Inflows from unsecured transactions/deposits  
0030  1.1.1  monies due from non-financial customers (except for central banks)  
0040  1.1.1.1  monies due from non-financial customers (except for central banks) not corresponding 
to principal repayment  
0050  1.1.1.2  other monies due from non-financial customers (except for central banks)  
0060  1.1.1.2.1  monies due from retail customers  
0070  1.1.1.2.2  monies due from non-financial corporates  
0080  1.1.1.2.3  monies due from sovereigns, multilateral development banks and public sector entities  
0090  1.1.1.2.4  monies due from other legal entities  
0100  1.1.2  monies due from central banks and financial customers  
0110  1.1.2.1  monies due from financial customers being classified as operational deposits  
0120  1.1.2.1.1  monies due from financial customers being classified as operational deposits where the 
credit institution is able to establish a corresponding symmetrical inflow rate
EN 19.3.2021 Official Journal of the European Union L 97/1767
 Applicable Weight  Value of collateral received in 
accordance with Article 9  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0090  0100  0110  0120  
0130  1.1.2.1.2  monies due from financial customers being classified as operational deposits where the 
credit institution is not able to establish a corresponding symmetrical inflow rate  
0140  1.1.2.2  monies due from central banks and financial customers not being classified as oper ­
ational deposits  
0150  1.1.2.2.1  monies due from central banks  
0160  1.1.2.2.2  monies due from financial customers  
0170  1.1.3  inflows corresponding to outflows in accordance with promotional loan commitments 
referred to in Article 31(9) of Delegated Regulation (EU) 2015/61  
0180  1.1.4  monies due from trade financing transactions  
0190  1.1.5  monies due from securities maturing within 30 days  
0201  1.1.6  loans with an undefined contractual end date  
0210  1.1.7  monies due from positions in major index equity instruments provided that there is no 
double counting with liquid assets  
0230  1.1.8  inflows from the release of balances held in segregated accounts in accordance with 
regulatory requirements for the protection of customer trading assets  
0240  1.1.9  inflows from derivatives  
0250  1.1.10  inflows from undrawn credit or liquidity facilities provided by members of a group or an 
institutional protection scheme where the competent authorities have granted permission 
to apply a higher inflow rate
EN L 97/1768 Official Journal of the European Union 19.3.2021
 Applicable Weight  Value of collateral received in 
accordance with Article 9  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0090  0100  0110  0120  
0260  1.1.11  other inflows  
0263  1.2  Inflows from secured lending and capital market-driven transactions  
0265  1.2.1  Counterparty is central bank  
0267  1.2.1.1  collateral that qualifies as a liquid asset  
0269  1.2.1.1.1  Level 1 collateral excluding extremely high quality covered bonds  
0271  1.2.1.1.1.1  of which collateral received meets operational requirements  
0273  1.2.1.1.2  Level 1 collateral which is extremely high quality covered bonds  
0275  1.2.1.1.2.1  of which collateral received meets operational requirements  
0277  1.2.1.1.3  Level 2A collateral  
0279  1.2.1.1.3.1  of which collateral received meets operational requirements  
0281  1.2.1.1.4  Level 2B asset backed securities (residential or auto) collateral  
0283  1.2.1.1.4.1  of which collateral received meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1769
 Applicable Weight  Value of collateral received in 
accordance with Article 9  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0090  0100  0110  0120  
0285  1.2.1.1.5  Level 2B high quality covered bonds collateral  
0287  1.2.1.1.5.1  of which collateral received meets operational requirements  
0289  1.2.1.1.6  Level 2B asset backed securities (commercial or individuals) collateral  
0291  1.2.1.1.6.1  of which collateral received meets operational requirements  
0293  1.2.1.1.7  Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.6  
0295  1.2.1.1.7.1  of which collateral received meets operational requirements  
0297  1.2.1.2  collateral is used to cover a short position  
0299  1.2.1.3  collateral that does not qualify as a liquid asset  
0301  1.2.1.3.1  collateral is non-liquid equity  
0303  1.2.1.3.2  all other non-liquid collateral  
0305  1.2.2  Counterparty is non-central bank  
0307  1.2.2.1  collateral that qualifies as a liquid asset
EN L 97/1770 Official Journal of the European Union 19.3.2021
 Applicable Weight  Value of collateral received in 
accordance with Article 9  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0090  0100  0110  0120  
0309  1.2.2.1.1  Level 1 collateral excluding extremely high quality covered bonds  
0311  1.2.2.1.1.1  of which collateral received meets operational requirements  
0313  1.2.2.1.2  Level 1 collateral which is extremely high quality covered bonds  
0315  1.2.2.1.2.1  of which collateral received meets operational requirements  
0317  1.2.2.1.3  Level 2A collateral  
0319  1.2.2.1.3.1  of which collateral received meets operational requirements  
0321  1.2.2.1.4  Level 2B asset backed securities (residential or auto) collateral  
0323  1.2.2.1.4.1  of which collateral received meets operational requirements  
0325  1.2.2.1.5  Level 2B high quality covered bonds collateral  
0327  1.2.2.1.5.1  of which collateral received meets operational requirements  
0329  1.2.2.1.6  Level 2B asset backed securities (commercial or individuals) collateral  
0331  1.2.2.1.6.1  of which collateral received meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1771
 Applicable Weight  Value of collateral received in 
accordance with Article 9  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0090  0100  0110  0120  
0333  1.2.2.1.7  Level 2B collateral not already captured in section 1.2.2.1.4, 1.2.2.1.5 or 1.2.2.1.6  
0335  1.2.2.1.7.1  of which collateral received meets operational requirements  
0337  1.2.2.2  collateral is used to cover a short position  
0339  1.2.2.3  collateral that does not qualify as a liquid asset  
0341  1.2.2.3.1  margin loans: collateral is non-liquid  
0343  1.2.2.3.2  collateral is non-liquid equity  
0345  1.2.2.3.3  all other non-liquid collateral  
0410  1.3  Total inflows from collateral swaps  
0420  1.4  (Difference between total weighted inflows and total weighted outflows arising from 
transactions in third countries where there are transfer restrictions or which are 
denominated in non-convertible currencies)  
0430  1.5  (Excess inflows from a related specialised credit institution)  
MEMORANDUM ITEMS  
0450  2  FX inflows
EN L 97/1772 Official Journal of the European Union 19.3.2021
 Applicable Weight  Value of collateral received in 
accordance with Article 9  
Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0090  0100  0110  0120  
0460  3  Inflows within a group or an institutional protection scheme  
0470  3.1  Monies due from non-financial customers (except for central banks)  
0480  3.2  Monies due from financial customers  
0490  3.3  Secured transactions  
0500  3.4  Monies due from maturing securities within 30 days  
0510  3.5  Any other inflows within a group or an institutional protection scheme  
4 Secured lending waived from Article 17 (2) and (3)  
0530  4.1  of which: secured by L1 excl. EHQCB  
0540  4.2  of which: secured by L1 EHQCB  
0550  4.3  of which: secured by L2A  
0560  4.4  of which: secured by L2B  
0570  4.5  of which: secured by non-liquid assets
EN 19.3.2021 Official Journal of the European Union L 97/1773
 Value of 
collateral 
received in 
accordance 
with Article 9  Inflow  
Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0130  0140  0150  0160  
0010  1  TOTAL INFLOWS  
0020  1.1  Inflows from unsecured transactions/deposits  
0030  1.1.1  monies due from non-financial customers (except for central banks)  
0040  1.1.1.1  monies due from non-financial customers (except for central banks) not corresponding 
to principal repayment  
0050  1.1.1.2  other monies due from non-financial customers (except for central banks)  
0060  1.1.1.2.1  monies due from retail customers  
0070  1.1.1.2.2  monies due from non-financial corporates  
0080  1.1.1.2.3  monies due from sovereigns, multilateral development banks and public sector entities  
0090  1.1.1.2.4  monies due from other legal entities  
0100  1.1.2  monies due from central banks and financial customers  
0110  1.1.2.1  monies due from financial customers being classified as operational deposits  
0120  1.1.2.1.1  monies due from financial customers being classified as operational deposits where the 
credit institution is able to establish a corresponding symmetrical inflow rate
EN L 97/1774 Official Journal of the European Union 19.3.2021
 Value of 
collateral 
received in 
accordance 
with Article 9  Inflow  
Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0130  0140  0150  0160  
0130  1.1.2.1.2  monies due from financial customers being classified as operational deposits where the 
credit institution is not able to establish a corresponding symmetrical inflow rate  
0140  1.1.2.2  monies due from central banks and financial customers not being classified as oper ­
ational deposits  
0150  1.1.2.2.1  monies due from central banks  
0160  1.1.2.2.2  monies due from financial customers  
0170  1.1.3  inflows corresponding to outflows in accordance with promotional loan commitments 
referred to in Article 31(9) of Delegated Regulation (EU) 2015/61  
0180  1.1.4  monies due from trade financing transactions  
0190  1.1.5  monies due from securities maturing within 30 days  
0201  1.1.6  loans with an undefined contractual end date  
0210  1.1.7  monies due from positions in major index equity instruments provided that there is no 
double counting with liquid assets  
0230  1.1.8  inflows from the release of balances held in segregated accounts in accordance with 
regulatory requirements for the protection of customer trading assets  
0240  1.1.9  inflows from derivatives  
0250  1.1.10  inflows from undrawn credit or liquidity facilities provided by members of a group or an 
institutional protection scheme where the competent authorities have granted permission 
to apply a higher inflow rate
EN 19.3.2021 Official Journal of the European Union L 97/1775
 Value of 
collateral 
received in 
accordance 
with Article 9  Inflow  
Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0130  0140  0150  0160  
0260  1.1.11  other inflows  
0263  1.2  Inflows from secured lending and capital market-driven transactions  
0265  1.2.1  Counterparty is central bank  
0267  1.2.1.1  collateral that qualifies as a liquid asset  
0269  1.2.1.1.1  Level 1 collateral excluding extremely high quality covered bonds  
0271  1.2.1.1.1.1  of which collateral received meets operational requirements  
0273  1.2.1.1.2  Level 1 collateral which is extremely high quality covered bonds  
0275  1.2.1.1.2.1  of which collateral received meets operational requirements  
0277  1.2.1.1.3  Level 2A collateral  
0279  1.2.1.1.3.1  of which collateral received meets operational requirements  
0281  1.2.1.1.4  Level 2B asset backed securities (residential or auto) collateral  
0283  1.2.1.1.4.1  of which collateral received meets operational requirements
EN L 97/1776 Official Journal of the European Union 19.3.2021
 Value of 
collateral 
received in 
accordance 
with Article 9  Inflow  
Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0130  0140  0150  0160  
0285  1.2.1.1.5  Level 2B high quality covered bonds collateral  
0287  1.2.1.1.5.1  of which collateral received meets operational requirements  
0289  1.2.1.1.6  Level 2B asset backed securities (commercial or individuals) collateral  
0291  1.2.1.1.6.1  of which collateral received meets operational requirements  
0293  1.2.1.1.7  Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.6  
0295  1.2.1.1.7.1  of which collateral received meets operational requirements  
0297  1.2.1.2  collateral is used to cover a short position  
0299  1.2.1.3  collateral that does not qualify as a liquid asset  
0301  1.2.1.3.1  collateral is non-liquid equity  
0303  1.2.1.3.2  all other non-liquid collateral  
0305  1.2.2  Counterparty is non-central bank  
0307  1.2.2.1  collateral that qualifies as a liquid asset
EN 19.3.2021 Official Journal of the European Union L 97/1777
 Value of 
collateral 
received in 
accordance 
with Article 9  Inflow  
Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0130  0140  0150  0160  
0309  1.2.2.1.1  Level 1 collateral excluding extremely high quality covered bonds  
0311  1.2.2.1.1.1  of which collateral received meets operational requirements  
0313  1.2.2.1.2  Level 1 collateral which is extremely high quality covered bonds  
0315  1.2.2.1.2.1  of which collateral received meets operational requirements  
0317  1.2.2.1.3  Level 2A collateral  
0319  1.2.2.1.3.1  of which collateral received meets operational requirements  
0321  1.2.2.1.4  Level 2B asset backed securities (residential or auto) collateral  
0323  1.2.2.1.4.1  of which collateral received meets operational requirements  
0325  1.2.2.1.5  Level 2B high quality covered bonds collateral  
0327  1.2.2.1.5.1  of which collateral received meets operational requirements  
0329  1.2.2.1.6  Level 2B asset backed securities (commercial or individuals) collateral  
0331  1.2.2.1.6.1  of which collateral received meets operational requirements
EN L 97/1778 Official Journal of the European Union 19.3.2021
 Value of 
collateral 
received in 
accordance 
with Article 9  Inflow  
Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0130  0140  0150  0160  
0333  1.2.2.1.7  Level 2B collateral not already captured in section 1.2.2.1.4, 1.2.2.1.5 or 1.2.2.1.6  
0335  1.2.2.1.7.1  of which collateral received meets operational requirements  
0337  1.2.2.2  collateral is used to cover a short position  
0339  1.2.2.3  collateral that does not qualify as a liquid asset  
0341  1.2.2.3.1  margin loans: collateral is non-liquid  
0343  1.2.2.3.2  collateral is non-liquid equity  
0345  1.2.2.3.3  all other non-liquid collateral  
0410  1.3  Total inflows from collateral swaps  
0420  1.4  (Difference between total weighted inflows and total weighted outflows arising from 
transactions in third countries where there are transfer restrictions or which are 
denominated in non-convertible currencies)  
0430  1.5  (Excess inflows from a related specialised credit institution)  
MEMORANDUM ITEMS  
0450  2  FX inflows
EN 19.3.2021 Official Journal of the European Union L 97/1779
 Value of 
collateral 
received in 
accordance 
with Article 9  Inflow  
Exempted 
from the cap 
on inflows  Subject to the 
75% cap on 
inflows  Subject to the 
90% cap on 
inflows  Exempted 
from the cap 
on inflows  
Row  ID  Item  0130  0140  0150  0160  
0460  3  Inflows within a group or an institutional protection scheme  
0470  3.1  Monies due from non-financial customers (except for central banks)  
0480  3.2  Monies due from financial customers  
0490  3.3  Secured transactions  
0500  3.4  Monies due from maturing securities within 30 days  
0510  3.5  Any other inflows within a group or an institutional protection scheme  
4 Secured lending waived from Article 17 (2) and (3)  
0530  4.1  of which: secured by L1 excl. EHQCB  
0540  4.2  of which: secured by L1 EHQCB  
0550  4.3  of which: secured by L2A  
0560  4.4  of which: secured by L2B  
0570  4.5  of which: secured by non-liquid assets
EN L 97/1780 Official Journal of the European Union 19.3.2021
 C 75.01 — LIQUIDITY COVERAGE — COLLATERAL SWAPS  
Currency  
Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
0010  1  TOTAL COLLATERAL SWAPS  (counterparty is central bank)  
0020  1.1  Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and 
the following collateral is borrowed:  
0030  1.1.1  Level 1 assets (excl. EHQ covered bonds)  0,00  
0040  1.1.1.1  Of which collateral swapped meets operational requirements  
0050  1.1.2  Level 1: extremely high quality covered bonds  0,07  
0060  1.1.2.1  Of which collateral swapped meets operational requirements  
0070  1.1.3  Level 2A assets  0,15  
0080  1.1.3.1  Of which collateral swapped meets operational requirements  
0090  1.1.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,25  
0100  1.1.4.1  Of which collateral swapped meets operational requirements  
0110  1.1.5  Level 2B: high quality covered bonds  0,30  
0120  1.1.5.1  Of which collateral swapped meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1781
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
0130  1.1.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,35  
0140  1.1.6.1  Of which collateral swapped meets operational requirements  
0150  1.1.7  Other Level 2B  0,50  
0160  1.1.7.1  Of which collateral swapped meets operational requirements  
0170  1.1.8  Non-liquid assets  1,00  
0180  1.1.8.1  Of which collateral swapped meets operational requirements  
0190  1.2  Totals for transactions in which Level 1: extremely high quality covered bonds are 
lent and the following collateral is borrowed:  
0200  1.2.1  Level 1 assets (excl. EHQ covered bonds)  0,00  
0210  1.2.1.1  Of which collateral swapped meets operational requirements  
0220  1.2.2  Level 1: extremely high quality covered bonds  0,00  
0230  1.2.2.1  Of which collateral swapped meets operational requirements  
0240  1.2.3  Level 2A assets  0,08
EN L 97/1782 Official Journal of the European Union 19.3.2021
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
0250  1.2.3.1  Of which collateral swapped meets operational requirements  
0260  1.2.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,18  
0270  1.2.4.1  Of which collateral swapped meets operational requirements  
0280  1.2.5  Level 2B: high quality covered bonds  0,23  
0290  1.2.5.1  Of which collateral swapped meets operational requirements  
0300  1.2.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,28  
0310  1.2.6.1  Of which collateral swapped meets operational requirements  
0320  1.2.7  Other Level 2B  0,43  
0330  1.2.7.1  Of which collateral swapped meets operational requirements  
0340  1.2.8  Non-liquid assets  0,93  
0350  1.2.8.1  Of which collateral swapped meets operational requirements  
0360  1.3  Totals for transactions in which Level 2A assets are lent and the following collateral is 
borrowed:  
0370  1.3.1  Level 1 assets (excl. EHQ covered bonds)  0,00
EN 19.3.2021 Official Journal of the European Union L 97/1783
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
0380  1.3.1.1  Of which collateral swapped meets operational requirements  
0390  1.3.2  Level 1: extremely high quality covered bonds  0,00  
0400  1.3.2.1  Of which collateral swapped meets operational requirements  
0410  1.3.3  Level 2A assets  0,00  
0420  1.3.3.1  Of which collateral swapped meets operational requirements  
0430  1.3.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,10  
0440  1.3.4.1  Of which collateral swapped meets operational requirements  
0450  1.3.5  Level 2B: high quality covered bonds  0,15  
0460  1.3.5.1  Of which collateral swapped meets operational requirements  
0470  1.3.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,20  
0480  1.3.6.1  Of which collateral swapped meets operational requirements
EN L 97/1784 Official Journal of the European Union 19.3.2021
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
0490  1.3.7  Other Level 2B  0,35  
0500  1.3.7.1  Of which collateral swapped meets operational requirements  
0510  1.3.8  Non-liquid assets  0,85  
0520  1.3.8.1  Of which collateral swapped meets operational requirements  
0530  1.4  Totals for transactions in which Level 2B: asset-backed securities (residential or auto ­
mobile, CQS1) are lent and the following collateral is borrowed:  
0540  1.4.1  Level 1 assets (excl. EHQ covered bonds)  0,00  
0550  1.4.1.1  Of which collateral swapped meets operational requirements  
0560  1.4.2  Level 1: extremely high quality covered bonds  0,00  
0570  1.4.2.1  Of which collateral swapped meets operational requirements  
0580  1.4.3  Level 2A assets  0,00  
0590  1.4.3.1  Of which collateral swapped meets operational requirements  
0600  1.4.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,00
EN 19.3.2021 Official Journal of the European Union L 97/1785
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
0610  1.4.4.1  Of which collateral swapped meets operational requirements  
0620  1.4.5  Level 2B: high quality covered bonds  0,05  
0630  1.4.5.1  Of which collateral swapped meets operational requirements  
0640  1.4.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,10  
0650  1.4.6.1  Of which collateral swapped meets operational requirements  
0660  1.4.7  Other Level 2B  0,25  
0670  1.4.7.1  Of which collateral swapped meets operational requirements  
0680  1.4.8  Non-liquid assets  0,75  
0690  1.4.8.1  Of which collateral swapped meets operational requirements  
0700  1.5  Totals for transactions in which Level 2B: high quality covered bonds are lent and the 
following collateral is borrowed:  
0710  1.5.1  Level 1 assets (excl. EHQ covered bonds)  0,00  
0720  1.5.1.1  Of which collateral swapped meets operational requirements
EN L 97/1786 Official Journal of the European Union 19.3.2021
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
0730  1.5.2  Level 1: extremely high quality covered bonds  0,00  
0740  1.5.2.1  Of which collateral swapped meets operational requirements  
0750  1.5.3  Level 2A assets  0,00  
0760  1.5.3.1  Of which collateral swapped meets operational requirements  
0770  1.5.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,00  
0780  1.5.4.1  Of which collateral swapped meets operational requirements  
0790  1.5.5  Level 2B: high quality covered bonds  0,00  
0800  1.5.5.1  Of which collateral swapped meets operational requirements  
0810  1.5.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,05  
0820  1.5.6.1  Of which collateral swapped meets operational requirements  
0830  1.5.7  Other Level 2B  0,20  
0840  1.5.7.1  Of which collateral swapped meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1787
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
0850  1.5.8  Non-liquid assets  0,70  
0860  1.5.8.1  Of which collateral swapped meets operational requirements  
0870  1.6  Totals for transactions in which Level 2B: asset-backed securities (commercial or 
individuals, Member State, CQS1) are lent and the following collateral is borrowed:  
0880  1.6.1  Level 1 assets (excl. EHQ covered bonds)  0,00  
0890  1.6.1.1  Of which collateral swapped meets operational requirements  
0900  1.6.2  Level 1: extremely high quality covered bonds  0,00  
0910  1.6.2.1  Of which collateral swapped meets operational requirements  
0920  1.6.3  Level 2A assets  0,00  
0930  1.6.3.1  Of which collateral swapped meets operational requirements  
0940  1.6.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,00  
0950  1.6.4.1  Of which collateral swapped meets operational requirements  
0960  1.6.5  Level 2B: high quality covered bonds  0,00
EN L 97/1788 Official Journal of the European Union 19.3.2021
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
0970  1.6.5.1  Of which collateral swapped meets operational requirements  
0980  1.6.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,00  
0990  1.6.6.1  Of which collateral swapped meets operational requirements  
1000  1.6.7  Other Level 2B  0,15  
1010  1.6.7.1  Of which collateral swapped meets operational requirements  
1020  1.6.8  Non-liquid assets  0,65  
1030  1.6.8.1  Of which collateral swapped meets operational requirements  
1040  1.7  Totals for transactions in which Other Level 2B assets are lent and the following 
collateral is borrowed:  
1050  1.7.1  Level 1 assets (excl. EHQ covered bonds)  0,00  
1060  1.7.1.1  Of which collateral swapped meets operational requirements  
1070  1.7.2  Level 1: extremely high quality covered bonds  0,00  
1080  1.7.2.1  Of which collateral swapped meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1789
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
1090  1.7.3  Level 2A assets  0,00  
1100  1.7.3.1  Of which collateral swapped meets operational requirements  
1110  1.7.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,00  
1120  1.7.4.1  Of which collateral swapped meets operational requirements  
1130  1.7.5  Level 2B: high quality covered bonds  0,00  
1140  1.7.5.1  Of which collateral swapped meets operational requirements  
1150  1.7.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,00  
1160  1.7.6.1  Of which collateral swapped meets operational requirements  
1170  1.7.7  Other Level 2B  0,00  
1180  1.7.7.1  Of which collateral swapped meets operational requirements  
1190  1.7.8  Non-liquid assets  0,50  
1200  1.7.8.1  Of which collateral swapped meets operational requirements
EN L 97/1790 Official Journal of the European Union 19.3.2021
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
1210  1.8  Totals for transactions in which Non-liquid assets are lent and the following collateral 
is borrowed:  
1220  1.8.1  Level 1 assets (excl. EHQ covered bonds)  0,00  
1230  1.8.1.1  Of which collateral swapped meets operational requirements  
1240  1.8.2  Level 1: extremely high quality covered bonds  0,00  
1250  1.8.2.1  Of which collateral swapped meets operational requirements  
1260  1.8.3  Level 2A assets  0,00  
1270  1.8.3.1  Of which collateral swapped meets operational requirements  
1280  1.8.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,00  
1290  1.8.4.1  Of which collateral swapped meets operational requirements  
1300  1.8.5  Level 2B: high quality covered bonds  0,00  
1310  1.8.5.1  Of which collateral swapped meets operational requirements  
1320  1.8.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,00
EN 19.3.2021 Official Journal of the European Union L 97/1791
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
1330  1.8.6.1  Of which collateral swapped meets operational requirements  
1340  1.8.7  Other Level 2B  0,00  
1350  1.8.7.1  Of which collateral swapped meets operational requirements  
1360  1.8.8  Non-liquid assets  
1370  2  TOTAL COLLATERAL SWAPS  (counterparty is non-central bank)  
1380  2.1  Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and 
the following collateral is borrowed:  
1390  2.1.1  Level 1 assets (excl. EHQ covered bonds)  0,00  
1400  2.1.1.1  Of which collateral swapped meets operational requirements  
1410  2.1.2  Level 1: extremely high quality covered bonds  0,07  
1420  2.1.2.1  Of which collateral swapped meets operational requirements  
1430  2.1.3  Level 2A assets  0,15  
1440  2.1.3.1  Of which collateral swapped meets operational requirements
EN L 97/1792 Official Journal of the European Union 19.3.2021
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
1450  2.1.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,25  
1460  2.1.4.1  Of which collateral swapped meets operational requirements  
1470  2.1.5  Level 2B: high quality covered bonds  0,30  
1480  2.1.5.1  Of which collateral swapped meets operational requirements  
1490  2.1.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,35  
1500  2.1.6.1  Of which collateral swapped meets operational requirements  
1510  2.1.7  Other Level 2B  0,50  
1520  2.1.7.1  Of which collateral swapped meets operational requirements  
1530  2.1.8  Non-liquid assets  1,00  
1540  2.1.8.1  Of which collateral swapped meets operational requirements  
1550  2.2  Totals for transactions in which Level 1: extremely high quality covered bonds are 
lent and the following collateral is borrowed:  
1560  2.2.1  Level 1 assets (excl. EHQ covered bonds)  0,07
EN 19.3.2021 Official Journal of the European Union L 97/1793
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
1570  2.2.1.1  Of which collateral swapped meets operational requirements  
1580  2.2.2  Level 1: extremely high quality covered bonds  0,00  
1590  2.2.2.1  Of which collateral swapped meets operational requirements  
1600  2.2.3  Level 2A assets  0,08  
1610  2.2.3.1  Of which collateral swapped meets operational requirements  
1620  2.2.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,18  
1630  2.2.4.1  Of which collateral swapped meets operational requirements  
1640  2.2.5  Level 2B: high quality covered bonds  0,23  
1650  2.2.5.1  Of which collateral swapped meets operational requirements  
1660  2.2.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,28  
1670  2.2.6.1  Of which collateral swapped meets operational requirements  
1680  2.2.7  Other Level 2B  0,43
EN L 97/1794 Official Journal of the European Union 19.3.2021
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
1690  2.2.7.1  Of which collateral swapped meets operational requirements  
1700  2.2.8  Non-liquid assets  0,93  
1710  2.2.8.1  Of which collateral swapped meets operational requirements  
1720  2.3  Totals for transactions in which Level 2A assets are lent and the following collateral is 
borrowed:  
1730  2.3.1  Level 1 assets (excl. EHQ covered bonds)  0,15  
1740  2.3.1.1  Of which collateral swapped meets operational requirements  
1750  2.3.2  Level 1: extremely high quality covered bonds  0,08  
1760  2.3.2.1  Of which collateral swapped meets operational requirements  
1770  2.3.3  Level 2A assets  0,00  
1780  2.3.3.1  Of which collateral swapped meets operational requirements  
1790  2.3.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,10  
1800  2.3.4.1  Of which collateral swapped meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1795
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
1810  2.3.5  Level 2B: high quality covered bonds  0,15  
1820  2.3.5.1  Of which collateral swapped meets operational requirements  
1830  2.3.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,20  
1840  2.3.6.1  Of which collateral swapped meets operational requirements  
1850  2.3.7  Other Level 2B  0,35  
1860  2.3.7.1  Of which collateral swapped meets operational requirements  
1870  2.3.8  Non-liquid assets  0,85  
1880  2.3.8.1  Of which collateral swapped meets operational requirements  
1890  2.4  Totals for transactions in which Level 2B: asset-backed securities (residential or auto ­
mobile, CQS1) are lent and the following collateral is borrowed:  
1900  2.4.1  Level 1 assets (excl. EHQ covered bonds)  0,25  
1910  2.4.1.1  Of which collateral swapped meets operational requirements  
1920  2.4.2  Level 1: extremely high quality covered bonds  0,18
EN L 97/1796 Official Journal of the European Union 19.3.2021
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
1930  2.4.2.1  Of which collateral swapped meets operational requirements  
1940  2.4.3  Level 2A assets  0,10  
1950  2.4.3.1  Of which collateral swapped meets operational requirements  
1960  2.4.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,00  
1970  2.4.4.1  Of which collateral swapped meets operational requirements  
1980  2.4.5  Level 2B: high quality covered bonds  0,05  
1990  2.4.5.1  Of which collateral swapped meets operational requirements  
2000  2.4.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,10  
2010  2.4.6.1  Of which collateral swapped meets operational requirements  
2020  2.4.7  Other Level 2B  0,25  
2030  2.4.7.1  Of which collateral swapped meets operational requirements  
2040  2.4.8  Non-liquid assets  0,75
EN 19.3.2021 Official Journal of the European Union L 97/1797
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
2050  2.4.8.1  Of which collateral swapped meets operational requirements  
2060  2.5  Totals for transactions in which Level 2B: high quality covered bonds are lent and the 
following collateral is borrowed:  
2070  2.5.1  Level 1 assets (excl. EHQ covered bonds)  0,30  
2080  2.5.1.1  Of which collateral swapped meets operational requirements  
2090  2.5.2  Level 1: extremely high quality covered bonds  0,23  
2100  2.5.2.1  Of which collateral swapped meets operational requirements  
2110  2.5.3  Level 2A assets  0,15  
2120  2.5.3.1  Of which collateral swapped meets operational requirements  
2130  2.5.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,05  
2140  2.5.4.1  Of which collateral swapped meets operational requirements  
2150  2.5.5  Level 2B: high quality covered bonds  0,00  
2160  2.5.5.1  Of which collateral swapped meets operational requirements
EN L 97/1798 Official Journal of the European Union 19.3.2021
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
2170  2.5.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,05  
2180  2.5.6.1  Of which collateral swapped meets operational requirements  
2190  2.5.7  Other Level 2B  0,20  
2200  2.5.7.1  Of which collateral swapped meets operational requirements  
2210  2.5.8  Non-liquid assets  0,70  
2220  2.5.8.1  Of which collateral swapped meets operational requirements  
2230  2.6  Totals for transactions in which Level 2B: asset-backed securities (commercial or 
individuals, Member State, CQS1) are lent and the following collateral is borrowed:  
2240  2.6.1  Level 1 assets (excl. EHQ covered bonds)  0,35  
2250  2.6.1.1  Of which collateral swapped meets operational requirements  
2260  2.6.2  Level 1: extremely high quality covered bonds  0,28  
2270  2.6.2.1  Of which collateral swapped meets operational requirements  
2280  2.6.3  Level 2A assets  0,20
EN 19.3.2021 Official Journal of the European Union L 97/1799
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
2290  2.6.3.1  Of which collateral swapped meets operational requirements  
2300  2.6.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,10  
2310  2.6.4.1  Of which collateral swapped meets operational requirements  
2320  2.6.5  Level 2B: high quality covered bonds  0,05  
2330  2.6.5.1  Of which collateral swapped meets operational requirements  
2340  2.6.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,00  
2350  2.6.6.1  Of which collateral swapped meets operational requirements  
2360  2.6.7  Other Level 2B  0,15  
2370  2.6.7.1  Of which collateral swapped meets operational requirements  
2380  2.6.8  Non-liquid assets  0,65  
2390  2.6.8.1  Of which collateral swapped meets operational requirements  
2400  2.7  Totals for transactions in which Other Level 2B assets are lent and the following 
collateral is borrowed:
EN L 97/1800 Official Journal of the European Union 19.3.2021
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
2410  2.7.1  Level 1 assets (excl. EHQ covered bonds)  0,50  
2420  2.7.1.1  Of which collateral swapped meets operational requirements  
2430  2.7.2  Level 1: extremely high quality covered bonds  0,43  
2440  2.7.2.1  Of which collateral swapped meets operational requirements  
2450  2.7.3  Level 2A assets  0,35  
2460  2.7.3.1  Of which collateral swapped meets operational requirements  
2470  2.7.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,25  
2480  2.7.4.1  Of which collateral swapped meets operational requirements  
2490  2.7.5  Level 2B: high quality covered bonds  0,20  
2500  2.7.5.1  Of which collateral swapped meets operational requirements  
2510  2.7.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,15  
2520  2.7.6.1  Of which collateral swapped meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1801
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
2530  2.7.7  Other Level 2B  0,00  
2540  2.7.7.1  Of which collateral swapped meets operational requirements  
2550  2.7.8  Non-liquid assets  0,50  
2560  2.7.8.1  Of which collateral swapped meets operational requirements  
2570  2.8  Totals for transactions in which Non-liquid assets are lent and the following collateral 
is borrowed:  
2580  2.8.1  Level 1 assets (excl. EHQ covered bonds)  1,00  
2590  2.8.1.1  Of which collateral swapped meets operational requirements  
2600  2.8.2  Level 1: extremely high quality covered bonds  0,93  
2610  2.8.2.1  Of which collateral swapped meets operational requirements  
2620  2.8.3  Level 2A assets  0,85  
2630  2.8.3.1  Of which collateral swapped meets operational requirements  
2640  2.8.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  0,75
EN L 97/1802 Official Journal of the European Union 19.3.2021
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
2650  2.8.4.1  Of which collateral swapped meets operational requirements  
2660  2.8.5  Level 2B: high quality covered bonds  0,70  
2670  2.8.5.1  Of which collateral swapped meets operational requirements  
2680  2.8.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  0,65  
2690  2.8.6.1  Of which collateral swapped meets operational requirements  
2700  2.8.7  Other Level 2B  0,50  
2710  2.8.7.1  Of which collateral swapped meets operational requirements  
2720  2.8.8  Non-liquid assets  
MEMORANDUM ITEMS  
2730  3  Total collateral swaps (all counterparties) where borrowed collateral has been used to 
cover short positions  
2740  4  Total collateral swaps with intragroup counterparties  
5 Collateral swaps waived from Article 17 (2) and (3)
EN 19.3.2021 Official Journal of the European Union L 97/1803
 Market 
value of 
collateral 
lent  Liquidity 
value of 
collateral 
lent  Market 
value of 
collateral 
borrowed  Liquidity 
value of 
collateral 
borrowed  Standard 
weight  
Row  ID  Item  0010  0020  0030  0040  0050  
2750  5.1  of which: collateral borrowed is L1 excl. EHQCB  
2760  5.2  of which: collateral borrowed is L1 EHQCB  
2770  5.3  of which: collateral borrowed is L2A  
2780  5.4  of which: collateral borrowed is L2B  
2790  5.5  of which: collateral lent is L1 excl. EHQCB  
2800  5.6  of which: collateral lent is L1 EHQCB  
2810  5.7  of which: collateral lent is L2A  
2820  5.8  of which: collateral lent is L2B
EN L 97/1804 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
0010  1  TOTAL COLLATERAL SWAPS  (counterparty is central bank)  
0020  1.1  Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and 
the following collateral is borrowed:  
0030  1.1.1  Level 1 assets (excl. EHQ covered bonds)  
0040  1.1.1.1  Of which collateral swapped meets operational requirements  
0050  1.1.2  Level 1: extremely high quality covered bonds  
0060  1.1.2.1  Of which collateral swapped meets operational requirements  
0070  1.1.3  Level 2A assets  
0080  1.1.3.1  Of which collateral swapped meets operational requirements  
0090  1.1.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
0100  1.1.4.1  Of which collateral swapped meets operational requirements  
0110  1.1.5  Level 2B: high quality covered bonds  
0120  1.1.5.1  Of which collateral swapped meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1805
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
0130  1.1.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
0140  1.1.6.1  Of which collateral swapped meets operational requirements  
0150  1.1.7  Other Level 2B  
0160  1.1.7.1  Of which collateral swapped meets operational requirements  
0170  1.1.8  Non-liquid assets  
0180  1.1.8.1  Of which collateral swapped meets operational requirements  
0190  1.2  Totals for transactions in which Level 1: extremely high quality covered bonds are 
lent and the following collateral is borrowed:  
0200  1.2.1  Level 1 assets (excl. EHQ covered bonds)  
0210  1.2.1.1  Of which collateral swapped meets operational requirements  
0220  1.2.2  Level 1: extremely high quality covered bonds  
0230  1.2.2.1  Of which collateral swapped meets operational requirements  
0240  1.2.3  Level 2A assets
EN L 97/1806 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
0250  1.2.3.1  Of which collateral swapped meets operational requirements  
0260  1.2.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
0270  1.2.4.1  Of which collateral swapped meets operational requirements  
0280  1.2.5  Level 2B: high quality covered bonds  
0290  1.2.5.1  Of which collateral swapped meets operational requirements  
0300  1.2.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
0310  1.2.6.1  Of which collateral swapped meets operational requirements  
0320  1.2.7  Other Level 2B  
0330  1.2.7.1  Of which collateral swapped meets operational requirements  
0340  1.2.8  Non-liquid assets  
0350  1.2.8.1  Of which collateral swapped meets operational requirements  
0360  1.3  Totals for transactions in which Level 2A assets are lent and the following collateral is 
borrowed:  
0370  1.3.1  Level 1 assets (excl. EHQ covered bonds)
EN 19.3.2021 Official Journal of the European Union L 97/1807
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
0380  1.3.1.1  Of which collateral swapped meets operational requirements  
0390  1.3.2  Level 1: extremely high quality covered bonds  
0400  1.3.2.1  Of which collateral swapped meets operational requirements  
0410  1.3.3  Level 2A assets  
0420  1.3.3.1  Of which collateral swapped meets operational requirements  
0430  1.3.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
0440  1.3.4.1  Of which collateral swapped meets operational requirements  
0450  1.3.5  Level 2B: high quality covered bonds  
0460  1.3.5.1  Of which collateral swapped meets operational requirements  
0470  1.3.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
0480  1.3.6.1  Of which collateral swapped meets operational requirements
EN L 97/1808 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
0490  1.3.7  Other Level 2B  
0500  1.3.7.1  Of which collateral swapped meets operational requirements  
0510  1.3.8  Non-liquid assets  
0520  1.3.8.1  Of which collateral swapped meets operational requirements  
0530  1.4  Totals for transactions in which Level 2B: asset-backed securities (residential or auto ­
mobile, CQS1) are lent and the following collateral is borrowed:  
0540  1.4.1  Level 1 assets (excl. EHQ covered bonds)  
0550  1.4.1.1  Of which collateral swapped meets operational requirements  
0560  1.4.2  Level 1: extremely high quality covered bonds  
0570  1.4.2.1  Of which collateral swapped meets operational requirements  
0580  1.4.3  Level 2A assets  
0590  1.4.3.1  Of which collateral swapped meets operational requirements  
0600  1.4.4  Level 2B: asset-backed securities (residential or automobile, CQS1)
EN 19.3.2021 Official Journal of the European Union L 97/1809
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
0610  1.4.4.1  Of which collateral swapped meets operational requirements  
0620  1.4.5  Level 2B: high quality covered bonds  
0630  1.4.5.1  Of which collateral swapped meets operational requirements  
0640  1.4.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
0650  1.4.6.1  Of which collateral swapped meets operational requirements  
0660  1.4.7  Other Level 2B  
0670  1.4.7.1  Of which collateral swapped meets operational requirements  
0680  1.4.8  Non-liquid assets  
0690  1.4.8.1  Of which collateral swapped meets operational requirements  
0700  1.5  Totals for transactions in which Level 2B: high quality covered bonds are lent and the 
following collateral is borrowed:  
0710  1.5.1  Level 1 assets (excl. EHQ covered bonds)  
0720  1.5.1.1  Of which collateral swapped meets operational requirements
EN L 97/1810 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
0730  1.5.2  Level 1: extremely high quality covered bonds  
0740  1.5.2.1  Of which collateral swapped meets operational requirements  
0750  1.5.3  Level 2A assets  
0760  1.5.3.1  Of which collateral swapped meets operational requirements  
0770  1.5.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
0780  1.5.4.1  Of which collateral swapped meets operational requirements  
0790  1.5.5  Level 2B: high quality covered bonds  
0800  1.5.5.1  Of which collateral swapped meets operational requirements  
0810  1.5.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
0820  1.5.6.1  Of which collateral swapped meets operational requirements  
0830  1.5.7  Other Level 2B  
0840  1.5.7.1  Of which collateral swapped meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1811
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
0850  1.5.8  Non-liquid assets  
0860  1.5.8.1  Of which collateral swapped meets operational requirements  
0870  1.6  Totals for transactions in which Level 2B: asset-backed securities (commercial or 
individuals, Member State, CQS1) are lent and the following collateral is borrowed:  
0880  1.6.1  Level 1 assets (excl. EHQ covered bonds)  
0890  1.6.1.1  Of which collateral swapped meets operational requirements  
0900  1.6.2  Level 1: extremely high quality covered bonds  
0910  1.6.2.1  Of which collateral swapped meets operational requirements  
0920  1.6.3  Level 2A assets  
0930  1.6.3.1  Of which collateral swapped meets operational requirements  
0940  1.6.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
0950  1.6.4.1  Of which collateral swapped meets operational requirements  
0960  1.6.5  Level 2B: high quality covered bonds
EN L 97/1812 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
0970  1.6.5.1  Of which collateral swapped meets operational requirements  
0980  1.6.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
0990  1.6.6.1  Of which collateral swapped meets operational requirements  
1000  1.6.7  Other Level 2B  
1010  1.6.7.1  Of which collateral swapped meets operational requirements  
1020  1.6.8  Non-liquid assets  
1030  1.6.8.1  Of which collateral swapped meets operational requirements  
1040  1.7  Totals for transactions in which Other Level 2B assets are lent and the following 
collateral is borrowed:  
1050  1.7.1  Level 1 assets (excl. EHQ covered bonds)  
1060  1.7.1.1  Of which collateral swapped meets operational requirements  
1070  1.7.2  Level 1: extremely high quality covered bonds  
1080  1.7.2.1  Of which collateral swapped meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1813
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
1090  1.7.3  Level 2A assets  
1100  1.7.3.1  Of which collateral swapped meets operational requirements  
1110  1.7.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
1120  1.7.4.1  Of which collateral swapped meets operational requirements  
1130  1.7.5  Level 2B: high quality covered bonds  
1140  1.7.5.1  Of which collateral swapped meets operational requirements  
1150  1.7.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
1160  1.7.6.1  Of which collateral swapped meets operational requirements  
1170  1.7.7  Other Level 2B  
1180  1.7.7.1  Of which collateral swapped meets operational requirements  
1190  1.7.8  Non-liquid assets  
1200  1.7.8.1  Of which collateral swapped meets operational requirements
EN L 97/1814 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
1210  1.8  Totals for transactions in which Non-liquid assets are lent and the following collateral 
is borrowed:  
1220  1.8.1  Level 1 assets (excl. EHQ covered bonds)  
1230  1.8.1.1  Of which collateral swapped meets operational requirements  
1240  1.8.2  Level 1: extremely high quality covered bonds  
1250  1.8.2.1  Of which collateral swapped meets operational requirements  
1260  1.8.3  Level 2A assets  
1270  1.8.3.1  Of which collateral swapped meets operational requirements  
1280  1.8.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
1290  1.8.4.1  Of which collateral swapped meets operational requirements  
1300  1.8.5  Level 2B: high quality covered bonds  
1310  1.8.5.1  Of which collateral swapped meets operational requirements  
1320  1.8.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)
EN 19.3.2021 Official Journal of the European Union L 97/1815
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
1330  1.8.6.1  Of which collateral swapped meets operational requirements  
1340  1.8.7  Other Level 2B  
1350  1.8.7.1  Of which collateral swapped meets operational requirements  
1360  1.8.8  Non-liquid assets  
1370  2  TOTAL COLLATERAL SWAPS  (counterparty is non-central bank)  
1380  2.1  Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and 
the following collateral is borrowed:  
1390  2.1.1  Level 1 assets (excl. EHQ covered bonds)  
1400  2.1.1.1  Of which collateral swapped meets operational requirements  
1410  2.1.2  Level 1: extremely high quality covered bonds  
1420  2.1.2.1  Of which collateral swapped meets operational requirements  
1430  2.1.3  Level 2A assets  
1440  2.1.3.1  Of which collateral swapped meets operational requirements
EN L 97/1816 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
1450  2.1.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
1460  2.1.4.1  Of which collateral swapped meets operational requirements  
1470  2.1.5  Level 2B: high quality covered bonds  
1480  2.1.5.1  Of which collateral swapped meets operational requirements  
1490  2.1.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
1500  2.1.6.1  Of which collateral swapped meets operational requirements  
1510  2.1.7  Other Level 2B  
1520  2.1.7.1  Of which collateral swapped meets operational requirements  
1530  2.1.8  Non-liquid assets  
1540  2.1.8.1  Of which collateral swapped meets operational requirements  
1550  2.2  Totals for transactions in which Level 1: extremely high quality covered bonds are 
lent and the following collateral is borrowed:  
1560  2.2.1  Level 1 assets (excl. EHQ covered bonds)
EN 19.3.2021 Official Journal of the European Union L 97/1817
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
1570  2.2.1.1  Of which collateral swapped meets operational requirements  
1580  2.2.2  Level 1: extremely high quality covered bonds  
1590  2.2.2.1  Of which collateral swapped meets operational requirements  
1600  2.2.3  Level 2A assets  
1610  2.2.3.1  Of which collateral swapped meets operational requirements  
1620  2.2.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
1630  2.2.4.1  Of which collateral swapped meets operational requirements  
1640  2.2.5  Level 2B: high quality covered bonds  
1650  2.2.5.1  Of which collateral swapped meets operational requirements  
1660  2.2.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
1670  2.2.6.1  Of which collateral swapped meets operational requirements  
1680  2.2.7  Other Level 2B
EN L 97/1818 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
1690  2.2.7.1  Of which collateral swapped meets operational requirements  
1700  2.2.8  Non-liquid assets  
1710  2.2.8.1  Of which collateral swapped meets operational requirements  
1720  2.3  Totals for transactions in which Level 2A assets are lent and the following collateral is 
borrowed:  
1730  2.3.1  Level 1 assets (excl. EHQ covered bonds)  
1740  2.3.1.1  Of which collateral swapped meets operational requirements  
1750  2.3.2  Level 1: extremely high quality covered bonds  
1760  2.3.2.1  Of which collateral swapped meets operational requirements  
1770  2.3.3  Level 2A assets  
1780  2.3.3.1  Of which collateral swapped meets operational requirements  
1790  2.3.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
1800  2.3.4.1  Of which collateral swapped meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1819
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
1810  2.3.5  Level 2B: high quality covered bonds  
1820  2.3.5.1  Of which collateral swapped meets operational requirements  
1830  2.3.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
1840  2.3.6.1  Of which collateral swapped meets operational requirements  
1850  2.3.7  Other Level 2B  
1860  2.3.7.1  Of which collateral swapped meets operational requirements  
1870  2.3.8  Non-liquid assets  
1880  2.3.8.1  Of which collateral swapped meets operational requirements  
1890  2.4  Totals for transactions in which Level 2B: asset-backed securities (residential or auto ­
mobile, CQS1) are lent and the following collateral is borrowed:  
1900  2.4.1  Level 1 assets (excl. EHQ covered bonds)  
1910  2.4.1.1  Of which collateral swapped meets operational requirements  
1920  2.4.2  Level 1: extremely high quality covered bonds
EN L 97/1820 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
1930  2.4.2.1  Of which collateral swapped meets operational requirements  
1940  2.4.3  Level 2A assets  
1950  2.4.3.1  Of which collateral swapped meets operational requirements  
1960  2.4.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
1970  2.4.4.1  Of which collateral swapped meets operational requirements  
1980  2.4.5  Level 2B: high quality covered bonds  
1990  2.4.5.1  Of which collateral swapped meets operational requirements  
2000  2.4.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
2010  2.4.6.1  Of which collateral swapped meets operational requirements  
2020  2.4.7  Other Level 2B  
2030  2.4.7.1  Of which collateral swapped meets operational requirements  
2040  2.4.8  Non-liquid assets
EN 19.3.2021 Official Journal of the European Union L 97/1821
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
2050  2.4.8.1  Of which collateral swapped meets operational requirements  
2060  2.5  Totals for transactions in which Level 2B: high quality covered bonds are lent and the 
following collateral is borrowed:  
2070  2.5.1  Level 1 assets (excl. EHQ covered bonds)  
2080  2.5.1.1  Of which collateral swapped meets operational requirements  
2090  2.5.2  Level 1: extremely high quality covered bonds  
2100  2.5.2.1  Of which collateral swapped meets operational requirements  
2110  2.5.3  Level 2A assets  
2120  2.5.3.1  Of which collateral swapped meets operational requirements  
2130  2.5.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
2140  2.5.4.1  Of which collateral swapped meets operational requirements  
2150  2.5.5  Level 2B: high quality covered bonds  
2160  2.5.5.1  Of which collateral swapped meets operational requirements
EN L 97/1822 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
2170  2.5.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
2180  2.5.6.1  Of which collateral swapped meets operational requirements  
2190  2.5.7  Other Level 2B  
2200  2.5.7.1  Of which collateral swapped meets operational requirements  
2210  2.5.8  Non-liquid assets  
2220  2.5.8.1  Of which collateral swapped meets operational requirements  
2230  2.6  Totals for transactions in which Level 2B: asset-backed securities (commercial or 
individuals, Member State, CQS1) are lent and the following collateral is borrowed:  
2240  2.6.1  Level 1 assets (excl. EHQ covered bonds)  
2250  2.6.1.1  Of which collateral swapped meets operational requirements  
2260  2.6.2  Level 1: extremely high quality covered bonds  
2270  2.6.2.1  Of which collateral swapped meets operational requirements  
2280  2.6.3  Level 2A assets
EN 19.3.2021 Official Journal of the European Union L 97/1823
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
2290  2.6.3.1  Of which collateral swapped meets operational requirements  
2300  2.6.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
2310  2.6.4.1  Of which collateral swapped meets operational requirements  
2320  2.6.5  Level 2B: high quality covered bonds  
2330  2.6.5.1  Of which collateral swapped meets operational requirements  
2340  2.6.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
2350  2.6.6.1  Of which collateral swapped meets operational requirements  
2360  2.6.7  Other Level 2B  
2370  2.6.7.1  Of which collateral swapped meets operational requirements  
2380  2.6.8  Non-liquid assets  
2390  2.6.8.1  Of which collateral swapped meets operational requirements  
2400  2.7  Totals for transactions in which Other Level 2B assets are lent and the following 
collateral is borrowed:
EN L 97/1824 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
2410  2.7.1  Level 1 assets (excl. EHQ covered bonds)  
2420  2.7.1.1  Of which collateral swapped meets operational requirements  
2430  2.7.2  Level 1: extremely high quality covered bonds  
2440  2.7.2.1  Of which collateral swapped meets operational requirements  
2450  2.7.3  Level 2A assets  
2460  2.7.3.1  Of which collateral swapped meets operational requirements  
2470  2.7.4  Level 2B: asset-backed securities (residential or automobile, CQS1)  
2480  2.7.4.1  Of which collateral swapped meets operational requirements  
2490  2.7.5  Level 2B: high quality covered bonds  
2500  2.7.5.1  Of which collateral swapped meets operational requirements  
2510  2.7.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
2520  2.7.6.1  Of which collateral swapped meets operational requirements
EN 19.3.2021 Official Journal of the European Union L 97/1825
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
2530  2.7.7  Other Level 2B  
2540  2.7.7.1  Of which collateral swapped meets operational requirements  
2550  2.7.8  Non-liquid assets  
2560  2.7.8.1  Of which collateral swapped meets operational requirements  
2570  2.8  Totals for transactions in which Non-liquid assets are lent and the following collateral 
is borrowed:  
2580  2.8.1  Level 1 assets (excl. EHQ covered bonds)  
2590  2.8.1.1  Of which collateral swapped meets operational requirements  
2600  2.8.2  Level 1: extremely high quality covered bonds  
2610  2.8.2.1  Of which collateral swapped meets operational requirements  
2620  2.8.3  Level 2A assets  
2630  2.8.3.1  Of which collateral swapped meets operational requirements  
2640  2.8.4  Level 2B: asset-backed securities (residential or automobile, CQS1)
EN L 97/1826 Official Journal of the European Union 19.3.2021
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
2650  2.8.4.1  Of which collateral swapped meets operational requirements  
2660  2.8.5  Level 2B: high quality covered bonds  
2670  2.8.5.1  Of which collateral swapped meets operational requirements  
2680  2.8.6  Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)  
2690  2.8.6.1  Of which collateral swapped meets operational requirements  
2700  2.8.7  Other Level 2B  
2710  2.8.7.1  Of which collateral swapped meets operational requirements  
2720  2.8.8  Non-liquid assets  
MEMORANDUM ITEMS  
2730  3  Total collateral swaps (all counterparties) where borrowed collateral has been used to 
cover short positions  
2740  4  Total collateral swaps with intragroup counterparties  
5 Collateral swaps waived from Article 17 (2) and (3)
EN 19.3.2021 Official Journal of the European Union L 97/1827
 Applicable 
weight  Outflows  Inflows 
subject to 
the 75% 
cap on 
inflows  Inflows 
subject to 
the 90% 
cap on 
inflows  Inflows 
exempted 
from the 
cap on 
inflows  
Row  ID  Item  0060  0070  0080  0090  0100  
2750  5.1  of which: collateral borrowed is L1 excl. EHQCB  
2760  5.2  of which: collateral borrowed is L1 EHQCB  
2770  5.3  of which: collateral borrowed is L2A  
2780  5.4  of which: collateral borrowed is L2B  
2790  5.5  of which: collateral lent is L1 excl. EHQCB  
2800  5.6  of which: collateral lent is L1 EHQCB  
2810  5.7  of which: collateral lent is L2A  
2820  5.8  of which: collateral lent is L2B
EN L 97/1828 Official Journal of the European Union 19.3.2021
 C 76.00 — LIQUIDITY COVERAGE — CALCULATIONS  
Currency  
Value / 
Percentage  
Row  ID  Item  010  
CALCULATIONS  
Numerator, denominator, ratio  
0010  1  Liquidity buffer  
0020  2  Net liquidity outflow  
0030  3  Liquidity coverage ratio (%)  
Numerator calculations  
0040  4  L1 excl. EHQCB liquidity buffer (value in accordance with Article 9): unadjusted  
0050  5  L1 excl. EHQCB collateral 30 day outflows  
0060  6  L1 excl. EHQCB collateral 30 day inflows  
0070  7  Secured cash 30 day ouflows  
0080  8  Secured cash 30 day inflows  
0091  9  L1 excl. EHQCB  "adjusted amount " 
0100  10  L1 EHQCB value in accordance with Article 9: unadjusted
EN 19.3.2021 Official Journal of the European Union L 97/1829
 Value / 
Percentage  
Row  ID  Item  010 
0110  11  L1 EHQCB collateral 30 day outflows  
0120  12  L1 EHQCB collateral 30 day inflows  
0131  13  L1 EHQCB ‘adjusted amount’  
0160  14  L2A value in accordance with Article 9: unadjusted  
0170  15  L2A collateral 30 day outflows  
0180  16  L2A collateral 30 day inflows  
0191  17  L2A ‘adjusted amount’  
0220  18  L2B value in accordance with Article 9: unadjusted  
0230  19  L2B collateral 30 day outflows  
0240  20  L2B collateral 30 day inflows  
0251  21  L2B ‘adjusted amount’  
0280  22  Excess liquid asset amount
EN L 97/1830 Official Journal of the European Union 19.3.2021
 Value / 
Percentage  
Row  ID  Item  010 
0290  23  Liquidity buffer  
Denominator calculations  
0300  24  Total Outflows  
0310  25  Fully Exempt Inflows  
0320  26  Inflows Subject to 90% Cap  
0330  27  Inflows Subject to 75% Cap  
0340  28  Reduction for Fully Exempt Inflows  
0350  29  Reduction for Inflows Subject to 90% Cap  
0360  30  Reduction for Inflows Subject to 75% Cap  
0370  31  Net liquidity outflow  
Pillar 2  
0380  32  Pillar 2 requirement as set out in Article 105 CRD
 C 77.00 — LIQUIDITY COVERAGE — PERIMETER 
Parent or 
subsidiary  Name  Code  Type of code  National code  Country code  Type of entity  
0005  0010  0020  0021  0022  0040  0050EN 19.3.2021 Official Journal of the European Union L 97/1831
 
