Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance)
Date: 2018-10-09
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: banking policy, credit institution, financial control, financial instrument, financial legislation, financial management, investment company, private-sector liquidity




L_2018281EN.01000101.xml










9.11.2018   


EN


Official Journal of the European Union


L 281/1








            COMMISSION IMPLEMENTING REGULATION (EU) 2018/1627
of 9 October 2018
         
amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting
(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 fourth subparagraph of Article 99(5), the fourth subparagraph of Article 99(6), the third subparagraph of Article 394(4) the fourth subparagraph of Article 415(3) and the third subparagraph of Article 430(2) thereof,

Whereas:







(1)


Commission Implementing Regulation (EU) No 680/2014 (2) specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. The regulatory framework established by Regulation (EU) No 575/2013 is gradually being supplemented and amended in its non-essential elements by the adoption of further regulatory technical standards. Implementing Regulation (EU) No 680/2014 needs to be updated to reflect those changes.












(2)


Regulation (EU) No 575/2013 is supplemented by the adoption of Commission Delegated Regulation (EU) 2016/101 (3), with regard to prudent valuation and by Regulation (EU) 2017/2401 of the European Parliament and of the Council (4), with regard to securitisation. Implementing Regulation (EU) No 680/2014 should be updated to reflect those changes and to provide further precision in the instructions and definitions used for the purposes of the institutions’ supervisory reporting. Certain references and formatting inconsistencies which were discovered as misleading in the course of the application of Implementing Regulation (EU) No 680/2014 should also be clarified.












(3)


Delegated Regulation (EU) 2016/101 sets out requirements relating to prudent valuation adjustments of fair-valued positions. It provides two approaches for the implementation of the prudent valuation requirements: a core approach and a simplified approach. To monitor compliance of institutions with those requirements and to assess the impact of that Regulation on valuation adjustments, additional reporting, relating to the prudent valuation requirements, is necessary.












(4)


Regulation (EU) 2017/2401 amends Regulation (EU) No 575/2013 to make the capital treatment of securitisations more risk-sensitive and able to reflect properly the specific features of simple, transparent and standardised securitisations. Implementing Regulation (EU) No 680/2014 needs to be amended to accommodate the reporting on securitisation positions subject to this revised securitisation framework.












(5)


Amendments to Implementing Regulation (EU) No 680/2014 are also necessary to improve competent authorities’ ability to effectively monitor and assess the institutions’ risk profile and to obtain a view on the risks posed to the financial sector, which requires minor changes to the reporting requirements on the geographical distribution of exposures.












(6)


This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority (EBA) to the Commission.












(7)


EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based that relate to prudent valuation and the total geographical breakdown, analysed the potential related costs and benefits and requested the opinion 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 (5) in relation to those. In accordance with the second subparagraph of Article 15(1) of that Regulation, EBA has not conducted any open public consultation with regard to those parts of the draft implementing technical standards on which this Regulation is based that are either of editorial nature or introduce only a limited number of items in the supervisory reporting framework, as such consultation would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned.












(8)


Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly,





HAS ADOPTED THIS REGULATION:



Article 1
Implementing Regulation (EU) No 680/2014 is amended as follows:






(1)


Article 5 is amended as follows:






(a)


point (a) is amended as follows:






(i)


point (4) is replaced by the following:






‘(4)


the information on the geographical distribution of exposures by country, as well as aggregated at a total level, as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II. With regard to the information specified in templates 9.1 and 9.2 in particular, information on the geographical distribution of exposures by country shall be reported where non-domestic original exposures in all “non-domestic” countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;’;














(ii)


the following point (12) is added:






‘(12)


the information on prudent valuation specified in template 32 of Annex I in accordance with the instructions in Part II, point 6 of Annex II as follows:






(i)


all institutions shall report the information specified in template 32.1 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;










(ii)


in addition to the reporting referred to in point (i), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 shall also report the information specified in template 32.2 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;










(iii)


in addition to the requirements referred to in points (i) and (ii), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation at their respective reporting level, shall also report the information specified in templates 32.3 and 32.4 of Annex I in accordance with the instructions in Part II, point 6 of Annex II.




For the purposes of point (a)(12), the entry and exit criteria of Article 4 shall not apply.’;


















(b)


point (b) is amended as follows:
In point (3) points (a), (b) and (c), the words ‘point 6 of Part II of Annex II’ are replaced by the words ‘point 7 of Part II of Annex II’;














(2)


in Article 9(2), point (d) is replaced by the following:






‘(d)


the information specified in template 20 in Part 2 of Annex III with a quarterly frequency where the institution exceeds the threshold defined in the second sentence of point (4) of Article 5(a). The entry and exit criteria referred to in Article 4 shall apply;’;














(3)


Annex I is replaced by the text set out in Annex I to this Regulation;










(4)


Annex II is replaced by the text set out in Annex II to this Regulation;










(5)


Annex V is replaced by the text set out in Annex III to this Regulation;










(6)


Annex IX is replaced by the text set out in Annex IV to this Regulation;










(7)


Annex XI is replaced by the text set out in Annex V to this Regulation;










(8)


Annex XVI is replaced by Annex VI to this Regulation;










(9)


Annex XIX is replaced by the text set out in Annex VII to this Regulation;










(10)


Annex XXI is replaced by the text set out in Annex VIII to this Regulation;










(11)


Annex XXII is replaced by the text set out in Annex IX to this Regulation;










(12)


Annex XXIII is replaced by the text set out in Annex X to this Regulation.






Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 1 December 2018.




This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 9 October 2018.


For the Commission


The President

Jean-Claude JUNCKER
            





(1)  
            OJ L 176, 27.6.2013, p. 1.

(2)  Commission Implementing Regulation (EU) No 680/2014 of 16 April 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).

(3)  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).

(4)  Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (OJ L 347, 28.12.2017, p. 1).

(5)  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).




ANNEX I




                     ‘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




 


 


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 institution-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




12


C 12.00


CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS


CR SEC SA




13


C 13.00


CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS


CR SEC IRB




14


C 14.00


DETAILED INFORMATION ON SECURITISATIONS


CR SEC Details




 


 



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




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








C 01.00 - OWN FUNDS (CA1)










Rows




ID




Item




Amount






010




1




OWN FUNDS



 





015




1.1




TIER 1 CAPITAL



 





020




1.1.1




COMMON EQUITY TIER 1 CAPITAL



 





030




1.1.1.1




Capital instruments eligible as CET1 Capital



 





040



1.1.1.1.1


Paid up capital instruments


 





045



1.1.1.1.1*


Of which: Capital instruments subscribed by public authorities in emergency situations


 





050



1.1.1.1.2*


Memorandum item: Capital instruments not eligible


 





060



1.1.1.1.3


Share premium


 





070



1.1.1.1.4


(-) Own CET1 instruments


 





080



1.1.1.1.4.1


(-) Direct holdings of CET1 instruments


 





090



1.1.1.1.4.2


(-) Indirect holdings of CET1 instruments


 





091



1.1.1.1.4.3


(-) Synthetic holdings of CET1 instruments


 





092



1.1.1.1.5


(-) Actual or contingent obligations to purchase own CET1 instruments


 





130




1.1.1.2




Retained earnings



 





140



1.1.1.2.1


Previous years retained earnings


 





150



1.1.1.2.2


Profit or loss eligible


 





160



1.1.1.2.2.1


Profit or loss attributable to owners of the parent


 





170



1.1.1.2.2.2


(-) Part of interim or year-end profit not eligible


 





180




1.1.1.3




Accumulated other comprehensive income



 





200




1.1.1.4




Other reserves



 





210




1.1.1.5




Funds for general banking risk



 





220




1.1.1.6




Transitional adjustments due to grandfathered CET1 Capital instruments



 





230




1.1.1.7




Minority interest given recognition in CET1 capital



 





240




1.1.1.8




Transitional adjustments due to additional minority interests



 





250




1.1.1.9




Adjustments to CET1 due to prudential filters



 





260



1.1.1.9.1


(-) Increases in equity resulting from securitised assets


 





270



1.1.1.9.2


Cash flow hedge reserve


 





280



1.1.1.9.3


Cumulative gains and losses due to changes in own credit risk on fair valued liabilities


 





285



1.1.1.9.4


Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities


 





290



1.1.1.9.5


(-) Value adjustments due to the requirements for prudent valuation


 





300




1.1.1.10




(-) Goodwill



 





310



1.1.1.10.1


(-) Goodwill accounted for as intangible asset


 





320



1.1.1.10.2


(-) Goodwill included in the valuation of significant investments


 





330



1.1.1.10.3


Deferred tax liabilities associated to goodwill


 





340




1.1.1.11




(-) Other intangible assets



 





350



1.1.1.11.1


(-) Other intangible assets before deduction of deferred tax liabilities


 





360



1.1.1.11.2


Deferred tax liabilities associated to other intangible assets


 





370




1.1.1.12




(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities



 





380




1.1.1.13




(-) IRB shortfall of credit risk adjustments to expected losses



 





390




1.1.1.14




(-) Defined benefit pension fund assets



 





400



1.1.1.14.1


(-) Defined benefit pension fund assets


 





410



1.1.1.14.2


Deferred tax liabilities associated to defined benefit pension fund assets


 





420



1.1.1.14.3


Defined benefit pension fund assets which the institution has an unrestricted ability to use


 





430




1.1.1.15




(-) Reciprocal cross holdings in CET1 Capital



 





440




1.1.1.16




(-) Excess of deduction from AT1 items over AT1 Capital



 





450




1.1.1.17




(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250  % risk weight



 





460




1.1.1.18




(-) Securitisation positions which can alternatively be subject to a 1 250  % risk weight



 





470




1.1.1.19




(-) Free deliveries which can alternatively be subject to a 1 250  % risk weight



 





471




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



 





472




1.1.1.21




(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250  % risk weight



 





480




1.1.1.22




(-) CET1 instruments of financial sector entites where the institution does not have a significant investment



 





490




1.1.1.23




(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences



 





500




1.1.1.24




(-) CET1 instruments of financial sector entities where the institution has a significant investment



 





510




1.1.1.25




(-) Amount exceeding the 17.65 % threshold



 





520




1.1.1.26




Other transitional adjustments to CET1 Capital



 





524




1.1.1.27




(-) Additional deductions of CET1 Capital due to Article 3 CRR



 





529




1.1.1.28




CET1 capital elements or deductions - other



 





530




1.1.2




ADDITIONAL TIER 1 CAPITAL



 





540




1.1.2.1




Capital instruments eligible as AT1 Capital



 





550



1.1.2.1.1


Paid up capital instruments


 





560



1.1.2.1.2*


Memorandum item: Capital instruments not eligible


 





570



1.1.2.1.3


Share premium


 





580



1.1.2.1.4


(-) Own AT1 instruments


 





590



1.1.2.1.4.1


(-) Direct holdings of AT1 instruments


 





620



1.1.2.1.4.2


(-) Indirect holdings of AT1 instruments


 





621



1.1.2.1.4.3


(-) Synthetic holdings of AT1 instruments


 





622



1.1.2.1.5


(-) Actual or contingent obligations to purchase own AT1 instruments


 





660




1.1.2.2




Transitional adjustments due to grandfathered AT1 Capital instruments



 





670




1.1.2.3




Instruments issued by subsidiaries that are given recognition in AT1 Capital



 





680




1.1.2.4




Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries



 





690




1.1.2.5




(-) Reciprocal cross holdings in AT1 Capital



 





700




1.1.2.6




(-) AT1 instruments of financial sector entities where the institution does not have a significant investment



 





710




1.1.2.7




(-) AT1 instruments of financial sector entities where the institution has a significant investment



 





720




1.1.2.8




(-) Excess of deduction from T2 items over T2 Capital



 





730




1.1.2.9




Other transitional adjustments to AT1 Capital



 





740




1.1.2.10




Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)



 





744




1.1.2.11




(-) Additional deductions of AT1 Capital due to Article 3 CRR



 





748




1.1.2.12




AT1 capital elements or deductions - other



 





750




1.2




TIER 2 CAPITAL



 





760




1.2.1




Capital instruments and subordinated loans eligible as T2 Capital



 





770



1.2.1.1


Paid up capital instrumentsand subordinated loans


 





780



1.2.1.2*


Memorandum item: Capital instruments and subordinated loans not eligible


 





790



1.2.1.3


Share premium


 





800



1.2.1.4


(-) Own T2 instruments


 





810



1.2.1.4.1


(-) Direct holdings of T2 instruments


 





840



1.2.1.4.2


(-) Indirect holdings of T2 instruments


 





841



1.2.1.4.3


(-) Synthetic holdings of T2 instruments


 





842



1.2.1.5


(-) Actual or contingent obligations to purchase own T2 instruments


 





880




1.2.2




Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans



 





890




1.2.3




Instruments issued by subsidiaries that are given recognition in T2 Capital



 