ANNEX XXV  
INSTRUCTIONS FOR COMPLETING LIQUIDITY TEMPLATES OF ANNEX XXIV  
PART 1: LIQUID ASSETS  
1. Liquid assets  
1.1. General remarks  
1. This is a summary template which contains information about assets for the purpose of reporting the 
liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61 (  1 ). Items 
which do not need to be completed by credit institutions are coloured grey.  
2. Assets reported shall comply with the requirements set out in Title II of Delegated Regulation (EU) 
2015/61.  
3. By way of derogation from point 2, credit institutions shall not apply currency restrictions in accordance 
with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 
2015/61 when completing the template in a separate currency in accordance with Article 415(2) of 
Regulation (EU) No 575/2013. Credit institutions shall still apply jurisdiction restrictions.  
4. Credit institutions shall report the template in the corresponding currencies in accordance with 
Article 415(2) of Regulation (EU) No 575/2013.  
5. In accordance with Article 9 of Delegated Regulation (EU) 2015/61, credit institutions shall report, where 
relevant, the amount/market value of liquid assets by taking into account the net liquidity outflows and 
inflows resulting from an early close-out of hedges referred to in point (b) of Article 8(5) and in 
accordance with the appropriate haircuts specified in Chapter 2 of that Delegated Regulation.  
6. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts. In these instructions the word 
‘weighted’ is used as general term for indicating the amount obtained after the application of the 
respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured 
lending and funding). The word ‘weight’ in the context of these instructions refers to a number 
between 0 and 1, which multiplied by the amount yields the weighted amount or the value referred 
to in Article 9 of Delegated Regulation (EU) 2015/61, respectively.  
7. Credit institutions shall not double report items within and across sections 1.1.1., 1.1.2., 1.2.1., and 1.2.2 
of the template.  
1.2. Specific remarks  
1.2.1. Specific requirements regarding CIUs  
8. For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13. of the template, 
credit institutions shall report the appropriate proportion of the market value of the CIUs corresponding 
to the liquid assets underlying the undertaking, in accordance with Article 15(4) of Delegated Regulation 
(EU) 2015/61.  
1.2.2. Specific requirements regarding grandfathering and transitional provisions  
9. Credit institutions shall report items as referred to in Articles 35 to 37 of Delegated Regulation (EU) 
2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these Articles shall 
also be reported in the ‘Memorandum’ section for reference.  
1.2.3. Specific requirements for reporting by Central Institutions  
10. Central institutions, when reporting liquid assets corresponding to deposits from credit institutions placed 
at the central institution that are considered as liquid assets for the depositing credit institution, shall 
ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the 
corresponding deposits in accordance with Article 27(3) of Delegated Regulation (EU) 2015/61.EN L 97/1832 Official Journal of the European Union 19.3.2021  
( 1 ) Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European 
Parliament and the Council with regard to liquidity coverage requirement for Credit institution (OJ L 11, 17.1.2015, p. 1).
 1.2.4. Specific requirements regarding settlement and forward starting transactions  
11. All assets complying with Articles 7, 8 and 9 of Delegated Regulation (EU) 2015/61 and which are in the 
stock of the credit institution on the reference date, shall be reported in the relevant row in template C72, 
even if they are sold or used in secured forward transactions. Consistently, no liquid assets from forward 
starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and 
forward purchases of liquid assets shall be reported in this template.  
1.2.5. Liquid assets sub template  
1.2.5.1. Instructions concerning specific columns  
Column  Legal references and instructions  
0010  Amount/Market value  
Credit institutions shall report in column 0010 the market value or the amount where 
applicable, of the liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61. 
The amount/market value reported in column 0010: 
— shall take into account net outflows and net inflows due to early close-out of hedges defined 
in Article 8(5) of the same Regulation; 
— shall not take into account haircuts specified in Title II of the same Regulation; 
— shall include the proportion of deposits referred to in point (a) of Article 16(1) of the same 
Regulation that are holding differing specific assets in the corresponding asset rows; 
— shall be reduced, where applicable, by the amount of deposits defined in Article 16 placed at 
the central credit institution as referred to in Article 27(3) of the same Regulation. 
When referring to Article 8(5) of Delegated Regulation (EU) 2015/61, credit institutions shall 
take into account the net cash flow, either outflow or inflow, that would arise if the hedge was 
to be closed out at the reporting reference date. Credit institutions shall not take into account 
potential future value changes in the asset.  
0020  Standard weight  
Column 0020 contains weights reflecting the amount obtained after the application of the 
respective haircuts specified in Title II of Delegated Regulation (EU) 2015/61. Weights are 
intended to reflect the reduction in value of the liquid assets after applying the appropriate 
haircuts.  
0030  Applicable weight  
Credit institutions shall report in column 0030 the applicable weight applied to liquid assets set 
out in Title II of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted 
average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 
per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but 
are not limited to, firm-specific and national discretions. The figure reported in column 0030 
shall not exceed the figure in column 0020.  
0040  Value in accordance with Article 9  
Credit institutions shall report in column 0040 the value of the liquid asset determined in 
accordance with Article 9 of Delegated Regulation (EU) 2015/61, which shall be the amount/ 
market value, taking into account net liquidity outflows and inflows due to early close-out of 
hedges, multiplied by the applicable weight.EN 19.3.2021 Official Journal of the European Union L 97/1833
 
1.2.5.2. Instructions concerning specific rows  
Row  Legal references and instructions  
0010  1.  TOTAL UNADJUSTED LIQUID ASSETS  
Title II of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the total amount/market value of their Liquid assets in column 
0010. 
Credit institutions shall report the total value calculated in accordance with Article 9 of their 
Liquid assets in column 0040.  
0020  1.1.  Total unadjusted level 1 assets  
Articles 10, 15, 16 and 19 of Delegated Regulation (EU) 2015/61 
Assets reported in this section shall have been explicitly identified as or treated as Level 1 assets 
in accordance with Delegated Regulation (EU) 2015/61. 
Credit institutions shall report the total amount/market value of their Level 1 Liquid assets in 
column 0010. 
Credit institutions shall report the total value calculated in accordance with Article 9 of their 
Level 1 Liquid assets in column 0040.  
0030  1.1.1.  Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds  
Articles 10, 15, 16 and 19 of Delegated Regulation (EU) 2015/61 
Assets reported in this subsection shall have been explicitly identified as or treated as Level 1 
assets in accordance with Delegated Regulation (EU) 2015/61. Assets and underlying assets that 
qualify as extremely high quality covered bonds as referred to in point (f) of Article 10(1) of 
Delegated Regulation (EU) 2015/61 shall not be reported in this subsection. 
Credit institutions shall report in column 0010 the sum of total market value/amount of Level 1 
assets, excluding extremely high quality covered bonds, without taking into account the 
requirements of Article 17 of Delegated Regulation (EU) 2015/61. 
Credit institutions shall report in column 0040 the sum of total weighted amount of Level 1 
assets, excluding extremely high quality covered bonds, without taking into account the 
requirements of Article 17 of Delegated Regulation (EU) 2015/61.  
0040  1.1.1.1.  Coins and banknotes  
Point (a) of Article 10(1) of Delegated Regulation (EU) 2015/61 
Total amount of cash arising from coins and banknotes.  
0050  1.1.1.2.  Withdrawable central bank reserves  
Point (b)(iii) of Article 10(1) of Delegated Regulation (EU) 2015/61 
Total amount of reserves, withdrawable at any time during periods of stress, held by the credit 
institution in the ECB, in a Member State’s central bank or in a third country’s central bank, 
provided that exposures to the third country’s central bank or its central government are 
assigned a credit assessment by a nominated ECAI (external credit assessment institution) 
which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) 
No 575/2013. 
Eligible withdrawable amount shall be specified by an agreement between the competent 
authority of the credit institution and the central bank in which the reserves are held or in 
the applicable rules of the third country as referred to in point (b)(iii) of Article 10(1) of 
Delegated Regulation (EU) 2015/61.EN L 97/1834 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0060  1.1.1.3.  Central bank assets  
Points (b)(i) and (b)(ii) of Article 10(1) of Delegated Regulation (EU) 2015/61 
Assets representing claims on or guaranteed by the ECB, a Member State’s central bank or a third 
country’s central bank, provided that exposures to the third country’s central bank or its central 
government are assigned a credit assessment by a nominated ECAI which is at least credit quality 
step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.  
0070  1.1.1.4.  Central government assets  
Points (c)(i) and (c)(ii) of Article 10(1) of Delegated Regulation (EU) 2015/61 
Assets representing claims on or guaranteed by the central government of a Member State or the 
central government of a third country, provided that those assets are assigned a credit assessment 
by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of 
Regulation (EU) No 575/2013. 
Assets issued by credit institutions which benefit from a guarantee from the central government 
of a Member State in accordance with Article 35 of Delegated Regulation (EU) 2015/61 shall be 
reported in this row. 
Assets issued by Member State-sponsored impaired assets management agencies as referred to in 
Article 36 of Delegated Regulation (EU) 2015/61 shall be reported in this row.  
0080  1.1.1.5.  Regional government/local authorities assets  
Points (c)(iii) and (c)(iv) of Article 10(1) of Delegated Regulation (EU) 2015/61 
Assets representing claims on or guaranteed by regional governments or local authorities in a 
Member State, provided that they are treated as exposures to the central government of the 
Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013.  
Assets representing claims on or guaranteed by regional governments or local authorities in a 
third country, being assigned a credit assessment by a nominated ECAI which is at least credit 
quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013 and provided 
they are treated as exposures to the central government of the third country in accordance with 
Article 115(4) of Regulation (EU) No 575/2013. 
Assets issued by credit institutions which benefit from a guarantee from a regional government 
or a local authority in a Member State in accordance with Article 35 of Delegated Regulation 
(EU) 2015/61 shall be reported in this row.  
0090  1.1.1.6.  Public Sector Entity assets  
Points (c)(v) and (c)(vi) of Article 10(1) Delegated Regulation (EU) 2015/61 
Assets representing claims on or guaranteed by public sector entities in a Member State or a 
third country, provided that those assets are treated as exposures to the central government, 
regional governments or local authorities of this Member State or third country in accordance 
with Article 116(4) of Regulation (EU) No 575/2013. 
Any exposures to central government of a third country referred to in a preceding paragraph 
shall be assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 
in accordance with Article 114(2) of Regulation (EU) No 575/2013.EN 19.3.2021 Official Journal of the European Union L 97/1835
 
Row  Legal references and instructions  
Any exposures to regional government or local authority of a third country referred to in this 
subsection shall be treated as exposures to the central government of the third country in 
accordance with Article 115(4) of Regulation (EU) No 575/2013.  
0100  1.1.1.7.  Recognisable domestic and foreign currency central government and central bank 
assets  
Point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61 
Assets representing claims on or guaranteed by the central government, or the central bank and 
reserves held in a central bank under the conditions of point (d)(ii) of Article 10(1) of Delegated 
Regulation (EU) 2015/61, of a third country which is not assigned a credit assessment by a 
nominated ECAI of at least credit quality step 1, provided that the credit institution recognises 
such assets in aggregate as Level 1 up to the amount of its stressed net liquidity outflows 
incurred in the same currency. 
Assets representing claims on or guaranteed by the central government, or the central bank and 
reserves held in a central bank under the conditions of point (d)(ii) of Article 10(1) of Delegated 
Regulation (EU) 2015/61, of a third country which is not assigned a credit assessment by a 
nominated ECAI of at least credit quality step 1, and those assets are not denominated in the 
domestic currency of that third country, provided that the credit institution recognises the assets 
as Level 1 up to the amount of its stressed net liquidity outflows in that foreign currency 
corresponding to its operations in the jurisdiction where the liquidity risk is being taken.  
0110  1.1.1.8.  Credit institution (protected by Member State government, promotional lender) 
assets  
Points (e)(i) and (e)(ii) of Article 10(1) of Delegated Regulation (EU) 2015/61 
Assets issued by credit institutions incorporated or established by the central government, 
regional government or local authority of a Member State that is under the legal obligation 
to protect the economic basis of the credit institution and maintain its financial viability. 
Assets issued by promotional lender in accordance with point (e)(ii) of Article 10(1) of 
Delegated Regulation (EU) 2015/61. 
Any exposures to regional government or local authority mentioned above shall be treated as 
exposures to the central government of the Member State in accordance with Article 115(2) of 
Regulation (EU) No 575/2013.  
0120  1.1.1.9.  Multilateral development bank and international organisations assets  
Point (g) of Article 10(1) of Delegated Regulation (EU) 2015/61 
Assets representing claims on or guaranteed by the multilateral development banks and the 
international organisations as referred to in Article 117(2) and Article 118 of Regulation 
(EU) No 575/2013.  
0130  1.1.1.10.  Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank 
exposure  
Point (a) of Article 15(2) of Delegated Regulation (EU) 2015/61 
Shares or units in CIUs whose underlying assets correspond to coins, banknotes, and exposures 
to the ECB, a Member State’s or a third country’s central bank, provided that exposures to the 
third country’s central bank or its central government are assigned a credit assessment by a 
nominated ECAI which is at least credit quality step 1  in accordance with Article 114(2) of 
Regulation (EU) No 575/2013.EN L 97/1836 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0140  1.1.1.11.  Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely 
high quality covered bonds  
Point (b) of Article 15(2) of Delegated Regulation (EU) 2015/61 
Shares or units in CIUs whose underlying assets correspond to assets that do qualify as Level 1 
assets, except coins, banknotes, exposures to the ECB, to a Member State’s or to a third country’s 
central bank, and extremely high quality covered bonds as specified in point (f) of Article 10(1) 
of Delegated Regulation (EU) 2015/61.  
0150  1.1.1.12.  Alternative Liquidity Approaches: Central bank credit facility  
Point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61 
Undrawn amount of credit facilities from the ECB, the central bank of a Member State or third 
country provided that the facility complies with the requirements laid down in points (b)(i) to 
(b)(iii) of Article 19(1) of Delegated Regulation (EU) 2015/61.  
0160  1.1.1.13.  Central credit institutions: Level 1 assets excluding extremely high quality 
covered bonds which are considered liquid assets for the depositing credit institution  
Article 27(3) of Delegated Regulation (EU) 2015/61 
In accordance with Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be 
identified which correspond to deposits from credit institutions placed at the central institution 
that are considered as liquid assets for the depositing credit institution. Those liquid assets shall 
not be counted to cover outflows other than from the corresponding deposits and shall be 
disregarded for the purposes of the calculations of the composition of the remaining liquidity 
buffer under Article 17 for the central institution at individual level. 
Central institutions, when reporting those assets, shall ensure that the reported amount of those 
liquid assets after haircut do not exceed the outflow from the corresponding deposits. 
Assets referred to in this row shall be level 1 assets excluding extremely high quality covered 
bonds.  
0170  1.1.1.14.  Alternative Liquidity Approaches: Level 2A assets recognised as Level 1  
Point (c) of Article 19(1) of Delegated Regulation (EU) 2015/61 
Where there is a deficit of level 1 assets, credit institutions shall report the amount of Level 2A 
assets they are recognising as Level 1 and not reporting as Level 2A in accordance with point (c) 
of Article 19(1) of Delegated Regulation (EU) 2015/61. Those assets shall not be reported in the 
Level 2A assets section.  
0180  1.1.2.  Total unadjusted Level 1 extremely high quality covered bonds  
Articles 10, 15 and 16 of Delegated Regulation (EU) 2015/61 
Assets reported in this subsection have been explicitly identified as or treated as Level 1 assets in 
accordance with Delegated Regulation (EU) 2015/61 and are, or whose underlying assets do 
qualify as, extremely high quality covered bonds as referred to in point (f) of Article 10(1) of 
Delegated Regulation (EU) 2015/61. 
Credit institutions shall report in column 0010 the sum of total market value/amount of Level 1 
extremely high quality covered bonds, without taking into account the requirements of 
Article 17 of Delegated Regulation (EU) 2015/61. 
Credit institutions shall report in column 0040 the sum of total weighted amount of Level 1 
extremely high quality covered bonds, without taking into account the requirements of 
Article 17 of Delegated Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1837
 
Row  Legal references and instructions  
0190  1.1.2.1.  Extremely high quality covered bonds  
Point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 
Assets representing exposures in the form of extremely high quality covered bonds which 
comply with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.  
0200  1.1.2.2.  Qualifying CIU shares/units: underlying is extremely high quality covered bonds  
Point (c) of Article 15(2) of Delegated Regulation (EU) 2015/61 
Shares or units in CIUs whose underlying assets correspond to assets that do qualify as extremely 
high quality covered bonds as specified in point (f) of Article 10(1) of Delegated Regulation (EU) 
2015/61.  
0210  1.1.2.3.  Central credit institutions: Level 1 extremely high quality covered bonds which 
are considered liquid assets for the depositing credit institution  
Article 27(3) of Delegated Regulation (EU) 2015/61 
In accordance with Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be 
identified which correspond to deposits from credit institutions placed at the central institution 
that are considered as liquid assets for the depositing credit institution. Those liquid assets shall 
not be counted to cover outflows other than from the corresponding deposits and shall be 
disregarded for the calculations of the composition of the remaining liquidity buffer under 
Article 17 of Delegated Regulation (EU) 2015/61 for the central institution at individual level. 
Central institutions, when reporting those assets, shall ensure that the reported amount of those 
liquid assets after haircut does not exceed the outflow from the corresponding deposits. 
Assets referred to in this row are level 1 extremely high quality covered bonds.  
0220  1.2.  Total unadjusted level 2 assets  
Articles 11 to 16 and Article 19 of Delegated Regulation (EU) 2015/61 
Assets reported in this section have been explicitly identified as, or treated similarly to, either 
Level 2A or Level 2B assets in accordance with Delegated Regulation (EU) 2015/61. 
Credit institutions shall report the total amount/market value of their Level 2 Liquid assets in 
column 0010. 
Credit institutions shall report the total value calculated in accordance with Article 9 of their 
Level 2 Liquid assets in column 0040.  
0230  1.2.1.  Total unadjusted LEVEL 2A assets  
Articles 11, 15 and 19 of Delegated Regulation (EU) 2015/61 
Assets reported in this sub-section have been explicitly identified as or treated as Level 2A assets 
in accordance with Delegated Regulation (EU) 2015/61. 
Credit institutions shall report in column 0010 the sum of total market/value amount of Level 
2A assets, without taking into account the requirements of Article 17 of Delegated Regulation 
(EU) 2015/61. 
Credit institutions shall report in column 0040 the sum of total weighted amount of Level 2A 
assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 
2015/61.EN L 97/1838 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0240  1.2.1.1.  Regional government/local authorities or Public Sector Entities assets (Member 
State, RW20 %)  
Point (a) of Article 11(1) of Delegated Regulation (EU) 2015/61 
Assets representing claims on or guaranteed by regional governments, local authorities or public 
sector entities in a Member State where exposures are assigned a risk weight of 20 %.  
0250  1.2.1.2.  Central bank or central/regional government or local authorities or Public Sector 
Entities assets (Third Country, RW20 %)  
Point (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 
Assets representing claims on or guaranteed by the central government or the central bank of a 
third country or by a regional government, local authority or public sector entity in a third 
country, provided those assets are assigned a 20 % risk weight.  
0260  1.2.1.3.  High quality covered bonds (CQS2)  
Point (c) of Article 11(1) of Delegated Regulation (EU) 2015/61 
Assets representing exposures in the form of high quality covered bonds which comply with 
point (c) of Article 11(1) of Delegated Regulation (EU) 2015/61 provided that those assets are 
assigned a credit assessment by a nominated ECAI which is at least credit quality step 2 in 
accordance with Article 129(4) of Regulation (EU) No 575/2013.  
0270  1.2.1.4.  High quality covered bonds (Third Country, CQS1)  
Point (d) of Article 11(1) of Delegated Regulation (EU) 2015/61 
Assets representing exposures in the form of covered bonds issued by credit institutions in third 
countries which comply with point (d) of Article 11(1) of Delegated Regulation (EU) 2015/61 
provided that those assets are assigned a credit assessment by a nominated ECAI which is credit 
quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013.  
0280  1.2.1.5.  Corporate debt securities (CQS1)  
Point (e) of Article 11(1) of Delegated Regulation (EU) 2015/61 
Corporate debt securities which comply with point (e) of Article 11(1) of Delegated Regulation 
(EU) 2015/61.  
0290  1.2.1.6.  Qualifying CIU shares/units: underlying is Level 2A assets  
Point (d) Article 15(2) of Delegated Regulation (EU) 2015/61 
Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2A 
assets as specified in Article 11 of Delegated Regulation (EU) 2015/61.  
0300  1.2.1.7.  Central credit institutions: Level 2A assets which are considered liquid assets for 
the depositing credit institution  
Article 27(3) of Delegated Regulation (EU) 2015/61 
In accordance with Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be 
identified which correspond to deposits from credit institutions placed at the central institution 
that are considered as liquid assets for the depositing credit institution. Those liquid assets shall 
not be counted to cover outflows other than from the corresponding deposits and shall be 
disregarded for the purposes of the calculations of the composition of the remaining liquidity 
buffer under Article 17 of Delegated Regulation (EU) 2015/61 for the central institution at 
individual level.EN 19.3.2021 Official Journal of the European Union L 97/1839
 
Row  Legal references and instructions  
Central institutions, when reporting those assets, shall ensure that the reported amount of those 
liquid assets after haircut does not exceed the outflow from the corresponding deposits. 
Assets referred to in this row are level 2A assets.  
0310  1.2.2.  Total unadjusted LEVEL 2B assets  
Articles 12 to 16 and Article 19 of Delegated Regulation (EU) 2015/61 
Assets reported in this subsection have been explicitly identified as Level 2B assets in accordance 
with Delegated Regulation (EU) 2015/61. 
Credit institutions shall report in column 0010 the sum of total market value/amount of Level 
2B assets, without taking into account the requirements of Article 17 of Delegated Regulation 
(EU) 2015/61. 
Credit institutions shall report in column 0040 the sum of total weighted amount of Level 2B 
assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 
2015/61.  
0320  1.2.2.1.  Asset-backed securities (residential, CQS1)  
Point (a) of Article 12(1) and points (g)(i) and (g)(ii) of Article 13(2) of Delegated Regulation 
(EU) 2015/61 
Exposures in the form of asset-backed securities which comply with the requirements of 
Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by residential 
loans secured by first ranking mortgage or fully guaranteed residential loans in accordance with 
points (g)(i) and (g)(ii) of Article 13(2) of Delegated Regulation (EU) 2015/61. 
Assets which are subject to the transitional provision specified in Article 37 of Delegated 
Regulation (EU) 2015/61 shall be reported in this row.  
0330  1.2.2.2.  Asset-backed securities (auto, CQS1)  
Point (a) of Article 12(1) and point (g)(iv) of Article 13(2) of Delegated Regulation (EU) 
2015/61 
Exposures in the form of asset-backed securities which comply with Article 13 of Delegated 
Regulation (EU) 2015/61, provided that they are backed by auto loans and leases in accordance 
with point (g)(iv) of Article 13(2) of Delegated Regulation (EU) 2015/61.  
0340  1.2.2.3.  High quality covered bonds (RW35 %)  
Point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61 
Assets representing exposures in the form of covered bonds issued by credit institutions which 
comply with point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61, provided that the 
pool of underlying assets consist exclusively of exposures which qualify for a 35 % or lower risk 
weight under Article 125 of Regulation (EU) No 575/2013.  
0350  1.2.2.4.  Asset-backed securities (commercial or individuals, Member State, CQS1)  
Point (a) of Article 12(1) and points (g)(iii) and (g)(v) of Article 13(2) of Delegated Regulation 
(EU) 2015/61 
Exposures in the form of asset-backed securities which comply with the requirements of 
Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by assets as 
referred to in points (g)(iii) and (g)(v) of Article 13(2) of Delegated Regulation (EU) 2015/61. 
Note that for the purpose of point (g)(iii) of Article 13(2), at least 80 % of the borrowers in the 
pool shall be SMEs at the time of issuance of the securitisation.EN L 97/1840 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0360  1.2.2.5.  Corporate debt securities (CQS2/3)  
Point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61 
Corporate debt securities which comply with point (b) of Article 12(1) of Delegated Regulation 
(EU) 2015/61  
0370  1.2.2.6.  Corporate debt securities – non-interest bearing assets (held by credit institutions 
for religious reasons) (CQS1/2/3)  
Article 12(3) of Delegated Regulation (EU) 2015/61 
A competent authority may allow credit institutions which, in accordance with their statutes of 
incorporation, are unable to hold interest bearing assets for reasons of religious observance, to 
derogate from points (b)(ii) and (b)(iii) of Article 12(1) of Delegated Regulation (EU) 2015/61, 
provided that there is evidence of insufficient availability of non-interest bearing assets meeting 
the requirements laid down in those points and that the non-interest bearing assets in question 
are adequately liquid in private markets. 
Those credit institutions shall report corporate debt securities containing non-interest bearing 
assets as long as they meet the requirements of point (b)(i) of Article 12(1) of Delegated 
Regulation (EU) 2015/61 and have received proper derogation from their competent authority.  
0380  1.2.2.7.  Shares (major stock index)  
Point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 
Shares, which comply with point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 and 
are denominated in the currency of the credit institution’s home Member State. 
Credit institutions shall also report shares complying with point (c) of Article 12(1) and 
denominated in a different currency, provided that they are counted as level 2B assets only 
up to the amount to cover the liquidity outflows in that currency or in the jurisdiction where the 
liquidity risk is taken.  
0390  1.2.2.8.  Non-interest bearing assets (held by credit institutions for religious reasons) 
(CQS3-5)  
Point (f) of Article 12(1) of Delegated Regulation (EU) 2015/61 
For credit institutions which, in accordance with their statutes of incorporation, are unable to 
hold interest bearing assets for reasons of religious observance, non-interest bearing assets 
constituting a claim on or guaranteed by central banks or by the central government or the 
central bank of a third country or by a regional government, local authority or public sector 
entity in a third country, provided that those assets have a credit assessment by a nominated 
ECAI of at least credit quality step 5 in accordance with Article 114 of Regulation (EU) 
No 575/2013, or the equivalent credit-quality step in the event of a short-term credit assessment.  
0400  1.2.2.9.  Restricted-use central bank committed liquidity facilities  
Point (d) of Article 12(1) and Article 14 of Delegated Regulation (EU) 2015/61 
Undrawn amount of restricted-use committed liquidity facilities provided by central banks which 
comply with Article 14 of Delegated Regulation (EU) 2015/61.  
0410  1.2.2.10.  Qualifying CIU shares/units: underlying is asset-backed securities (residential or 
auto, CQS1)  
Point (e) of Article 15(2) of Delegated Regulation (EU) 2015/61EN 19.3.2021 Official Journal of the European Union L 97/1841
 
Row  Legal references and instructions  
Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B 
assets as specified in points (g)(i), (g)(ii) and (g)(iv) of Article 13(2) of Delegated Regulation (EC) 
No 2015/61.  
0420  1.2.2.11.  Qualifying CIU shares/units: underlying is High quality covered bonds 
(RW35 %)  
Point (f) of Article 15(2) of Delegated Regulation (EU) 2015/61 
Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B 
assets as specified in point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61.  
0430  1.2.2.12.  Qualifying CIU shares/units: underlying is asset-backed securities (commercial or 
individuals, Member State, CQS1)  
Point (g) of Article 15(2) of Delegated Regulation (EU) 2015/61 
Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B 
assets as specified in points (g)(iii) and (g)(v) of Article 13(2) of Delegated Regulation (EU) 
2015/61. Note that for the purpose of point (g)(iii) of Article 13(2), at least 80 % of the 
borrowers in the pool shall be SMEs at the time of issuance of the securitisation.  
0440  1.2.2.13.  Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), 
shares (major stock index) or non-interest bearing assets (held by credit institutions for 
religious reasons) (CQS3-5)  
Point (h) of Article 15(2) of Delegated Regulation (EU) 2015/61 
Shares or units in CIUs whose underlying assets correspond to corporate debt securities that 
comply with point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61, shares that 
comply with point (c) of Article 12(1) of the same Regulation or non-interest bearing assets 
that comply with point (f) of Article 12(1) of the same Regulation.  
0450  1.2.2.14.  Deposits by network member with central institution (no obligated investment)  
Point (b) of Article 16(1) of Delegated Regulation (EU) 2015/61 
Minimum deposit that the credit institution maintains with the central credit institution, 
provided that it is part of an institutional protection scheme referred to in Article 113(7) of 
Regulation (EU) No 575/2013, a network eligible for the waiver provided in Article 10 of the 
same Regulation or a cooperative network in a Member State governed by law or contract. 
Credit institutions shall ensure that the central institution is under no legal or contractual 
obligation to hold or invest the deposits in liquid assets of specified level or category.  
0460  1.2.2.15.  Liquidity funding available to network member from central institution (non- 
specified collateralisation)  
Article 16(2) of Delegated Regulation (EU) 2015/61 
Undrawn amount of limited liquidity funding that complies with Article 16(2) of Delegated 
Regulation (EU) 2015/61.  
0470  1.2.2.16.  Central credit institutions: Level 2B assets which are considered liquid assets for 
the depositing credit institution  
Article 27(3) of Delegated Regulation (EU) 2015/61EN L 97/1842 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
In accordance with Article 27(3) of Delegated Regulation (EU) 2015/61, it is necessary to 
identify liquid assets which correspond to deposits from credit institutions placed at the 
central institution that are considered as liquid assets for the depositing credit institution. 
These liquid assets shall not be counted to cover outflows other than from the corresponding 
deposits and shall be disregarded for the purposes of the calculations of the composition of the 
remaining liquidity buffer under Article 17 for the central institution at individual level. 
Central institutions, when reporting those assets, shall ensure that the reported amount of these 
liquid assets after haircut does not exceed the outflow from the corresponding deposits. 
Assets referred to in this row are level 2B assets.  
MEMORANDUM ITEMS  
0485  2.  Deposits by network member with central institution (obligated investment)  
Point (a) of Article 16(1) of Delegated Regulation (EU) 2015/61. 
Credit institutions shall report total amount of assets reported in the above sections as per the 
requirements in point (a) of Article 16(1) of Delegated Regulation (EU) 2015/61.  
0580  3.  Level 1/2A/2B assets excluded due to currency reasons  
Articles 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation 
(EU) 2015/61 
Institution shall report the portion of Level 1, Level 2A and Level 2B assets referred to in 
Articles 10 to 16 which are not recognisable by institution in accordance with Article 8(6), 
point (d) of Article 10(1) and point (c) of Article 12(1).  
0590  4.  Level 1/2A/2B assets excluded for operational reasons except for currency reasons  
Article 8 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report assets in compliance with Article 7 of Delegated Regulation (EU) 
2015/61 but that do not meet the requirements specified in Article 8 of Delegated Regulation 
(EU) 2015/61, provided that they have not been reported in row 0580 for currency reasons.  
PART 2. OUTFLOWS  
1. Outflows  
1.1. General remarks  
1. This is a summary template which contains information about liquidity outflows measured over the next 
30 days, for the purpose of reporting the liquidity coverage requirement as specified in Delegated 
Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are 
coloured grey.  
2. Credit institutions shall report the template in the corresponding currencies in accordance with 
Article 415(2) of Regulation (EU) No 575/2013.  
3. Some memorandum items are included in the associated template to these instructions. While not strictly 
necessary for the calculation of the ratio itself, they are required to be completed. Those items provide 
necessary information to allow the competent authorities complete an adequate assessment of credit 
institutions’ compliance with the liquidity requirements. In some cases, they represent a more granular 
breakdown of the items included in the main sections of the templates while in other cases they reflect 
additional liquidity resources credit institutions may have access to.EN 19.3.2021 Official Journal of the European Union L 97/1843
 
4. In accordance with Article 22(1) of Delegated Regulation (EU) 2015/61, liquidity outflows shall:  
i. include the categories referred to in Article 22(2) of Delegated Regulation (EU) 2015/61  
ii. be calculated by multiplying the outstanding balances of various categories of liabilities and off-balance 
sheet commitments by the rates at which they are expected to run off or be drawn down as indicated 
in Delegated Regulation (EU) 2015/61.  
5. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word ‘weight’ just refers to 
these. In these instructions the word ‘weighted’ is used as general term for indicating the amount obtained 
after the application of the respective haircuts, rates and any other relevant additional instructions (in the 
case of e.g. secured lending and funding).  
6. Outflows within a group or an institutional protection scheme (except for outflows from undrawn credit 
or liquidity facilities provided by members of a group or an institutional protection scheme where the 
competent authority has granted permission to apply a preferential outflow rate and outflows from 
operational deposits maintained in the context of an institutional Protection Scheme or a cooperative 
network) shall be reported in the relevant categories. Those outflows shall also be separately reported as 
memorandum items.  
7. The liquidity outflows shall be reported only once in the template unless additional outflows in 
accordance with Article 30 of Delegated Regulation (EU) 2015/61 are applicable or where the item is 
an ‘of which’ item or a memorandum item.  
8. In the case of separate reporting as referred to in Article 415(2) of Regulation (EU) No 575/2013, the 
following shall always apply:  
— only items and flows denominated in that currency shall be reported;  
— in case of currency mismatch between legs of a transaction, only the leg in that currency shall be 
reported;  
— where Delegated Regulation (EU) 2015/61 allows netting, it may only be applied to flows in that 
currency;  
— where a flow has multicurrency optionality, the credit institution shall make an assessment of the 
currency in which the flow is likely to occur and shall report the item only in that separate currency.  
9. The standard weights in column 0040 of template C 73.00 of Annex XXIV are those specified in 
Delegated Regulation (EU) 2015/61 by default and are provided here for information.  
10. The template contains information about collateralised liquidity flows, referred to as ‘secured lending and 
capital-market driven transactions’ in Delegated Regulation (EU) 2015/61, and for the purpose of calcu ­
lating LCR as defined in that Regulation. Where those transactions are made against a collateral pool, the 
identification of the specific assets pledged for the purposes of reporting in this template will be made, in 
accordance with the liquid assets categories specified in Title II, Chapter 2 of Delegated Regulation (EU) 
2015/61, starting from the least liquid assets. Simultaneously, in case of transactions with different 
residual maturities made against a collateral pool, less liquid assets are assigned to the transactions 
with the longest residual maturities first.  
11. A separate template is provided for collateral swaps, C 75.01 of Annex XXIV. Collateral swaps, which are 
collateral-versus-collateral transactions shall not be reported on the outflow template C 73.00 of 
Annex XXIV, which only covers cash-versus-collateral transactions.  
1.2. Specific remarks regarding settlement and forward starting transactions  
12. Credit institutions shall report outflows stemming from forward starting repos, reverse repos and 
collateral swaps that start within the 30-day horizon and mature beyond the 30-day horizon where 
the initial leg produces an outflow. In the case of a reverse repo, the amount to be lent to the 
counterparty shall be considered as an outflow and reported in item 1.1.8.6. net of the market valueEN L 97/1844 Official Journal of the European Union 19.3.2021
 
of the asset to be received as collateral and after the application of the related LCR haircut if the asset 
qualifies as liquid asset. If the amount to be lent is lower than the market value of the asset (after LCR 
haircut) to be received as collateral, the difference shall be reported as an inflow. If the collateral to be 
received does not qualify as liquid asset, the outflow shall be reported in full. In the case of a repo, where 
the market value of the asset to be lent as collateral after the application of the related LCR haircut (if the 
asset qualifies as liquid asset) is larger than the cash amount to be received, the difference is to be reported 
as an outflow in the above mentioned row. If the amount to be received is larger than the market value of 
the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an inflow. For 
collateral swaps, where the net effect of the initial swap of liquid assets (taking into account LCR haircuts) 
gives rise to an outflow this outflow shall be reported in the above mentioned row.  
Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 
30-day horizon do not have any impact on a bank’s LCR and can be ignored.  
13. Decision tree for sections 1 of C 73.00 of Annex XXIV, the decision tree is without prejudice to the 
memorandum items reporting. The decision tree is part of the instructions to specify prioritization 
assessment criteria for the assignment of each reported item in order to secure homogenous and 
comparable reporting. Going through the decision tree alone is not sufficient, credit institutions shall 
always comply with the rest of the instructions. For the sake of simplicity, the decision tree ignores totals 
and subtotals; this however does not mean that they shall not be reported as well. DA refers to Delegated 
Regulation (EU) 2015/61.  
# Item  Decision  Reporting  
1 Forward starting transaction  Yes  # 2  
No # 4  
2 Forward transaction entered into subsequent to the reporting 
date;  Yes Do not report  
No # 3  
3 Forward transaction that start within the 30 day time horizon 
and mature after the 30-day horizon where the initial leg 
produces a net outflow  Yes ID 1.1.8.6.  
No Do not report  
4 An item requiring additional outflows in accordance with 
Article 30 of DA?  Yes # 5 and subsequently 
# 51  
No # 5  
5 Retail deposit in accordance with Article 411(2) of Regulation 
(EU) No 575/2013?  Yes # 6  
No # 12  
6 Cancelled deposit with a residual maturity of less than 30 
calendar days and where pay-out has been agreed to another 
credit institution?  Yes ID 1.1.1.2.  
No # 7  
7 Deposit in accordance with Article 25(4) of DA?  Yes  ID 1.1.1.1.  
No # 8  
8 Deposit in accordance with Article 25(5) of DA?  Yes  ID 1.1.1.6.  
No # 9  
9 Deposit in accordance with Article 25(2) of DA?  Yes  Allocate into one 
relevant item of ID 
1.1.1.3.  
No # 10EN 19.3.2021 Official Journal of the European Union L 97/1845
 
# Item  Decision  Reporting  
10 Deposit in accordance with Article 24(4) of DA?  Yes  ID 1.1.1.5.  
No # 11  
11 Deposit in accordance with Article 24(1) of DA?  Yes  ID 1.1.1.4.  
No ID 1.1.1.7.  
12 Liability that become due, can be called for pay- out by the 
issuer or by the provider of the funding or entail an expec ­
tation by the provider of the funding that the credit institution 
would repay the liability during the next 30 calendar days?  Yes # 13  
No # 30  
13 Liability resulting from the institution's own operating 
expenses?  Yes ID 1.1.8.1.  
No # 14  
14 Liability in form of bond sold exclusively in the retail market 
and held in a retail account in accordance with Article 28(6) 
of DA?  Yes Follow path for retail 
deposits (ie. answer yes 
for # 5 and treat 
accordingly)  
No # 15  
15 Liability in form of debt security?  Yes  ID 1.1.8.2.  
No # 16  
16 Deposit received as collateral?  Yes  Allocate across relevant 
items of ID 1.1.5.  
No # 17  
17 Deposit arising out of a corresponding banking or from the 
prime brokerage?  Yes ID1.1.4.1.  
No # 18  
18 Operational deposit in accordance with Article 27 of DA?  Yes  # 19  
No # 24  
19 Maintained in the context of IPS or a cooperative network?  Yes  # 20  
No # 22  
20 Treated as liquid assets for the depositing credit institution?  Yes  ID 1.1.2.2.2.  
No # 21  
21 Maintained to obtain cash clearing and central credit institution 
services within a network?  Yes ID 1.1.2.4.  
No ID 1.1.2.2.1.  
22 Maintained for clearing, custody, cash management or other 
comparable services in the context of an established oper ­
ational relationship?  Yes Allocate into one 
relevant item of ID 
1.1.2.1.  
No # 23EN L 97/1846 Official Journal of the European Union 19.3.2021
 
# Item  Decision  Reporting  
23 Maintained in the context of an established operational rela ­
tionship (other) with non-financial customers?  Yes ID 1.1.2.3.  
No # 24  
24 Excess operational deposits?  Yes  Allocate into one 
relevant item of ID 
1.1.3.  
No # 25  
25 Other deposit?  Yes  # 26  
No # 27  
26 Deposits by financial customers?  Yes  ID 1.1.4.2.  
No Allocate into one 
relevant item of ID 
1.1.4.3.  
27 Liability from secured lending and capital market driven trans ­
action with the exception of derivatives and collateral swaps?  Yes Allocate into one 
relevant item of ID 1.2.  
No # 28  
28 Liability from collateral swaps?  Yes  Allocate into one 
relevant item of 
C75.01 and ID 1.3. 
where applicable.  
No # 29  
29 Liability resulting in an outflow from derivatives in accordance 
with Article 30(4) of DA?  Yes ID 1.1.5.5.  
No # 30  
30 Any other liability that becomes due in the next 30 days?  Yes  ID 1.1.8.3  
No #31  
31 Contractual commitments to extend funding to non-financial 
customers that is due in the next 30 days in excess of inflows 
from those customers?  Yes One of the following 
IDs: 1.1.8.4.1 to 
1.1.8.4.4  
No #32  
32 Other outflows that are due in the next 30 days not mentioned 
above?  Yes ID 1.1.8.6  
No #33  
33 Undrawn amount that can be drawn from committed credit 
and liquidity facility in accordance with Article 31 of DA?  Yes #34  
No # 42  
34 Committed credit facility?  Yes  # 35  
No # 37  
35 Within IPS or cooperative network treated as liquid asset by 
the depositing institution?  Yes ID 1.1.6.1.6.  
No # 36EN 19.3.2021 Official Journal of the European Union L 97/1847
 
# Item  Decision  Reporting  
36 Within a group or an IPS subject to preferential treatment?  Yes  ID 1.1.6.1.5.  
No Allocate into one 
relevant remaining 
item of ID 1.1.6.1.  
37 Committed liquidity facility?  Yes  #38  
n/a n/a  
38 Within IPS or cooperative network treated as liquid asset by 
the depositing institution?  Yes ID 1.1.6.2.7.  
No # 39  
39 Within a group or an IPS subject to preferential treatment?  Yes  ID 1.1.6.2.6.  
No # 40  
40 To SSPEs?  Yes  Allocate into one 
relevant item of ID 
1.1.6.2.4.  
No #41  
41 To personal investment companies?  Yes  ID 1.1.6.2.3.  
No Allocate into one 
relevant remaining 
item of ID 1.1.6.2.  
42 Other product or service in accordance with Article 23 of DA?  Yes  # 43  
No Do not report  
43 Trade finance off balance sheet related product?  Yes  ID1.1.7.8.  
No # 44  
44 Undrawn loans and advances to wholesale counterparties?  Yes  ID 1.1.7.2.  
No # 45  
45 Mortgages that have been agreed but not yet drawn down  Yes  ID 1.1.7.3.  
No # 46  
46 Planned outflow related to renewal or extension of new retail 
or wholesale loans?  Yes ID 1.1.7.6.  
No # 47  
47 Credit cards?  Yes  ID 1.1.7.4.  
No # 48  
48 Overdrafts?  Yes  ID 1.1.7.5.  
No # 49  
49 Derivatives payable?  Yes  ID1.1.7.7.  
No # 50EN L 97/1848 Official Journal of the European Union 19.3.2021
 