900




1.2.4




Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries



 





910




1.2.5




IRB Excess of provisions over expected losses eligible



 





920




1.2.6




SA General credit risk adjustments



 





930




1.2.7




(-) Reciprocal cross holdings in T2 Capital



 





940




1.2.8




(-) T2 instruments of financial sector entities where the institution does not have a significant investment



 





950




1.2.9




(-) T2 instruments of financial sector entities where the institution has a significant investment



 





960




1.2.10




Other transitional adjustments to T2 Capital



 





970




1.2.11




Excess of deduction from T2 items over T2 Capital (deducted in AT1)



 





974




1.2.12




(-) Additional deductions of T2 Capital due to Article 3 CRR



 





978




1.2.13




T2 capital elements or deductions - other



 








C 02.00 - OWN FUNDS REQUIREMENTS (CA2)










Rows




Item




Label




Amount






010




1




TOTAL RISK EXPOSURE AMOUNT



 





020



1*



Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR



 





030



1**



Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR



 





040




1.1




RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES



 





050




1.1.1




Standardised approach (SA)



 





060



1.1.1.1


SA exposure classes excluding securitisation positions


 





070



1.1.1.1.01


Central governments or central banks


 





080



1.1.1.1.02


Regional governments or local authorities


 





090



1.1.1.1.03


Public sector entities


 





100



1.1.1.1.04


Multilateral Development Banks


 





110



1.1.1.1.05


International Organisations


 





120



1.1.1.1.06


Institutions


 





130



1.1.1.1.07


Corporates


 





140



1.1.1.1.08


Retail


 





150



1.1.1.1.09


Secured by mortgages on immovableproperty


 





160



1.1.1.1.10


Exposures in default


 





170



1.1.1.1.11


Items associated with particular high risk


 





180



1.1.1.1.12


Covered bonds


 





190



1.1.1.1.13


Claims on institutions and corporates with a short-term credit assessment


 





200



1.1.1.1.14


Collective investments undertakings (CIU)


 





210



1.1.1.1.15


Equity


 





211



1.1.1.1.16


Other items


 





220



1.1.1.2


Securitisation positions SA


 





230



1.1.1.2*



of which: resecuritisation



 





240




1.1.2




Internal ratings based Approach (IRB)



 





250



1.1.2.1


IRB approaches when neither own estimates of LGD nor Conversion Factors are used


 





260



1.1.2.1.01


Central governments and central banks


 





270



1.1.2.1.02


Institutions


 





280



1.1.2.1.03


Corporates - SME


 





290



1.1.2.1.04


Corporates - Specialised Lending


 





300



1.1.2.1.05


Corporates - Other


 





310



1.1.2.2


IRB approaches when own estimates of LGD and/or Conversion Factors are used


 





320



1.1.2.2.01


Central governments and central banks


 





330



1.1.2.2.02


Institutions


 





340



1.1.2.2.03


Corporates - SME


 





350



1.1.2.2.04


Corporates - Specialised Lending


 





360



1.1.2.2.05


Corporates - Other


 





370



1.1.2.2.06


Retail - Secured by real estate SME


 





380



1.1.2.2.07


Retail - Secured by real estate non-SME


 





390



1.1.2.2.08


Retail - Qualifying revolving


 





400



1.1.2.2.09


Retail - Other SME


 





410



1.1.2.2.10


Retail - Other non-SME


 





420



1.1.2.3


Equity IRB


 





430



1.1.2.4


Securitisation positions IRB


 





440



1.1.2.4*



Of which: resecuritisation



 





450



1.1.2.5


Other non credit-obligation assets


 





460




1.1.3




Risk exposure amount for contributions to the default fund of a CCP



 





490




1.2




TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY



 





500




1.2.1




Settlement/delivery risk in the non-Trading book



 





510




1.2.2




Settlement/delivery risk in the Trading book



 





520




1.3




TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS



 





530




1.3.1




Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)



 





540



1.3.1.1


Traded debt instruments


 





550



1.3.1.2


Equity


 





555



1.3.1.3


Particular approach for position risk in CIUs


 





556



1.3.1.3*


Memo item: CIUs exclusively invested in traded debt instruments


 





557



1.3.1.3**


Memo item: CIUs invested exclusively in equity instruments or in mixed instruments


 





560



1.3.1.4


Foreign Exchange


 





570



1.3.1.5


Commodities


 





580




1.3.2




Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)



 





590




1.4




TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )



 





600




1.4.1




OpR Basic indicator approach (BIA)



 





610




1.4.2




OpR Standardised (STA) / Alternative Standardised (ASA) approaches



 





620




1.4.3




OpR Advanced measurement approaches (AMA)



 





630




1.5




ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS



 





640




1.6




TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT



 





650




1.6.1




Advanced method



 





660




1.6.2




Standardised method



 





670




1.6.3




Based on OEM



 





680




1.7




TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK



 





690




1.8




OTHER RISK EXPOSURE AMOUNTS



 





710




1.8.2




Of which: Additional stricter prudential requirements based on Art 458



 





720



1.8.2*


Of which: requirements for large exposures


 





730



1.8.2**


Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property


 





740



1.8.2***


Of which: due to intra financial sector exposures


 





750




1.8.3




Of which: Additional stricter prudential requirements based on Art 459



 





760




1.8.4




Of which: Additional risk exposure amount due to Article 3 CRR



 





770




1.8.5




Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework)



 





780




1.8.5.1




Internal ratings-based approach (SEC-IRBA)



 





790



1.8.5.1.1


Securitisations not qualifying for differentiated capital treatment


 





800



1.8.5.1.2


STS securitisations qualifying for differentiated capital treatment


 





810




1.8.5.2




Standardised approach (SEC-SA)



 





820



1.8.5.2.1


Securitisations not qualifying for differentiated capital treatment


 





830



1.8.5.2.2


STS securitisations qualifying for differentiated capital treatment


 





840




1.8.5.3




External ratings-based approach (SEC-ERBA)



 





850



1.8.5.3.1


Securitisations not qualifying for differentiated capital treatment


 





860



1.8.5.3.2


STS securitisations qualifying for differentiated capital treatment


 





870




1.8.5.4




Internal assessment approach (IAA)



 





880



1.8.5.4.1


Securitisations not qualifying for differentiated capital treatment


 





890



1.8.5.4.2


STS securitisations qualifying for differentiated capital treatment


 





900




1.8.5.5




Other (RW = 1 250  %)



 





910




1.8.6




Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework)



 





920




1.8.6.1




Internal ratings-based approach (SEC-IRBA)



 





930



1.8.6.1.1


Securitisations not qualifying for differentiated capital treatment


 





940



1.8.6.1.2


STS securitisations qualifying for differentiated capital treatment


 





950




1.8.6.2




Standardised approach (SEC-SA)



 





960



1.8.6.2.1


Securitisations not qualifying for differentiated capital treatment


 





970



1.8.6.2.2


STS securitisations qualifying for differentiated capital treatment


 





980




1.8.6.3




External ratings-based approach (SEC-ERBA)



 





990



1.8.6.3.1


Securitisations not qualifying for differentiated capital treatment


 





1000



1.8.6.3.2


STS securitisations qualifying for differentiated capital treatment


 





1010




1.8.6.4




Internal assessment approach (IAA)



 





1020



1.8.6.4.1


Securitisations not qualifying for differentiated capital treatment


 





1030



1.8.6.4.2


STS securitisations qualifying for differentiated capital treatment


 





1040




1.8.6.5




Other (RW = 1 250  %)



 








C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)










Rows




ID




Item




Amount





010



1




CET1 Capital ratio



 




020



2




Surplus(+)/Deficit(-) of CET1 capital



 




030



3




T1 Capital ratio



 




040



4




Surplus(+)/Deficit(-) of T1 capital



 




050



5




Total capital ratio



 




060



6




Surplus(+)/Deficit(-) of total capital



 





Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G)





130



13




Total SREP capital requirement (TSCR) ratio



 




140



13*




TSCR: to be made up of CET1 capital



 




150



13**




TSCR: to be made up of Tier 1 capital



 




160



14




Overall capital requirement (OCR) ratio



 




170



14*




OCR: to be made up of CET1 capital



 




180



14**




OCR: to be made up of Tier 1 capital



 




190



15




OCR and Pillar 2 Guidance (P2G)



 




200



15*




OCR and P2G: to be made up of CET1 capital



 




210



15**




OCR and P2G: to be made up of Tier 1 capital



 








C 04.00 - MEMORANDUM ITEMS (CA4)










Row




ID




Item




Column






Deferred tax assest and liabilities



010




010


1



Total deferred tax assets



 




020


1.1


Deferred tax assets that do not rely on future profitability


 




030


1.2


Deferred tax assets that rely on future profitability and do not arise from temporary differences


 




040


1.3


Deferred tax assets that rely on future profitability and arise from temporary differences


 




050


2



Total deferred tax liabilities



 




060


2.1


Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability


 




070


2.2


Deferred tax liabilities deductible from deferred tax assets that rely on future profitability


 




080


2.2.1


Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences


 




090


2.2.2


Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences


 




093


2A



Tax overpayments and tax loss carry backs



 




096


2B



Deferred Tax Assets subject to a risk weight of 250 %



 




097


2C



Deferred Tax Assets subject to a risk weight of 0 %



 





Credit risk adjustments and expected losses





100


3



IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures



 




110


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


 




120


3.1.1


General credit risk adjustments


 




130


3.1.2


Specific credit risk adjustments


 




131


3.1.3


Additional value adjustments and other own funds reductions


 




140


3.2


Total expected losses eligible


 




145


4



IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures



 




150


4.1


Specific credit risk adjustments and positions treated similarily


 




155


4.2


Total expected losses eligible


 




160


5



Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2



 




170


6



Total gross provisions eligible for inclusion in T2 capital



 




180


7



Risk weighted exposure amounts for calculating the cap to the provision eligible as T2



 





Thresholds for Common Equity Tier 1 deductions





190


8



Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment



 




200


9



10 % CET1 threshold



 




210


10



17.65 % CET1 threshold



 




225


11.1



Eligible capital for the purposes of qualifying holdings outside the financial sector



 




226


11.2



Eligible capital for the purposes of large exposures



 





Investments in the capital of financial sector entities where the institution does not have a significant investment





230


12



Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions



 




240


12.1


Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment


 




250


12.1.1


Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment


 




260


12.1.2


(-) Permitted offsetting short positions in relation to the direct gross holdings included above


 




270


12.2


Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment


 




280


12.2.1


Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment


 




290


12.2.2


(-) Permitted offsetting short positions in relation to the indirect gross holdings included above


 




291


12.3


Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment


 




292


12.3.1


Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment


 




293


12.3.2


(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above


 




300


13



Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions



 




310


13.1


Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment


 




320


13.1.1


Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment


 




330


13.1.2


(-) Permitted offsetting short positions in relation to the direct gross holdings included above


 




340


13.2


Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment


 




350


13.2.1


Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment


 




360


13.2.2


(-) Permitted offsetting short positions in relation to the indirect gross holdings included above


 




361


13.3


Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment


 




362


13.3.1


Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment


 




363


13.3.2


(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above


 




370


14



Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions



 




380


14.1


Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment


 




390


14.1.1


Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment


 




400


14.1.2


(-) Permitted offsetting short positions in relation to the direct gross holdings included above


 




410


14.2


Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment


 




420


14.2.1


Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment


 




430


14.2.2


(-) Permitted offsetting short positions in relation to the indirect gross holdings included above


 




431


14.3


Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment


 




432


14.3.1


Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment


 




433


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





440


15



Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions



 




450


15.1


Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment


 




460


15.1.1


Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment


 




470


15.1.2


(-) Permitted offsetting short positions in relation to the direct gross holdings included above


 




480


15.2


Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment


 




490


15.2.1


Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment


 




500


15.2.2


(-) Permitted offsetting short positions in relation to the indirect gross holdings included above


 




501


15.3


Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment


 




502


15.3.1


Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment


 




503


15.3.2


(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above


 




510


16



Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions



 




520


16.1


Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment


 




530


16.1.1


Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment


 




540


16.1.2


(-) Permitted offsetting short positions in relation to the direct gross holdings included above


 




550


16.2


Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment


 




560


16.2.1


Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment


 




570


16.2.2


(-) Permitted offsetting short positions in relation to the indirect gross holdings included above


 




571


16.3


Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment


 




572


16.3.1


Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment


 




573


16.3.2


(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above


 




580


17



Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions



 




590


17.1


Direct holdings of T2 capital of financial sector entities where the institution has a significant investment


 




600


17.1.1


Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment


 




610


17.1.2


(-) Permitted offsetting short positions in relation to the direct gross holdings included above


 




620


17.2


Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment


 




630


17.2.1


Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment


 




640


17.2.2


(-) Permitted offsetting short positions in relation to the indirect gross holdings included above


 




641


17.3


Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment


 




642


17.3.1


Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment


 