# Item  Decision  Reporting  
50 Other off balance sheet and contingent funding obligation?  Yes  ID1.1.7.1.  
No ID 1.1.7.9.  
51 Debt security already reported in item 1.1.8.2 of C 73.00?  Yes  Do not report  
No # 52  
52 Liquidity requirement for derivatives in accordance with 
Article 30.4 of DA already considered in question # 29?  Yes Do not report  
No Allocate across relevant 
items of ID 1.1.5.  
1.3. Instructions concerning specific columns  
Column  Legal references and instructions  
0010  Amount  
1.1.  Unsecured transactions/deposits specific instructions:  
Credit institutions shall report here the outstanding balance of various categories of liabilities and 
off-balance sheet commitments as specified in Articles 22 to 31 of Delegated Regulation (EU) 
2015/61. 
Subject to prior approval of the competent authority within each category of outflows, the 
amount of each item reported in column 0010 of template C 73.00 of Annex XXIV shall be 
netted by subtracting the relevant amount of interdependent inflow in accordance with 
Article 26. 
1.2.  Secured lending and capital market-driven transactions specific instructions:  
Credit institutions shall report here the outstanding balance of the liabilities which represent the 
cash leg of the secured transaction in accordance with Article 22(2) of Delegated Regulation 
(EU) 2015/61.  
0020  Market value of collateral extended  
Secured lending and capital market-driven transactions specific instructions: 
Credit institutions shall report here the market value of extended collateral which is calculated as 
the current market value gross of haircut and net of flows resulting from unwinding associated 
hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61) and subject to 
the following conditions: 
— Where a credit institution may only recognise part of their foreign currency shares, or foreign 
currency central government or bank assets, or domestic currency central government or 
central bank assets within their HQLA, only the recognizable part shall be reported within 
the rows on Level 1, Level 2A and Level 2B assets in accordance with point (c)(ii) of 
Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. 
Where the particular asset is used as collateral but in an amount which is surplus to the 
portion which can be recognised within liquid assets, the surplus amount shall be reported in 
the non-liquid section; 
— Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative 
Liquidity Approach is being followed (i.e. do not move L2A to L1 in the secured transaction 
reporting).  
0030  Value of collateral extended in accordance with Article 9  
Secured lending and capital market-driven transactions specific instructions:EN 19.3.2021 Official Journal of the European Union L 97/1849
 
Column  Legal references and instructions  
Credit institutions shall report here the value of extended collateral in accordance with Article 9 
of Delegated Regulation (EU) 2015/61. This is calculated by multiplying column 0020 of 
template C 73.00 of Annex XXIV by the applicable weight/haircut from template C 72.00 of 
Annex XXIV corresponding to asset type. column 0030 of template C 73.00 of Annex XXIV is 
used in the calculation of the adjusted amount of liquid assets in template C 76.00 of 
Annex XXIV.  
0040  Standard Weight  
Articles 24 to 31a of Delegated Regulation (EU) 2015/61 
The standard weights in column 0040 are those specified in Delegated Regulation (EU) 2015/61 
by default and are provided for information only.  
0050  Applicable Weight  
Both unsecured and secured: 
Credit institutions shall report here applicable weights. These weights are those specified in 
Articles 22 to 31a of Delegated Regulation (EU) 2015/61. Applicable weights may result in 
weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight 
of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, 
but are not limited to, firm-specific and national discretions.  
0060  Outflow  
Both unsecured and secured: 
Credit institutions shall report here the outflows. Those outflows are calculated by multiplying 
column 0010 C 73.00 of Annex XXIV by column 0050 C 73.00 of Annex XXIV.  
1.4. Instructions concerning specific rows  
Row  Legal references and instructions  
0010  1. OUTFLOWS  
Chapter 2 of Title III of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here on outflows in accordance with Chapter 2 of Title III of 
Delegated Regulation (EU) 2015/61.  
0020  1.1.  Outflows from unsecured transactions/deposits  
Articles 20 to 31a of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here on outflows in accordance with Articles 21 to 31a of 
Delegated Regulation (EU) 2015/61, with the exception of outflows reported in accordance 
with Article 28(3) and (4) of that Delegated Regulation.  
0030  1.1.1.  Retail deposits  
Articles 24 and 25 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here on retail deposits as defined in Article 411(2) of Regulation 
(EU) No 575/2013. 
Credit institutions shall also report within the appropriate retail deposit category the amount of 
the notes, bonds and other securities issued which are sold exclusively in the retail market and 
held in a retail account, as referred to in Article 28(6) of Delegated Regulation (EU) 2015/61. 
Credit institutions will consider for this category of liability the applicable outflow rates provided 
for by Delegated Regulation (EU) 2015/61 for the different categories of retail deposits. Accord ­
ingly, credit institutions shall report as applicable weigh the average of the relevant applicable 
weights for all these deposits.EN L 97/1850 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0035  1.1.1.1.  deposits exempted from the calculation of outflows  
Article 25(4) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here those categories of retail deposits exempted from the calcu ­
lation of outflows if the conditions of points (a) and (b) of Article 25(4) have been met.  
0040  1.1.1.2.  deposits where the pay-out has been agreed within the following 30 days  
Article 25(4) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here deposits with a residual maturity of less than 30 days where 
pay-out has been agreed.  
0050  1.1.1.3.  deposits subject to higher outflows  
Articles 25(2) and (3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here the full balance of the deposits subject to higher outflow 
rates in accordance with Article 25(2) and (3) of Delegated Regulation (EU) 2015/61. Those 
retail deposits where the assessment under Article 25(2) of Delegated Regulation (EU) 2015/61 
for their categorization has not been carried out or is not completed shall also be reported here.  
0060  1.1.1.3.1.  Category 1  
Article 25(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of the whole outstanding balance of every retail 
deposit which fulfils the criteria in point (a) or two of the criteria in points (b) to (e) of 
Article 25(2) of Delegated Regulation (EU) 2015/61, unless these deposits have been taken in 
third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated 
Regulation (EU) 2015/61 in which case they shall be reported within this latter category. 
Credit institutions shall report as applicable weight the average of the rates, either those standard 
rates envisaged by default in point (a) of Article 25(3) of Delegated Regulation (EU) 2015/61 or 
higher ones if applied by a competent authority, which have been effectively applied on the full 
amount of every deposit referred to in the preceding paragraph and weighted by the cited 
corresponding amounts.  
0070  1.1.1.3.2.  Category 2  
Article 25(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of the whole outstanding balance of every retail 
deposit which fulfils the criteria in point (a) of Article 25(2) of Delegated Regulation (EU) 
2015/61 and at least another criterion referred to in Article 25(2) or three or more criteria 
of Article 25(2) unless these deposits have been taken in third countries where a higher outflow 
is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61, in which case 
they shall be reported within this latter category. 
Those retail deposits where the assessment under Article 25(2) for their categorization has not 
been carried out or is not completed shall also be reported here. 
Credit institutions shall report as applicable weight the average of the rates, either those standard 
rates envisaged by default in point (b) of Article 25(3) of Delegated Regulation (EU) 2015/61, or 
higher ones if applied by a competent authority, which have been applied on the full amount of 
every deposit referred to in the preceding paragraphs and weighted by the cited corresponding 
amounts.EN 19.3.2021 Official Journal of the European Union L 97/1851
 
Row  Legal references and instructions  
0080  1.1.1.4.  stable deposits  
Article 24 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the part of the amounts of retail deposits covered by a Deposit 
Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an 
equivalent deposit guarantee scheme in a third country and either is part of an established 
relationship making withdrawal highly unlikely or is held in a transactional account in 
accordance with Article 24(2) and (3) of Delegated Regulation (EU) 2015/61 respectively and 
where: 
— Those deposits do not fulfil the criteria for a higher outflow rate laid down in Article 25(2), 
(3) and (5) of Delegated Regulation (EU) 2015/61, in which case they shall be reported as 
deposits subject to higher outflows; or 
— Those deposits have not been taken in third countries where a higher outflow is applied in 
accordance with Article 25(5) of Delegated Regulation (EU) 2015/61, in which case they 
shall be reported within this category; 
— The derogation specified in Article 24(4) of Delegated Regulation (EU) 2015/61 is not 
applicable.  
0090  1.1.1.5.  Derogated stable deposits  
Article 24(4) and (6) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the part of the amounts of retail deposits which is covered by a 
Deposit Guarantee Scheme in accordance with Directive 2014/49/EU up to a maximum level of 
EUR 100 000 and either is part of an established relationship making withdrawal highly unlikely 
or is held in a transactional account in accordance with Article 24(2) and (3) of Delegated 
Regulation (EU) 2015/61 respectively and where: 
Those deposits do not fulfil the criteria for a higher outflow rate laid down in Article 25(2), (3) 
and (5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits 
subject to higher outflows; or 
— Those deposits have not been taken in third countries where a higher outflow is applied in 
accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they 
shall be reported within this category; 
— The derogation envisaged in Article 24(4) of Delegated Regulation (EU) 2015/61 is applic ­
able.  
0100  1.1.1.6.  deposits in third countries where a higher outflow is applied  
Article 25(5) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of retail deposits taken in a third country where a 
higher outflow is applied in accordance with the national law which sets out liquidity 
requirements in that third country.  
0110  1.1.1.7.  other retail deposits  
Article 25(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of other retail deposits than those captured in the 
preceding items.  
0120  1.1.2.  Operational deposits  
Articles 27 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here the part of the operational deposits determined in accordance 
with Article 27 of Delegated Regulation (EU) 2015/61, which are necessary for the provision of 
operational services. Deposits arising out of a correspondent banking relationship or from the 
provision of prime brokerage services shall be considered non-operational deposits as established 
in Article 27(5) of Delegated Regulation (EU) 2015/61. 
The part of the operational deposits in excess of the amount necessary for the provision of 
operational services shall not be reported here but shall be reported under id 1.1.3.EN L 97/1852 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0130  1.1.2.1.  maintained for clearing, custody, cash management or other comparable services 
in the context of an established operational relationship  
Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report on deposits maintained by the depositor in order to obtain 
clearing, custody, cash management or other comparable services in the context of an established 
relationship, as referred to in point (a) of Article 27(1) of Delegated Regulation (EU) 2015/61, 
which are critically important to the depositor as referred to in Article 27(4) of Delegated 
Regulation (EU) 2015/61; funds in excess of those required for the provision of operational 
services shall be treated as non-operational deposits as referred to in the last sentence of 
Article 27(4) of Delegated Regulation (EU) 2015/61. 
Only deposits which have significant legal or operational limitations that make significant with ­
drawals within 30 calendar days unlikely, as referred in the second sentence of Article 27(4) of 
Delegated Regulation (EU) 2015/61 shall be reported. 
Credit institutions shall report separately,, the amount of those deposits covered and not covered 
by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme that are 
referred to in Article 27(2) of Delegated Regulation (EU) 2015/61, as specified in the following 
items of the instructions.  
0140  1.1.2.1.1.  covered by DGS (Deposit Guarantee Scheme)  
Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the portion of the outstanding balance of operational deposits 
maintained in the context of an established operational relationship that fulfils the criteria set out 
in point (a) of Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61 and which 
is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 
2014/49/EU or an equivalent deposit guarantee scheme in a third country.  
0150  1.1.2.1.2.  not covered by DGS  
Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the portion of the outstanding balance of operational deposits in 
the context of an established operational relationship that fulfils the criteria set out in point (a) of 
Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61 and which is not covered 
by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU 
or an equivalent deposit guarantee scheme in a third country.  
0160  1.1.2.2.  maintained in the context of IPS (Institutional Protection Scheme) or a 
cooperative network  
Point (b) of Article 27(1) and Article 27(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here on deposits maintained in the context of a common task 
sharing within an institutional protection scheme meeting the requirements of Article 113(7) of 
Regulation (EU) No 575/2013 or within a group of cooperative credit institutions permanently 
affiliated to a central body meeting the requirements of Article 113(6) of the same Regulation, 
or as a legal or contractually established minimum deposit by another credit institution that is a 
Member of the same institutional protection scheme or cooperative network, as set out in 
point (b) of Article 27(1) of Delegated Regulation (EU) 2015/61. 
Credit institutions shall report those deposits into different rows depending on whether they are 
treated as liquid assets by the depositing credit institution or not, in accordance with 
Article 27(3) of Delegated Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1853
 
Row  Legal references and instructions  
0170  1.1.2.2.1.  not treated as liquid assets for the depositing institution  
Point (b) of Article 27(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of the outstanding balance of deposits maintained in 
the context of a cooperative network or an institutional protection scheme in accordance with 
the criteria set out in point (b) of Article 27(1) of Delegated Regulation (EU) 2015/61, provided 
those deposits are not recognised as liquid assets for the depositing credit institution.  
0180  1.1.2.2.2.  treated as liquid assets for the depositing credit institution  
Point (b) Article 27(1) and Article 27(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report deposits from credit institutions placed at the central credit 
institution that are considered as liquid assets for the depositing credit institution in accordance 
with Article 16 of Delegated Regulation (EU) 2015/61. 
Credit institutions shall report the amount of these deposits up to the amount of the 
correspondent liquid assets after haircut, as set out in Article 27(3) of Delegated Regulation 
(EU) 2015/61.  
0190  1.1.2.3.  maintained in the context of an established operational relationship (other) with 
non-financial customers  
Point (c) of Article 27(1), Article 27(4) and (6) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of the outstanding balance of deposits maintained by 
a non-financial customer in the context of an established operational relationship other than that 
mentioned in point (a) of Article 27(1) of Delegated Regulation (EU) 2015/61 and subject to the 
requirements set out in Article 27(6) of Delegated Regulation (EU) 2015/61. 
Only those deposits which have significant legal or operational limitations that make significant 
withdrawals within 30 calendar days unlikely, as referred to in Article 27(4) of Delegated 
Regulation (EU) 2015/61, shall be reported.  
0200  1.1.2.4.  maintained to obtain cash clearing and central credit institution services within a 
network  
Point (d) Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of the outstanding balance of deposits maintained by 
the depositor to obtain cash clearing and central institution services and where the credit 
institution belongs to one of a network or schemes referred to in Article 16 of Delegated 
Regulation (EU) 2015/61, as set out in point (d) of Article 27(1) of Delegated Regulation 
(EU) 2015/61. Those cash clearing and central credit institution services only cover such 
services to the extent that they are rendered in the context of an established relationship 
which is critically important to the depositor as referred to in the first sentence of Article 27(4) 
of Delegated Regulation (EU) 2015/61; funds in excess of those required for the provision of 
operational services shall be treated as non-operational deposits as referred to in the last sentence 
of Article 27(4) of Delegated Regulation (EU) 2015/61). 
Only those deposits which have significant legal or operational limitations that make significant 
withdrawals within 30 calendar days unlikely, as referred to in Article 27(4) of Delegated 
Regulation (EU) 2015/61, shall be reported.EN L 97/1854 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0203  1.1.3  Excess operational deposits  
Article 27(4) of Delegated Regulation (EU) 2015/61. 
Credit institutions shall report here the part of the operational deposits in excess of those 
required for the provision of operational services.  
0204  1.1.3.1  deposits by financial customers  
Article 27(4) and 31a(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the part of the operational deposits from financial customers in 
excess of those required for the provision of the operational services in accordance with 
Article 27(4) of Delegated Regulation (EU) 2015/61.  
0205  1.1.3.2  deposits by other customers  
Article 27(4) and 28(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the part of the operational deposits from customers other than 
financial customers, and excluding retail deposits, in excess of those required for the provision of 
the operational services as referred to in the last sentence of Article 27(4) of Delegated Regu ­
lation (EU) 2015/61. 
These excess operational deposits shall be reported in two different rows depending on whether 
or not the entire amount of the excess operational deposit is covered (by a Deposit Guarantee 
Scheme or third country equivalent Deposit Guarantee Scheme).  
0206  1.1.3.2.1  covered by DGS  
Articles 27(4) and 28(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the entire amount of the outstanding balance of these excess 
operational deposits maintained by other customers if that entire amount is covered by a Deposit 
Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an 
equivalent Deposit Guarantee Scheme in a third country as referred to in Article 28(1) of 
Delegated Regulation (EU) 2015/61.  
0207  1.1.3.2.2  not covered by DGS  
Article 27(4) and 28(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the entire amount of the outstanding balance of these excess 
operational deposits maintained by other customers if that entire amount is not covered by a 
Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or 
an equivalent Deposit Guarantee Scheme in a third country, as referred to in Article 28(1) of 
Delegated Regulation (EU) 2015/61.  
0210  1.1.4.  Non-operational deposits  
Articles 27(5), 28(1) and 31(9) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here on unsecured deposits referred to in Article 28(1) of 
Delegated Regulation (EU) 2015/61 and those arising out of a correspondent banking or 
from the provision of prime brokerage services, as referred to in Article 27(5) of Delegated 
Regulation (EU) 2015/61. 
Credit institutions shall report separately, with the exception of the liabilities arising out of 
correspondent banking relationship or from the provision of prime brokerage services, as 
referred to in Article 27(5) of Delegated Regulation (EU) 2015/61, the non-operational 
deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent 
deposit guarantee scheme, as specified in the following items of the instructions. 
The part of operational deposits in excess of those required for the provision of operational 
services shall not be reported here but shall be reported under id 1.1.3.EN 19.3.2021 Official Journal of the European Union L 97/1855
 
Row  Legal references and instructions  
0220  1.1.4.1.  correspondent banking and provisions of prime brokerage deposits  
Article 27(5) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of the outstanding balance of deposits arising out of 
correspondent banking relationship or from the provision of prime brokerage, as referred to in 
Article 27(5) of Delegated Regulation (EU) 2015/61.  
0230  1.1.4.2.  deposits by financial customers  
Article 31a(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of the outstanding balance of deposits maintained by 
financial customers to the extent they are not considered as operational deposits in accordance 
with Article 27 of Delegated Regulation (EU) 2015/61.  
0240  1.1.4.3.  deposits by other customers  
Article 28(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report on deposits maintained by other customers (other than financial 
customers and customers considered for the retail deposits) as referred to in Article 28(1) of 
Delegated Regulation (EU) 2015/61, to the extent those deposits are not considered operational 
deposits in accordance with Article 27 of Delegated Regulation (EU) 2015/61. 
Those deposits shall be reported in two different rows depending on whether or not the entire 
amount of the deposit is covered (by a Deposit Guarantee Scheme or third country equivalent 
Deposit Guarantee Scheme).  
0250  1.1.4.3.1.  covered by DGS  
Article 28(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the entire amount of the outstanding balance of those deposits 
maintained by other customers if that entire amount is covered by a Deposit Guarantee Scheme 
in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit 
Guarantee Scheme in a third country, as referred to in Article 28(1) of Delegated Regulation 
(EU) 2015/61.  
0260  1.1.4.3.2.  not covered by DGS  
Article 28(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the entire amount of the outstanding balance of these deposits 
maintained by other customers if that entire amount is not covered by a Deposit Guarantee 
Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent 
Deposit Guarantee Scheme in a third country, as referred to in Article 28(1) of Delegated 
Regulation (EU) 2015/61.  
0270  1.1.5.  Additional outflows  
Article 30 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here additional outflows as referred to in Article 30 of Delegated 
Regulation (EU) 2015/61. 
Deposits received as collateral, as referred in Article 30(7) of Delegated Regulation (EU) 
2015/61, shall not be considered liabilities for the purposes of Article 24, 25, 27 or 31a of 
Delegated Regulation (EU) 2015/61, but shall be subject to Article 30(1) to (6) of Delegated 
Regulation (EU) 2015/61, where applicable.EN L 97/1856 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0280  1.1.5.1.  collateral other than Level 1 assets posted for derivatives  
Article 30(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the market value of collateral other than Level 1 collateral which 
is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives.  
0290  1.1.5.2.  level 1 EHQ Covered Bonds assets collateral posted for derivatives  
Article 30(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the market value of level 1 EHQ Covered Bonds collateral which is 
posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives.  
0300  1.1.5.3.  material outflows due to deterioration of own credit quality  
Article 30(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report total amount of additional outflows they have calculated and 
notified to the competent authorities in accordance with Article 30(2) of Delegated Regulation 
(EU) 2015/61. 
If an amount subject to outflow due to deterioration of own credit quality has been reported 
elsewhere in a row with less than 100 % weight, then an amount shall also be reported in row 
0300 such that the sum of the outflows is 100 % outflow in total for the transaction.  
0310  1.1.5.4.  impact of an adverse market scenario on derivatives transactions  
Article 30(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of outflows calculated in accordance with 
Commission Delegated Regulation (EU) 2017/208.  
0340  1.1.5.5.  outflows from derivatives  
Article 30(4) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of outflows expected over 30 calendar days from 
contracts listed in Annex II of Regulation (EU) No 575/2013 and from credit derivatives 
calculated in accordance with Article 21 of Delegated Regulation (EU) 2015/61. 
For the cases of reporting in a separate currency, in accordance with Article 415(2) of Regu ­
lation (EU) No 575/2013, only, credit institutions shall report outflows which occur only in the 
respective significant currency. Netting by counterparty may only be applied to flows in that 
currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported 
as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: 
EUR- 10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 
inflow on C74.00).  
0350  1.1.5.6.  short positions  
Article 30(5) of Delegated Regulation (EU) 2015/61 
If the credit institution has a short position that is covered by an unsecured security borrowing, 
the credit institution shall add an additional outflow corresponding to 100 % of the market value 
of the securities or other assets sold short unless the terms upon which the credit institution has 
borrowed them require their return only after 30 calendar days. If the short position is covered 
by a collateralised securities financing transaction, the credit institution shall assume the short 
positon will be maintained throughout the 30 calendar day period and received a 0 % outflow.EN 19.3.2021 Official Journal of the European Union L 97/1857
 
Row  Legal references and instructions  
0360  1.1.5.6.1.  covered by collateralised SFT (securities financing transactions)  
Article 30(5) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the market value of securities or other assets sold short that are 
covered by collateralised securities financing transactions and to be delivered within 30 calendar 
days unless the credit institution has borrowed them at terms requiring their return only after the 
30 calendar day period.  
0370  1.1.5.6.2.  other  
Article 30(5) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the market value of securities or other assets sold short other than 
those covered by collateralised securities financing transactions and to be delivered within 30 
calendar days unless the credit institution has borrowed them at terms requiring their return only 
after the 30 calendar day period.  
0380  1.1.5.7.  callable excess collateral  
Point (a) of Article 30(6) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the market value of excess collateral that the institution holds and 
that can be contractually called at any times by the counterparty.  
0390  1.1.5.8.  due collateral  
Point (b) of Article 30(6) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the market value of collateral that is due to be posted to 
counterparty within the 30 calendar day period.  
0400  1.1.5.9.  liquid asset collateral exchangeable for non liquid assets  
Point (c) of Article 30(6) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the market value of collateral that qualifies as liquid assets for the 
purpose of Title II that can be substituted for assets corresponding to assets that would not 
qualify as liquid assets for the purpose of Title II without the consent of the institution.  
0410  1.1.5.10.  loss of funding on structured financing activities  
Article 30(8) to 30(10) of Delegated Regulation (EU) 2015/61 
Credit institutions shall assume 100 % outflow for loss of funding on asset backed securities, 
covered bonds and other structured financing instruments maturing within the 30 calendar day 
period issued by the credit institution or by sponsored conduits or SPVs. 
Credit institutions that are providers of liquidity facilities associated with financing programs 
reported here do not need to double count the maturing financing instrument and the liquidity 
facility for consolidated programs.  
0420  1.1.5.10.1.  structured financing instruments  
Article 30(8) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the current outstanding amount of own liabilities or liabilities of 
sponsored conduits or SPVs from asset backed securities, covered bonds and other structured 
financing instruments maturing within the 30 calendar day period.EN L 97/1858 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0430  1.1.5.10.2.  financing facilities  
Article 30(9) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maturing amount of liabilities from asset-backed commercial 
papers, conduits, securities investment vehicles and other such financing facilities, in so far they 
do not enter into the scope of definition of the instruments defined in item 1.1.5.10.1., or the 
amount of assets that could potentially be returned or the liquidity required in the scope of those 
instruments. 
All funding on asset-backed commercial paper, conduits, securities investment vehicles and other 
such financing facilities maturing or returnable within 30 days. Credit institutions having 
structured financing facilities that include the issuance of short-term debt instruments, such as 
asset backed commercial paper, shall report the potential liquidity outflows from these structures. 
These include, but are not limited to, (i) the inability to refinance maturing debt, and (ii) the 
existence of derivatives or derivative-like components contractually written into the documen ­
tation associated with the structure that would allow the ‘return’ of assets in a financing 
arrangement, or that require the original asset transferor to provide liquidity, effectively 
ending the financing arrangement (‘liquidity puts’) within the 30-day period. Where the 
structured financing activities are conducted through a special purpose entity (such as a 
special purpose vehicle, conduit or SIV), the credit institution shall, in determining the HQLA 
requirements, look through to the maturity of the debt instruments issued by the entity and any 
embedded options in financing arrangements that may potentially trigger the ‘return’ of assets or 
the need for liquidity, irrespective of whether or not the SPV is consolidated.  
0450  1.1.5.11.  internal netting of client's positions  
Article 30(12) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here the market value of the non-liquid assets of a client that, in 
relation to prime brokerage services, the credit institution has used to cover short sales of 
another client by internally matching them.  
0460  1.1.6.  Committed facilities  
Article 31 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here on outflows as defined in Article 31 of Delegated Regulation 
(EU) 2015/61. 
Credit institutions shall also report here on committed facilities in accordance with Article 29 of 
Delegated Regulation (EU) 2015/61. 
Maximum amount that could be drawn shall be assessed in accordance with Article 31(2) of 
Delegated Regulation (EU) 2015/61.  
0470  1.1.6.1.  credit facilities  
Credit institutions shall report here on committed credit facilities as defined in Article 31(1) of 
Delegated Regulation (EU) 2015/61.  
0480  1.1.6.1.1.  to retail customers  
Article 31(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed credit facilities to retail customers as defined in Article 411(2) of Regulation (EU) 
No 575/2013.EN 19.3.2021 Official Journal of the European Union L 97/1859
 
Row  Legal references and instructions  
0490  1.1.6.1.2.  to non-financial customers other than retail customers  
Article 31(4) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed credit facilities to customers that are neither financial customers in accordance 
with Article 411(1) of Regulation (EU) No 575/2013 nor retail customers in accordance with 
Article 411(2) of Regulation (EU) No 575/2013 and which have not been provided for the 
purpose of replacing funding of the client in situations where the client is unable to obtain 
funding requirements in the financial markets.  
0500  1.1.6.1.3.  to credit institutions  
Credit institutions shall report here on committed credit facilities provided to credit institutions.  
0510  1.1.6.1.3.1.  for funding promotional loans of retail customers  
Article 31(9) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed credit facilities provided to credit institutions for the sole purpose of directly or 
indirectly funding promotional loans qualifying as exposures to customers in accordance with 
Article 411(2) of Regulation (EU) No 575/2013. 
Only credit institutions which have been set up and are sponsored by central or regional 
government of at least one Member State may report this item.  
0520  1.1.6.1.3.2.  for funding promotional loans of non-financial customers  
Article 31(9) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed credit facilities provided to credit institutions for the sole purpose of directly or 
indirectly funding promotional loans qualifying as exposures to customers who are neither 
financial customers in accordance with Article 411(1) of Regulation (EU) No 575/2013 nor 
retail customers in accordance with Article 411(2) of Regulation (EU) No 575/2013. 
Only credit institutions which have been set up and are sponsored by central or regional 
government of at least one Member State may report this item.  
0530  1.1.6.1.3.3.  other  
Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed credit facilities provided to credit institutions other than those reported above.  
0540  1.1.6.1.4.  to regulated financial institutions other than credit institutions  
Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed credit facilities provided to regulated financial institutions other than credit institu ­
tions.  
0550  1.1.6.1.5.  within a group or an IPS if subject to preferential treatment  
Article 29 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed credit facilities for which they have received permission to apply a lower outflow 
rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.EN L 97/1860 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0560  1.1.6.1.6.  within an IPS or cooperative network if treated as liquid asset by the 
depositing institution  
Article 31(7) of Delegated Regulation (EU) 2015/61 
Central institutions of a scheme or network referred to in Article 16 shall report the maximum 
amount that could be drawn from undrawn committed credit facilities to member credit insti ­
tution where such member credit institution treat the facility as a liquid asset in accordance with 
Article 16(2) of the same Delegated Regulation.  
0570  1.1.6.1.7.  to other financial customers  
Point (c) of Article 31(8) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed credit facilities other than those reported above to other financial customers.  
0580  1.1.6.2.  liquidity facilities  
Article 31(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here on committed liquidity facilities as defined in Article 31(1) 
of Delegated Regulation (EU) 2015/61.  
0590  1.1.6.2.1.  to retail customers  
Article 31(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed liquidity facilities to retail customers as defined in Article 411(2) of Regulation 
(EU) No 575/2013.  
0600  1.1.6.2.2.  to non-financial customers other than retail customers  
Article 31(5) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed liquidity facilities to customers that are neither financial customers in accordance 
with Article 411(1) of Regulation (EU) No 575/2013 nor retail customers in accordance with 
Article 411(2) of Regulation (EU) No 575/2013.  
0610  1.1.6.2.3.  to personal investment companies  
Article 31(5) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amounts that could be drawn from undrawn 
committed liquidity facilities provided to private investment companies.  
0620  1.1.6.2.4.  to SSPEs (securitization special purpose vehicle)  
Credit institutions shall report here on committed liquidity facilities provided to SSPEs.  
0630  1.1.6.2.4.1.  to purchase assets other than securities from non-financial customers  
Article 31(6) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount of undrawn committed liquidity facilities 
provided to an SSPE for the purpose of enabling such SSPE to purchase assets, other than 
securities from clients that are not financial customers, to the extent that it exceeds the 
amount of as sets currently purchased from clients and where the maximum amount that can 
be drawn is contractually limited to the amount of assets currently purchased.EN 19.3.2021 Official Journal of the European Union L 97/1861
 
Row  Legal references and instructions  
0640  1.1.6.2.4.2.  other  
Point (b) of Article 31(8) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed liquidity facilities provided to SSPEs for other than above mentioned reasons. This 
includes arrangements under which the institution is required to buy or swap assets from an 
SSPE.  
0650  1.1.6.2.5.  to credit institutions  
Credit institutions shall report here on committed liquidity facilities provided to credit institu ­
tions.  
0660  1.1.5.2.5.1.  for funding promotional loans of retail customers  
Article 31(9) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed liquidity facilities provided to credit institutions for the sole purpose of directly or 
indirectly funding promotional loans qualifying as exposures to customers in accordance with 
Article 411(2) of Regulation (EU) No 575/2013. 
Only credit institutions which have been set up and are sponsored by central or regional 
government of at least one Member State may report this item.  
0670  1.1.6.2.5.2.  for funding promotional loans of non-financial customers  
Article 31(9) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed liquidity facilities provided to credit institutions for the sole purpose of directly or 
indirectly funding promotional loans qualifying as exposures to customers who are neither 
financial customers in accordance with Article 411(1) of Regulation (EU) No 575/2013 nor 
retail customers in accordance with Article 411(2) of Regulation (EU) No 575/2013. 
Only credit institutions which have been set up and are sponsored by central or regional 
government of at least one Member State may report this item.  
0680  1.1.6.2.5.3.  other  
Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn of undrawn 
committed liquidity facilities provided to credit institutions not mentioned above.  
0690  1.1.6.2.6.  within a group or an IPS if subject to preferential treatment  
Article 29 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed liquidity facilities for which they have received permission to apply a lower 
outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.  
0700  1.1.6.2.7.  within an IPS or cooperative network if treated as liquid asset by the 
depositing institution  
Article 31(7) of Delegated Regulation (EU) 2015/61 
Central institutions of a scheme or network referred to in Article 16 shall report the maximum 
amount that could be drawn from undrawn committed liquidity facilities to member credit 
institution where such member credit institution treat the facility as a liquid asset in accordance 
with Article 16(2) of the same Delegated Regulation.EN L 97/1862 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0710  1.1.6.2.8.  to other financial customers  
Point (c) of Article 31(8) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed liquidity facilities other than those reported above to other financial customers.  
0720  1.1.7.  Other products and services  
Article 23(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here on those products or services referred to in Article 23(1) of 
Delegated Regulation (EU) 2015/61. 
The amount to be reported shall be the maximum amount that could be drawn from the 
products or services referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. 
The applicable weight to be reported shall be the weight as determined by the competent 
authorities in accordance with the procedure set out in Article 23(2) of Delegated Regulation 
(EU) 2015/61.  
0731  1.1.7.1.  Uncommitted funding facilities  
Article 23(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of uncommitted funding facilities referred to in 
Article 23(1) of Delegated Regulation (EU) 2015/61. 
Guarantees shall not be reported in this row.  
0740  1.1.7.2.  undrawn loans and advances to wholesale counterparties  
Article 23(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of undrawn loans and advances to wholesale counter ­
parties referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.  
0750  1.1.7.3.  mortgages that have been agreed but not yet drawn down  
Article 23(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of mortgages that have been agreed but not yet drawn 
down referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.  
0760  1.1.7.4.  credit cards  
Article 23(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of credit cards referred to in Article 23(1) of 
Delegated Regulation (EU) 2015/61.  
0770  1.1.7.5.  overdrafts  
Article 23(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of overdrafts referred to in Article 23(1) of Delegated 
Regulation (EU) 2015/61.  
0780  1.1.7.6.  planned outflows related to renewal or extension of new retail or wholesale 
loans  
Article 23(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of planned outflows related to renewal or extension 
of new retail or wholesale loans referred to in Article 23(1) of Delegated Regulation (EU) 
2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1863
 
Row  Legal references and instructions  
0850  1.1.7.7.  Derivatives payables  
Article 23 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of derivatives payables, other than the contracts listed 
in Annex II of Regulation (EU) No 575/2013 and credit derivatives, referred to in Article 23(1) 
of Delegated Regulation (EU) 2015/61.  
0860  1.1.7.8.  trade finance off-balance sheet related products  
Credit institutions shall report the amount of the products or services related to trade finance off- 
balance sheet related products referred to in Article 23(1) of Delegated Regulation (EU) 
2015/61.  
0870  1.1.7.9.  others  
Article 23(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of other products or services than those cited above 
referred to in Article 23(1) of Delegated Regulation (EU) 2015/61. 
Guarantees, among other items, shall be reported in this row. 
Contingent outflows due to triggers other than downgrade triggers referred to in Article 30(2) of 
Delegated Regulation (EU) 2015/61 shall be reported in this row.  
0885  1.1.8.  Other liabilities and due commitments  
Article 28(2) and (6) and Article 31a of Delegated Regulation (EU) 2015/61 
Credit institutions shall report outflows from other liabilities and due commitments as provided 
in Article 28(2) and (6) and Article 31a of Delegated Regulation (EU) 2015/61. 
This item shall also include, where necessary, additional balances required to be kept in central 
bank reserves where agreed between the relevant competent authority and the ECB or the central 
bank in accordance with point (b)(iii) of Article 10(1) of Delegated Regulation (EU) 2015/61.  
0890  1.1.8.1.  liabilities resulting from operating expenses  
Article 28(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of the outstanding balance of liabilities resulting from 
the credit institution’s own operating expenses as referred to in Article 28(2) of Delegated 
Regulation (EU) 2015/61.  
0900  1.1.8.2.  in the form of debt securities if not treated as retail deposits  
Article 28(6) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of the outstanding balance of notes, bonds and other 
debt securities, issued by the credit institution other than that reported as retail deposits as 
referred to in Article 28(6) of Delegated Regulation (EU) 2015/61. This amount includes also 
coupons that come due in the next 30 calendar days referred to all these securities.  
0912  1.1.8.4  Excess of funding to non-financial customers  
Article 31a(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here the difference between the contractual commitments to 
extend funding to non-financial customers and the amount of inflows from such customers 
referred to in point (a) of Article 32(3) of that Delegated Regulation when the former exceeds 
the latter.EN L 97/1864 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0913  1.1.8.4.1  excess of funding to retail customers  
Credit institutions shall report here the difference between the contractual commitments to 
extend funding to retail customers and the amount of inflows from such customers referred 
to in point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 when the former exceeds 
the latter.  
0914  1.1.8.4.2  excess of funding to non-financial corporates  
Credit institutions shall report here the difference between the contractual commitments to 
extend funding to non-financial corporates customers and the amount of inflows from such 
customers referred to in point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 when 
the former exceeds the latter.  
0915  1.1.8.4.3  excess of funding to sovereigns, MLDBs (multilateral development banks) and 
PSEs (public sector entities)  
Credit institutions shall report here the difference between the contractual commitments to 
extend funding to sovereigns, multilateral development banks and public sector entities and 
the amount of inflows from such customers referred to in point (a) Article 32(3) of 
Delegated Regulation (EU) 2015/61 when the former exceeds the latter.  
0916  1.1.8.4.4  excess of funding to other legal entities  
Credit institutions shall report here the difference between the contractual commitments to 
extend funding to other legal entities and the amount of inflows from such customers 
referred to in point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 when the 
former exceeds the latter.  
0917  1.1.8.5  Assets borrowed on an unsecured basis  
Article 28(7) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here assets borrowed on an unsecured basis and maturing within 
the 30 days. These assets shall be assumed to run off in full, leading to a 100 % outflow. 
Credit institutions shall report the market value of assets borrowed on an unsecured basis and 
maturing within the 30 days period where the credit institution does not own the securities and 
they do not form part of institutions liquidity buffer.  
0918  1.1.8.6  Others  
Article 31a(1) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report the amount of the outstanding balance of any liabilities that come 
due in the next 30 calendar days other than those referred to in Articles 24 to 31 of Delegated 
Regulation (EU) 2015/61. 
This row shall only include any other outflows from unsecured transactions. Secured transactions 
shall be reported under ID 1.2. on ‘Outflows from secured lending and capital market-driven 
transactions’ and under ID 1.3. on ‘Total outflows from collateral swaps’.  
0920  1.2.  Outflows from secured lending and capital market-driven transactions  
Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013. Collateral swap transactions (which cover collateral-versus- collateral transactions) 
shall be reported in template C 75.01 of Annex XXIV.EN 19.3.2021 Official Journal of the European Union L 97/1865
 
Row  Legal references and instructions  
0930  1.2.1.  Counterparty is central bank  
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is a central bank.  
0940  1.2.1.1.  level 1 excl. EHQ Covered Bonds collateral  
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 
asset excluding extremely high quality covered bonds and, but for being used as collateral for 
those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation 
(EU) 2015/61 as liquid asset.  
0945  1.2.1.1.1  of which collateral extended meets operational requirements  
Transactions in item 1.2.1.1 where the collateral, but for being used as collateral for those 
transactions, would qualify with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
0950  1.2.1.2.  level 1 EHQ Covered Bonds collateral  
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 
asset which is extremely high quality covered bonds and, but for being used as collateral for 
those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation 
(EU) 2015/61 as liquid asset.  
0955  1.2.1.2.1  of which collateral extended meets operational requirements  
Transactions in item 1.2.1.2 where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 
2015/61 as liquid asset.  
0960  1.2.1.3.  level 2A collateral  
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is a central bank and the collateral extended is Level 
2A asset and, but for being used as collateral for those transactions, would qualify in accordance 
with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid asset.  
0965  1.2.1.3.1  of which collateral extended meets operational requirements  
Transactions in item 1.2.1.3 where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 
2015/61 as liquid asset.  
0970  1.2.1.4.  level 2B asset-backed securities (residential or automobile, CQS1) collateral  
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61.EN L 97/1866 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is a central bank and the collateral extended is Level 
2B asset backed securities which are residential or automobile backed and of credit quality step 1 
and which comply with the conditions laid down in points (b)(i), (b)(ii) or (b)(iv) of Article 13(2) 
and, but for being used as collateral for those transactions, would qualify in accordance with 
Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.  
0975  1.2.1.4.1  of which collateral extended meets operational requirements  
Transactions in item 1.2.1.4 where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 
2015/61 as liquid asset.  
0980  1.2.1.5.  level 2B covered bonds  
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is a central bank and the collateral extended is Level 
2B high quality covered bonds which comply with the conditions laid down in point (e) of 
Article 12(1)(e) and, but for being used as collateral for those transactions, would qualify in 
accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.  
0985  1.2.1.5.1  of which collateral extended meets operational requirements  
Transactions in item 1.2.1.5 where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 
2015/61 as liquid asset.  
0990  1.2.1.6.  level 2B asset-backed securities (commercial or individuals, Member State, CQS1) 
collateral  
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is a central bank and the collateral extended is Level 
2B asset backed securities which are backed by commercial loans, leases and credit facilities to 
undertakings or loans and credit facilities to individuals of a Member State and of credit quality 
step 1 and which comply with the conditions laid down points (g)(iii) or (g)(v) of Article 13(2)(g) 
and, but for being used as collateral for those transactions, would qualify in accordance with 
Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.  
0995  1.2.1.6.1  of which collateral extended meets operational requirements  
Transactions in item 1.2.1.6 where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 
2015/61 as liquid asset  
1000  1.2.1.7.  other Level 2B assets collateral  
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is a central bank and the collateral extended is Level 
2B asset not captured above and, but for being used as collateral for those transactions, would 
qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid 
asset.EN 19.3.2021 Official Journal of the European Union L 97/1867
 
Row  Legal references and instructions  
1005  1.2.1.7.1  of which collateral extended meets operational requirements  
Transactions in item 1.2.1.7 where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 
2015/61 as liquid asset.  
1010  1.2.1.8.  non-liquid assets collateral  
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is a central bank and the collateral extended is non- 
liquid assets.  
1020  1.2.2.  Counterparty is non-central bank  
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is not a central bank.  
1030  1.2.2.1.  level 1 excl. EHQ Covered Bonds collateral  
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61. 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is not a central bank and the collateral extended is 
Level 1 assets excluding extremely high quality covered bonds and, but for being used as 
collateral for those transactions, would qualify in accordance with Articles 7 and 10 of 
Delegated Regulation (EU) 2015/61 as liquid asset.  
1035  1.2.2.1.1.  of which collateral extended meets operational requirements  
Transactions in item 1.2.2.1 where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 
2015/61 as liquid asset.  
1040  1.2.2.2.  level 1 EHQ Covered Bonds collateral  
Point (b) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is not a central bank and the collateral extended is 
Level 1 asset which is extremely high quality covered bonds and, but for being used as collateral 
for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regu ­
lation (EU) 2015/61 as liquid asset.  
1045  1.2.2.2.1.  of which collateral extended meets operational requirements  
Transactions in item 1.2.2.2 where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 
2015/61 as liquid asset.  
1050  1.2.2.3.  level 2A collateral  
Point (c) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is not a central bank and the collateral extended is 
Level 2A collateral and, but for being used as collateral for those transactions, would qualify 
in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid asset.EN L 97/1868 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
1055  1.2.2.3.1.  of which collateral extended meets operational requirements  
Transactions in item 1.2.2.3 where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 
2015/61 as liquid asset.  
1060  1.2.2.4.  level 2B asset-backed securities (residential or automobile, CQS1) collateral  
Point (d) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is not a central bank and the collateral extended is 
Level 2B asset backed securities which are residential or automobile backed and of credit 
quality step 1 and which comply with the conditions laid down in points (g)(i), (g)(ii) or 
(g)(iv) of Article 13(2) and, but for being used as collateral for those transactions, would 
qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid 
asset.  
1065  1.2.2.4.1.  of which collateral extended meets operational requirements  
Transactions in item 1.2.2.4 where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 
2015/61 as liquid asset.  
1070  1.2.2.5.  level 2B covered bonds  
Point (e) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is not a central bank and the collateral extended is 
Level 2B high quality covered bonds which comply with the conditions laid down in point 
(e) of Article 12(1) and, but for being used as collateral for those transactions, would qualify in 
accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.  
1075  1.2.2.5.1.  of which collateral extended meets operational requirements  
Transactions in item 1.2.2.5 those where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 
as liquid asset.  
1080  1.2.2.6.  level 2B asset-backed securities (commercial or individuals, Member State, CQS1) 
collateral  
Point (f) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is not a central bank and the collateral extended is 
Level 2B asset backed securities which are backed by commercial loans, leases and credit facilities 
to undertakings or loans and credit facilities to individuals of a Member State and of credit 
quality step 1 and which comply with the conditions laid down in points (f)(iii) or (f)(v) of 
Article 13(2) and, but for being used as collateral for those transactions, would qualify in 
accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61as liquid asset..  
1085  1.2.2.6.1.  of which collateral extended meets operational requirements  
Transactions in item 1.2.2.6 where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 
2015/61 as liquid asset.EN 19.3.2021 Official Journal of the European Union L 97/1869
 
Row  Legal references and instructions  
1090  1.2.2.7.  other Level 2B assets collateral  
Point (g) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is not a central bank and the collateral extended is 
Level 2B collateral not captured above and, but for being used as collateral for those transactions, 
would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as 
liquid asset.  
1095  1.2.2.7.1.  of which collateral extended meets operational requirements  
Transactions in item 1.2.2.7 those where the collateral, but for being used as collateral for those 
transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 
as liquid asset.  
1100  1.2.2.8.  non-liquid assets collateral  
Point (h) of Article 28(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here outflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 where the counterparty is not a central bank and the collateral extended is 
non liquid assets collateral.  
1130  1.3.  Total outflows from collateral swaps  
The sum of outflows from C75.01 of Annex XXIV column 0070 shall be reported in column 
0060.  
MEMORANDUM ITEMS  
1170  2. Liquidity outflows to be netted by interdependent inflows  
Article 26 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report in column 0010 the amount of the outstanding balance of all 
liabilities and off- balance sheet commitments, whose liquidity outflows have been netted by the 
interdependent inflows in accordance with Article 26 of Delegated Regulation (EU) 2015/61. 
Credit institutions shall report in column 0060 the outflows that have been netted by the 
interdependent inflows in accordance with Article 26 of Delegated Regulation (EU) 2015/61.  
3. Operational deposits maintained for clearing, custody, cash management or other 
comparable services in the context of an established operational relationship  
Credit institutions shall report here on operational deposits referred to in item 1.1.2.1. broken 
down by the following counterparties: 
— Credit institutions; 
— financial customers other than credit institutions; 
— sovereigns, central banks, multilateral development banks and public sector entities; 
— other customers.  
1180  3.1.  provided by credit institutions  
Credit institutions shall report the amount of the outstanding balance of operational deposits 
referred to in item 1.1.2.1. provided by credit institutions.EN L 97/1870 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
1190  3.2.  provided by financial customers other than credit institutions  
Credit institutions shall report the amount of the outstanding balance of operational deposits 
referred to in item 1.1.2.1. provided by financial customers other than credit institutions.  
1200  3.3.  provided by sovereigns, central banks, MDBs and PSEs  
Credit institutions shall report the amount of the outstanding balance of operational deposits 
referred to in item 1.1.2.1. provided by sovereigns, central banks, multilateral development banks 
and public sector entities.  
1210  3.4.  provided by other customers  
Credit institutions shall report the amount of the outstanding balance of operational deposits 
referred to in item 1.1.2.1. provided by other customers (other than those mentioned above and 
customers considered for the retail deposits).  
4. Intra group or IPS outflows  
Credit institutions shall report here all transactions reported in item 1 where the counterparty is 
a parent or a subsidiary of the credit institution or another subsidiary of the same parent or 
linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 
83/349/EEC or a member of the same institutional protection scheme referred to in 
Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a 
network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.  
1290  4.1.  of which: to financial customer  
Credit institutions shall report total amount reported in item 1.1. to financial customers within 
the scope of item 4.  
1300  4.2.  of which: to non-financial customers  
Credit institutions shall report total amount reported in item 1.1. to non-financial customers 
within the scope of item 4.  
1310  4.3.  of which: secured  
Credit institutions shall report total amount of secured transactions reported in item 1.2. within 
the scope of item 4.  
1320  4.4.  of which: credit facilities without preferential treatment  
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed credit facilities reported in item 1.1.6.1. to entities within the scope of item 4 for 
which they have not received permission to apply a lower outflow rate in accordance with 
Article 29 of Delegated Regulation (EU) 2015/61.  
1330  4.5.  of which: liquidity facilities without preferential treatment  
Credit institutions shall report the maximum amount that could be drawn from undrawn 
committed liquidity facilities reported in item 1.1.6.2. to entities within the scope of item 4 
for which they have not received permission to apply a lower outflow rate in accordance with 
Article 29 of Delegated Regulation (EU) 2015/61.  
1340  4.6.  of which: operational deposits  
Credit institutions shall report the amount of deposits referred to in item 1.1.2. to entities within 
the scope of item 4.EN 19.3.2021 Official Journal of the European Union L 97/1871
 
Row  Legal references and instructions  
1345  4.7.  of which: excess operational deposits  
Credit institutions shall report the amount of funds from operational deposits held in excess 
referred to in item 1.1.3. to entities within the scope of item 4.  
1350  4.8.  of which: non-operational deposits  
Credit institutions shall report the amount of the outstanding balance of the deposits referred to 
in item 1.1.4. from entities within the scope of item 4.  
1360  4.9.  of which: liabilities in the form of debt securities if not treated as retail deposits  
Credit institutions shall report the amount of the outstanding balance of debt securities reported 
in item 1.1.8.2. which are held by entities within the scope of item 4.  
1370  5. FX outflows  
This item shall only be reported in case of reporting in currencies subject to separate reporting. 
For the cases of reporting in a separate currency, in accordance with Article 415(2) of Regu ­
lation (EU) No 575/2013, only, credit institutions shall report the portion of outflows from 
derivatives (reported in item 1.1.5.5.) which relate to FX principal flows in the respective 
significant currency from cross-currency swaps, FX spot and forward transactions maturing 
within the 30 day period. Netting by counterparty may only be applied to flows in that 
currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be 
reported as EUR10 outflow. No netting shall be made across counterparties, for instance 
Counterparty A: EUR-10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on 
C73.00 (and EUR40 inflow on C74.00).  
6. Secured funding waived from Article 17(2) and (3)  
Credit institutions shall report here secured funding transactions with a residual maturity up to 
30 days where the counterparty is a central bank and where the relevant transactions are 
exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 
2015/61 by its Article 17(4).  
1400  6.1 of which: secured by L1 excl. EHQCB  
Credit institutions shall report here secured funding transactions maturing within 30 calendar 
days where the counterparty is a central bank, the collateral extended is Level 1 collateral 
excluding extremely high quality covered bonds and but for being used as collateral would 
meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, 
and where the relevant transactions are exempted from the application of Article 17(2) and (3) 
of Delegated Regulation (EU) 2015/61 by its Article 17(4).  
1410  6.2 of which: secured by L1 EHQCB  
Credit institutions shall report here secured funding transactions maturing within 30 calendar 
days where the counterparty is a central bank, the collateral extended is Level 1 collateral which 
is extremely high quality covered bonds and but for being used as collateral would meet the 
requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where 
the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated 
Regulation (EU) 2015/61 by its Article 17(4).EN L 97/1872 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
1420  6.3 of which: secured by L2A  
Credit institutions shall report here secured funding transactions maturing within 30 calendar 
days where the counterparty is a central bank, the collateral extended is Level 2A collateral and 
but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of 
Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the 
application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).  
1430  6.4 of which: secured by L2B  
Credit institutions shall report here secured funding transactions maturing within 30 calendar 
days where the counterparty is a central bank, the collateral extended is Level 2B collateral and 
but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of 
Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the 
application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).  
1440  6.5 of which: secured by non-liquid assets  
Credit institutions shall report here secured funding transactions maturing within 30 calendar 
days where the counterparty is a central bank, the collateral extended is a non-liquid collateral 
and where the relevant transactions are exempted from the application of Article 17(2) and (3) 
of Delegated Regulation (EU) 2015/61 by its Article 17(4).  
PART 3: INFLOWS  
1. Inflows  
1.1. General remarks  
1. This is a summary template which contains information about liquidity inflows measured over the next 
30 days, for the purpose of reporting the liquidity coverage requirement as specified in Delegated 
Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are 
coloured in grey.  
2. Credit institutions shall submit the template in the corresponding currencies in accordance with 
Article 415(2) of Regulation (EU) No 575/2013.  
3. In accordance with Article 32 of Delegated Regulation (EU) 2015/61, liquidity inflows shall:  
i. comprise only contractual inflows from exposures that are not past due and for which the credit 
institution has no reason to expect non-performance within the 30-day time horizon;  
ii. be calculated by multiplying the outstanding balances of various categories of contractual receivables 
by the rates specified in Delegated Regulation (EU) 2015/61.  
4. Inflows within a group or an institutional protection scheme (except for inflows from undrawn credit or 
liquidity facilities provided by members of a group or an institutional protection scheme where the 
competent authority has granted permission to apply a preferential inflow rate) shall be assigned to 
the relevant categories. Unweighted amounts shall additionally be reported as memorandum items 
under section 3 of the template (rows 0460-0510).  
5. In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61, credit institutions shall not report 
inflows from any of the liquid assets reported in accordance with Title II of that Regulation other than 
payments due on the assets that are not reflected in the market value of the asset.  
6. Inflows which are to be received in third countries where there are transfer restrictions or which are 
denominated in non-convertible currencies shall be reported in the relevant rows of sections 1.1., 1.2. or 
1.3. The inflows shall be reported in full, regardless of the amount of outflows in the third country or 
currency.EN 19.3.2021 Official Journal of the European Union L 97/1873
 
7. Monies due from securities issued by the credit institution itself or by a SSPE with which the credit 
institution has close links shall be taken into account on a net basis with an inflow rate applied on the 
basis of the inflow rate applicable to the underlying assets pursuant to point (h) of Article 32(3) of 
Delegated Regulation (EU) 2015/61.  
8. In accordance with Article 32(7) of Delegated Regulation (EU) 2015/61, credit institutions shall not report 
inflows from any new obligations entered into. This refers to contractual commitments which have not 
been contractually established at the reporting date, but will or may be entered into within the 30 day 
horizon.  
9. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) No 575/2013, the 
reported balances shall comprise only those which are denominated in the relevant currency to ensure 
that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported 
in the relevant currency template. For instance, in case of FX derivatives, credit institutions may only net 
inflows and outflows in accordance with Article 21 of Delegated Regulation (EU) 2015/61 where they are 
denominated in the same currency.  
10. The Column structure of this template is built to accommodate the different caps on inflows applicable 
pursuant to Article 33 of Delegated Regulation (EU) 2015/61. In this regard, the template is based on 
three sets of Columns, one set for each cap treatment (75 % cap, 90 % cap, and exempted from the cap). 
Credit institutions reporting on a consolidated basis may use more than one such set of Columns if 
different entities under the same consolidation qualify for different cap treatments.  
11. In accordance with point (c) of Article 2(3) of Delegated Regulation (EU) 2015/61 regarding consoli ­
dation, liquidity inflows in a subsidiary undertaking in a third country which are subject under the 
national law of that third country to lower rates than those specified in Title III of the regulation shall 
be subject to consolidation in accordance with the lower rates specified in the national law of the third 
country.  
12. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word ‘weight’ in the 
template just refers to these in the appropriate context. The word ‘weighted’ in this Annex shall be 
understood as a general term for indicating the amount calculated after the application of the respective 
haircuts, rates and any other relevant additional instructions (e.g. in the case of secured lending and 
funding).  
13. Some ‘memorandum items’ are included in the associated templates to these instructions. Among others, 
these items provide necessary information to allow the competent authority to complete an adequate 
assessment of credit institutions’ compliance with the liquidity requirements.  
1.2. Specific remarks regarding secured lending and capital market-driven transactions  
14. The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A 
separate template is provided for collateral swaps – C 75.01 of Annex XXIV. Collateral swaps, which are 
collateral-versus-collateral transactions shall not be reported on the inflow template (C 74.00 of 
Annex XXIV) which only covers cash-versus-collateral transactions.  
15. Where secured lending and capital market-driven transactions are secured by shares or units in CIUs, these 
transactions shall be reported as if they would be collateralised by the assets underlying the CIU. For 
instance, in case a secured lending transaction is collateralised by shares or units in a CIU that exclusively 
invests into Level 2A assets, the secured lending transaction shall be reported as if directly collateralised by 
Level 2A collateral. The potentially higher inflow rate for secured lending transactions backed by shares or 
units in CIUs shall be reflected in the relevant inflow rate to be reported.  
16. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) No 575/2013, the 
reported balances shall comprise only those which are denominated in the relevant currency to ensure 
that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported 
in the relevant currency template. Hence a reverse repo transaction can result in a negative inflow. Reverse 
repo transactions reported in the same item shall be summed (positives and negatives). If the total is 
positive then this shall be reported on the inflow template. If the total is negative then this shall be 
reported on the outflow template. This approach shall be followed vice-versa for repos.EN L 97/1874 Official Journal of the European Union 19.3.2021
 
17. For the calculation of inflows, secured lending and capital market-driven transactions shall be reported 
irrespective of whether the underlying collateral received meets the operational requirements as provided 
under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation 
of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 
2015/61, credit institutions shall also report separately those transactions where the underlying collateral 
received additionally meets the operational requirements as provided under Article 8 of Delegated Regu ­
lation (EU) 2015/61.  
18. Where a credit institution may only recognise part of their foreign currency shares, or foreign currency 
central government or bank assets, or domestic currency central government or central bank assets within 
their HQLA, only the recognisable part shall be reported within the rows on Level 1, Level 2A and Level 
2B assets in accordance with point (c)(ii) of Article 12(1) and point (d) of Article 10(1) of Delegated 
Regulation (EU) 2015/61. Where the particular asset is used as collateral but for an amount which is 
surplus to the portion which can be recognised as liquid assets, the surplus amount shall be reported in 
the non-liquid section. Level 2A assets shall be reported in the corresponding Level 2A asset row, even if 
the Alternative Liquidity Approach under Article 19 of Delegated Regulation (EU) 2015/61 is being 
followed.  
1.3. Specific remarks regarding settlement and forward starting transactions  
19. Credit institutions shall report inflows stemming from forward starting repos that start within the 30 day 
horizon and mature beyond the 30 day horizon. The inflow to be received shall be reported in {C 74.00; 
r0260} (‘other inflows’), net of the market value of the asset to be delivered to the counterparty after the 
application of the related LCR haircut. If the asset is not a ‘liquid asset’, the inflow to be received shall be 
reported in full. The asset to be pledged as collateral shall be reported in C 72.00 if the institution holds 
the asset in its book at the reference date and it fulfils the related conditions.  
20. Credit institutions shall report inflows stemming from forward starting repos, reverse repos and collateral 
swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg 
produces an inflow. In the case of a repo, the inflow to be received shall be reported in {C 74.00; r0260} 
(‘other inflows’), net of the market value of the asset to be delivered to the counterparty after the 
application of the related LCR haircut. If the amount to be received is lower than the market value of 
the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an outflow in 
C.73.00. If the asset is not a ‘liquid asset’, the inflow to be received shall be reported in full. The asset to 
be pledged as collateral shall be reported in C 72.00 where the institution holds the asset in its book at 
the reference date and it fulfils the related conditions. In the case of a reverse repo, where the market 
value of the asset to be received as collateral after the application of the related LCR haircut (if the asset 
qualifies as liquid asset) is larger than the cash amount to be lent, the difference is to be reported as an 
inflow in {C 74.00; r0260} (‘other inflows’). For collateral swaps, where the net effect of the initial swap 
of assets (taking into account LCR haircuts) gives rise to an inflow this inflow shall be reported {C 74.00; 
r0260} (‘other inflows’).  
21. Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 
30 day horizon do not have any impact on a bank’s LCR and can be ignored.  
1.4. Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Delegated Regulation 
(EU) 2015/61  
22. The decision tree is without prejudice to the reporting of the memorandum items. The decision tree is 
part of the instructions to specify prioritisation assessment criteria for the assignment of each reported 
item in order to secure homogenous and comparable reporting. Going through the decision tree alone is 
not sufficient – credit institutions shall comply with the rest of the instructions at all times.EN 19.3.2021 Official Journal of the European Union L 97/1875
 
23. For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not necessarily 
imply that they shall not also be reported.  
1.4.1. Decision tree on rows in template C 74.00 of Annex XXIV  
# Item  Decision  Reporting  
1 Inflow meeting the operational criteria as specified in Article 32, 
such as: 
— Exposure is not past due (Article 32(1)) 
— Credit institution has no reason to expect non-performance 
within 30 calendar days (Article 32(1)) 
— Credit institutions shall not take into account inflows from any 
new obligation entered into (Article 32(7)) 
— No inflows shall be reported in case inflows are already netted 
against outflows (Article 26) 
— Credit institutions shall not take into account any inflows from 
any of the liquid assets referred to in Title II other than 
payments due on the assets that are not reflected in the 
market value of the asset (Article 32(6))  No No Reporting  
Yes # 2  
2 Forward starting transaction  Yes  # 3  
No # 5  
3 Forward transaction entered into subsequent to the reporting date;  Yes  No Reporting  
No # 4  
4 Forward transaction that start within the 30 day horizon and mature 
after the 30-day horizon where the initial leg produces a net inflow  Yes Row 260, ID 
1.1.11.  
No No Reporting  
5 Inflows within a group or an institutional protection scheme  Yes  # 6  
No # 7  
6 Inflows from undrawn credit or liquidity facilities provided by 
members of a group or an institutional protection scheme where 
the competent authority has granted permission to apply a higher 
inflow rate (Article 34)  Yes Row 250, ID 
1.1.10.  
No # 7  
7 Inflows from secured lending and capital markets-driven transactions 
with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f))  Yes # 23  
No # 8  
8 Monies due from securities maturing within 30 calendar days 
(Article 32(2)(c))  Yes Row 190, ID 1.1.5.  
No # 9  
9 Monies due from trade financing transactions with a residual 
maturity of no more than 30 days (Article 32(2)(b))  Yes Row 180, ID 1.1.4.  
No # 10EN L 97/1876 Official Journal of the European Union 19.3.2021
 
# Item  Decision  Reporting  
10 Loans with an undefined contractual end date (Article 32(3)(i))  Yes  # 11  
No # 12  
11 Interest and minimum payments from loans with an undefined 
contractual end date that are contractually due and that are 
subject to an actual cash inflow within the next 30 days  Yes # 12  
No Row 201, ID 1.1.6.  
12 Monies due from positions in major index equity instruments 
provided that there is no double counting with liquid assets 
(Article 32(2)(d))  Yes Row 210, ID 1.1.7.  
No # 13  
13 Inflows from the release of balances held in segregated accounts in 
accordance with regulatory requirements for the protection of 
customer trading assets (Article 32(4))  Yes Row 230, ID 1.1.8.  
No # 14  
14 Derivatives cash inflows net by counterparty and collateral 
(Article 32(5))  Yes Row 240, ID 1.1.9.  
No # 15  
15 Inflows related to outflows in accordance with promotional loan 
commitments referred to in Article 31(9) (Article 32(3)(a))  Yes Row 170, ID 1.1.3.  
No # 16  
16 Monies due from central banks and financial customers with a 
residual maturity of no more than 30 days (Article 32(2)(a))  Yes # 20  
No # 17  
17 Monies due from non-financial customers (except for central banks) 
not corresponding to principal repayment (Article 32(2))  Yes Row 040, ID 
1.1.1.1.  
No # 18  
18 Other monies due from non-financial customers (except for central 
banks) (Article 32(3)(a))  Yes # 19  
No Row 260, ID 
1.1.11.  
19 Other monies due from non- 
financial customers (except for 
central banks) (Article 32(3)(a))  # 19.1  Retail customers  Yes  Row 060, ID 
1.1.1.2.1.  
No # 19.2  
# 19.2  Non-financial 
corporates  Yes Row 070, ID 
1.1.1.2.2.  
No # 19.3  
# 19.3  Sovereigns, MDBs and 
PSEs  Yes Row 080, ID 
1.1.1.2.3.  
No Row 090, ID 
1.1.1.2.4.EN 19.3.2021 Official Journal of the European Union L 97/1877
 