643


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:





650


18



Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital



 




660


19



Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital



 




670


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





680


21



Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived



 




690


22



Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investmenttemporary waived



 




700


23



Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived



 




710


24



Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investmenttemporary waived



 




720


25



Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investmenttemporary waived



 




730


26



Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived



 





Capital buffers





740


27



Combined buffer requirement



 




750


 



Capital conservation buffer



 




760


 



Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State



 




770


 



Institution specific countercyclical capital buffer



 




780


 



Systemic risk buffer



 




800


 



Global Systemically Important Institution buffer



 




810


 



Other Systemically Important Institution buffer



 





Pillar II requirements





820


28



Own funds requirements related to Pillar II adjustments



 





Additional information for investment firms





830


29



Initial capital



 




840


30



Own funds based on Fixed Overheads



 





Additional information for calculation of reporting thresholds





850


31



Non-domestic original exposures



 




860


32



Total original exposures



 





Basel I floor





870


 



Adjustments to total own funds



 




880


 



Own funds fully adjusted for Basel I floor



 




890


 



Own funds requirements for Basel I floor



 




900


 



Own funds requirements for Basel I floor - SA alternative



 




910


 



Deficit of total capital as regards the minimum own funds requirements of the Basel I floor



 








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 transitional provisions






Code




ID




Item



010


020


030


040


050


060




010


1



TOTAL ADJUSTMENTS



 


 


 


 


 


 




020


1.1



GRANDFATHERED INSTRUMENTS



link to {CA1;r220}


link to {CA1;r660}


link to {CA1;r880}


 


 


 




030


1.1.1



Grandfathered instruments: Instruments constituting state aid



 


 


 


 


 


 




040


1.1.1.1


Instruments that qualified as own funds according to 2006/48/EC


 


 


 


 


 


 




050


1.1.1.2


Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme


 


 


 


 


 


 




060


1.1.2



Instruments not constituting state aid



link to {CA5.2;r010;c060}


link to {CA5.2;r020;c060}


link to {CA5.2;r090;c060}


 


 


 




070


1.2



MINORITY INTERESTS AND EQUIVALENTS



link to {CA1;r240}


link to {CA1;r680}


link to {CA1;r900}


 


 


 




080


1.2.1



Capital instruments and items that do not qualify as minority interests



 


 


 


 


 


 




090


1.2.2



Transitional recognition in consolidated own funds of minority interests



 


 


 


 


 


 




091


1.2.3


Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital


 


 


 


 


 


 




092


1.2.4


Transitional recognition in consolidated own funds of qualifying Tier 2 capital


 


 


 


 


 


 




100


1.3



OTHER TRANSITIONAL ADJUSTMENTS



link to {CA1;r520}


link to {CA1;r730}


link to {CA1;r960}


 


 


 




110


1.3.1



Unrealised gains and losses



 


 


 


 


 


 




120


1.3.1.1


Unrealised gains


 


 


 


 


 


 




130


1.3.1.2


Unrealised losses


 


 


 


 


 


 




133


1.3.1.3.


Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39


 


 


 


 


 


 




136


1.3.1.4.


Unrealised loss on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39


 


 


 


 


 


 




138


1.3.1.5.


Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities


 


 


 


 


 


 




140


1.3.2



Deductions



 


 


 


 


 


 




150


1.3.2.1


Losses for the current financial year


 


 


 


 


 


 




160


1.3.2.2


Intangible assets


 


 


 


 


 


 




170


1.3.2.3


Deferred tax assets that rely on future profitability and do not arise from temporary differences


 


 


 


 


 


 




180


1.3.2.4


IRB shortfall of provisions to expected losses


 


 


 


 


 


 




190


1.3.2.5


Defined benefit pension fund assets


 


 


 


 


 


 




194


1.3.2.5*


of which: Introduction of amendments to IAS 19 - positive item


 


 


 


 


 


 




198


1.3.2.5**


of which: Introduction of amendments to IAS 19 - negative item


 


 


 


 


 


 




200


1.3.2.6


Own instruments


 


 


 


 


 


 




210


1.3.2.6.1


Own CET1 instruments


 


 


 


 


 


 




211


1.3.2.6.1**


of which: Direct holdings


 


 


 


 


 


 




212


1.3.2.6.1*


of which: Indirect holdings


 


 


 


 


 


 




220


1.3.2.6.2


Own AT1 instruments


 


 


 


 


 


 




221


1.3.2.6.2**


of which: Direct holdings


 


 


 


 


 


 




222


1.3.2.6.2*


of which: Indirect holdings


 


 


 


 


 


 




230


1.3.2.6.3


Own T2 instruments


 


 


 


 


 


 




231


1.3.2.6.3*


of which: Direct holdings


 


 


 


 


 


 




232


1.3.2.6.3**


of which: Indirect holdings


 


 


 


 


 


 




240


1.3.2.7


Reciprocal cross holdings


 


 


 


 


 


 




250


1.3.2.7.1


Reciprocal cross holdings in CET1 Capital


 


 


 


 


 


 




260


1.3.2.7.1.1


Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment


 


 


 


 


 


 




270


1.3.2.7.1.2


Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment


 


 


 


 


 


 




280


1.3.2.7.2


Reciprocal cross holdings in AT1 Capital


 


 


 


 


 


 




290


1.3.2.7.2.1


Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment


 


 


 


 


 


 




300


1.3.2.7.2.2


Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment


 


 


 


 


 


 




310


1.3.2.7.3


Reciprocal cross holdings in T2 Capital


 


 


 


 


 


 




320


1.3.2.7.3.1


Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment


 


 


 


 


 


 




330


1.3.2.7.3.2


Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment


 


 


 


 


 


 




340


1.3.2.8


Own funds instruments of financial sector entities where the institution does not have a significant investment


 


 


 


 


 


 




350


1.3.2.8.1


CET1 instruments of financial sector entities where the institution does not have a significant investment


 


 


 


 


 


 




360


1.3.2.8.2


AT1 instruments of financial sector entities where the institution does not have a significant investment


 


 


 


 


 


 




370


1.3.2.8.3


T2 instruments of financial sector entities where the institution does not have a significant investment


 


 


 


 


 


 




380


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


 


 


 


 


 


 




385


1.3.2.9a


Deferred tax assets that are dependent on future profitability and arise from temporary differences


 


 


 


 


 


 




390


1.3.2.10


Own funds instruments of financial sector entities where the institution has a significant investment


 


 


 


 


 


 




400


1.3.2.10.1


CET1 instruments of financial sector entities where the institution has a significant investment


 


 


 


 


 


 




410


1.3.2.10.2


AT1 instruments of financial sector entities where the institution has a significant investment


 


 


 


 


 


 




420


1.3.2.10.3


T2 instruments of financial sector entities where the institution has a significant investment


 


 


 


 


 


 




425


1.3.2.11


Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items


 


 


 


 


 


 




430


1.3.3



Additional filters and deductions



 


 


 


 


 


 




440


1.3.4



Adjustments due to IFRS 9 transitional arrangements



 


 


 


 


 


 








C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)















CA 5.2 Grandfathered instruments: Instruments not constituting State aid




Amount of instruments plus related share premium




Base for calculating the limit




Applicable percentage




Limit




(-) Amount that exceeds the limits for grandfathering




Total grandfathered amount






Code




ID




Item



010


020


030


040


050


060




010


1.



Instruments that qualified for point a) of Article 57 of 2006/48/EC



 


 


 


 


 


link to {CA5.1;r060;c010)




020


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



 


 


 


 


 


link to {CA5.1;r060;c020)




030


2.1


Total instruments without a call or an incentive to redeem


 


 


 


 


 


 




040


2.2.


Grandfathered instruments with a call and incentive to redeem


 


 


 


 


 


 




050


2.2.1


Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity


 


 


 


 


 


 




060


2.2.2


Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity


 


 


 


 


 


 




070


2.2.3


Instruments with a call exercisable prior toor on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity


 


 


 


 


 


 




080


2.3


Excess on the limit of CET1 grandfathered instruments


 


 


 


 


 


 




090


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



 


 


 


 


 


link to {CA5.1;r060;c030)




100


3.1


Total itemswithout an incentive to redeem


 


 


 


 


 


 




110


3.2


Grandfathered items with an incentive to redeem


 


 


 


 


 


 




120


3.2.1


Itemswith a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity


 


 


 


 


 


 




130


3.2.2


Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity


 


 


 


 


 


 




140


3.2.3


Items with a call exercisable prior toor on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity


 


 


 


 


 


 




150


3.3


Excess on the limit of AT1 grandfathered instruments


 


 


 


 


 


 








C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL)






























 



INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP




CAPITAL BUFFERS






TOTAL RISK EXPOSURE AMOUNT



 



QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS



 



CONSOLIDATED OWN FUNDS



 



COMBINED BUFFER REQUIREMENTS



 





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



 



QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED 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




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






MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL




QUALIFYINGTIER 1 INSTRUMENTSINCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL





250


260


270


280


290


300


310


320


330


340


350


360


370


380


390


400


410


420


430


440


450


470


480




010


TOTAL


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 06.02 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)























































ENTITIES WITHIN SCOPE OF CONSOLIDATION




INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS




INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP




CAPITAL BUFFERS






NAME




CODE




LEI 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 (%)




TOTAL RISK EXPOSURE AMOUNT



 



OWN FUNDS



 


 



TOTAL RISK EXPOSURE AMOUNT



 



QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS



 



CONSOLIDATED OWN FUNDS



 



COMBINED BUFFER REQUIREMENT



 





CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK




POSITION, FX AND COMMODITIES RISKS




OPERATIONAL RISK




OTHER RISK EXPOSURE AMOUNTS



 



TOTAL TIER 1 CAPITAL



 


 



TIER 2 CAPITAL



 



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



 



QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED 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




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





 



COMMON EQUITY TIER 1 CAPITAL



 



ADDITIONAL TIER 1 CAPITAL



 



MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL




QUALIFYINGTIER 1 INSTRUMENTSINCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL







OF WHICH: QUALIFYING OWN FUNDS






RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS






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






010


020


025


030


035


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180


190


200


210


220


230


240


250


260


270


280


290


300


310


320


330


340


350


360


370


380


390


400


410


420


430


440


450


470


480




 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








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




NET EXPOSURE AFTER CRM SUBSTITUTION 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




EXPOSURE VALUE



 



RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR




RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR



 





UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)




FUNDED CREDIT PROTECTION




SUBSTITUTION OF THE EXPOSURE DUE TO CRM




VOLATILITY ADJUSTMENT TO THE EXPOSURE




(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)




0 %




20 %




50 %




100 %




OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK




OF WHICH:WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI




OF WHICH:WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT






(-) GUARANTEES




(-) CREDIT DERIVATIVES




(-) FINANCIAL COLLATERAL: SIMPLE METHOD




(-) OTHER FUNDED CREDIT PROTECTION




(-) TOTAL OUTFLOWS




TOTAL INFLOWS (+)



 



(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS





010


030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180


190


200


210


215


220


230


240




010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to CA


 


 




015



of which: Defaulted exposures



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




020



of which: SME



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




030



of which: Exposures subject to SME-supporting factor



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




040



of which: Secured by mortgages on immovable property - Residential property



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




050



of which: Exposures under the permanent partial use of the standardised approach



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




060



of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:





070



On balance sheet exposures subject to credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




080



Off balance sheet exposures subject to credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



Exposures / Transactions subject to counterparty credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




090



Securities Financing Transactions



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




100



of which: centrally cleared through a QCCP



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




110



Derivatives & Long Settlement Transactions



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




120



of which: centrally cleared through a QCCP



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




130



From Contractual Cross Product Netting



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:





140



0 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




150



2 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




160



4 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




170



10 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




180



20 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




190



35 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




200



50 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




210



70 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




220



75 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




230



100 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




240



150 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




250



250 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




260



370 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




270



1250 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




280



Other risk weights



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





MEMORANDUM ITEMS





290



Exposures secured by mortgages on commercial immovable property



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




300



Exposures in default subject to a risk weight of 100 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




310



Exposures secured by mortgages on residential property



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




320



Exposures in default subject to a risk weight of 150 %



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








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 SYSTEM




ORIGINAL EXPOSURE PRE CONVERSION FACTORS




CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE




EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS



 



EXPOSURE VALUE



 



CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT




SUBJECT TO DOUBLE DEFAULT TREATMENT




EXPOSURE WEIGHTED AVERAGE LGD (%)




EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGEFINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES




EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)




RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR




RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR




MEMORANDUM ITEMS:






UNFUNDED CREDIT PROTECTION




(-) OTHER FUNDED CREDIT PROTECTION




SUBSTITUTION OF THE EXPOSURE DUE TO CRM




OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION




FUNDED CREDIT PROTECTION




UNFUNDED CREDIT PROTECTION




EXPECTED LOSS AMOUNT




(-) VALUE ADJUSTMENTS AND PROVISIONS




NUMBER OF OBLIGORS






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 (+)