# Item  Decision  Reporting  
20 Inflows from financial customers being classified as operational 
deposits (Article 32(3)(d))  Yes # 21  
No # 22  
21 Credit institution is able to establish a corresponding symmetrical 
inflow rate (Article 32(3)(d))  Yes Row 120, ID 
1.1.2.1.1.  
No Row 130, ID 
1.1.2.1.2.  
22 Monies due from central banks (Article 32(2)(a))  Yes  Row 150, ID 
1.1.2.2.1.  
No Row 160, ID 
1.1.2.2.2.  
23 Collateral Swap Transaction (Article 32(3)(e))  Yes  Row 410, ID 1.3 (  2 ) 
No # 24  
24 Transaction is conducted with a central bank  Yes  #25  
No # 31  
25 Collateral is generally eligible as a liquid asset (irrespective or not 
whether it is re-used in another transaction and irrespective of 
whether the asset meets the operational requirement under 
Article 8)  Yes # 26  
No # 30  
26 Collateral is used to cover short positions  Yes  Row 297, ID 
1.2.1.2  
No # 27  
27 Collateral received meets the operational requirements under 
Article 8  Yes # 28  
No # 29  
28 Secured funding transaction 
secured by (Article 32(3)(b)):  # 28.1  Level 1 collateral 
excluding extremely 
high quality covered 
bonds  Yes Row 269, ID 
1.2.1.1.1 + 
Row 271, ID 
1.2.1.1.1.1  
No # 28.2  
# 28.2  Level 1 collateral 
which is extremely 
high quality covered 
bonds  Yes Row 273, ID 
1.2.1.1.2 + 
Row 275, ID 
1.2.1.1.2.1  
No # 28.3  
# 28.3  Level 2A collateral  Yes  Row 277, ID 
1.2.1.1.3 + 
Row 279, ID 
1.2.1.1.3.1  
No # 28.4EN L 97/1878 Official Journal of the European Union 19.3.2021  
( 2 ) Collateral swap transactions additionally need to be reported in template C 75.01 of Annex XXIV.
 # Item  Decision  Reporting  
# 28.4  Level 2B asset backed 
securities (residential or 
auto) collateral  Yes Row 281, ID 
1.2.1.1.4 + 
Row 283, ID 
1.2.1.1.4.1  
No # 28.5  
# 28.5  Level 2B high quality 
covered bonds 
collateral  Yes Row 285, ID 
1.2.1.1.5 + 
Row 287, ID 
1.2.1.1.5.1  
No # 28.6  
# 28.6  Level 2B asset backed 
securities (commercial 
or individuals) 
collateral  Yes Row 289, ID 
1.2.1.1.6 + 
Row 291, ID 
1.2.1.1.6.1  
No Row 293, ID 
1.2.1.1.7 + 
Row 295, ID 
1.2.1.1.7.1  
29 Secured funding transaction 
secured by (Article 32(3)(b)):  # 29.1  Level 1 collateral 
excluding extremely 
high quality covered 
bonds  Yes Row 269, ID 
1.2.1.1.1  
No # 29.2  
# 29.2  Level 1 collateral 
which is extremely 
high quality covered 
bonds  Yes Row 273, ID 
1.2.1.1.2  
No # 29.3  
# 29.3  Level 2A collateral  Yes  Row 277, ID 
1.2.1.1.3  
No # 29.4  
# 29.4  Level 2B asset backed 
securities (residential or 
auto) collateral  Yes Row 281, ID 
1.2.1.1.4  
No # 29.5  
# 29.5  Level 2B high quality 
covered bonds 
collateral  Yes Row 285, ID 
1.2.1.1.5  
No # 29.6  
# 29.6  Level 2B asset backed 
securities (commercial 
or individuals) 
collateral  Yes Row 289, ID 
1.2.1.1.6  
No Row 293, ID 
1.2.1.1.7EN 19.3.2021 Official Journal of the European Union L 97/1879
 
# Item  Decision  Reporting  
30 Collateral that does not qualify as a liquid asset (Article 32(3)(b)) 
and is non-liquid equity  Yes Row 301, ID 
1.2.1.3.1  
No Row 303, ID 
1.2.1.3.2  
31 Collateral is generally eligible as a liquid asset (irrespective or not 
whether it is re-used in another transaction and irrespective of 
whether the asset meets the operational requirement under 
Article 8)  Yes # 32  
No # 36  
32 Collateral is used to cover short positions  Yes  Row 337, ID 
1.2.2.2  
No # 33  
33 Collateral received meets the operational requirements under 
Article 8  Yes # 34  
No # 35  
34 Secured funding transaction 
secured by (Article 32(3)(b))  # 34.1  Level 1 collateral 
excluding extremely 
high quality covered 
bonds  Yes Row 309, ID 
1.2.2.1.1 + 
Row 311, ID 
1.2.2.1.1.1  
No # 34.2  
# 34.2  Level 1 collateral 
which is extremely 
high quality covered 
bonds  Yes Row 313, ID 
1.2.2.1.2 + 
Row 315, ID 
1.2.2.1.2.1  
No # 34.3  
# 34.3  Level 2A collateral  Yes  Row 317, ID 
1.2.2.1.3 + 
Row 319, ID 
1.2.2.1.3.1  
No # 34.4  
# 34.4  Level 2B asset backed 
securities (residential or 
auto) collateral  Yes Row 321, ID 
1.2.2.1.4 + 
Row 323, ID 
1.2.2.1.4.1  
No # 34.5  
# 34.5  Level 2B high quality 
covered bonds 
collateral  Yes Row 325, ID 
1.2.2.1.5 + 
Row 327, ID 
1.2.2.1.5.1  
No # 34.6EN L 97/1880 Official Journal of the European Union 19.3.2021
 
# Item  Decision  Reporting  
# 34.6  Level 2B asset backed 
securities (commercial 
or individuals) 
collateral  Yes Row 329, ID 
1.2.2.1.6 + 
Row 331, ID 
1.2.2.1.6.1  
No Row 333, ID 
1.2.2.1.7 + 
Row 335, ID 
1.2.2.1.7.1  
35 Secured funding transaction 
secured by (Article 32(3)(b))  # 35.1  Level 1 collateral 
excluding extremely 
high quality covered 
bonds  Yes Row 309, ID 
1.2.2.1.1  
No # 35.2  
# 35.2  Level 1 collateral 
which is extremely 
high quality covered 
bonds  Yes Row 313, ID 
1.2.2.1.2  
No # 35.3  
# 35.3  Level 2A collateral  Yes  Row 317, ID 
1.2.2.1.3  
No # 35.4  
# 35.4  Level 2B asset backed 
securities (residential or 
auto) collateral  Yes Row 321, ID 
1.2.2.1.4  
No # 35.5  
# 35.5  Level 2B high quality 
covered bonds 
collateral  Yes Row 325, ID 
1.2.2.1.5  
No # 35.6  
# 35.6  Level 2B asset backed 
securities (commercial 
or individuals) 
collateral  Yes Row 329, ID 
1.2.2.1.6  
No Row 333, ID 
1.2.2.1.7  
36 Collateral that does not qualify 
as a liquid asset 
(Article 32(3)(b))  # 36.1  margin loans: collateral 
is non-liquid  Yes Row 341, ID 
1.2.2.3.1.  
No # 36.2  
# 36.2  collateral is non-liquid 
equity  Yes Row 343, ID 
1.2.2.3.2.  
No Row 345, ID 
1.2.2.3.3.EN 19.3.2021 Official Journal of the European Union L 97/1881
 
1.4.2. Decision tree on columns in template C 74.00 of Annex XXIV  
# Item  Decision  Reporting  
1 Inflow to be reported in rows 0010-0430 of template C 74.00 of 
Annex XXIV in accordance with Article 32, Article 33 and 
Article 34 and in accordance with the classification as specified in 
section 1 (‘Decision tree on rows in template C 74.00’)  No No Reporting  
Yes # 2  
2 Inflows from secured lending and capital markets-driven transactions 
with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f))  Yes # 11  
No # 3  
3 Partial exemption from the cap on inflows (Article 33(2)-(5))  Yes  # 4  
No # 6  
4 Partial exemption from the cap 
on inflows (Article 33(2)-(5))  # 4.1  Part of inflows 
exempted from the cap 
on inflows  # 5  
# 4.2  Part of inflows not 
exempted from the cap 
on inflows  # 7  
5 Part of the inflows exempted from the 75 % cap on inflows subject 
to 90 % cap on inflows (Article 33(4) and Article 33(5))  Yes # 9  
No # 10  
6 Inflow subject to the 75 % cap on inflows (Article 33(1))  Yes # 7  
No # 8  
7 Inflow subject to the 75 % cap 
on inflows (Article 33(1))  #7.1  Monies due/maximum 
amount that can be 
drawn  Column 0010  
# 7.2  Applicable Weight  Column 0080  
# 7.3  Inflow  Column 0140  
8 Inflow subject to the 90 % cap on inflows (Article 33(4) and 
Article 33(5))  Yes # 9  
No # 10  
9 Inflow subject to the 90 % cap 
on inflows (Article 33(4) and 
Article 33(5))  # 9.1  Monies due/maximum 
amount that can be 
drawn  Column 0020  
# 9.2  Applicable Weight  Column 0090  
# 9.3  Inflow  Column 0150  
10 Inflows that are fully exempted 
from the cap on inflows 
(Article 33(2)-(3))  # 10.1  Monies due/maximum 
amount that can be 
drawn  Column 0030  
# 10.2  Applicable Weight  Column 0100  
# 10.3  Inflow  Column 0160EN L 97/1882 Official Journal of the European Union 19.3.2021
 
# Item  Decision  Reporting  
11 Secured funding transaction where the collateral is generally eligible 
as a liquid asset (irrespective or not whether it is re-used in another 
transaction and irrespective of whether the asset meets the oper ­
ational requirement under Article 8)  Yes # 12  
No # 3  
12 Partial exemption from the cap on inflows (Article 33(2)-(5))  Yes # 13  
No # 15  
13 Partial exemption from the cap 
on inflows (Article 33(2)-(5))  # 13.1  Part of inflows 
exempted from the cap 
on inflows  # 14  
# 13.2  Part of inflows not 
exempted from the cap 
on inflows  # 16  
14 Part of the inflows exempted from the 75 % cap on inflows subject 
to 90 % cap on inflows (Article 33(4) and Article 33(5))  Yes # 18  
No # 19  
15 Inflow subject to the 75 % cap on inflows (Article 33(1))  Yes # 16  
No # 17  
16 Inflow subject to the 75 % cap 
on inflows (Article 33(1))  # 16.1  Monies due  Column 0010  
# 16.2  Market value of 
collateral received  Column 0040  
# 16.3  Applicable Weight  Column 0080  
# 16.4  Value of collateral 
received in accordance 
with Article 9 
[only if the collateral 
received meets the 
operational require ­
ments]  Column 0110  
# 16.5  Inflow  Column 0140  
17 Inflow subject to the 90 % cap on inflows (Article 33(4) and 
Article 33(5))  Yes # 18  
No # 19  
18 Inflow subject to the 90 % cap 
on inflows (Article 33(4) and 
Article 33(5))  # 18.1  Monies due  Column 0020  
# 18.2  Market value of 
collateral received  Column 0050  
# 18.3  Applicable Weight  Column 0090EN 19.3.2021 Official Journal of the European Union L 97/1883
 
# Item  Decision  Reporting  
# 18.4  Value of collateral 
received in accordance 
with Article 9 
[only if the collateral 
received meets the 
operational require ­
ments]  Column 0120  
# 18.5  Inflow  Column 0150  
19 Inflows that are fully exempted 
from the cap on inflows 
(Article 33(2)-(3))  # 19.1  Monies due  Column 0030  
# 19.2  Market value of 
collateral received  Column 0060  
# 19.3  Applicable Weight  Column 0100  
# 19.4  Value of collateral 
received in accordance 
with Article 9 
[only if the collateral 
received meets the 
operational require ­
ments]  Column 0130  
# 19.5  Inflow  Column 0160  
1.5. Inflows sub template  
1.5.1. Instructions concerning specific columns  
Column  Legal references and instructions  
0010  Amount – Subject to the 75 % cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269-0297, 0301-0303, 0309-0337, 
0341-0345, 0450 and 0470-0510, credit institutions shall report in Column 0010 the total 
amount of assets/monies due/maximum amounts that can be drawn that are subject to the 75 % 
cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 and following 
the relevant instructions included here. 
Where a competent authority has approved a partial exemption from the cap on inflows in 
accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount 
subject to the exemption shall be reported in column 0020 or 0030 and the part of the amount 
not subject to the exemption shall be reported in column 0010.  
0020  Amount – Subject to the 90 % cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269-0297, 0301-0303, 0309-0337, 
0341-0345, 0450 and 0470-0510, credit institutions shall report in Column 0020 the total 
amount of assets/monies due/maximum amounts that can be drawn that are subject to the 90 % 
cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 
2015/61 and following the relevant instructions included here. 
Where a competent authority has approved a partial exemption from the cap on inflows in 
accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount 
subject to the exemption shall be reported in column 0020 or 0030 and the part of the amount 
not subject to the exemption shall be reported in column 0010.EN L 97/1884 Official Journal of the European Union 19.3.2021
 
Column  Legal references and instructions  
0030  Amount – Exempted from the cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269-0297, 0301-0303, 0309-0337, 
0341-0345, 0450 and 0470-0510, credit institutions shall report in Column 0030 the total 
amount of assets/monies due/maximum amounts that can be drawn that are fully exempted 
from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of 
Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. 
Where a competent authority has approved a partial exemption from the cap on inflows in 
accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount 
subject to the exemption shall be reported in column 0020 or 0030 and the part of the amount 
not subject to the exemption shall be reported in column 0010.  
0040  Market value of collateral received – Subject to the 75 % cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0269-0295, 0309-0335 and for row 0490, credit institutions shall report in column 
0040 the market value of collateral received in secured lending and capital market-driven trans ­
actions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated 
Regulation (EU) 2015/61. 
Where a competent authority has approved a partial exemption from the cap on inflows in 
accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of 
collateral received in secured lending and capital market-driven transactions subject to the 
exemption shall be reported in column 0050 or 0060 and the market value of collateral 
received in secured lending and capital market-driven transactions not subject to the 
exemption shall be reported in column 0040.  
0050  Market value of collateral received – Subject to the 90 % cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0269-0295, 0309-0335 and for row 0490, credit institutions shall report in column 
0050 the market value of collateral received in secured lending and capital market-driven trans ­
actions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) 
of Delegated Regulation (EU) 2015/61. 
Where a competent authority has approved a partial exemption from the cap on inflows in 
accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of 
collateral received in secured lending and capital market-driven transactions subject to the 
exemption shall be reported in column 0050 or 0060 and the market value of collateral 
received in secured lending and capital market-driven transactions not subject to the 
exemption shall be reported in column 0040.  
0060  Market value of collateral received – Exempted from the cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0269-0295, 0309-0335 and for row 0490, credit institutions shall report in column 
0060 the market value of collateral received in secured lending and capital market-driven trans ­
actions that are fully exempted from the cap on inflows as specified in Article 33(2), 
Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61. 
Where a competent authority has approved a partial exemption from the cap on inflows in 
accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of 
collateral received in secured lending and capital market-driven transactions subject to the 
exemption shall be reported in column 0050 or 0060 and the market value of collateral 
received in secured lending and capital market-driven transactions not subject to the 
exemption shall be reported in column 0040.EN 19.3.2021 Official Journal of the European Union L 97/1885
 
Column  Legal references and instructions  
0070  Standard Weight  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
The standard weights in column 0070 are those specified in Delegated Regulation (EU) 2015/61 
by default and are provided for information only.  
0080  Applicable Weight- Subject to the 75 % cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
The Applicable Weight is the one specified in Articles 32 to 34 of Delegated Regulation (EU) 
2015/61. Applicable weights may result in weighted average values and shall be reported in 
decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable 
weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and 
national discretions. 
For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 
0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470- 
0510, credit institutions shall report in column 0080 the average weight applied to assets/ 
monies due/maximum amounts that can be drawn that are subject to the 75 % cap on 
inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61.  
0090  Applicable Weight- Subject to the 90 % cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 
2015/61. Applicable weights may result in weighted average values and shall be reported in 
decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable 
weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and 
national discretions. 
For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 
0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470- 
0510, credit institutions shall report in column 0090 the average weight applied to assets/ 
monies due/maximum amounts that can be drawn that are subject to the 90 % cap on 
inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61.  
0100  Applicable Weight – Exempted from the cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 
2015/61. Applicable weights may result in weighted average values and shall be reported in 
decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable 
weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and 
national discretions. 
For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 
0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 
0470 –0510, credit institutions shall report in column 0100 the average weight applied to 
assets/monies due/maximum amounts that can be drawn that are exempted from the cap on 
inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation 
(EU) 2015/61.EN L 97/1886 Official Journal of the European Union 19.3.2021
 
Column  Legal references and instructions  
0110  Value of collateral received in accordance with Article 9 – Subject to the 75 % cap on 
inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0271, 0275, 0279, 0283, 0287, 0291, 0295, 0311, 0315, 0319, 0323, 0327, 0331 
and 0335, credit institutions shall report in column 0110 the value of collateral received in 
accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital 
market-driven transactions that are subject to the 75 % cap on inflows as specified in 
Article 33(1) of Delegated Regulation (EU) 2015/61. 
Where a competent authority has approved a partial exemption from the cap on inflows in 
accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral 
received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending 
and capital market-driven transactions subject to the exemption shall be reported in column 
0120 or 0130 and the value of collateral received in accordance with Article 9 of Delegated 
Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject 
to the exemption shall be reported in column 0110.  
0120  Value of collateral received in accordance with Article 9 – Subject to the 90 % cap on 
inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0271, 0275, 0279, 0283, 0287, 0291, 0295, 0311, 0315, 0319, 0323, 0327, 0331 
and 0335, credit institutions shall report in column 0120 the value of collateral received in 
accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital 
market-driven transactions that are subject to the 90 % cap on inflows as specified in 
Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61. 
Where a competent authority has approved a partial exemption from the cap on inflows in 
accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral 
received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending 
and capital market-driven transactions subject to the exemption shall be reported in column 
0120 or 0130 and the value of collateral received in accordance with Article 9 of Delegated 
Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject 
to the exemption shall be reported in column 0110.  
0130  Value of collateral received in accordance with Article 9 – Exempted from the cap on 
inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0271, 0275, 0279, 0283, 0287, 0291, 0295, 0311, 0315, 0319, 0323, 0327, 0331 
and 0335, credit institutions shall report in column 0130 the value of collateral received in 
accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital 
market-driven transactions that are fully exempted from the cap on inflows as specified in 
Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61. 
Where a competent authority has approved a partial exemption from the cap on inflows in 
accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral 
received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending 
and capital market-driven transactions subject to the exemption shall be reported in column 
0120 or 0130 and the value of collateral received in accordance with Article 9 of Delegated 
Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject 
to the exemption shall be reported in column 0110.EN 19.3.2021 Official Journal of the European Union L 97/1887
 
Column  Legal references and instructions  
0140  Inflow – Subject to the 75 % cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 
0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470- 
510, credit institutions shall report in column 0140 total inflows that are subject to the 75 % 
cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 which shall 
be calculated by multiplying the total amount/maximum amount that can be drawn from 
column 0010 with the relevant weight from column 0080. 
For row 0170, credit institutions shall report in column 0140 total inflows that are subject to 
the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 only 
if the credit institution received this commitment in order for them to disburse a promotional 
loan to a final recipient, or have received a similar commitment from a multilateral development 
bank or a public sector entity.  
0150  Inflow – Subject to the 90 % cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 
0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470- 
0510, credit institutions shall report in column 0150 total inflows that are subject to the 90 % 
cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 
2015/61 which shall be calculated by multiplying the total amount/maximum amount that can 
be drawn from column 0020 with the relevant weight from column 0090. For row 0170, credit 
institutions shall report in column 0150 total inflows that are subject to the 90 % cap on inflows 
as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 only if the 
credit institution received this commitment in order for them to disburse a promotional loan to 
a final recipient, or have received a similar commitment from a multilateral development bank or 
a public sector entity.  
0160  Inflow – Exempted from the cap on inflows  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 
For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 
0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470- 
0510, credit institutions shall report in column 0160 total inflows that are fully exempted from 
the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated 
Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum 
amount that can be drawn from column 0030 with the relevant weight from column 0100. 
For row 0170, credit institutions shall report in column 0160 total inflows that fully exempted 
from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of 
Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in 
order for them to disburse a promotional loan to a final recipient, or have received a similar 
commitment from a multilateral development bank or a public sector entity.  
1.5.2. Instructions concerning specific rows  
Row  Legal references and instructions  
0010  1.  TOTAL INFLOWS  
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61EN L 97/1888 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
Credit institutions shall report in row 0010 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of assets/monies due/maximum 
amount that can be drawn as the sum of assets/monies due/maximum amount than can be 
drawn from unsecured transactions/deposits and secured lending and capital market-driven 
transactions; 
— for column 0140 total inflows as the sum of inflows from unsecured transactions/deposits, 
secured lending and capital market-driven transactions and collateral swap transactions less 
the difference between total weighted inflows and total weighted outflows arising from 
transactions in third countries where there are transfer restrictions or which are denominated 
in non-convertible currencies; and 
— for column 0150 and 0160 total inflows as the sum of inflows from unsecured transactions/ 
deposits, secured lending and capital market-driven transactions and collateral swap trans ­
actions less the difference between total weighted inflows and total weighted outflows arising 
from transactions in third countries where there are transfer restrictions or which are 
denominated in non-convertible currencies and less the excess of inflows from a related 
specialised credit institution referred to in point (e) of Article 2(3) and Article 33(6) of 
Delegated Regulation (EU) 2015/61.  
0020  1.1.  Inflows from unsecured transactions/deposits  
Articles 32, 33 and 34 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report in row 0020 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of assets/monies due/maximum 
amount that can be drawn from unsecured transactions/deposits; and 
— for each column 0140, 0150 and 0160 total inflows from unsecured transactions/deposits.  
0030  1.1.1.  monies due from non-financial customers (except for central banks)  
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report in row 0030 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of monies due from non-financial 
customers (except for central banks) (monies due from non-financial customers not 
corresponding to principal repayments as well as any other monies due from non- 
financial customers) and 
— for each column 0140, 0150 and 0160 total inflows from non-financial customers (except 
for central banks) (inflows from non-financial customers not corresponding to principal 
repayments as well as any other inflows from non-financial customers). 
Non-financial customers shall include, but not be limited to, natural persons, SMEs, corporates, 
sovereigns, multilateral development banks and public sector entities in accordance with 
Article 31a of Delegated Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1889
 
Row  Legal references and instructions  
Monies due from secured lending and capital market driven transactions with a non-financial 
customer that are collateralised by liquid assets in accordance with Title II of Delegated Regu ­
lation (EU) 2015/61, where these transactions are specified in points (2) and (3) of Article 192 
of Regulation (EU) No 575/2013, shall be reported in section 1.2. and shall not be reported in 
section 1.1.1. Monies due from such transactions that are collateralised by transferable securities 
that do not qualify as liquid assets in accordance with Title II of Delegated Regulation (EU) 
2015/61 shall be reported in section 1.2. and shall not be reported in section 1.1.1. Monies due 
from such transactions with non-financial customers that are collateralised by non-transferable 
assets that do not qualify as liquid assets in accordance with Title II of Delegated Regulation (EU) 
2015/61 shall be reported in the relevant row of section 1.1.1. 
Monies due from central banks shall be reported in section 1.1.2. and shall not be reported here. 
Monies due from trade finance transactions with a residual maturity of no more than 30 days 
shall be reported in section 1.1.4. and shall not be reported here. Monies due from securities 
maturing within 30 calendar days shall be reported in section 1.1.5. and shall not be reported 
here.  
0040  1.1.1.1.  monies due from non-financial customers (except for central banks) not 
corresponding to principal repayment  
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Monies due from non-financial customers (except for central banks) with a residual maturity of 
no more than 30 days not corresponding to principal repayment. These inflows include interest 
and fees due from non-financial customers (except for central banks).Monies due from central 
banks not corresponding to principal repayment shall be reported in section 1.1.2. and shall not 
be reported here.  
0050  1.1.1.2.  other monies due from non-financial customers (except for central banks)  
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report in row 0050 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of other monies due from non- 
financial customers (except for central banks) as the sum of monies due from non-financial 
customers by counterparty and 
— for each column 0140, 0150 and 0160 total other inflows from non-financial customers 
(except for central banks) as the sum of other inflows from non-financial customers by 
counterparty. 
Monies due from non-financial customers (except for central banks) not corresponding to 
principal repayment shall be reported in section 1.1.1.1. and shall not be reported here. 
Other monies due from central banks shall be reported in section 1.1.2. and shall not be 
reported here. 
Inflows corresponding to outflows in accordance with promotional loan commitments referred 
to in Article 31(9) of Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and 
shall not be reported here.  
0060  1.1.1.2.1.  monies due from retail customers  
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Monies due from retail customers with a residual maturity of no more than 30 days.EN L 97/1890 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0070  1.1.1.2.2.  monies due from non-financial corporates  
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Monies due from non-financial corporates with a residual maturity of no more than 30 days.  
0080  1.1.1.2.3.  monies due from sovereigns, multilateral development banks and public sector 
entities  
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Monies due from sovereigns, multilateral development banks and public sector entities with a 
residual maturity of no more than 30 days.  
0090  1.1.1.2.4.  monies due from other legal entities  
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Monies due from other legal entities not included anywhere above with a residual maturity of no 
more than 30 days.  
0100  1.1.2.  monies due from central banks and financial customers  
Point (a) of Article 32(2) and point (d) of Article 32(3) in conjunction with Article 27 of 
Delegated Regulation (EU) 2015/61 
Credit institutions shall report in row 0100 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of monies due from central banks 
and financial customers (operational as well as non-operational deposits); and 
— for each column 0140, 0150 and 0160 total inflows from central banks and financial 
customers (operational as well as non-operational deposits). 
Credit institutions shall report here monies due with a residual maturity of no more than 
30 days from central banks and financial customers, that are not past due and for which the 
bank has no reason to expect non-performance within the 30-day time horizon. 
Monies due from central banks and financial customers not corresponding to principal 
repayment shall be reported in the relevant section. 
Deposits at the central institution referred to in Article 27(3) of Delegated Regulation (EU) 
2015/61 shall not be reported as an inflow. 
Monies due from trade finance transactions with a residual maturity of no more than 30 days 
shall be reported in section 1.1.4. and shall not be reported here. Monies due from securities 
maturing within 30 calendar days shall be reported in section 1.1.5. and shall not be reported 
here.  
0110  1.1.2.1.  monies due from financial customers being classified as operational deposits  
Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61 
Credit institutions shall report in row 0110 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of monies due from financial 
customers being classified as operational deposits (disregarding whether the credit institution 
is able to establish a corresponding symmetrical inflow rate or not); andEN 19.3.2021 Official Journal of the European Union L 97/1891
 
Row  Legal references and instructions  
— for each column 0140, 0150 and 0160 total inflows from financial customers being clas ­
sified as operational deposits (disregarding whether the credit institution is able to establish a 
corresponding symmetrical inflow rate or not). 
Credit institutions shall report here monies due from financial customers in order, for the credit 
institution, to obtain clearing, custody or cash management services in accordance with 
Article 27 of Delegated Regulation (EU) 2015/61.  
0120  1.1.2.1.1.  monies due from financial customers being classified as operational deposits 
where the credit institution is able to establish a corresponding symmetrical inflow rate  
Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61 
Monies due from financial customers with a residual maturity of no more than 30 days in order, 
for the credit institution, to obtain clearing, custody or cash management services in accordance 
with Article 27 of Delegated Regulation (EU) 2015/61 where the credit institution is able to 
establish a corresponding symmetrical inflow rate.  
0130  1.1.2.1.2.  monies due from financial customers being classified as operational deposits 
where the credit institution is not able to establish a corresponding symmetrical inflow 
rate  
Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61 
Monies due from financial customers with a residual maturity of no more than 30 days in order, 
for the credit institution, to obtain clearing, custody or cash management services in accordance 
with Article 27 of Delegated Regulation (EU) 2015/61 where the credit institution is not able to 
establish a corresponding symmetrical inflow rate. For these items, a 5 % inflow rate shall be 
applied.  
0140  1.1.2.2.  monies due from central banks and financial customers not being classified as 
operational deposits  
Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report in row 140 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of monies due from central banks 
and financial customers not being classified as operational deposits and 
— for each column 0140, 0150 and 0160 total inflows from central banks and financial 
customers not being classified as operational deposits. 
Credit institutions shall report here monies due from central banks and financial customers 
which do not qualify for the treatment as operational deposits as specified in point (d) of 
Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61.  
0150  1.1.2.2.1.  monies due from central banks  
Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61 
Monies due from central banks with a residual maturity of no more than 30 days in accordance 
with point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61.  
0160  1.1.2.2.2.  monies due from financial customers  
Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61EN L 97/1892 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
Monies due from financial customers with a residual maturity of no more than 30 days which 
do not qualify for the treatment as operational deposits as specified in point (d) of Article 32(3) 
in conjunction with Article 27 of Delegated Regulation (EU) 2015/61. 
Inflows corresponding to outflows in accordance with promotional loan commitments referred 
to in Article 31(9) of Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and 
shall not be reported here.  
0170  1.1.3.  inflows corresponding to outflows in accordance with promotional loan 
commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61  
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Inflows corresponding to outflows in accordance with promotional loan commitments referred 
to in Article 31(9) of Delegated Regulation (EU) 2015/61.  
0180  1.1.4.  monies due from trade financing transactions  
Point (b) of Article 32(2) of Delegated Regulation (EU) 2015/61 
Monies due from trade financing transactions with a residual maturity of no more than 30 days 
in accordance with point (b) of Article 32(2) of Delegated Regulation (EU) 2015/61.  
0190  1.1.5.  monies due from securities maturing within 30 days  
Point (c) of Article 32(2) of Delegated Regulation (EU) 2015/61 
Monies due from securities maturing within 30 calendar days in accordance with point (c) of 
Article 32(2) of Delegated Regulation (EU) 2015/61.  
0201  1.1.6.  loans with an undefined contractual end date  
Point (i) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Loans with an undefined contractual end date in accordance with point (i) of Article 32(3) of 
Delegated Regulation (EU) 2015/61. The credit institution shall only consider those loans where 
the contract allows the credit institution to withdraw or to request payment within 30 calendar 
days. Interest and minimum payments to be debited against the client account within 
30 calendar days shall be included in the amount reported. Interest and minimum payments 
from loans with an undefined contractual end date that are contractually due and give rise to an 
actual cash inflow within the next 30 calendar days shall be considered as monies due and shall 
be reported in the relevant row, following the treatment prescribed by Article 32 for monies 
due. Credit institutions shall not report other interest that accrues, but that is neither debited 
against the client account nor giving rise to an actual cash inflow over the next 30 calendar days.  
0210  1.1.7.  monies due from positions in major index equity instruments provided that there 
is no double counting with liquid assets  
Point (d) of Article 32(2) of Delegated Regulation (EU) 2015/61 
Monies due from positions in major index equity instruments provided that there is no double 
counting with liquid assets in accordance with point (d) of Article 32(2) of Delegated Regulation 
(EU) 2015/61. Position shall include monies contractually due within 30 calendar days, such as 
cash dividends from those major indexes and cash due from those equity instruments sold but 
not yet settled, if they are not recognised as liquid assets in accordance with Title II of Delegated 
Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1893
 
Row  Legal references and instructions  
0230  1.1.8.  inflows from the release of balances held in segregated accounts in accordance 
with regulatory requirements for the protection of customer trading assets  
Article 32(4) of Delegated Regulation (EU) 2015/61 
Inflows from the release of balances held in segregated accounts in accordance with regulatory 
requirements for the protection of customer trading assets in accordance with Article 32(4) of 
Delegated Regulation (EU) 2015/61. 
Inflows shall only be considered if these balances are maintained in liquid assets as specified in 
Title II of Delegated Regulation (EU) 2015/61.  
0240  1.1.9.  inflows from derivatives  
Article 32(5) in conjunction with Article 21 of Delegated Regulation (EU) 2015/61 
The net amount of receivables expected over 30 calendar days period from the contracts listed in 
Annex II of Regulation (EU) No 575/2013 and from credit derivatives. 
Credit institutions shall calculate inflows expected over 30 calendar days on a net basis by 
counterparty subject to the existence of bilateral netting agreements in accordance with 
Article 295 of Regulation (EU) No 575/2013. Net basis shall mean also net of collateral 
received provided that it qualifies as a liquid asset under Title II of Delegated Regulation (EU) 
2015/61. 
Cash outflows and inflows arising from foreign currency derivative or credit derivative trans ­
actions that involve a full exchange of principal amounts on a simultaneous basis (or within the 
same day) shall be calculated on a net basis, even where those transactions are not covered by a 
bilateral netting agreement. 
In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 
No 575/2013, derivative or credit derivative transactions shall be separated into each respective 
currency. Netting by counterparty may only be applied to flows in that currency.  
0250  1.1.10.  inflows from undrawn credit or liquidity facilities provided by members of a 
group or an institutional protection scheme where the competent authorities have 
granted permission to apply a higher inflow rate  
Article 34 of Delegated Regulation (EU) 2015/61 
Inflows from undrawn credit or liquidity facilities provided by members of a group or an 
institutional protection scheme where the competent authority has granted permission to 
apply a higher inflow rate in accordance with Article 34 of Delegated Regulation (EU) 2015/61.  
0260  1.1.11.  other inflows  
Article 32(2) of Delegated Regulation (EU) 2015/61 
All other inflows in accordance with Article 32(2) of Delegated Regulation (EU) 2015/61 not 
reported anywhere else in the template.  
0263  1.2.  Inflows from secured lending and capital market-driven transactions  
Points (b), (c) and (f) of Article 32(3) of Delegated Regulation (EU) 2015/61 refer to inflows 
resulting from secured lending and capital market-driven transactions with a residual maturity of 
no more than 30 days.EN L 97/1894 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
Credit institutions shall report in row 0263 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of monies due from secured 
lending and capital market-driven transactions; and 
— for each column 0140, 0150 and 0160 total inflows from secured lending and capital 
market driven transactions. 
Collateral swap transactions maturing within 30 calendar days shall be reported in template 
C 75.01 of Annex XXIV and shall not be reported here.  
0265  1.2.1.  counterparty is central bank  
Credit institutions shall report here inflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 with a residual maturity of no more than 30 days where the counterparty is a 
central bank. 
Credit institutions shall report in row 0265 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of monies due from secured 
lending and capital market-driven transactions where the counterparty is a central bank; and 
— for each column 0140, 0150 and 0160 total inflows from secured lending and capital 
market driven transactions where the counterparty is a central bank.  
0267  1.2.1.1.  collateral that qualifies as a liquid asset  
Credit institutions shall report in row 0267 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of monies due from secured 
lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is a central bank and where the transaction is collateralised 
by liquid assets; and 
— for each column 0140, 0150 and 0160 total inflows from secured lending and capital 
market driven transactions with a residual maturity of no more than 30 days where the 
counterparty is a central bank and where the transaction is collateralised by liquid assets. 
Credit institutions shall report secured lending and capital market-driven transactions with a 
residual maturity of no more than 30 days where the counterparty is a central bank and where 
the transaction is collateralised by liquid assets, whether or not they are re-used in another 
transaction and irrespective of whether the liquid assets received meet the operational 
requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0269  1.2.1.1.1.  Level 1 collateral excluding extremely high quality covered bonds  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is a central bank and where the transaction is collateralised by 
assets that, whether or not they are re-used in another transaction, would qualify in accordance 
with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the 
categories of level 1 asset referred to in Article 10 with the exception of extremely high quality 
covered bonds referred to in point (f) of Article 10(1).EN 19.3.2021 Official Journal of the European Union L 97/1895
 