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




GUARANTEES




CREDIT DERIVATIVES




OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION




ELIGIBLE FINANCIAL COLLATERAL




OTHER ELIGIBLE COLLATERAL



 



OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES






REAL ESTATE




OTHER PHYSICAL COLLATERAL




RECEIVABLES





010


020


030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180


190


200


210


220


230


240


250


255


260


270


280


290


300




010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to CA


 


 


 


 




015



of which: Exposures subject to SME-supporting factor



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:





020



On balance sheet items subject to credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




030



Off balance sheet items subject to credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



Exposures / Transactions subject to counterparty credit risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




040



Securities Financing Transactions



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




050



Derivatives & Long Settlement Transactions



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




060



From Contractual Cross Product Netting



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




070



EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




080



SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:





090



RISK WEIGHT: 0%



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




100



50%



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




110



70%



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




120



Of which: in category 1



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




130



90%



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




140



115%



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




150



250%



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




160



ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




170



EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




180



DILUTION RISK: TOTAL PURCHASED RECEIVABLES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








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 SYSTEM




ORIGINAL EXPOSURE PRE CONVERSION FACTORS




CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE




EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS



 



EXPOSURE VALUE



 



CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT




SUBJECT TO DOUBLE DEFAULT TREATMENT




EXPOSURE WEIGHTED AVERAGE LGD (%)




EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGEFINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES




EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)




RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR




RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR




MEMORANDUM ITEMS:






UNFUNDED CREDIT PROTECTION



(-) OTHER FUNDED CREDIT PROTECTION




SUBSTITUTION OF THE EXPOSURE DUE TO CRM




OWN ESTIMATES OF LGD'S ARE USED:UNFUNDED CREDIT PROTECTION




FUNDED CREDIT PROTECTION




UNFUNDED CREDIT PROTECTION




EXPECTED LOSS AMOUNT



(-) VALUE ADJUSTMENTS AND PROVISIONS




NUMBER OF OBLIGORS






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 (+)




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




GUARANTEES




CREDIT DERIVATIVES




OWN ESTIMATES OF LGD'S ARE USED:OTHER FUNDED CREDIT PROTECTION




ELIGIBLE FINANCIAL COLLATERAL




OTHER ELIGIBLE COLLATERAL



 



OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES






REAL ESTATE




OTHER PHYSICAL COLLATERAL




RECEIVABLES





005


010


020


030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180


190


200


210


220


230


240


250


255


260


270


280


290


300




 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








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




Credit risk adjustments/write-offs for observed new defaults




EXPOSURE VALUE




RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR




RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR





 



Defaulted exposures





010


020


040


050


055


060


070


075


080


090




010


Central governments or central banks


 


 


 


 


 


 


 


 


 


 




020


Regional governments or local authorities


 


 


 


 


 


 


 


 


 


 




030


Public sector entities


 


 


 


 


 


 


 


 


 


 




040


Multilateral Development Banks


 


 


 


 


 


 


 


 


 


 




050


International Organisations


 


 


 


 


 


 


 


 


 


 




060


Institutions


 


 


 


 


 


 


 


 


 


 




070


Corporates


 


 


 


 


 


 


 


 


 


 




075


of which: SME


 


 


 


 


 


 


 


 


 


 




080


Retail


 


 


 


 


 


 


 


 


 


 




085


of which: SME


 


 


 


 


 


 


 


 


 


 




090


Secured by mortgages on immovable property


 


 


 


 


 


 


 


 


 


 




095


of which: SME


 


 


 


 


 


 


 


 


 


 




100


Exposures in default


 


 


 


 


 


 


 


 


 


 




110


Items associated with particularly high risk


 


 


 


 


 


 


 


 


 


 




120


Covered bonds


 


 


 


 


 


 


 


 


 


 




130


Claims on institutions and corporates with a short-term credit assessment


 


 


 


 


 


 


 


 


 


 




140


Collective investments undertakings (CIU)


 


 


 


 


 


 


 


 


 


 




150


Equity exposures


 


 


 


 


 


 


 


 


 


 




160


Other exposures


 


 


 


 


 


 


 


 


 


 




170



Total exposures



 


 


 


 


 


 


 


 


 


 








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(%)




EXPOSURE WEIGHTED AVERAGE LGD (%)




EXPOSURE VALUE




RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR




RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR




EXPECTED LOSS AMOUNT





 



Of which: defaulted



 



Of which: defaulted



 



Of which: defaulted





010


030


040


050


055


060


070


080


090


100


105


110


120


125


130




010


Central governments or central banks


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




020


Institutions


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




030


Corporates


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




042


Of Which: Specialised Lending(excl. SL subject to slotting criteria)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




045


Of Which: Specialised Lendingsubject to slotting criteria


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




050


Of Which: SME


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




060


Retail


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




070


Secured by real estate property


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




080


SME


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




090


Non-SME


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




100


Qualifying Revolving


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




110


Other Retail


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




120


SME


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




130


Non-SME


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




140


Equity


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




150



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





010


020


030





Relevant credit exposures - Credit Risk



 




010


Exposure value under the Standardised Approach


 


 


 




020


Exposure value under the IRB Approach


 


 


 





Relevant credit exposures – Market risk



 




030


Sum of long and short positions of trading book exposures for standardised approaches


 


 


 




040


Value of trading book exposures for internal models


 


 


 





Relevant credit exposures – Securitisation



 




050


Exposure value of securitisation positions in the banking book under the Standardised Approach


 


 


 




060


Exposure value of securitisation positions in the banking book under the IRB Approach


 


 


 





Own funds requirements and weights



 




070


Total own funds requirements for CCB


 


 


 




080


Own funds requirements for relevant credit exposures – Credit risk


 


 


 




090


Own funds requirements for relevant credit exposures – Market risk


 


 


 




100


Own funds requirements for relevant credit exposures – Securitisation positions in the banking book


 


 


 




110


Own funds requirements weights


 


 


 





Countercyclical capital buffer rates



 




120


Countercyclical capital buffer rate set by the Designated Authority


 


 


 




130


Countercyclical capital buffer rate applicable for the country of the institution


 


 


 




140


Institution-specific countercyclical capital buffer rate


 


 


 





Use of 2 % threshold



 




150


Use of 2 % threshold for general credit exposure


 


 


 




160


Use of 2 % threshold for trading book exposure


 


 


 








C 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)
















 



INTERNAL RATING SYSTEM




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





010


020


030


040


050


060


070


080


090




010



TOTAL IRB EQUITY EXPOSURES



 


 


 


 


 


 


 


Cell linked to CA


 




020



PD/LGD APRROACH: TOTAL



 


 


 


 


 


 


 


 


 




050



SIMPLE RISK WEIGHT APPROACH: TOTAL



 


 


 


 


 


 


 


 


 




060



BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:





070


RISK WEIGHT: 190%


 


 


 


 


 


 


 


 


 




080


290 %


 


 


 


 


 


 


 


 


 




090


370 %


 


 


 


 


 


 


 


 


 




100



INTERNAL MODELS APPROACH



 


 


 


 


 


 


 


 


 




110



EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS



 


 


 


 


 


 


 


 


 








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 SYSTEM




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





005


010


020


030


040


050


060


070


080


090




 


 


 


 


 


 


 


 


 


 








C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)











 



UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE




PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS




OWN FUNDS REQUIREMENTS




TOTAL SETTLEMENT RISK EXPOSURE AMOUNT





010


020


030


040




010



Total unsettled transactions in the Non-trading Book



 


 


 


Cell linked to CA




020


Transactions unsettled up to 4 days (Factor 0%)


 


 


 


 




030


Transactions unsettled between 5 and 15 days (Factor 8%)


 


 


 


 




040


Transactions unsettled between 16 and 30 days (Factor 50%)


 


 


 


 




050


Transactions unsettled between 31 and 45 days (Factor 75%)


 


 


 


 




060


Transactions unsettled for 46 days or more (Factor 100%)


 


 


 


 




070



Total unsettled transactions in the Trading Book



 


 


 


Cell linked to CA




080


Transactions unsettled up to 4 days (Factor 0%)


 


 


 


 




090


Transactions unsettled between 5 and 15 days (Factor 8%)


 


 


 


 




100


Transactions unsettled between 16 and 30 days (Factor 50%)


 


 


 


 




110


Transactions unsettled between 31 and 45 days (Factor 75%)


 


 


 


 




120


Transactions unsettled for 46 days or more (Factor 100%)


 


 


 


 








C 12.00 - CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)














































 



TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED




SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES




SECURITISATION POSITIONS




(-) VALUE ADJUSTMENTS AND PROVISIONS




EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS




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 COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)




FULLY ADJUSTED EXPOSURE VALUE (E*)




BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS




EXPOSURE VALUE



 



BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS




BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS




RISK-WEIGHTED EXPOSURE AMOUNT




OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS




ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES




TOTAL RISK-WEIGHTED EXPOSURE AMOUNT




MEMORANDUM ITEM:


RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES






(-) FUNDED CREDIT PROTECTION (Cva)




(-) TOTAL OUTFLOWS




NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION




ORIGINAL EXPOSURE PRE CONVERSION FACTORS




(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)




(-) FUNDED CREDIT PROTECTION




SUBSTITUTION OF THE EXPOSURE DUE TO CRM




0%




>0% and <=20%




>20% and <=50%




>50% and <=100%




(-) DEDUCTED FROM OWN FUNDS




SUBJECT TO RISK WEIGHTS




RATED


(CREDIT QUALITY STEPS)




1 250 %




LOOK-THROUGH




INTERNAL ASSESMENT APPROACH






(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)




(-) TOTAL OUTFLOWS




TOTAL INFLOWS




CQS 1




CQS 2




CQS 3




CQS 4




ALL OTHER CQS




UNRATED



 



OF WHICH: SECOND LOSS IN ABCP




OF WHICH: AVERAGE RISK WEIGHT (%)



 



AVERAGE RISK WEIGHT (%)



 



OF WHICH: SYNTHETIC SECURITISATIONS




BEFORE CAP




AFTER CAP





010


020


030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180


190


200


210


220


230


240


250


260


270


280


290


300


310


320


330


340


350


360


370


380


390




010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to CA


 




020


OF WHICH: RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to CA


 




030



ORIGINATOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




040


ON-BALANCE SHEET ITEMS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




050


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




060


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




070


OFF-BALANCESHEET ITEMS AND DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




080


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




090


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




100


EARLY AMORTISATION


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




110



INVESTOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




120


ON-BALANCE SHEET ITEMS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




130


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




140


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




150


OFF-BALANCESHEET ITEMS AND DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




160


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




170


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




180



SPONSOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




190


ON-BALANCE SHEET ITEMS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




200


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




210


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




220


OFF-BALANCESHEET ITEMS AND DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




230


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




240


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:





250


CQS 1


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




260


CQS 2


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




270


CQS 3


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




280


CQS 4


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




290


ALL OTHER CQS AND UNRATED


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 13.00 - CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)






















































 



TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED




SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES




SECURITISATION POSITIONS




CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE




EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS




(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)




FULLY ADJUSTED EXPOSURE VALUE (E*)




BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS




EXPOSURE VALUE



 



BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS




(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS




RISK-WEIGHTED EXPOSURE AMOUNT




OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS




ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES




TOTAL RISK-WEIGHTED EXPOSURE AMOUNT




MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES






(-) FUNDED CREDIT PROTECTION (Cva)




(-) TOTAL OUTFLOWS




NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION




ORIGINAL EXPOSURE PRE CONVERSION FACTORS




(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)




(-) FUNDED CREDIT PROTECTION




SUBSTITUTION OF THE EXPOSURE DUE TO CRM




0%




>0% and <=20%




>20% and <=50%




>50% and <=100%




(-) DEDUCTED FROM OWN FUNDS




SUBJECT TO RISK WEIGHTS




RATINGS BASED METHOD(CREDIT QUALITY STEPS)




1 250 %




SUPERVISORY FORMULA METHOD




LOOK-THROUGH




INTERNAL ASSESSMENT APPROACH






(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)




(-) TOTAL OUTFLOWS




TOTAL INFLOWS




CQS 1 & S/T CQS 1




CQS 2




CQS 3




CQS 4 & S/T CQS 2




CQS 5




CQS 6




CQS 7 & S/T CQS 3




CQS 8




CQS 9




CQS 10




CQS 11




ALL OTHER CQS




UNRATED



 



AVERAGE RISK WEIGHT (%)



 



AVERAGE RISK WEIGHT (%)



 



AVERAGE RISK WEIGHT (%)



 



OF WHICH: SYNTHETIC SECURITISATIONS




BEFORE CAP




AFTER CAP





010


020


030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180


190


200


210


220


230


240


250


260


270


280


290


300


310


320


330


340


350


360


370


380


390


400


410


420


430


440


450


460




010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to CA


 




020


OF WHICH: RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to CA


 




030



ORIGINATOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




040


ON-BALANCE SHEET ITEMS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




050


SECURITISATIONS


A


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




060


B


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




070


C


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




080


RE-SECURITISATIONS


D


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




090


E


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




100


OFF-BALANCE SHEET ITEMS AND DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




110


SECURITISATIONS


A


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




120


B


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




130


C


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




140


RE-SECURITISATIONS


D


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




150


E


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




160


EARLY AMORTISATION


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




170



INVESTOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




180


ON-BALANCE SHEET ITEMS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




190


SECURITISATIONS


A


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




200


B


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




210


C


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




220


RE-SECURITISATIONS


D


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




230


E


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




240


OFF-BALANCE SHEET ITEMS AND DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




250


SECURITISATIONS


A


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




260


B


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




270


C


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




280


RE-SECURITISATIONS


D


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




290


E


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




300



SPONSOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




310


ON-BALANCE SHEET ITEMS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




320


SECURITISATIONS


A


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




330


B


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




340


C


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




350


RE-SECURITISATIONS


D


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




360


E


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




370


OFF-BALANCE SHEET ITEMS AND DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




380


SECURITISATIONS


A


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




390


B


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




400


C


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




410


RE-SECURITISATIONS


D


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




420


E


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:





430


CQS 1 & S/T CQS 1


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




440


CQS 2


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




450


CQS 3


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




460


CQS 4 & S/T CQS 2


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




470


CQS 5


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




480


CQS 6


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




490


CQS 7 & S/T CQS 3


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




500


CQS 8


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




510


CQS 9


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




520


CQS 10


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




530


CQS 11


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




540


ALL OTHER CQS AND UNRATED


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)


























































ROW NUMBER




INTERNAL CODE




IDENTIFIER OF THE SECURITISATION




IDENTIFIER OF THE ORIGINATOR




SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC)




ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet?




SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ?




SECURITISATION OR RE-SECURITISATION?




STS SECURITISATION




RETENTION




ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)




NON ABCP PROGRAMMES



 



SECURITISED EXPOSURES




SECURITISATION STRUCTURE




SECURITISATION POSITIONS




(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS




TOTAL RISK-WEIGHTED EXPOSURE AMOUNT




APPROACH




STS SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT




SECURITISATION POSITIONS - TRADING BOOK






TYPE OF RETENTION APPLIED




% OF RETENTION AT REPORTING DATE




COMPLIANCE WITH THE RETENTION REQUIREMENT?




ORIGINATION DATE




TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE




TOTAL AMOUNT




INSTITUTION'S SHARE (%)




TYPE




APPROACH APPLIED (SA/IRB/MIX)




NUMBER OF EXPOSURES




COUNTRY




ELGD (%)




(-) VALUE ADJUSTMENTS AND PROVISIONS




OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)




ON-BALANCE SHEET ITEMS




OFF-BALANCE SHEET ITEMS AND DERIVATIVES




MATURITY




ORIGINAL EXPOSURE PRE-CONVERSION FACTORS




MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES




EARLY AMORTISATION




CTP OR NON-CTP?




NET POSITIONS




TOTAL OWN FUNDS REQUIREMENTS (SA)






SENIOR




MEZZANINE




FIRST LOSS




SENIOR




MEZZANINE




FIRST LOSS




FIRST FORESEEABLE TERMINATION DATE




LEGAL FINAL MATURITY DATE




ON-BALANCE SHEET ITEMS




OFF-BALANCE SHEET ITEMS AND DERIVATIVES




DIRECT CREDIT SUBSTITUTES




IRS / CRS




ELIGIBLE LIQUIDITY FACILITIES




OTHER (including non-eligible LF)




CONVERSION FACTOR APPLIED






SENIOR




MEZZANINE




FIRST LOSS




SENIOR




MEZZANINE




FIRST LOSS




BEFORE CAP




AFTER CAP






LONG




SHORT




SPECIFIC RISK





005


010


020


030


040


050


060


070


075


080


090


100


110


120


130


140


150


160


170


180


190


200


210


220


230


240


250


260


270


280


290


300


310


320


330


340


350


360


370


380


390


400


410


420


430


440


445


446


450


460


470


480




 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 16.00 - OPERATIONAL RISK (OPR)





















BANKING ACTIVITIES




RELEVANT INDICATOR




LOANS AND ADVANCES (IN CASE OF ASA APPLICATION)




OWN FUNDSREQUIREMENT




Total operational risk exposure amount




AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE






YEAR-3




YEAR-2




LAST YEAR




YEAR-3




YEAR-2




LAST YEAR




OF WHICH: DUE TO AN ALLOCATION MECHANISM




OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES




(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES




(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION




(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)






010




020




030




040




050




060




070




071




080




090




100




110




120





010









1.



BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)






 


 


 


 


 


 


 


Cell linked to CA2


 


 


 


 


 




020









2.



BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES






 


 


 


 


 


 


 


Cell linked to CA2


 


 


 


 


 




 




SUBJECT TO TSA:




 


 


 


 


 


 


 


 


 


 


 


 


 




030


CORPORATE FINANCE (CF)


 


 


 


 


 


 


 


 


 


 


 


 


 




040


TRADING AND SALES (TS)


 


 


 


 


 


 


 


 


 


 


 


 


 




050


RETAIL BROKERAGE (RBr)


 


 


 


 


 


 


 


 


 


 


 


 


 




060


COMMERCIAL BANKING (CB)


 


 


 


 


 


 


 


 


 


 


 


 


 




070


RETAIL BANKING (RB)


 


 


 


 


 


 


 


 


 


 


 


 


 




080


PAYMENT AND SETTLEMENT (PS)


 


 


 


 


 


 


 


 


 


 


 


 


 




090


AGENCY SERVICES (AS)


 


 


 


 


 


 


 


 


 


 


 


 


 




100


ASSET MANAGEMENT (AM)


 


 


 


 


 


 


 


 


 


 


 


 


 




 




SUBJECT TO ASA:




 


 


 


 


 


 


 


 


 


 


 


 


 




110


COMMERCIAL BANKING (CB)


 


 


 


 


 


 


 


 


 


 


 


 


 




120


RETAIL BANKING (RB)


 


 


 


 


 


 


 


 


 


 


 


 


 




130








3.


BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA






 


 


 


 


 


 


 


Cell linked to CA2


 


 


 


 


 








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




EXTERNAL FRAUD




EMPLOYMENT PRACTICES AND WORKPLACE SAFETY




CLIENTS, PRODUCTS & BUSINESS PRACTICES




DAMAGE TO PHYSICAL ASSETS




BUSINESS DISRUPTION AND SYSTEM FAILURES




EXECUTION, DELIVERY & PROCESS MANAGEMENT




LOWEST




HIGHEST





Rows


 


010


020


030


040


050


060


070


080


090


100




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


 


 


 


 


 


 


 


 


 


 




0110



TRADINGAND 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


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 




0410



RETAILBANKING[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


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 




0610



AGENCYSERVICES[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


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 




0910



TOTALBUSINESSLINES



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


 


 


 


 


 


 


 


 


 


 




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 (-)


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 








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




Legal Entity name




Legal Entity ID




Business Unit




Description






Corporate Finance[CF]




Trading and Sales[TS]




Retail Brokerage [RBr]




Commercial Banking[CB]




Retail Banking[RB]




Payment and Settlement [PS]




Agency Services[AS]




Asset Management [AM]




Corporate Items[CI]





Rows


0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180


0190


0200




…


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)


Currency:














 



POSITIONS




OWN FUNDS REQUIREMENTS




TOTAL RISK EXPOSURE AMOUNT






ALL POSITIONS




NET POSITIONS




POSITIONS SUBJECT TO CAPITAL CHARGE






LONG




SHORT




LONG




SHORT





010


020


030


040


050


060


070




010



TRADED DEBT INSTRUMENTS IN TRADING BOOK



 


 


 


 


 


 


Cell linked to CA2




011



General risk



 


 


 


 


 


 


 




012


Derivatives


 


 


 


 


 


 


 




013


Other assets and liabilities


 


 


 


 


 


 


 




020


Maturity-based approach


 


 


 


 


 


 


 




030


Zone 1


 


 


 


 


 


 


 




040


0 ≤ 1 month


 


 


 


 


 


 


 




050


> 1 ≤ 3 months


 


 


 


 


 


 


 




060


> 3 ≤ 6 months


 


 


 


 


 


 


 




070


> 6 ≤ 12 months


 


 


 


 


 


 


 




080


Zone 2


 


 


 


 


 


 


 




090


> 1 ≤ 2 (1,9 for cupon of less than 3%) years


 


 


 


 


 


 


 




100


> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years


 


 


 


 


 


 


 




110


> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years


 


 


 


 


 


 


 




120


Zone 3


 


 


 


 


 


 


 




130


> 4 ≤ 5(> 3,6 ≤ 4,3 for cupon of less than 3%) years


 


 


 


 


 


 


 




140


> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years


 


 


 


 


 


 


 




150


> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years


 


 


 


 


 


 


 




160


> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years


 


 


 


 


 


 


 




170


> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years


 


 


 


 


 


 


 




180


> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years


 


 


 


 


 


 


 




190


(> 12,0 ≤ 20,0 for cupon of less than 3%) years


 


 


 


 


 


 


 




200


(> 20 for cupon of less than 3%) years


 


 


 


 


 


 


 




210


Duration-based approach


 


 


 


 


 


 


 




220


Zone 1


 


 


 


 


 


 


 




230


Zone 2


 


 


 


 


 


 


 




240


Zone 3


 


 


 


 


 


 


 




250



Specific risk



 


 


 


 


 


 


 




251


Own funds requirement for non-securitisation debt instruments


 


 


 


 


 


 


 




260


Debt securities under the first category in Table 1


 


 


 


 


 


 


 




270


Debt securities under the second category in Table 1


 


 


 


 


 


 


 




280


With residual term≤ 6 months


 


 


 


 


 


 


 




290


With a residual term > 6 months and ≤ 24 months


 


 


 


 


 


 


 




300


With a residual term > 24 months


 


 


 


 


 


 


 




310


Debt securities under the third category in Table 1


 


 


 


 


 


 


 




320


Debt securities under the fourth category in Table 1


 


 


 


 


 


 


 




321


Rated nth-to default credit derivatives


 


 


 


 


 


 


 




325


Own funds requirement for securitisation instruments


 


 


 


 


 


 


 




330


Own funds requirement for the correlation trading portfolio


 


 


 


 


 


 


 




350


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 




360


Simplified method


 


 


 


 


 


 


 




370


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 




380


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 




385


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 




390


Scenario matrix approach


 


 


 


 


 


 


 








C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)






































































 



ALL POSITIONS




(-) POSITIONS DEDUCTED FROM OWN FUNDS




NET POSITIONS




BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS




BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS




OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS




BEFORE CAP




AFTER CAP




TOTAL OWN FUNDS REQUIREMENTS






RISK WEIGHTS < 1 250  %




1 250  %




SUPERVISORY FORMULA METHOD




LOOK-THROUGH




INTERNAL ASSESMENT APPROACH




RISK WEIGHTS < 1 250  %




1 250  %




SUPERVISORY FORMULA METHOD




LOOK-THROUGH




INTERNAL ASSESMENT APPROACH






LONG




SHORT




(-) LONG




(-) SHORT




LONG




SHORT




7 - 10 %




12 - 18 %




20 - 35 %




40 - 75 %




100 %




150 %




200 %




225 %




250 %




300 %




350 %




425 %




500 %




650 %




750 %




850 %




RATED




UNRATED



 



AVERAGE RISK WEIGHT (%)



 



AVERAGE RISK WEIGHT (%)




7 - 10 %




12 - 18 %




20 - 35 %




40 - 75 %




100 %




150 %




200 %




225 %




250 %




300 %




350 %




425 %




500 %




650 %




750 %




850 %




RATED




UNRATED



 



AVERAGE RISK WEIGHT (%)



 



AVERAGE RISK WEIGHT (%)




WEIGHTED NET LONG POSITIONS




WEIGHTED NET SHORT POSITIONS




WEIGHTED NET LONG POSITIONS




WEIGHTED NET SHORT POSITIONS




SUM OF WEIGHTED NET LONG AND SHORT POSITIONS




WEIGHTED NET LONG POSITIONS




WEIGHTED NET SHORT POSITIONS




SUM OF WEIGHTED NET LONG AND SHORT POSITIONS





010


020


030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180


190


200


210


220


230


240


250


260


270


280


290


300


310


320


330


340


350


360


370


380


390


400


410


420


430


440


450


460


470


480


490


500


510


520


530


540


550


560


570


580


590


600


610




010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to MKR SA TDI {325:060}




020


Of which: RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




030



ORIGINATOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




040


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




050


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




060



INVESTOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




070


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




080


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




090



SPONSOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




100


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




110


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES:





120








1.


Residential mortgages






 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




130








2.


Commercial mortgages






 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




140








3.


Credit card receivables






 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




150








4.


Leasing






 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




160








5.


Loans to corporates or SMEs






 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




170








6.


Consumer loans






 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




180








7.


Trade receivables






 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




190








8.


Other assets






 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




200








9.


Covered Bondes






 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




210








10.


Other liabilities






 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








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




BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS




BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS




BEFORE CAP




AFTER CAP




TOTAL OWN FUNDS REQUIREMENTS






RISK WEIGHTS < 1 250  %




1 250  %




SUPERVISORY FORMULA METHOD




LOOK-THROUGH




INTERNAL ASSESMENT APPROACH




RISK WEIGHTS < 1 250  %




1 250  %




SUPERVISORY FORMULA METHOD




LOOK-THROUGH




INTERNAL ASSESMENT APPROACH






LONG




SHORT




(-) LONG




(-) SHORT




LONG




SHORT




7 - 10 %




12 - 18 %




20 - 35 %




40- 75 %




100 %




250 %




350 %




425 %




650 %




Other




RATED




UNRATED



 



AVERAGE RISK WEIGHT (%)



 



AVERAGE RISK WEIGHT (%)




7 - 10 %




12 - 18 %




20 - 35 %




40 - 75 %




100 %




250 %




350 %




425 %




650 %




Other




RATED




UNRATED



 



AVERAGE RISK WEIGHT (%)



 



AVERAGE RISK WEIGHT (%)




WEIGHTED NET LONG POSITIONS




WEIGHTED NET SHORT POSITIONS




WEIGHTED NET LONG POSITIONS




WEIGHTED NET SHORT POSITIONS





010


020


030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180


190


200


210


220


230


240


250


260


270


280


290


300


310


320


330


340


350


360


370


380


390


400


410


420


430


440


450




010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to MKR SA TDI {330:060}




 



SECURITISATION POSITIONS:





020



ORIGINATOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




030


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




040


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




050



INVESTOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




060


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




070


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




080



SPONSOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




090


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




100


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



N-TH-TO-DEFAULT CREDIT DERIVATIVES:





110


N-TH-TO-DEFAULT CREDIT DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




120


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








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





010


020


030


040


050


060


070




010



EQUITIES IN TRADING BOOK



 


 


 


 


 


 


Cell linked to CA




020


General risk


 


 


 


 


 


 


 




021


Derivatives


 


 


 


 


 


 


 




022


Other assets and liabilities


 


 


 


 


 


 


 




030


Exchange traded stock-index futures broadly diversified subject to particular approach


 


 


 


 


 


 


 




040


Other equities than exchange traded stock-index futures broadly diversified


 


 


 


 


 


 


 




050


Specific risk


 


 


 


 


 


 


 




090


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 




100


Simplified method


 


 


 


 


 


 


 




110


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 




120


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 




125


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 




130


Scenario matrix approach


 


 


 


 


 


 


 








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 REQUIREMENTS




TOTAL RISK EXPOSURE AMOUNT






LONG




SHORT




LONG




SHORT




LONG




SHORT




MATCHED





020


030


040


050


060


070


080


090


100




010



TOTAL POSITIONS



 


 


 


 


 


 


 


 


Cell linked to CA




020


Currencies closely correlated


 


 


 


 


 


 


 


 


 




025


of which: reporting currency


 


 


 


 


 


 


 


 


 




030


All other currencies (including CIUs treated as different currencies)


 


 


 


 


 


 


 


 


 




040


Gold


 


 


 


 


 


 


 


 


 




050


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 


 


 




060


Simplified method


 


 


 


 


 


 


 


 


 




070


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 


 


 




080


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 


 


 




085


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 


 


 




090


Scenario matrix approach


 


 


 


 


 


 


 


 


 





BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES





100


Other assets and liabilities other than off-balance sheet items and derivatives


 


 


 


 


 


 


 


 


 




110


Off-balance sheet items


 


 


 


 


 


 


 


 


 




120


Derivatives


 


 


 


 


 


 


 


 


 





Memorandum items: CURRENCY POSITIONS





130


Euro


 


 


 


 


 


 


 


 


 




140


Lek


 


 


 


 


 


 


 


 


 




150


Argentine Peso


 


 


 


 


 


 


 


 


 




160


Australian Dollar


 


 


 


 


 


 


 


 


 




170


Brazilian Real


 


 


 


 


 


 


 


 


 




180


Bulgarian Lev


 


 


 


 


 


 


 


 


 




190


Canadian Dollar


 


 


 


 


 


 


 


 


 




200


Czech Koruna


 


 


 


 


 


 


 


 


 




210


Danish Krone


 


 


 


 


 


 


 


 


 




220


Egyptian Pound


 


 


 


 


 


 


 


 


 




230


Pound Sterling


 


 


 


 


 


 


 


 


 




240


Forint


 


 


 


 


 


 


 


 


 




250


Yen


 


 


 


 


 


 


 


 


 




270


Lithuanian Litas


 


 


 


 


 


 


 


 


 




280


Denar


 


 


 


 


 


 


 


 


 




290


Mexican Peso


 


 


 


 


 


 


 


 


 




300


Zloty


 


 


 


 


 


 


 


 


 




310


Rumanian Leu


 


 


 


 


 


 


 


 


 




320


Russian Ruble


 


 


 


 


 


 


 


 


 




330


Serbian Dinar


 


 


 


 


 


 


 


 


 




340


Swedish Krona


 


 


 


 


 


 


 


 


 




350


Swiss Franc


 


 


 


 


 


 


 


 


 




360


Turkish Lira


 


 


 


 


 


 


 


 


 




370


Hryvnia


 


 


 


 


 


 


 


 


 




380


US Dollar


 


 


 


 


 


 


 


 


 




390


Iceland Krona


 


 


 


 


 


 


 


 


 




400


Norwegian Krone


 


 


 


 


 


 


 


 


 




410


Hong Kong Dollar


 


 


 


 


 


 


 


 


 




420


New Taiwan Dollar


 


 


 


 


 


 


 


 


 




430


New Zealand Dollar


 


 


 


 


 


 


 


 


 




440


Singapore Dollar


 


 


 


 


 


 


 


 


 




450


Won


 


 


 


 


 


 


 


 


 




460


Yuan Renminbi


 


 


 


 


 


 


 


 


 




470


Other


 


 


 


 


 


 


 


 


 




480


Croatian Kuna


 


 


 


 


 


 


 


 


 








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





010


020


030


040


050


060


070






010



TOTAL POSITIONS IN COMMODITIES



 


 


 


 


 


 


Cell linked to CA




020


Precious metals (except gold)


 


 


 


 


 


 


 




030


Base metals


 


 


 


 


 


 


 




040


Agricultural products (softs)


 


 


 


 


 


 


 






050


Others


 


 


 


 


 


 


 




060


Of which energy products (oil, gas)


 


 


 


 


 


 


 




070


Maturity ladder approach


 


 


 


 


 


 


 




080


Extended maturity ladder approach


 


 


 


 


 


 


 




090


Simplified approach: All positions


 


 


 


 


 


 


 






100


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 




110


Simplified method


 


 


 


 


 


 


 




120


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 




130


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 




135


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 




140


Scenario matrix approach


 


 


 


 


 


 


 








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




OWN FUNDS REQUIREMENTS




TOTAL RISK EXPOSURE AMOUNT




Number of overshootingsduring previous 250 working days




VaR Multiplication Factor (mc)




SVaR Multiplication Factor (ms)




ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP




ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP






MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)




PREVIOUS DAY (VaRt-1)




MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)




LATEST AVAILABLE (SVaRt-1)




12 WEEKS AVERAGE MEASURE




LAST MEASURE




FLOOR




12 WEEKS AVERAGE MEASURE




LAST MEASURE





030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180




010



TOTAL POSITIONS



 


 


 


 


 


 


 


 


 


 


Cell linked to CA


 


 


 


 


 




 



Memorandum items: BREAKDOWN OF MARKET RISK





020



Traded debt instruments



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




030



TDI - General risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




040



TDI - Specific Risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




050



Equities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




060



Equities - General risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




070



Equities - Specific Risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




080



Foreign Exchange risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




090



Commodities risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




100



Total amount for general risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




110



Total amount for specific risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)





















 



EXPOSURE VALUE




VaR




STRESSED VaR




OWN FUNDS REQUIREMENTS




TOTAL RISK EXPOSURE AMOUNT




MEMORANDUM ITEMS




CVA RISK HEDGE NOTIONALS





 



of which: OTC Derivatives




of which:SFT




MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)




PREVIOUS DAY(VaRt-1)




MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)




LATEST AVAILABLE (SVaRt-1)




Number of counterparties




of which: proxy was used to determine credit spread




INCURRED CVA




SINGLE NAME CDS




INDEX CDS





010


020


030


040


050


060


070


080


090


100


110


120


130


140




010



CVA risk total



 


 


 


 


 


 


 


 


Link to {CA2;r640;c010}


 


 


 


 


 




020



According to Advanced method



 


 


 


 


 


 


 


 


Link to {CA2;r650;c010}


 


 


 


 


 




030



According to Standardised method



 


 


 


 


 


 


 


 


Link to {CA2;r660;c010}


 


 


 


 


 




040



Based on OEM



 


 


 


 


 


 


 


 


Link to {CA2;r670;c010}


 


 


 


 


 








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) THRESHOLD



 





OF WHICH: TRADING BOOK




EXACTLY MATCHING




HEDGE ACCOUNTING




PRUDENTIAL 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 MANDATORILY 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


 


 


 


 


 


 


 


 


 




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


INVESTMENTS 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


 


 


 


 


 


 


 


 


 








C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)



































 



CATEGORY LEVEL AVA




TOTAL AVA




UPSIDE UNCERTAINTY




FAIR-VALUED ASSETS AND LIABILITIES




QTD REVENUE




IPV DIFFERENCE




FAIR VALUE ADJUSTMENTS




DAY 1 P&L




EXPLANATION DESCRIPTION






MARKET PRICE UNCERTAINTY



 



CLOSE-OUT COSTS



 



MODEL RISK



 



CONCENTRATED POSITIONS




FUTURE ADMINISTRATIVE COSTS




EARLY TERMINATION




OPERATIONAL RISK




FAIR-VALUED ASSETS




FAIR-VALUED LIABILITIES




MARKETPRICEUNCER-TAINTY




CLOSE-OUT COSTS




MODELRISK




CONCEN-TRATEDPOSITIONS




UNEARNED CREDIT SPREADS




INVESTING ANDFUNDING COSTS




FUTURE ADMINIS-TRATIVE COSTS




EARLY TERMI-NATION




OPERA- TIONALRISK






OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH




OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH




OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


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-DIVERSIFICATION



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040



1.1.1




TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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)



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


1.1.1****



OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2)&10(3)



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 32.03 - PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)






















RANK




MODEL




RISK CATEGORY




PRODUCT




OBSER-VABILITY




MODEL RISK AVA



 



AGGREGATED AVA CALCULATED UNDER METHOD 2




FAIR-VALUED ASSETS AND LIABILITIES




IPV DIFFERENCE (OUTPUT TESTING)




IPV COVERAGE (OUTPUT TESTING)




FAIR VALUE ADJUSTMENTS




DAY1 P&L






OF WHICH: USING EXPERT APPROACH




OF WHICH: AGGRE-GATED USING METHOD 2




FV ASSETS




FV LIABILITIES




MODEL RISK




EARLY TERMINATION





0005


0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150




 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








C 32.04 - PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)

















RANK




RISK CATEGORY




PRODUCT




UNDERLYING




CONCEN-TRATED POSITIONSIZE




SIZE MEASURE




MARKET VALUE




PRUDENT EXIT PERIOD




CONCEN-TRATED POSITIONS AVA




CONCEN-TRATED POSITIONFAIR VALUE ADJUSTMENT




IPV DIFFERENCE





0005


0010


0020


0030


0040


0050


0060


0070


0080


0090


0100




 


 


 


 


 


 


 


 


 


 


 








C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)


Country:





































 



Direct exposures




Memorandum item: credit derivatives sold on general government exposures




Exposure value




Risk weighted exposure amount






On-balance sheet exposures




Accumulated impairment



 



Accumulated negative changes in fair value due to credit risk



 



Derivatives




Off-balance sheet exposures






Total gross carrying amount of non-derivative financial assets




Total carrying amount of non-derivative financial assets (net of short positions)




Non-derivative financial assets by accounting portfolios




Short positions



 



Derivatives with positive fair value




Derivatives with negative fair value




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






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




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




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





 


010


020


030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180


190


200


210


220


230


240


250


260


270


280


290


300




010


Total exposures


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 







BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:





020


Exposures under the credit risk framework


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 






030


Standardised Approach


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




040


Central governments


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




050


Regional governments or local authorities


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




060


Public sector entities


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




070


International Organisations


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 






075


Other general government exposures subject to Standardised Approach


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




080


IRB Approach


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




090


Central governments


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




100


Regional governments or local authorities [Central governments]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




110


Regional governments or local authorities [Institutions]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




120


Public sector entities [Central governments]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




130


Public sector entities [Institutions]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




140


International Organisations [Central governments]


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




155


Other general government exposures subject to IRB approach


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




160


Exposures under the market risk framework


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 







BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:





170


[ 0 - 3M [


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




180


[ 3M - 1Y [


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




190


[ 1Y - 2Y [


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




200


[ 2Y - 3Y [


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




210


[3Y - 5Y [


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




220


[5Y - 10Y [


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




230


[10Y - more’


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 












ANNEX II




                     ‘ANNEX II

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Table of Contents






PART I: GENERAL INSTRUCTIONS

162










1.