Row  Legal references and instructions  
0271  1.2.1.1.1.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.1.1.1, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0273  1.2.1.1.2.  Level 1 collateral which is extremely high quality covered bonds  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is a central bank and where the transaction is collateralised by 
assets that, whether or not they are re-used in another transaction, would qualify in accordance 
with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of the category 
referred to in point (f) of Article 10(1).  
0275  1.2.1.1.2.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.1.1.2, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0277  1.2.1.1.3.  Level 2A collateral  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is a central bank and where the transaction is collateralised by 
assets that, whether or not they are re-used in another transaction, would qualify in accordance 
with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the 
categories of level 2A asset referred to in Article 11.  
0279  1.2.1.1.3.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.1.1.3, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0281  1.2.1.1.4.  Level 2B asset backed securities (residential or auto) collateral  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is a central bank and where the transaction is collateralised by 
assets that, whether or not they are re-used in another transaction, would qualify in accordance 
with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the 
categories of level 2B asset referred to in point (g)(i), (g)(ii) or (g)(iv) of Article 13(2).  
0283  1.2.1.1.4.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.1.1.4, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.EN L 97/1896 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0285  1.2.1.1.5.  Level 2B high quality covered bonds collateral  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is a central bank and where the transaction is collateralised by 
assets that, whether or not they are re-used in another transaction, would qualify in accordance 
with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of the category of 
level 2B asset referred to in point (e) of Article 12(1).  
0287  1.2.1.1.5.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.1.1.5, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0289  1.2.1.1.6.  Level 2B asset backed securities (commercial or individuals) collateral  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is a central bank and where the transaction is collateralised by 
assets that, whether or not they are re-used in another transaction, would qualify in accordance 
with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the 
categories of level 2B asset referred to in point (g)(iii) or (g)(v) of Article 13(2).  
0291  1.2.1.1.6.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.1.1.6, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0293  1.2.1.1.7.  Level 2B collateral not already captured in section 1.2.1.1.4., 1.2.1.1.5. or 
1.2.1.1.6.  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is a central bank and where the transaction is collateralised by 
assets that, whether or not they are re-used in another transaction, would qualify in accordance 
with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the 
categories of level 2B asset referred to in point (b), (c) or (f) of Article 12(1).  
0295  1.2.1.1.7.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.1.1.7, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0297  1.2.1.2.  collateral is used to cover a short position  
Point (b) of Article 32(3)of Delegated Regulation (EU) 2015/61EN 19.3.2021 Official Journal of the European Union L 97/1897
 
Row  Legal references and instructions  
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is a central bank and where the transaction is collateralised by 
assets which are used to cover a short position in accordance with the second sentence of 
Article 30(5). Where collateral of any type is used to cover a short, this shall be reported 
here and not in any of the lines above. There shall be no double-counting.  
0299  1.2.1.3.  collateral that does not qualify as a liquid asset  
Credit institutions shall report in row 0299 of C 74.00 of Annex XXIV secured lending and 
capital market-driven transactions with a residual maturity of no more than 30 days where the 
counterparty is a central bank and where the collateral does not qualify as a liquid asset. Credit 
institutions shall report 
— for each column 0010, 0020 and 0030 the total amount of monies due from those trans ­
actions as the sum of monies due from secured lending and capital market-driven trans ­
actions where the collateral is non-liquid equity and secured lending and capital market- 
driven transactions backed by any other non-liquid collateral; and 
— for each column 0140, 0150 and 0160 total inflows from those transactions as the sum of 
inflows from secured lending and capital market-driven transactions where the collateral is 
non-liquid equity and secured lending and capital market-driven transactions backed by any 
other non-liquid collateral.  
0301  1.2.1.3.1.  collateral is non-liquid equity  
Point (b) of Article 32(3)of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is a central bank and where the transaction is collateralised non- 
liquid equity.  
0303  1.2.1.3.2.  all other non-liquid collateral  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is a central bank and where the transaction is collateralised by 
non-liquid assets not already captured in section 1.2.1.3.1.  
0305  1.2.2.  counterparty is non-central bank  
Credit institutions shall report here inflows resulting from secured lending and capital market- 
driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) 
No 575/2013 with a residual maturity of no more than 30 days where the counterparty is 
not a central bank. 
Credit institutions shall report in row 0305 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of monies due from secured 
lending and capital market-driven transactions where the counterparty is not a central 
bank; and 
— for each column 0140, 0150 and 0160 total inflows from secured lending and capital 
market driven transactions where the counterparty is not a central bank.EN L 97/1898 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0307  1.2.2.1.  collateral that qualifies as a liquid asset  
Credit institutions shall report in row 0307 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of monies due from secured 
lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is not a central bank and where the transaction is collat ­
eralised by liquid assets; and 
— for each column 0140, 0150 and 0160 total inflows from secured lending and capital 
market driven transactions with a residual maturity of no more than 30 days where the 
counterparty is not a central bank and where the transaction is collateralised by liquid assets. 
Credit institutions shall report secured lending and capital market-driven transactions with a 
residual maturity of no more than 30 days where the counterparty is not a central bank and 
where the transaction is collateralised by liquid assets, whether or not they are re-used in another 
transaction and irrespective of whether the liquid assets received meet the operational 
requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0309  1.2.2.1.1.  Level 1 collateral excluding extremely high quality covered bonds  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is not a central bank and where the transaction is collateralised 
by assets that, whether or not they are re-used in another transaction, would qualify in 
accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of 
any of the categories of level 1 asset referred to in Article 10 with the exception of extremely 
high quality covered bonds referred to in point (f) of Article 10(1).  
0311  1.2.2.1.1.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.2.1.1, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0313  1.2.2.1.2.  Level 1 collateral which is extremely high quality covered bonds  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is not a central bank and where the transaction is collateralised 
by assets that, whether or not they are re-used in another transaction, would qualify in 
accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of 
the category referred to in point (f) of Article 10(1).  
0315  1.2.2.1.2.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.2.1.2, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0317  1.2.2.1.3.  Level 2A collateral  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1899
 
Row  Legal references and instructions  
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is not a central bank and where the transaction is collateralised 
by assets that, whether or not they are re-used in another transaction, would qualify in 
accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid assets of 
any of the categories of level 2A asset referred to in Article 11.  
0319  1.2.2.1.3.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61. 
Of the transactions in item 1.2.2.1.3, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0321  1.2.2.1.4.  Level 2B asset backed securities (residential or auto) collateral  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is not a central bank and where the transaction is collateralised 
by assets that, whether or not they are re-used in another transaction, would qualify in 
accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of 
any of the categories of level 2B asset referred to in point (g)(i), (g)(ii) or (g)(iv) of Article 13(2).  
0323  1.2.2.1.4.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.2.1.4, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0325  1.2.2.1.5.  Level 2B high quality covered bonds collateral  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is not a central bank and where the transaction is collateralised 
by assets that, whether or not they are re-used in another transaction, would qualify in 
accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of 
the category of level 2B asset referred to in point (e) of Article 12(1).  
0327  1.2.2.1.5.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.2.1.5, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0329  1.2.2.1.6.  Level 2B asset backed securities (commercial or individuals) collateral  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is not a central bank and where the transaction is collateralised 
by assets that, whether or not they are re-used in another transaction, would qualify in 
accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of 
any of the categories of level 2B asset referred to in point (g)(iii) or (g)(v) of Article 13(2).EN L 97/1900 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0331  1.2.1.1.6.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.2.1.6, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0333  1.2.2.1.7.  Level 2B collateral not already captured in section 1.2.2.1.4., 1.2.2.1.5. or 
1.2.2.1.6.  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is not a central bank and where the transaction is collateralised 
by assets that, whether or not they are re-used in another transaction, would qualify in 
accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of 
any of the categories of level 2B asset referred to in point (b), (c) or (f) of Article 12(1).  
0335  1.2.2.1.7.1.  of which collateral received meets operational requirements  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Of the transactions in item 1.2.2.1.7, those transactions where the collateral received meets the 
operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.  
0337  1.2.2.2.  collateral is used to cover a short position  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is not a central bank and where the transaction is collateralised 
by assets which are used to cover a short position in accordance with the second sentence of 
Article 30(5). Where collateral of any type is used to cover a short, this shall be reported here 
and not in any of the lines above. There shall be no double-counting.  
0339  1.2.2.3.  collateral that does not qualify as a liquid asset  
Credit institutions shall report in row 0339 of C 74.00 of Annex XXIV secured lending and 
capital market-driven transactions with a residual maturity of no more than 30 days where the 
counterparty is not a central bank and where the collateral does not qualify as a liquid asset. 
Credit institutions shall report 
— for each column 0010, 0020 and 0030 the total amount of monies due from those trans ­
actions as the sum of monies due from margin loans where the collateral is non-liquid, 
secured lending and capital market-driven transactions where the collateral is non-liquid 
equity and secured lending and capital market-driven transactions backed by any other 
non-liquid collateral; and 
— for each column 0140, 0150 and 0160 total inflows from those transactions as the sum of 
inflows from margin loans where the collateral is non-liquid, secured lending and capital 
market-driven transactions where the collateral is non-liquid equity and secured lending and 
capital market-driven transactions backed by any other non-liquid collateral.  
0341  1.2.2.3.1.  margin loans: collateral is non-liquid  
Point (c) of Article 32(3) of Delegated Regulation (EU) 2015/61EN 19.3.2021 Official Journal of the European Union L 97/1901
 
Row  Legal references and instructions  
Margin loans made against non-liquid assets with a residual maturity of no more than 30 days 
where the counterparty is not a central bank and where the assets received are not used to cover 
short positions as outlined in Point (c) of Article 32(3) of Delegated Regulation (EU) 2015/61.  
0343  1.2.2.3.2.  collateral is non-liquid equity  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is not a central bank and where the transaction is collateralised 
non-liquid equity.  
0345  1.2.2.3.3.  all other non-liquid collateral  
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61 
Secured lending and capital market-driven transactions with a residual maturity of no more than 
30 days where the counterparty is not a central bank and where the transaction is collateralised 
by non-liquid assets not already captured in section 1.2.2.3.1 or 1.2.2.3.2.  
0410  1.3.  Total inflows from collateral swaps  
Credit institutions shall report here the sum of total inflows from collateral swaps as calculated 
in template C 75.01 of Annex XXIV.  
0420  1.4.  (Difference between total weighted inflows and total weighted outflows arising from 
transactions in third countries where there are transfer restrictions or which are 
denominated in non-convertible currencies)  
Article 32(8) of Delegated Regulation (EU) 2015/61 
Institutions shall report in the relevant column 0140, 0150 and 0160 the sum of total weighted 
inflows from third countries where there are transfer restrictions or which are denominated in 
non-convertible currencies less the sum of total weighted outflows to third countries where there 
are transfer restrictions or which are denominated in non-convertible currencies as reported in 
C 73.00 of Annex XXIV. In case this amount is negative, institutions shall report ‘0’.  
0430  1.5.  (Excess inflows from a related specialised credit institution)  
Point (e) of Article 2(3) and Article 33(6) of Delegated Regulation (EU) 2015/61 
Credit institutions reporting on a consolidated basis shall report in the relevant column 0140, 
0150 or 0160, the amount of the inflows arising from a related specialised credit institution 
referred to in Article 33(3) and (4) of Delegated Regulation (EU) 2015/61 that are in excess of 
the amount of outflows arising from the same undertaking.  
MEMORANDUM ITEMS  
0450  2.  FX inflows  
This memorandum item shall only be reported in case of a separate reporting of the reporting 
currency or of a currency other than the reporting currency in accordance with Article 415(2) of 
Regulation (EU) No 575/2013. 
Credit institutions shall report the portion of inflows from derivatives (reported in section 1.1.9.) 
which relate to FX principal flows in the respective currency from cross-currency swaps, FX spot 
and forward transactions maturing within the 30 day period. Netting by counterparty may only 
be applied to flows in that currency.EN L 97/1902 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0460  3.  Inflows within a group or an institutional protection scheme  
Credit institutions shall report here as memorandum items all transactions reported in section 1 
(excluding section 1.1.10.) where the counterparty is a parent or a subsidiary of the credit 
institution or another subsidiary of the same parent or linked to the credit institution by a 
relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the 
same institutional protection scheme referred to in Article 113(7) of Regulation (EU) 
No 575/2013 or the central institution or an affiliate of a network or cooperative group as 
referred to in Article 10 of Regulation (EU) No 575/2013. 
Credit institutions shall report in row 0460 of C 74.00 of Annex XXIV 
— for each column 0010, 0020 and 0030 the total amount of monies due/maximum amount 
that can be drawn within a group or an institutional protection scheme as the sum of 
monies due/maximum amount that can be drawn within a group or an institutional 
protection scheme by type of transaction and counterparty; and 
— for each column 0140, 0150 and 0160 total inflows within group or an institutional 
protection scheme as the sum of inflows within a group or an institutional protection 
scheme by type of transaction and counterparty.  
0470  3.1.  Monies due from non-financial customers (except for central banks)  
Credit institutions shall report here all monies due from non-financial customers reported in 
section 1.1.1. where the counterparty is a parent or a subsidiary of the credit institution or 
another subsidiary of the same parent or linked to the credit institution by a relationship within 
the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional 
protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central 
credit institution or an affiliate of a network or cooperative group as referred to in Article 10 of 
Regulation (EU) No 575/2013.  
0480  3.2.  Monies due from financial customers  
Credit institutions shall report here all monies due from financial customers reported in section 
1.1.2. where the counterparty is a parent or a subsidiary of the credit institution or another 
subsidiary of the same parent or linked to the credit institution by a relationship within the 
meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional 
protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the 
central institution or an affiliate of a network or cooperative group as referred to in Article 10 
of Regulation (EU) No 575/2013.  
0490  3.3.  Secured transactions  
Credit institutions shall report here all monies due from secured lending and capital market 
driven transaction as well as the total market value of received collateral reported in section 1.2., 
where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary 
of the same parent or linked to the credit institution by a relationship within the meaning of 
Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme 
referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an 
affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) 
No 575/2013.  
0500  3.4.  Monies due from maturing securities within 30 days  
Credit institutions shall report here all monies due from maturing securities within 30 days 
reported in section 1.1.5. where the issuer is a parent or a subsidiary of the credit institution or 
another subsidiary of the same parent or linked to the credit institution by a relationship within 
the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional 
protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central 
institution or an affiliate of a network or cooperative group as referred to in Article 10 of 
Regulation (EU) No 575/2013.EN 19.3.2021 Official Journal of the European Union L 97/1903
 
Row  Legal references and instructions  
0510  3.5.  Any other inflows within a group or an institutional protection scheme  
Credit institutions shall report here any other inflows within a group or an institutional 
protection scheme reported in section 1.1.3. to 1.1.11. (excluding section 1.1.5. and 1.1.10.) 
where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary 
of the same parent or linked to the credit institution by a relationship within the meaning of 
Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme 
referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an 
affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) 
No 575/2013.  
4. Secured lending waived from Article 17(2) and (3)  
Credit institutions shall report here secured lending transactions with a residual maturity up to 
30 days where the counterparty is a central bank and where the relevant transactions are 
exempted from the application Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 
by its Article 17(4).  
0530  4.1.  of which: secured by L1 excl. EHQCB  
Credit institutions shall report here secured lending transactions maturing within 30 calendar 
days where the counterparty is a central bank, the collateral received is Level 1 collateral 
excluding extremely high quality covered bonds and meeting the operational requirements laid 
down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions 
are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 
2015/61 by its Article 17(4).  
0540  4.2.  of which: secured by L1 EHQCB  
Credit institutions shall report here secured lending transactions maturing within 30 calendar 
days where the counterparty is a central bank, the collateral received is Level 1 collateral which is 
extremely high quality covered bonds and meeting the operational requirements laid down in 
Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are 
exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 
2015/61 by its Article 17(4).  
0550  4.3.  of which: secured by L2A  
Credit institutions shall report here secured lending transactions maturing within 30 calendar 
days where the counterparty is a central bank, the collateral received is Level 2A collateral and 
meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 
2015/61, and where the relevant transactions are exempted from the application of Article 17(2) 
and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).  
0560  4.4.  of which: secured by L2B  
Credit institutions shall report here secured lending transactions maturing within 30 calendar 
days where the counterparty is a central bank, the collateral received is Level 2B collateral and 
meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 
2015/61, and where the relevant transactions are exempted from the application of Article 17(2) 
and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).  
0570  4.5.  of which: secured by non-liquid assets  
Credit institutions shall report here secured lending transactions maturing within 30 calendar 
days where the counterparty is a central bank, the collateral received is a non-liquid collateral 
and where the relevant transactions are exempted from the application of Article 17(2) and (3) 
of Delegated Regulation (EU) 2015/61 by its Article 17(4).EN L 97/1904 Official Journal of the European Union 19.3.2021
 
PART 4: COLLATERAL SWAPS  
1. Collateral swaps  
1.1. General remarks  
1. Any transaction maturing within the next 30 calendar days in which non-cash assets are swapped for 
other non-cash assets, shall be reported in this template. Items which do not need to be completed by 
institutions are coloured grey.  
2. Collateral swap transactions that mature within the next 30 calendar days shall lead to an outflow if the 
asset borrowed is subject to a lower haircut under Chapter 2 of Delegated Regulation (EU) 2015/61 than 
the asset lent. The outflow shall be calculated by multiplying the market value of the asset borrowed by 
the difference between the outflow rate applicable to the asset lent and the outflow rate applicable to the 
asset borrowed in secured funding transactions maturing within the next 30 calendar days. In the case 
that the counterparty is the credit institution’s domestic central bank, the outflow rate to be applied to the 
market value of the asset borrowed shall be 0 %. The meaning of the credit institution’s domestic central 
bank follows the definition provided under Article 28(8) of Delegated Regulation (EU) 2015/61.  
3. Collateral swaps that mature within the next 30 calendar days shall lead to an inflow where, under 
Chapter 2 of Delegated Regulation (EU) 2015/61, the asset lent is subject to a lower haircut than the asset 
borrowed. The inflow shall be calculated by multiplying the market value of the asset lent by the 
difference between the inflow rate applicable to the asset borrowed and the inflow rate applicable to 
the asset lent in secured lending transactions maturing within the next 30 calendar days. If the collateral 
obtained is used to cover short positions that can be extended beyond 30 calendar days no inflow shall be 
recognised.  
4. For liquid assets the liquidity value is calculated in accordance with Article 9 of Delegated Regulation (EU) 
2015/61.  
5. Each collateral swap transaction shall be assessed individually and the flow reported as either an outflow 
or an inflow (per transaction) in the corresponding row. If one trade contains multiple categories of 
collateral type (e.g. a basket of collateral) then for reporting it shall be split into parts corresponding with 
the template rows and assessed in parts. In the context of swap transactions of collateral baskets or pools 
that are maturing within the next 30 calendar days, non-cash assets lent shall be assigned individually to 
non-cash assets borrowed, in accordance with the liquid assets categories as defined in Chapter 2 of Title 
II of Delegated Regulation (EU) 2015/61, starting from the least liquid combination (i.e. non-liquid non- 
cash assets lent, non-liquid non-cash assets borrowed). Any excess collateral within one combination is 
moved to the higher category, so that up to the most liquid combination, the relevant combinations are 
fully matched. Any overall excess collateral is then captured in the most liquid combination.  
6. Collateral swap transactions involving shares or units in CIUs shall be reported as if the transactions 
would involve the assets underlying the CIU. The different haircuts applied to shares or units in CIUs shall 
be reflected in the relevant outflow or inflow rate to be reported.  
7. Credit institutions shall report the template in the corresponding currencies in accordance with 
Article 415(2) of Regulation (EU) No 575/2013. In this case, the reported balances shall comprise only 
those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. 
This may mean that only one side of the transaction is reported in the relevant currency template, with 
corresponding impact on the excess liquidity value.EN 19.3.2021 Official Journal of the European Union L 97/1905
 
1.2. Specific remarks  
8. For the calculation of inflows or outflows, collateral swap transactions shall be reported irrespective of 
whether the underlying collateral involved meets, or would meet if not already being used to secure this 
transaction, the operational requirements as provided under Article 8 of Delegated Regulation (EU) 
2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in 
accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report 
separately those transactions where at least one collateral leg meets the operational requirements as 
provided under Article 8 of Delegated Regulation (EU) 2015/61.  
9. Where an institution may only recognise part of their foreign currency shares, or foreign currency central 
government or bank assets, or domestic currency central government or central bank assets within their 
HQLA, only the recognizable part shall be reported within rows on the Level 1, Level 2A and Level 2B 
assets in accordance with point (c)(ii) of Article 12(1) and point (d) of Article 10(1) of Delegated Regu ­
lation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to 
the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non- 
liquid section.  
10. Collateral Swaps involving Level 2A assets shall be reported in the corresponding L2A asset row, even if 
the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the collateral swaps 
reporting).  
1.3. Collateral swaps sub template  
1.3.1. Instructions concerning specific columns  
Column  Legal references and instructions  
0010  Market value of collateral lent  
The market value of the collateral lent shall be reported in column 0010. The market value shall 
reflect current market value, be gross of haircut and be net of flows resulting from unwinding 
associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61.  
0020  Liquidity value of collateral lent  
The liquidity value of the collateral lent shall be reported in column 0020. For liquid assets, the 
liquidity value shall reflect the value of the asset net of haircut.  
0030  Market value of collateral borrowed  
The market value of the collateral borrowed shall be reported in column 0030. The market value 
shall reflect current market value, be gross of haircut and be net of flows resulting from 
unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 
2015/61.  
0040  Liquidity value of collateral borrowed  
The liquidity value of the collateral borrowed shall be reported in column 0040. For liquid assets, 
the liquidity value shall reflect the value of the asset net of haircut.  
0050  Standard weight  
Articles 28 and 32 of Delegated Regulation (EU) 2015/61 
The standard weights in column 0050 are those specified in Delegated Regulation (EU) 2015/61 
by default and are provided for information only.EN L 97/1906 Official Journal of the European Union 19.3.2021
 
Column  Legal references and instructions  
0060  Applicable weight  
Articles 28 and 32 of Delegated Regulation (EU) 2015/61 
The applicable weights are those specified in Articles 28 and 32 of Delegated Regulation (EU) 
2015/61. Applicable weights may result in weighted average values and shall be reported in 
decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable 
weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and 
national discretions.  
0070  Outflows  
Credit institutions shall report here the outflows. This is calculated by multiplying column 0060 
by column 0030, both from C75.01 of Annex XXIV.  
0080  Inflows subject to the 75 % cap on inflows  
Credit institutions shall report here the inflows of transactions subject to the 75 % cap on 
inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from 
C 75.01 of Annex XXIV.  
0090  Inflows subject to the 90 % cap on inflows  
Credit institutions shall report here the inflows of transactions subject to the 90 % cap on 
inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from 
C 75.01 of Annex XXIV.  
0100  Inflows exempted from the cap on inflows  
Credit institutions shall report here the inflows of transactions exempt from the cap on inflows. 
The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of 
Annex XXIV.  
1.3.2. Instructions concerning specific rows  
Row  Legal references and instructions  
0010  1. TOTAL COLLATERAL SWAPS (counterparty is central bank)  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps.  
0020  1.1.  Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent 
and the following collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for each relevant column, the total values of collateral swaps 
for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent.  
0030  1.1.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 1 assets excl. EHQ covered bonds (borrowed)EN 19.3.2021 Official Journal of the European Union L 97/1907
 
Row  Legal references and instructions  
0040  1.1.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.1.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0050  1.1.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 1 extremely high quality covered bonds (borrowed).  
0060  1.1.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.1.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0070  1.1.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 2A assets (borrowed)  
0080  1.1.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.1.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0090  1.1.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).  
0100  1.1.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.1.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN L 97/1908 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0110  1.1.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 2B high quality covered bonds (borrowed).  
0120  1.1.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.1.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0130  1.1.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) 
(borrowed)  
0140  1.1.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.1.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0150  1.1.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Other Level 2B (borrowed)  
0160  1.1.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.1.7., credit institutions shall report 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0170  1.1.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Non-liquid assets (borrowed)  
0180  1.1.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.1.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.EN 19.3.2021 Official Journal of the European Union L 97/1909
 
Row  Legal references and instructions  
0190  1.2.  Totals for transactions in which Level 1 extremely high quality covered bonds are 
lent and the following collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Level 1 extremely high quality covered bonds are lent.  
0200  1.2.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).  
0210  1.2.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.2.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0220  1.2.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 1 extremely high quality covered bonds (borrowed)  
0230  1.2.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.2.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0240  1.2.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 2A assets (borrowed)  
0250  1.2.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.2.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN L 97/1910 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0260  1.2.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed)  
0270  1.2.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.2.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0280  1.2.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 2B high quality covered bonds (borrowed)  
0290  1.2.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.2.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0300  1.2.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, 
CQS1) (borrowed)  
0310  1.2.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.2.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0320  1.2.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Other Level 2B (borrowed)  
0330  1.2.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.2.7., credit institutions shall report:EN 19.3.2021 Official Journal of the European Union L 97/1911
 
Row  Legal references and instructions  
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0340  1.2.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Non-liquid assets (borrowed)  
0350  1.2.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.2.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
0360  1.3.  Totals for transactions in which Level 2A assets are lent and the following collateral 
is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Level 2A assets are lent.  
0370  1.3.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets 
excl. EHQ covered bonds (borrowed)  
0380  1.3.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.3.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0390  1.3.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 
extremely high quality covered bonds (borrowed)  
0400  1.3.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.3.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN L 97/1912 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0410  1.3.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets 
(borrowed)  
0420  1.3.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.3.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0430  1.3.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset- 
backed securities (residential or automobile, CQS1) (borrowed)  
0440  1.3.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.3.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0450  1.3.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high 
quality covered bonds (borrowed)  
0460  1.3.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.3.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0470  1.3.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset- 
backed securities (commercial or individuals, Member State, CQS1) (borrowed)  
0480  1.3.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.3.6., credit institutions shall report:EN 19.3.2021 Official Journal of the European Union L 97/1913
 
Row  Legal references and instructions  
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0490  1.3.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B 
(borrowed).  
0500  1.3.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.3.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0510  1.3.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid 
assets (borrowed)  
0520  1.3.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.3.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
0530  1.4.  Totals for transactions in which Level 2B asset-backed securities (residential or auto ­
mobile, CQS1) are lent and the following collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are 
lent.  
0540  1.4.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed)  
0550  1.4.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.4.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN L 97/1914 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0560  1.4.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed)  
0570  1.4.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.4.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0580  1.4.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 2A assets (borrowed)  
0590  1.4.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.4.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0600  1.4.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or auto ­
mobile, CQS1) (borrowed)  
0610  1.4.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.4.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0620  1.4.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed)  
0630  1.4.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.4.5., credit institutions shall report:EN 19.3.2021 Official Journal of the European Union L 97/1915
 
Row  Legal references and instructions  
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0640  1.4.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or indi ­
viduals, Member State, CQS1) (borrowed)  
0650  1.4.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.4.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0660  1.4.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Other Level 2B (borrowed)  
0670  1.4.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.4.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0680  1.4.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Non-liquid assets (borrowed)  
0690  1.4.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.4.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
0700  1.5.  Totals for transactions in which Level 2B high quality covered bonds are lent and 
the following collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61EN L 97/1916 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Level 2B high quality covered bonds are lent.  
0710  1.5.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 1 assets excl. EHQ covered bonds (borrowed).  
0720  1.5.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.5.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0730  1.5.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 1 extremely high quality covered bonds (borrowed)  
0740  1.5.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.5.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0750  1.5.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 2A assets (borrowed)  
0760  1.5.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.5.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0770  1.5.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed)EN 19.3.2021 Official Journal of the European Union L 97/1917
 
Row  Legal references and instructions  
0780  1.5.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.5.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0790  1.5.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 2B high quality covered bonds (borrowed)  
0800  1.5.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.5.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0810  1.5.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) 
(borrowed)  
0820  1.5.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.5.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0830  1.5.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Other Level 2B (borrowed)  
0840  1.5.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.5.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN L 97/1918 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0850  1.5.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Non-liquid assets (borrowed)  
0860  1.5.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.5.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
0870  1.6.  Totals for transactions in which Level 2B asset-backed securities (commercial or 
individuals, Member State, CQS1) are lent and the following collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Level 2B asset-backed securities (commercial or individuals, Member 
State, CQS1) are lent.  
0880  1.6.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds 
(borrowed)  
0890  1.6.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.6.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0900  1.6.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered 
bonds (borrowed)  
0910  1.6.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.6.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0920  1.6.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed)EN 19.3.2021 Official Journal of the European Union L 97/1919
 
Row  Legal references and instructions  
0930  1.6.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.6.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0940  1.6.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential 
or automobile, CQS1) (borrowed)  
0950  1.6.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.6.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0960  1.6.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds 
(borrowed)  
0970  1.6.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.6.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
0980  1.6.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (borrowed)  
0990  1.6.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.6.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; andEN L 97/1920 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1000  1.6.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed)  
1010  1.6.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.6.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1020  1.6.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed)  
1030  1.6.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.6.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
1040  1.7.  Totals for transactions in which Other Level 2B assets are lent and the following 
collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Other Level 2B assets are lent.  
1050  1.7.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets 
excl. EHQ covered bonds (borrowed).  
1060  1.7.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.7.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1070  1.7.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 
extremely high quality covered bonds (borrowed)EN 19.3.2021 Official Journal of the European Union L 97/1921
 
Row  Legal references and instructions  
1080  1.7.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.7.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1090  1.7.3.  Level 2A assets  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets 
(borrowed)  
1100  1.7.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.7.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1110  1.7.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset- 
backed securities (residential or automobile, CQS1) (borrowed)  
1120  1.7.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.7.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1130  1.7.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high 
quality covered bonds (borrowed)  
1140  1.7.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.7.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN L 97/1922 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
1150  1.7.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset- 
backed securities (commercial or individuals, Member State, CQS1) (borrowed)  
1160  1.7.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.7.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1170  1.7.7.  Other Level 2B  
Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B 
(borrowed)  
1180  1.7.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.7.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1190  1.7.8.  Non-liquid assets  
Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid 
assets (borrowed)  
1200  1.7.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.7.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
1210  1.8.  Totals for transactions in which Non-liquid assets are lent and the following 
collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Non-liquid assets are lent.  
1220  1.8.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets 
excl. EHQ covered bonds (borrowed)EN 19.3.2021 Official Journal of the European Union L 97/1923
 
Row  Legal references and instructions  
1230  1.8.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.8.1., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
1240  1.8.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 
extremely high quality covered bonds (borrowed)  
1250  1.8.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.8.2., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
1260  1.8.3.  Level 2A assets  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A 
assets (borrowed)  
1270  1.8.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.8.3., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
1280  1.8.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B 
asset-backed securities (residential or automobile, CQS1) (borrowed)  
1290  1.8.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.8.4., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
1300  1.8.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high 
quality covered bonds (borrowed)  
1310  1.8.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.8.5., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
1320  1.8.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B 
asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed)EN L 97/1924 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
1330  1.8.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.8.6., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
1340  1.8.7.  Other Level 2B  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 
2B (borrowed)  
1350  1.8.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 1.8.7., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
1360  1.8.8.  Non-liquid assets  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid 
assets (borrowed)  
1370  2. TOTAL COLLATERAL SWAPS (counterparty is non-central bank)  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps.  
1380  2.1.  Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent 
and the following collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for each relevant column, the total values of collateral swaps 
for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent.  
1390  2.1.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 1 assets excl. EHQ covered bonds (borrowed)  
1400  2.1.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.1.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1410  2.1.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 1 extremely high quality covered bonds (borrowed)EN 19.3.2021 Official Journal of the European Union L 97/1925
 