STRUCTURE AND CONVENTIONS
162










1.1.

STRUCTURE
162










1.2.

NUMBERING CONVENTION
162










1.3.

SIGN CONVENTION
162










1.4.

ABBREVIATIONS
162









PART II: TEMPLATE RELATED INSTRUCTIONS

162










1.

CAPITAL ADEQUACY OVERVIEW (CA)
162










1.1.

GENERAL REMARKS
162










1.2.

C 01.00 — OWN FUNDS (CA1)
163










1.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
163










1.3.

C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
177










1.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
177










1.4.

C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
186










1.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
186










1.5.

C 04.00 — MEMORANDUM ITEMS (CA4)
188










1.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
188










1.6.

TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)
203










1.6.1.

GENERAL REMARKS
203










1.6.2.

C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)
203










1.6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
204










1.6.3.

C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
211










1.6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
211










2.

GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
213










2.1.

GENERAL REMARKS
213










2.2.

DETAILED GROUP SOLVENCY INFORMATION
213










2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
214










2.4.

C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
214










2.5.

C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
214










3.

CREDIT RISK TEMPLATES
222










3.1.

GENERAL REMARKS
222










3.1.1.

REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT
222










3.1.2.

REPORTING OF COUNTERPARTY CREDIT RISK
222










3.2.

C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
222










3.2.1.

GENERAL REMARKS
222










3.2.2.

SCOPE OF THE CR SA TEMPLATE
222










3.2.3.

ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH
224










3.2.4.

CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF CRR
227










3.2.4.1.

EXPOSURE CLASS “INSTITUTIONS”
227










3.2.4.2.

EXPOSURE CLASS “COVERED BONDS”
227










3.2.4.3.

EXPOSURE CLASS “COLLECTIVE INVESTMENT UNDERTAKINGS”
227










3.2.5.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
227










3.3.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
234










3.3.1.

SCOPE OF THE CR IRB TEMPLATE
234










3.3.2.

BREAKDOWN OF THE CR IRB TEMPLATE
235










3.3.3.

C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
236










3.3.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
236










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)
243










3.4.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN
244










3.4.1.

C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
244










3.4.1.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
244










3.4.2.

C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
246










3.4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
246










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)
249










3.4.3.1.

GENERAL REMARKS
249










3.4.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
249










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)
253










3.5.1.

GENERAL REMARKS
253










3.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2)
254










3.6.

C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
256










3.6.1.

GENERAL REMARKS
256










3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
257










3.7.

C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
259










3.7.1.

GENERAL REMARKS
259










3.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
259










3.8.

C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
265










3.8.1.

GENERAL REMARKS
265










3.8.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
266










3.9.

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
272










3.9.1.

GENERAL REMARKS
272










3.9.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
273










4.

OPERATIONAL RISK TEMPLATES
283










4.1.

C 16.00 – OPERATIONAL RISK (OPR)
283










4.1.1.

GENERAL REMARKS
283










4.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
283










4.2.

OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)
285










4.2.1.

GENERAL REMARKS
285










4.2.2.

C 17.01: OPERATIONAL RISK LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)
286










4.2.2.1.

GENERAL REMARKS
286










4.2.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
287










4.2.3.

C 17.02: OPERATIONAL RISK: DETAILED INFORMATION ON THE LARGEST LOSS EVENTS IN THE LAST YEAR (OPR DETAILS 2)
292










4.2.3.1.

GENERAL REMARKS
292










4.2.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
292










5.

MARKET RISK TEMPLATES
293










5.1.

C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
293










5.1.1.

GENERAL REMARKS
293










5.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
294










5.2.

C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
296










5.2.1.

GENERAL REMARKS
296










5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
296










5.3.

C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
298










5.3.1.

GENERAL REMARKS
298










5.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
299










5.4.

C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
300










5.4.1.

GENERAL REMARKS
300










5.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
301










5.5.

C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
302










5.5.1.

GENERAL REMARKS
302










5.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
302










5.6.

C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
304










5.6.1.

GENERAL REMARKS
304










5.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
304










5.7.

C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)
305










5.7.1.

GENERAL REMARKS
305










5.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
306










5.8.

C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)
308










5.8.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
308










6.

PRUDENT VALUATION (PRUVAL)
310










6.1.

C 32.01 — PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
310










6.1.1.

GENERAL REMARKS
310










6.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
310










6.2.

C 32.02 — PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
314










6.2.1.

GENERAL REMARKS
314










6.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
314










6.3.

C 32.03 — PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)
322










6.3.1.

GENERAL REMARKS
322










6.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
322










6.4

C 32.04 — PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)
324










6.4.1.

GENERAL REMARKS
324










6.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
325










7.

C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV)
326










7.1.

GENERAL REMARKS
326










7.2.

SCOPE OF THE TEMPLATE ON EXPOSURES TO “GENERAL GOVERNMENTS”
326










7.3.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
327




PART I: GENERAL INSTRUCTIONS

1.   STRUCTURE AND CONVENTIONS
1.1.   STRUCTURE








1.


Overall, the framework consists of five blocks of templates:






(a)


capital adequacy, an overview of regulatory capital; total risk exposure amount;










(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.
















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 the Implementing Technical Standard..












3.


Institutions 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 the following table, 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}.












6.


In the case of validations inside a template, in which only data points of that template is 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.




1.4.   ABBREVIATIONS








9a.


For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as “CRR”, and Directive 2013/36/EU of the European Parliament and of the Council is referred to as “CRD”.





PART II: TEMPLATE RELATED INSTRUCTIONS

1.   CAPITAL ADEQUACY OVERVIEW (CA)
1.1.   GENERAL REMARKS








10.


CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:






(a)


CA1 template 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 transitional provisions per type of capital










(b)


CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of CRR










(c)


CA3 template contains the ratios for which CRR state a minimum level, and some other related data










(d)


CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.










(e)


CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will cease to exist once the transitional provisions will expire.
















11.


The templates shall apply to 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.












12.


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), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).












13.


Transitional provisions are treated as follows in CA templates:






(a)


The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the 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 transitional provisions are included.










(b)


Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in Articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.










(c)


Template CA5 is exclusively used for reporting the transitional provisions.
















14.


The treatment of Pillar II requirements can be different within the Union (Article 104(2) 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 of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 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. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any 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. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) 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




010


1.   Own funds

Articles 4(1)(118) and 72 of CRR
The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.




015


1.1.   Tier 1 capital

Article 25 of CRR
The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital




020


1.1.1.   Common Equity Tier 1 capital

Article 50 of CRR




030


1.1.1.1.   Capital instruments eligible as CET1 capital

Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR




040


1.1.1.1.1.   Paid up capital instruments

Articles 26(1) point (a) and 27 to 31 of CRR
Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of 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.




045


1.1.1.1.1*   Of which: Capital instruments subscribed by public authorities in emergency situations

Article 31 of 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.




050


1.1.1.1.2*   Memorandum item: Capital instruments not eligible

Article 28(1) points (b), (l) and (m) of 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




060


1.1.1.1.3.   Share premium

Articles 4(1)(124), 26(1) point (b) of 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 “Paid up capital instruments”.




070


1.1.1.1.4.   (-) Own CET1 instruments

Articles 36(1) point (f) and 42 of CRR
Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of 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.




080


1.1.1.1.4.1.   (-) Direct holdings of CET1 instruments

Articles 36(1) point (f) and 42 of 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 Article 42 point (a) of CRR.




090


1.1.1.1.4.2.   (-) Indirect holdings of CET1 instruments

Articles 4(1)(114), 36(1) point (f) and 42 of CRR




091


1.1.1.1.4.3.   (-) Synthetic holdings of CET1 instruments

Articles 4(1)(126), 36(1) point (f) and 42 of CRR




092


1.1.1.1.5.   (-) Actual or contingent obligations to purchase own CET1 instruments

Articles 36(1) point (f) and 42 of CRR
According to Article 36(1) point (f) of 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.




130


1.1.1.2.   Retained earnings

Articles 26(1) point (c) and 26(2) of CRR
Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits




140


1.1.1.2.1.   Previous years retained earnings

Articles 4(1)(123) and 26(1) c) of CRR
Article 4(1)(123) of 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”.




150


1.1.1.2.2.   Profit or loss eligible

Articles 4(1)(121), 26(2) and 36(1) point (a) of CRR
Article 26(2) of 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 article 36(1) point (a) of CRR.




160


1.1.1.2.2.1.   Profit or loss attributable to owners of the parent

Articles 26(2) and 36(1) point (a) of CRR
The amount to be reported shall be the profit or loss reported in the accounting income statement.




170


1.1.1.2.2.2.   (-) Part of interim or year-end profit not eligible

Article 26(2) of CRR
This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1.
If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends)
Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.




180


1.1.1.3.   Accumulated other comprehensive income

Articles 4(1)(100) and 26(1) point (d) of 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.




200 


1.1.1.4.   Other reserves

Articles 4(1)(117) and 26(1) point (e) of 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.




210


1.1.1.5.   Funds for general banking risk

Articles 4(1)(112) and 26(1) point (f) of CRR
Funds for general banking risk are defined in article 38 of Directive 86/635/EEC 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.




220


1.1.1.6.   Transitional adjustments due to grandfathered CET1 Capital instruments

Articles 483(1) to (3), and 484 to 487 of CRR
Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.




230


1.1.1.7.   Minority interest given recognition in CET1 capital

Article 4(120) and 84 of CRR
Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.




240


1.1.1.8.   Transitional adjustments due to additional minority interests

Articles 479 and 480 of CRR
Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.




250


1.1.1.9.   Adjustments to CET1 due to prudential filters

Articles 32 to 35 of CRR




260


1.1.1.9.1.   (-) Increases in equity resulting from securitised assets

Article 32(1) of CRR
The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to 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.




270


1.1.1.9.2.   Cash flow hedge reserve

Article 33(1) point (a) of CRR
The amount to be reported could either 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 foreseeable at the moment of the calculation.




280 


1.1.1.9.3.   Cumulative gains and losses due to changes in own credit risk on fair valued liabilities

Article 33(1) point (b) of CRR
The amount to be reported could either 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.




285


1.1.1.9.4.   Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

Article 33(1) point (c) and 33(2) of CRR
The amount to be reported could either 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.




290


1.1.1.9.5.   (-) Value adjustments due to the requirements for prudent valuation

Articles 34 and 105 of 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 of CRR




300


1.1.1.10.   (-) Goodwill

Articles 4(1)(113), 36(1) point (b) and 37 of CRR




310


1.1.1.10.1.   (-) Goodwill accounted for as intangible asset

Articles 4(1)(113) and 36(1) point (b) of CRR
Goodwill has the same meaning as under the applicable accounting standard.
The amount to be reported here shall be the same that is reported in the balance sheet.




320


1.1.1.10.2.   (-) Goodwill included in the valuation of significant investments

Article 37 point (b) and 43 of CRR




330


1.1.1.10.3.   Deferred tax liabilities associated to goodwill

Article 37 point (a) of CRR
Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard




340


1.1.1.11.   (-) Other intangible assets

Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR
Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.




350


1.1.1.11.1.   (-) Other intangible assets before deduction of deferred tax liabilities

Articles 4(1)(115) and 36(1) point (b) of 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 others than goodwill.




360


1.1.1.11.2.   Deferred tax liabilities associated to other intangible assets

Article 37 point (a) of 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




370


1.1.1.12.   (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

Articles 36(1) point (c) and 38 of CRR




380


1.1.1.13.   (-) IRB shortfall of credit risk adjustments to expected losses

Articles 36(1) point (d), 40, 158 and 159 of 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 of CRR)




390


1.1.1.14.   (-) Defined benefit pension fund assets

Articles 4(1)(109), 36(1) point (e) and 41 of CRR




400


1.1.1.14.1.   (-) Defined benefit pension fund assets

Articles 4(1)(109), 36(1) point (e) of 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).




410


1.1.1.14.2.   Deferred tax liabilities associated to defined benefit pension fund assets

Articles 4(1)(108) and (109), and 41(1) point (a) of 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.