Row  Legal references and instructions  
1420  2.1.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.1.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1430  2.1.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 2A assets (borrowed)  
1440  2.1.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.1.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1450  2.1.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed)  
1460  2.1.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.1.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1470  2.1.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 2B high quality covered bonds (borrowed)  
1480  2.1.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.1.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN L 97/1926 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
1490  2.1.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) 
(borrowed)  
1500  2.1.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.1.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1510  2.1.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Other Level 2B (borrowed)  
1520  2.1.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.1.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1530  2.1.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds 
(lent) for Non-liquid assets (borrowed)  
1540  2.1.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.1.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
1550  2.2.  Totals for transactions in which Level 1 extremely high quality covered bonds are 
lent and the following collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Level 1 extremely high quality covered bonds are lent.  
1560  2.2.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed)EN 19.3.2021 Official Journal of the European Union L 97/1927
 
Row  Legal references and instructions  
1570  2.2.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.2.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1580  2.2.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 1 extremely high quality covered bonds (borrowed)  
1590  2.2.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.2.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1600  2.2.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 2A assets (borrowed)  
1610  2.2.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.2.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1620  2.2.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed)  
1630  2.2.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.2.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN L 97/1928 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
1640  2.2.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 2B high quality covered bonds (borrowed)  
1650  2.2.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.2.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1660  2.2.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, 
CQS1) (borrowed)  
1670  2.2.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.2.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1680  2.2.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Other Level 2B (borrowed)  
1690  2.2.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.2.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1700  2.2.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 1 extremely high quality covered 
bonds (lent) for Non-liquid assets (borrowed)  
1710  2.2.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.2.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.EN 19.3.2021 Official Journal of the European Union L 97/1929
 
Row  Legal references and instructions  
1720  2.3.  Totals for transactions in which Level 2A assets are lent and the following collateral 
is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Level 2A assets are lent.  
1730  2.3.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets 
excl. EHQ covered bonds (borrowed).  
1740  2.3.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.3.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1750  2.3.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 
extremely high quality covered bonds (borrowed)  
1760  2.3.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.3.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1770  2.3.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets 
(borrowed)  
1780  2.3.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.3.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1790  2.3.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset- 
backed securities (residential or automobile, CQS1) (borrowed)EN L 97/1930 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
1800  2.3.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.3.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1810  2.3.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high 
quality covered bonds (borrowed)  
1820  2.3.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.3.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1830  2.3.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset- 
backed securities (commercial or individuals, Member State, CQS1) (borrowed)  
1840  2.3.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.3.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1850  2.3.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B 
(borrowed)  
1860  2.3.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.3.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1931
 
Row  Legal references and instructions  
1870  2.3.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid 
assets (borrowed)  
1880  2.3.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.3.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
1890  2.4.  Totals for transactions in which Level 2B asset-backed securities (residential or auto ­
mobile, CQS1) are lent and the following collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are 
lent.  
1900  2.4.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed)  
1910  2.4.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.4.1., credit institutions shall report: 
— the leg of the collateral lent, but for being used as collateral for those transactions, would 
qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; 
and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1920  2.4.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed)  
1930  2.4.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.4.2., credit institutions shall report: 
— the leg of the collateral lent, but for being used as collateral for those transactions, would 
qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; 
and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1940  2.4.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 2A assets (borrowed)EN L 97/1932 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
1950  2.4.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.4.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1960  2.4.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or auto ­
mobile, CQS1) (borrowed)  
1970  2.4.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.4.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
1980  2.4.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed)  
1990  2.4.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.4.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2000  2.4.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or indi ­
viduals, Member State, CQS1) (borrowed)  
2010  2.4.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.4.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1933
 
Row  Legal references and instructions  
2020  2.4.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Other Level 2B (borrowed)  
2030  2.4.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.4.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2040  2.4.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 2B asset-backed securities (resi ­
dential or automobile, CQS1) (lent) for Non-liquid assets (borrowed)  
2050  2.4.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.4.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
2060  2.5.  Totals for transactions in which Level 2B high quality covered bonds are lent and 
the following collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Level 2B high quality covered bonds are lent.  
2070  2.5.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 1 assets excl. EHQ covered bonds (borrowed)  
2080  2.5.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.5.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2090  2.5.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 1 extremely high quality covered bonds (borrowed)EN L 97/1934 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
2100  2.5.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.5.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2110  2.5.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 2A assets (borrowed)  
2120  2.5.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.5.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2130  2.5.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed)  
2140  2.5.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.5.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2150  2.5.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 2B high quality covered bonds (borrowed)  
2160  2.5.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.5.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1935
 
Row  Legal references and instructions  
2170  2.5.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) 
(borrowed)  
2180  2.5.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.5.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2190  2.5.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Other Level 2B (borrowed)  
2200  2.5.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.5.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2210  2.5.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 2B high quality covered bonds 
(lent) for Non-liquid assets (borrowed)  
2220  2.5.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.5.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
2230  2.6.  Totals for transactions in which Level 2B asset-backed securities (commercial or 
individuals, Member State, CQS1) are lent and the following collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Level 2B asset-backed securities (commercial or individuals, Member 
State, CQS1) are lent.  
2240  2.6.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds 
(borrowed)EN L 97/1936 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
2250  2.6.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.6.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2260  2.6.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered 
bonds (borrowed)  
2270  2.6.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.6.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2280  2.6.3.  Level 2A assets  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed)  
2290  2.6.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.6.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2300  2.6.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential 
or automobile, CQS1) (borrowed).  
2310  2.6.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.6.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1937
 
Row  Legal references and instructions  
2320  2.6.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds 
(borrowed)  
2330  2.6.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.6.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2340  2.6.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (borrowed).  
2350  2.6.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.6.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2360  2.6.7.  Other Level 2B  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed)  
2370  2.6.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.6.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2380  2.6.8.  Non-liquid assets  
Such transactions in which the institution has swapped Level 2B asset-backed securities (com ­
mercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed)  
2390  2.6.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.6.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.EN L 97/1938 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
2400  2.7.  Totals for transactions in which Other Level 2B assets are lent and the following 
collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Other Level 2B assets are lent.  
2410  2.7.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets 
excl. EHQ covered bonds (borrowed)  
2420  2.7.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.7.1., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2430  2.7.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 
extremely high quality covered bonds (borrowed)  
2440  2.7.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.7.2., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2450  2.7.3.  Level 2A assets  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets 
(borrowed)  
2460  2.7.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.7.3., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2470  2.7.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset- 
backed securities (residential or automobile, CQS1) (borrowed)EN 19.3.2021 Official Journal of the European Union L 97/1939
 
Row  Legal references and instructions  
2480  2.7.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.7.4., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2490  2.7.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high 
quality covered bonds (borrowed)  
2500  2.7.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.7.5., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2510  2.7.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset- 
backed securities (commercial or individuals, Member State, CQS1) (borrowed)  
2520  2.7.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.7.6., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2530  2.7.7.  Other Level 2B  
Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B 
(borrowed)  
2540  2.7.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.7.7., credit institutions shall report: 
— the leg of the collateral lent that, but for being used as collateral for those transactions, 
would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid 
asset; and 
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of 
Delegated Regulation (EU) 2015/61.  
2550  2.7.8.  Non-liquid assets  
Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid 
assets (borrowed)EN L 97/1940 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
2560  2.7.8.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.7.8., credit institutions shall report the leg of the collateral lent that, 
but for being used as collateral for those transactions, would qualify in accordance with 
Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.  
2570  2.8.  Totals for transactions in which Non-liquid assets are lent and the following 
collateral is borrowed:  
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61 
Credit institutions shall report here, for the relevant columns, the total values of collateral swaps 
for transactions in which Non-liquid assets are lent.  
2580  2.8.1.  Level 1 assets (excl. EHQ covered bonds)  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets 
excl. EHQ covered bonds (borrowed)  
2590  2.8.1.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.8.1., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
2600  2.8.2.  Level 1 extremely high quality covered bonds  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 
extremely high quality covered bonds (borrowed)  
2610  2.8.2.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.8.2., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
2620  2.8.3.  Level 2A assets  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A 
assets (borrowed)  
2630  2.8.3.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.8.3., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
2640  2.8.4.  Level 2B asset-backed securities (residential or automobile, CQS1)  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B 
asset-backed securities (residential or automobile, CQS1) (borrowed)EN 19.3.2021 Official Journal of the European Union L 97/1941
 
Row  Legal references and instructions  
2650  2.8.4.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.8.4., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
2660  2.8.5.  Level 2B high quality covered bonds  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high 
quality covered bonds (borrowed)  
2670  2.8.5.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.8.5., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
2680  2.8.6.  Level 2B asset-backed securities (commercial or individuals, Member State, CQS1)  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B 
asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed)  
2690  2.8.6.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.8.6., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
2700  2.8.7.  Other Level 2B  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 
2B (borrowed)  
2710  2.8.7.1.  Of which collateral swapped meets operational requirements  
Of the transactions in item 2.8.7., credit institutions shall report the leg of the collateral 
borrowed if it meets the operational requirements under Article 8 of Delegated Regulation 
(EU) 2015/61.  
2720  2.8.8.  Non-liquid assets  
Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid 
assets (borrowed)  
MEMORANDUM ITEMS  
2730  3. Total collateral swaps (all counterparties) where borrowed collateral has been used to 
cover short positions  
Institutions shall report here the total collateral swaps (all counterparties) reported in the above 
lines where borrowed collateral has been used to cover short positions where a 0 % outflow rate 
has been applied.  
2740  4. Total collateral swaps with intragroup counterparties  
Institutions shall report here the total collateral swaps reported in the above lines that are with 
intragroup counterparties.EN L 97/1942 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
5. Collateral swaps waived from Article 17(2) and (3)  
Credit institutions shall report here the part of collateral swap transactions with a residual 
maturity of no more than 30 days where the counterparty is a central bank and where the 
relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated 
Regulation (EU) 2015/61 by its Article 17(4).  
2750  5.1.  of which: collateral borrowed is L1 excl. EHQCB  
Credit institutions shall report here the part of collateral swap transactions with a residual 
maturity of no more than 30 days where the counterparty is a central bank, the collateral 
borrowed is Level 1 collateral excluding extremely high quality covered bonds and meeting 
the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, 
and where the relevant transactions are exempted from the application of Article 17(2) and (3) 
of Delegated Regulation (EU) 2015/61 by its Article 17(4).  
2760  5.2.  of which: collateral borrowed is L1 EHQCB  
Credit institutions shall report here the part of collateral swap transactions with a residual 
maturity of no more than 30 days where the counterparty is a central bank, the collateral 
borrowed is Level 1 collateral which is extremely high quality covered bonds and meeting the 
operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and 
where the relevant transactions are exempted from the application of Article 17(2) and (3) of 
Delegated Regulation (EU) 2015/61 by its Article 17(4).  
2770  5.3.  of which: collateral borrowed is L2A  
Credit institutions shall report here the part of collateral swap transactions with a residual 
maturity of no more than 30 days where the counterparty is a central bank, the collateral 
borrowed is Level 2A collateral and meeting the operational requirements laid down in 
Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are 
exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 
2015/61 by its Article 17(4).  
2780  5.4.  of which: collateral borrowed is L2B  
Credit institutions shall report here the part of collateral swap transactions with a residual 
maturity of no more than 30 days where the counterparty is a central bank, the collateral 
borrowed is Level 2B collateral and meeting the operational requirements laid down in 
Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are 
exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 
2015/61 by its Article 17(4).  
2790  5.5.  of which: collateral lent is L1 excl. EHQCB  
Credit institutions shall report here the part of collateral swap transactions with a residual 
maturity of no more than 30 days where the counterparty is a central bank, the collateral 
lent is Level 1 collateral excluding extremely high quality covered bonds and meeting the oper ­
ational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where 
the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated 
Regulation (EU) 2015/61 by its Article 17(4).EN 19.3.2021 Official Journal of the European Union L 97/1943
 
Row  Legal references and instructions  
2800  5.6.  of which: collateral lent is L1 EHQCB  
Credit institutions shall report here the part of collateral swap transactions with a residual 
maturity of no more than 30 days where the counterparty is a central bank, the collateral 
lent is Level 1 collateral which is extremely high quality covered bonds and meeting the oper ­
ational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where 
the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated 
Regulation (EU) 2015/61 by its Article 17(4).  
2810  5.7.  of which: collateral lent is L2A  
Credit institutions shall report here the part of collateral swap transactions with a residual 
maturity of no more than 30 days where the counterparty is a central bank, the collateral 
lent is Level 2A collateral and meeting the operational requirements laid down in Article 8 
of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from 
the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its 
Article 17(4).  
2820  5.8.  of which: collateral lent is L2B  
Credit institutions shall report here the part of collateral swap transactions with a residual 
maturity of no more than 30 days where the counterparty is a central bank, the collateral 
lent is Level 2B collateral and meeting the operational requirements laid down in Article 8 
of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from 
the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its 
Article 17(4).  
PART 5: CALCULATIONS  
1. Calculations  
1.1. General remarks  
1. This is a summary template which contains information about calculations for the purpose of reporting 
the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not 
need to be completed by institutions are coloured grey.  
1.2. Specific remarks  
2. Cell references are given in the format: template; row; column. For example, {C 72.00; r0130; c0040} 
refers to Liquid Assets template; row 0130; column 0040.  
1.3. Calculations sub template – Instructions concerning specific rows  
Row  Legal references and instructions  
CALCULATIONS  
Numerator, Denominator, Ratio  
Article 4 of Delegated Regulation (EU) 2015/61 
The Liquidity Coverage Ratio numerator, denominator and ratio. 
Enter all below data into column 0010 of given row.  
0010  1. Liquidity Buffer  
Institutions shall report figure from {C 76.00; r0290; c0010}.  
0020  2. Net Liquidity Outflow  
Institutions shall report figure from {C 76.00; r0370; c0010}.EN L 97/1944 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0030  3. Liquidity Coverage Ratio (%)  
Institutions shall report the liquidity coverage ratio calculated as specified in Article 4(1) of 
Delegated Regulation (EU) 2015/61. 
The liquidity coverage ratio shall be equal to the ratio of a credit institution’s liquidity buffer to 
its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a 
percentage. 
If {C 76.00; r0020; c0010} is zero (causing a ratio of infinity) then report the value 999 999.  
Numerator calculations  
Article 17 and Annex I of Delegated Regulation (EU) 2015/61 
Formula for the calculation of the Liquidity Buffer. 
Enter all below data into column 0010 of given row.  
0040  4. L1 excl. EHQCB liquidity buffer (value in accordance with Article 9): unadjusted  
Institutions shall report figure from {C 72.00; r0030; c0040}.  
0050  5. L1 excl. EHQCB collateral 30 day outflows  
Institutions shall report outflows of Level 1 (excluding extremely high quality covered bonds) 
liquid securities upon the unwind of any secured funding, secured lending or collateral swap 
transaction, that matures within 30 calendar days from the reference date unless the transaction 
is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.  
0060  6. L1 excl. EHQCB collateral 30 day inflows  
Institutions shall report inflows of Level 1 (excluding extremely high quality covered bonds) 
liquid securities upon the unwind of any secured funding, secured lending, or collateral swap 
transaction, that matures within 30 calendar days from the reference date unless the transaction 
is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.  
0070  7. Secured cash outflows  
Institutions shall report outflows of cash (a Level 1 asset) upon the unwind of any secured 
funding or secured lending transaction, that matures within 30 calendar days from the reference 
date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.  
0080  8. Secured cash inflows  
Institutions shall report inflows of cash (a Level 1 asset) upon the unwind of any secured funding 
or secured lending transaction, that matures within 30 calendar days from the reference date 
unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.  
0091  9. L1 excl. EHQCB ‘adjusted amount’  
This is referred to in subparagraph (a) of Annex I (3) 
Institutions shall report the adjusted non-covered bond level 1 asset amount before cap appli ­
cation. 
The adjusted amount shall take into account the unwind of secured funding, secured lending or 
collateral swap transactions, that mature within 30 calendar days from the reference date unless 
the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.EN 19.3.2021 Official Journal of the European Union L 97/1945
 
Row  Legal references and instructions  
0100  10. L1 EHQCB value in accordance with Article 9: unadjusted  
Institutions shall report figure from {C 72.00; r0180; c0040}.  
0110  11. L1 EHQCB collateral 30 day outflows  
Institutions shall report outflows of Level 1 extremely high quality covered bonds upon the 
unwind of any secured funding, secured lending or collateral swap transaction, that matures 
within 30 calendar days from the reference date unless the transaction is waived as per 
Article 17(4) of Delegated Regulation (EU) 2015/61.  
0120  12. L1 EHQCB collateral 30 day inflows  
Institutions shall report inflows of Level 1 extremely high quality covered bonds upon the 
unwind of any secured funding, secured lending, or collateral swap transaction that matures 
within 30 calendar days from the reference date unless the transaction is waived as per 
Article 17(4) of Delegated Regulation (EU) 2015/61.  
0131  13. L1 EHQCB ‘adjusted amount’  
This is referred to by subparagraph (b) of Annex I (3) 
Institutions shall report the adjusted covered bond level 1 asset amount before cap application. 
The adjusted amount shall take into account the unwind of secured funding, secured lending, or 
collateral swap transactions that mature within 30 calendar days from the reference date unless 
the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.  
0160  14. L2A value in accordance with Article 9: unadjusted  
Institutions shall report figure from {C 72.00; r0230; c0040}.  
0170  15. L2A collateral 30 day outflows  
Institutions shall report outflows of Level 2A liquid securities upon the unwind of any secured 
funding, secured lending or collateral swap transaction, that matures within 30 calendar days 
from the calculation date unless the transaction is waived as per Article 17(4) of Delegated 
Regulation (EU) 2015/61.  
0180  16. L2A collateral 30 day inflows  
Institutions shall report inflows of Level 2A liquid securities upon the unwind of any secured 
funding, secured lending, or collateral swap transaction that matures within 30 calendar days 
from the calculation date unless the transaction is waived as per Article 17(4) of Delegated 
Regulation (EU) 2015/61.  
0191  17. L2A ‘adjusted amount’  
This is referred to by subparagraph (c) in Annex I (3). 
Institutions shall report the adjusted level 2A asset amount before cap application. 
The adjusted amount shall take into account the unwind of secured funding, secured lending or 
collateral swap transactions, that mature within 30 calendar days from the calculation date unless 
the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.  
0220  18. L2B value in accordance with Article 9: unadjusted  
Institutions shall report figure from {C 72.00; r0310; c0040}.EN L 97/1946 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
0230  19. L2B collateral 30 day outflows  
Institutions shall report outflows of Level 2B liquid securities upon the unwind of any secured 
funding, secured lending, or collateral swap transaction that matures within 30 calendar days 
from the calculation date unless the transaction is waived as per Article 17(4) of Delegated 
Regulation (EU) 2015/61.  
0240  20. L2B collateral 30 day inflows  
Institutions shall report inflows of Level 2B liquid securities upon the unwind of any secured 
funding, secured lending or collateral swap transaction, that matures within 30 calendar days 
from the calculation date unless the transaction is waived as per Article 17(4) of Delegated 
Regulation (EU) 2015/61.  
0251  21. L2B ‘adjusted amount’  
This is referred to by subparagraph (d) in Annex I (3). 
Institutions shall report the adjusted level 2B asset amount before cap application. 
The adjusted amount shall take into account the unwind of secured funding, secured lending or 
collateral swap transactions, that mature within 30 calendar days from the calculation date unless 
the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.  
0280  22. Excess liquid asset amount  
Annex I(4) 
Institutions shall report the ‘excess liquid assets amount’: this amount shall be equal to: 
(a) the adjusted non-covered bond level 1 asset amount; plus 
(b) the adjusted level 1 covered bond amount; plus 
(c) the adjusted level 2A asset amount; plus 
(d) the adjusted level 2B asset amount; 
minus the lesser of: 
(e) the sum of (a),(b),(c) and (d); 
(f) 100/30 times (a); 
(g) 100/60 times the sum of (a) and (b); 
(h) 100/85 times the sum of (a), (b) and (c).  
0290  23. LIQUIDITY BUFFER  
Annex I (2) 
Institutions shall report the liquidity buffer which shall be equal to: 
(a) the level 1 asset amount; plus 
(b) the level 2A asset amount; plus 
(c) the level 2B asset amount; 
minus the lesser of: 
(d) the sum of (a), (b), and (c); or 
(e) the ‘excess liquid assets amount’.EN 19.3.2021 Official Journal of the European Union L 97/1947
 
Row  Legal references and instructions  
Denominator calculations  
Annex II of Delegated Regulation (EU) 2015/61 
Formula for the calculation of the net liquidity outflow 
Where, 
NLO = Net liquidity outflow 
TO = Total outflows 
TI = Total inflows 
FEI = Fully exempted inflows 
IHC = Inflows subject to higher cap of 90 % outflows 
IC = Inflows subject to cap of 75 % of outflows 
Institutions shall enter all below data in to column 0010 of a given row.  
0300  24. Total Outflows  
TO = from Outflow sheet 
Institutions shall report figure from {C 73.00; r0010; c0060}.  
0310  25. Fully Exempt Inflows  
FEI = from Inflows sheet 
Institutions shall report figure from {C 74.00; r0010; c0160}.  
0320  26. Inflows Subject to 90 % Cap  
IHC = from Inflows sheet 
Institutions shall report figure from {C 74.00; r0010; c0150}.  
0330  27. Inflows Subject to 75 % Cap  
IC = from Inflows sheet 
Institutions shall report figure from {C 74.00; r0010; c0140}.  
0340  28. Reduction for Fully Exempt Inflows  
Institutions shall report the following part of the NLO calculation: 
= MIN (FEI, TO).  
0350  29. Reduction for Inflows Subject to 90 % Cap  
Institutions shall report the following part of the NLO calculation: 
= MIN (IHC, 0.9*MAX(TO-FEI, 0)).  
0360  30. Reduction for Inflows Subject to 75 % Cap  
Institutions shall report the following part of the NLO calculation: 
= MIN (IC, 0.75*MAX(TO-FEI-IHC/0.9, 0)).  
0370  31. NET LIQUIDITY OUTFLOW  
Institutions shall report the net liquidity outflow which equals total outflows less the reduction 
for fully exempt inflows less the reduction for inflows subject to the 90 % cap less the reduction 
for inflows subject to the 75 % cap.EN L 97/1948 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
NLO = TO – MIN(FEI, TO) – MIN(IHC, 0.9*MAX(TO-FEI, 0)) – MIN(IC, 0.75*MAX(T0-FEI- 
IHC/0.9,0))  
Pillar 2  
0380  32. PILLAR 2 REQUIREMENT  
Article 105 CRD 
Institutions shall report the Pillar 2 requirement.  
PART 6: PERIMETER OF CONSOLIDATION  
1. Perimeter of consolidation  
1.1. General remarks  
1. This is a template that, for the only purposes of LCR at a consolidated level, identifies the entities to 
which the information reported in templates C 72.00, C 73.00, C 74.00, C 75.01 and C 76.00 refers. 
This template identifies all the entities that form part of the perimeter of consolidation of the LCR in 
accordance with Articles 8 and 10, Article 11(3) and (5) of Regulation (EU) No 575/2013, as applicable. 
This template shall have as many rows as entities are in the perimeter of consolidation.  
1.2. Instructions concerning specific columns  
Column  Legal references and instructions  
0005  Parent or subsidiary  
‘Parent’ shall be reported in the case the entity in the row is: 
— the EU parent institution, EU parent financial holding company or EU parent mixed financial 
holding company as envisaged in Article 11(3) of Regulation (EU) No 575/2013; 
the parent institution or subsidiary institution that need to comply with the LCR on a 
consolidated basis or in a sub-consolidated basis, respectively, in the context of a single 
liquidity subgroup as per Article 8 of Regulation (EU) No 575/2013; 
— the relevant institution required to comply with the LCR on a sub-consolidated basis as per 
Article 11(5) of Regulation (EU) No 575/2013; 
— the EU central institution. 
‘Subsidiary’ shall be reported in the rest of the rows.  
0010  Name  
The name of each entity in the perimeter of consolidation shall be reported in column 0010.  
0020  Code  
The code as part of a row identifier must be unique for each reported entity. For institutions and 
insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI 
code, or if not available, a national code. The code shall be unique and used consistently across 
the templates and across time. The code shall always have a value.  
0021  Type of code  
The institutions shall identify the type of code reported in column 0020 as a ‘LEI code’ or ‘Non- 
LEI code’. 
The type of code shall always be reported.EN 19.3.2021 Official Journal of the European Union L 97/1949
 
Column  Legal references and instructions  
0022  National code  
Institutions may additionally report the national code when they report LEI code as identifier as 
in the ‘Code’ column.  
0040  Country code  
ISO code 3166-1-alpha-2 of the country of incorporation of each entity in the perimeter of 
consolidation shall be reported in column 0020.  
0050  Type of entity  
Entities reported in column 0010 shall be assigned an entity type corresponding to its legal form 
as per the following list: 
‘Credit institution’; 
‘Investment firm’; 
‘Other’.EN L 97/1950 Official Journal of the European Union 19.3.2021
 
ANNEX XXVI  
SUPPLEMENTARY REPORTING FOR THE PURPOSE OF IDENTIFYING AND ASSIGNING G-SII BUFFER 
RATES  
TEMPLATES  
Template 
number  Template code  Name of the template /group of templates  Short name  
G-SII INDICATORS AND EBU ITEMS  
1 G 01.00  G-SII INDICATORS AND EBU ITEMS  GSII  
G 01.00 - G-SII indicators and EBU items  
Rows  Item  Amount  
G-SII indicators  
0010  Total exposures  
0020  Intra-financial system assets  
0030  Intra-financial system liabilities  
0040  Securities outstanding  
0050  Payment activity  
0060  Assets under custody  
0070  Underwriting activity  
0080  Trading volume  
0090  OTC derivatives  
0100  Trading and AFS securities  
0110  Level 3 assets  
0120  Cross-jurisdictional claims  
0130  Cross-jurisdictional liabilities  
Items considering the European Banking Union as a single jurisdiction  
0140  Total foreign claims on an ultimate risk basis  
0150  Foreign derivatives claims on an ultimate risk basis  
0160  Foreign liabilities on an immediate risk basis, including derivatives  
0170  of which: Foreign derivatives liabilities on an immediate risk basisEN 19.3.2021 Official Journal of the European Union L 97/1951
 
ANNEX XXVII  
REPORTING INSTRUCTIONS FOR THE PURPOSE OF IDENTIFYING AND ASSIGNING G-SII BUFFER RATES  
PART I  
GENERAL INSTRUCTIONS  
1.1.1. Structure and conventions  
2.1.1.1. Structure  
1. This framework consists of one template capturing information on indicators of global systemic importance 
and particular items needed for the application of the EU’s methodology for identifying globally systemically 
important institutions (G-SIIs) and assigning corresponding G-SII buffer rates.  
3.1.1.2. Numbering convention  
2. The document follows the labelling convention set in points 3 to 5, when referring to the columns, rows and 
cells of the templates. Those numerical codes are extensively used in the validation rules.  
3. The following general notation is followed in the instructions: {Template; Row; Column}.  
4. In the case of references inside a template, in which only data points of that template are used, notations do 
not refer to a template: {Row; Column}. In the case of templates with only one column, only rows are 
referred to {Template; Row}.  
5. An asterisk sign is used to express that the reference captures the rows or columns specified before.  
4.1.1.3. Sign convention  
6. Any amount that increases the value of the indicator, the assets, liabilities or exposures shall be reported as a 
positive figure. Any amount that reduces the the value of the indicator, the assets, liabilities or exposures shall 
be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive 
figure is expected to be reported for that item.  
5.1.1.4. Abbreviations  
7. For the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the 
Council (  1 ) is referred to as ‘CRR’ and Directive 2013/36/EU of the European Parliament and of the Council (  2 ) 
is referred to as ‘CRD’.  
PART II  
TEMPLATE RELATED INSTRUCTIONS  
6.1.1. General remarks  
8. The template is divided into two sections. The upper section on G-SII indicators includes the indicators for 
identifying globally systemically important institutions as defined in the methodology developed by the Basel 
Committee on Banking Supervision. The lower section contains a number of items needed to calculate the 
relevant indicators in accordance with the methodology defined on the basis of Article 131(18) CRD.EN L 97/1952 Official Journal of the European Union 19.3.2021  
( 1 ) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for cred it 
institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).  
( 2 ) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit instit utions 
and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directi ves 
2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338).
 9. Where relevant, the information provided in this template shall be consistent with the information provided 
to relevant authorities for the purposes of the collection of the indicator values by relevant authorities as set 
out in Article 3(2) of Commission Delegated Regulation (EU) No 1222/2014.  
7.1.2. Instructions concerning specific positions  
Row  Legal references and instructions  
0010 – 0120  G-SII indicators  
The definition of the indicators shall be the same as the definition applied for the purposes of 
determining the information listed in the Annex to Commission Delegated Regulation (EU) No 
1222/2014. 
In case of changes to the methodolgy, the same methodology applicable for determing the 
indicators values as of the end of the financial year shall be used for the purposes of reporting 
information as of the end of the first, second and third quarter of that same financial year. 
Indicators that are flow measures shall be reported on a cumulative basis since the beginning 
of the calendar or financial year, as applicable.  
0010  Cross-jurisdictional claims  
0020  Cross-jurisdictional liabilities  
0030  Total exposures (leverage ratio)  
0040  Intra-financial system assets  
0050  Intra-financial system liabilities  
0060  Securities outstanding  
0070  Assets under custody  
0080  Payments activity  
0090  Underwritten transactions in debt and equity markets  
0100  Trading volume  
0110  Notional amount of OTC derivatives  
0120  Level 3 assets  
0130  Trading and available-for-sale securities  
0140 – 0170  Items considering the European Banking Union as a single jurisdiction  
For the purposes of determining the items specified below and in the absence of specifications 
in the instructions below, the definitions and concepts applied shall be aligned, to the extent 
possible, with the definitions and concepts defined in the Guidelines for reporting the BIS 
international banking statistics.EN 19.3.2021 Official Journal of the European Union L 97/1953
 
Row  Legal references and instructions  
By derogation from that, the reporting entities’ activities across participating Member States as 
referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of 
the Council (  3 ) shall be excluded, i.e. the Participating Members States shall be considered as 
one single jurisdiction.  
0140  Total foreign claims on an ultimate risk basis  
Total foreign claims shall be the sum of cross-border claims and local claims of foreign 
affiliates in local or foreign currency. Claims from positions in derivative contracts shall be 
excluded. ‘Claims’, ‘cross-border claims’, ‘local claims of foreign affiliates in foreign and local 
currency’ shall have the same meaning as defined in the Guidelines for reporting the BIS 
international banking statistics. 
‘On an ultimate risk basis’ shall mean that, for the purposes of determining whether a claim ia 
a cross-border or local claim, the position is allocated to a third party that has contracted to 
assume the debts or obligations of the primary counterparty if that party fails to perform, 
where such a third party exists. This allocation shall be made in accordance with the provisions 
on risk transfers provided in the Guidelines for reporting the BIS international banking stat ­
istics.  
0150  Foreign derivatives claims on an ultimate risk basis  
The positive fair value of all derivative claims that are cross-border claims, or local claims of 
foreign affiliates in local or foreign currency. 
Derivatives include forwards, swaps, and options related to foreign exchange, interest rate, 
equity, commodity, and credit instruments. This includes purchased credit derivatives that 
hedge or offset credit protection sold or are held for trading purposes. 
In case of such purchased credit derivatives, the value of shall not be capped at the value of the 
immediate claim it was purchased to guarantee. 
The positive fair values of derivative contracts may be offset against negative fair values only if 
the positions were executed with the same counterparty under a legally enforceable netting 
agreement. Only netting sets with a positive value shall be included in this item. 
The derivative claims shall be reported gross of any cash collateral. 
For the purposes of reporting information on an ultimate risk basis, the following shall apply: 
a) When the final risk lies with the counterparty, a derivative is considered foreign if the 
counterparty is not in the reporting entities’ home jurisdiction. 
b) When the final risk lies with the guarantor, a derivative is considered foreign if the 
guarantor is not in the reporting entities’ home jurisdiction.  
0160  Foreign liabilities on an immediate risk basis, including derivatives  
Foreign liabilities, including derivatives, shall be the sum of foreign liabilities and foreign 
liabilities arising from derivatives. Securities liabilities that are tradable financial assets issued 
by the reporting institution shall be excluded from this item. 
The definition of derivatives shall be the same as applied for row 0140.EN L 97/1954 Official Journal of the European Union 19.3.2021
 
Row  Legal references and instructions  
The negative fair values of derivative contracts may be offset against positive fair values only if 
the positions were executed with the same counterparty under a legally enforceable netting 
agreement. Derivatives liabilities shall be reported gross of any collateral (cash and non-cash). 
‘On an immediate risk basis’ shall mean that, for the purposes of determining whether a claim 
is a cross-border or local claim, the position is allocated to the direct counterparty of the 
contract.  
0170  of which: Foreign derivatives liabilities on an immediate risk basis  
Subset of row 0160 that are derivatives liabilities  
( 3 ) Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules 
and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single 
Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, 
p. 1).EN 19.3.2021 Official Journal of the European Union L 97/1955