420


1.1.1.14.3.   Defined benefit pension fund assets which the institution has an unrestricted ability to use

Articles 4(1)(109) and 41(1) point (b) of 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.




430


1.1.1.15.   (-) Reciprocal cross holdings in CET1 Capital

Articles 4(1)(122), 36(1) point (g) and 44 of CRR
Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of 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.




440


1.1.1.16.   (-) Excess of deduction from AT1 items over AT1 Capital

Article 36(1) point (j) of CRR
The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from AT1 items over AT1 Capital. The amount has to be deducted from CET1.




450


1.1.1.17.   (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1,250 % risk weight

Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of 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 Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.




460


1.1.1.18.   (-) Securitisation positions which can alternatively be subject to a 1 250  % risk weight

Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b), 258 and 266(3) of CRR in the version applicable on 31 December 2018 or Articles 244(1) point (b), 245(1) point (b), 253 (1) and 268(4) of CRR, as applicable.
Securitisation positions, which are subject to a 1 250  % risk weight, but alternatively are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR, shall be reported in this item.




470


1.1.1.19.   (-) Free deliveries which can alternatively be subject to a 1,250 % risk weight

Articles 36(1) point (k) (iii) and 379(3) of 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 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item.




471


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

Articles 36(1) point (k) (iv) and 153(8) of CRR
According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.




472


1.1.1.21.   (-) Equity exposures under an internal models approach which can alternatively be subject to a 1,250 % risk weight

Articles 36(1) point (k) (v) and 155(4) of CRR
According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.




480


1.1.1.22.   (-) CET1 instruments of financial sector entities where the institution does not have a significant investment

Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR
Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of 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 (Article 49(2) and (3))




490


1.1.1.23.   (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences

Articles 36(1) point (c); 38 and 48(1) point (a) of 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, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR.




500 


1.1.1.24.   (-) CET1 instruments of financial sector entities where the institution has a significant investment

Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR
Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR.
See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)).




510


1.1.1.25.   (-) Amount exceeding the 17,65 % threshold

Article 48(1) of CRR
Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(1) of CRR.




520 


1.1.1.26.   Other transitional adjustments to CET1 Capital

Articles 469 to 472, 478 and 481 of CRR
Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.




524


1.1.1.27.   (-) Additional deductions of CET1 Capital due to Article 3 CRR

Article 3 CRR




529


1.1.1.28.   CET1 capital elements or deductions — other

This row is invented 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 respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524.
This cell 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 CRR).




530


1.1.2.   ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR




540


1.1.2.1.   Capital instruments eligible as AT1 Capital

Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR




550


1.1.2.1.1.   Paid up capital instruments

Articles 51 point (a) and 52 to 54 of CRR
The amount to be reported shall not include the share premium related to the instruments




560


1.1.2.1.2 (*)   Memorandum item: Capital instruments not eligible

Article 52(1) points (c), (e) and (f) of 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




570


1.1.2.1.3.   Share premium

Article 51 point (b) of 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 “Paid up capital instruments”.




580


1.1.2.1.4.   (-) Own AT1 instruments

Articles 52(1) point (b), 56 point (a) and 57 of CRR
Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of 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.




590


1.1.2.1.4.1.   (-) Direct holdings of AT1 instruments

Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR
Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.




620


1.1.2.1.4.2.   (-) Indirect holdings of AT1 instruments

Articles 52(1) point (b) (ii), 56 point (a) and 57of CRR




621


1.1.2.1.4.3.   (-) Synthetic holdings of AT1 instruments

Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR




622


1.1.2.1.5.   (-) Actual or contingent obligations to purchase own AT1 instruments

Articles 56 point (a) and 57 of CRR
According to Article 56 point (a) of CRR, “own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.




660


1.1.2.2.   Transitional adjustments due to grandfathered AT1 Capital instruments

Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR
Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.




670


1.1.2.3.   Instruments issued by subsidiaries that are given recognition in AT1 Capital

Articles 83, 85 and 86 of 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 of CRR) shall be included.




680


1.1.2.4.   Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries

Article 480 of CRR
Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.




690


1.1.2.5.   (-) Reciprocal cross holdings in AT1 Capital

Articles 4(1)(122), 56 point (b) and 58 of CRR
Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of 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.




700


1.1.2.6.   (-) AT1 instruments of financial sector entities where the institution does not have a significant investment

Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR
Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1




710


1.1.2.7.   (-) AT1 instruments of financial sector entities where the institution has a significant investment

Articles 4(1)(27), 56 point (d), 59 and 79 of CRR
Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted




720


1.1.2.8.   (-) Excess of deduction from T2 items over T2 Capital

Article 56 point (e) of CRR
The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1).




730


1.1.2.9.   Other transitional adjustments to AT1 Capital

Articles 474, 475, 478 and 481 of CRR
Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.




740


1.1.2.10.   Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)

Article 36(1) point (j) of 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. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.




744 


1.1.2.11.   (-) Additional deductions of AT1 Capital due to Article 3 CRR

Article 3 CRR




748


1.1.2.12.   AT1 capital elements or deductions — other

This row is invented 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 respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744.
This cell 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 CRR).




750


1.2.   TIER 2 CAPITAL

Article 71 of CRR




760


1.2.1.   Capital instruments and subordinated loans eligible as T2 Capital

Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR




770


1.2.1.1.   Paid up capital instruments and subordinated loans

Articles 62 point (a), 63 and 65 of CRR
The amount to be reported shall not include the share premium related to the instruments




780


1.2.1.2 (*)   Memorandum item: Capital instruments and subordinated loans not eligible

Article 63 points (c), (e) and (f); and article 64 of 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




790 


1.2.1.3.   Share premium

Articles 62 point (b) and 65 of 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 “Paid up capital instruments”.




800


1.2.1.4.   (-) Own T2 instruments

Article 63 point (b) (i), 66 point (a), and 67 of CRR
Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of 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.




810


1.2.1.4.1.   (-) Direct holdings of T2 instruments

Articles 63 point (b), 66 point (a) and 67 of CRR
Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.




840


1.2.1.4.2.   (-) Indirect holdings of T2 instruments

Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR




841


1.2.1.4.3.   (-) Synthetic holdings of T2 instruments

Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR




842


1.2.1.5.   (-) Actual or contingent obligations to purchase own T2 instruments

Articles 66 point (a) and 67 of CRR
According to Article 66 point (a) of CRR, “own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.




880


1.2.2.   Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR
Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.




890 


1.2.3.   Instruments issued by subsidiaries that are given recognition in T2 Capital

Articles 83, 87 and 88 of 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 of CRR) shall be included.




900


1.2.4.   Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries

Article 480 of CRR
Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.




910


1.2.5.   IRB Excess of provisions over expected losses eligible

Article 62 point (d) of CRR
For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.




920


1.2.6.   SA General credit risk adjustments

Article 62 point (c) of CRR
For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital.




930


1.2.7.   (-) Reciprocal cross holdings in T2 Capital

Articles 4(1)(122), 66 point (b) and 68 of CRR
Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of 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 2 and Tier 3 own-fund insurance items.




940


1.2.8.   (-) T2 instruments of financial sector entities where the institution does not have a significant investment

Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR
Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2.




950 


1.2.9.   (-) T2 instruments of financial sector entities where the institution has a significant investment

Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR
Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted.




960


1.2.10.   Other transitional adjustments to T2 Capital

Articles 476 to 478 and 481 of CRR
Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.




970


1.2.11.   Excess of deduction from T2 items over T2 Capital (deducted in AT1)

Article 56 point (e) of 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. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.




974


1.2.12.   (-) Additional deductions of T2 Capital due to Article 3 CRR

Article 3 CRR




978


1.2.13.   T2 capital elements or deductions — other

This row is invented 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 T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974.
This cell 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 CRR).




1.3.   C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
1.3.1.   Instructions concerning specific positions






Row


Legal references and instructions




010


1.   TOTAL RISK EXPOSURE AMOUNT

Articles 92(3), 95, 96 and 98 of CRR




020


1*   Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR

For investment firms under Article 95(2) and Article 98 of CRR




030


1**   Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR

For investment firms under Article 96(2) and Article 97 of CRR




040


1.1.   RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES

Article 92(3) points (a) and (f) of CRR




050


1.1.1.   Standardised approach (SA)

CR SA and SEC SA templates at the level of total exposures




060


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 of CRR excluding securitisation positions.




070


1.1.1.1.01.   Central governments or central banks

See CR SA template




080


1.1.1.1.02.   Regional governments or local authorities

See CR SA template




090


1.1.1.1.03.   Public sector entities

See CR SA template




100 


1.1.1.1.04.   Multilateral Development Banks

See CR SA template




110


1.1.1.1.05.   International Organisations

See CR SA template




120 


1.1.1.1.06.   Institutions

See CR SA template




130


1.1.1.1.07.   Corporates

See CR SA template




140 


1.1.1.1.08.   Retail

See CR SA template




150 


1.1.1.1.09.   Secured by mortgages on immovable property

See CR SA template




160


1.1.1.1.10.   Exposures in default

See CR SA template




170 


1.1.1.1.11.   Items associated with particular high risk

See CR SA template




180 


1.1.1.1.12.   Covered bonds

See CR SA template




190 


1.1.1.1.13.   Claims on institutions and corporate with a short-term credit assessment

See CR SA template




200 


1.1.1.1.14.   Collective investments undertakings (CIU)

See CR SA template




210


1.1.1.1.15.   Equity

See CR SA template




211


1.1.1.1.16.   Other items

See CR SA template




220


1.1.1.2.   Securitisations positions SA

CR SEC SA template at the level of total securitisation types




230


1.1.1.2.*   Of which: resecuritisation

CR SEC SA template at the level of total securitisation types




240


1.1.2.   Internal ratings based Approach (IRB)





250


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 and/or CCF are not used)




260


1.1.2.1.01.   Central governments and central banks

See CR IRB template




270


1.1.2.1.02.   Institutions

See CR IRB template




280


1.1.2.1.03.   Corporates — SME

See CR IRB template




290


1.1.2.1.04.   Corporates – Specialised Lending

See CR IRB template




300 


1.1.2.1.05.   Corporates – Other

See CR IRB template




310 


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)




320


1.1.2.2.01.   Central governments and central banks

See CR IRB template




330


1.1.2.2.02.   Institutions

See CR IRB template




340


1.1.2.2.03.   Corporates — SME

See CR IRB template




350


1.1.2.2.04.   Corporates – Specialised Lending

See CR IRB template




360


1.1.2.2.05.   Corporates – Other

See CR IRB template




370


1.1.2.2.06.   Retail – secure by real estate SME

See CR IRB template




380 


1.1.2.2.07.   Retail – secure by real estate non-SME

See CR IRB template




390


1.1.2.2.08.   Retail – Qualifying revolving

See CR IRB template




400 


1.1.2.2.09.   Retail – Other SME

See CR IRB template




410


1.1.2.2.10.   Retail – Other non-SME

See CR IRB template




420


1.1.2.3.   Equity IRB

See CR EQU IRB template




430 


1.1.2.4.   Securitisations positions IRB

CR SEC IRB template at the level of total securitisation types




440


1.1.2.4*   Of which: resecuritisation

CR SEC IRB template at the level of total securitisation types




450


1.1.2.5.   Other non credit-obligation assets

The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.




460


1.1.3.   Risk exposure amount for contributions to the default fund of a CCP

Articles 307 to 309 of CRR




490


1.2.   TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR




500


1.2.1.   Settlement/delivery risk in the non-Trading book

See CR SETT template




510


1.2.2.   Settlement/delivery risk in the Trading book

See CR SETT template




520


1.3.   TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS

Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR




530 


1.3.1.   Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)





540


1.3.1.1.   Traded debt instruments

MKR SA TDI template at the level of total currencies.




550


1.3.1.2.   Equity

MKR SA EQU template at the level of total national markets.




555


1.3.1.3.   Particular approach for position risk in CIUs

Articles 348(1), 350 (3) c) and 364 (2) a) CRR
Total risk exposure amount for positions in CIUs if capital requirements are calculated according to Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3)(c) CRR. CRR does not explicitly assign those positions to either the interest rate risk or the equity risk.
If the particular approach according to the first sentence of Article 348(1) of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question, multiplied by 12,5.
If the particular approach according to Article 348(1) sentence 2 of CRR is applied, the amount to be reported is 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.




556


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.




557


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.




560


1.3.1.4.   Foreign Exchange

See MKR SA FX template




570


1.3.1.5.   Commodities

See MKR SA COM template




580


1.3.2.   Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM)

See MKR IM template




590


1.4.   TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

Article 92(3) point (e) and 92(4) point (b) of CRR
For investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero.




600 


1.4.1.   OpR Basic Indicator approach (BIA)

See OPR template




610


1.4.2.   OpR Standardised (TSA)/Alternative Standardised (ASA) approaches

See OPR template




620


1.4.3.   OpR Advanced measurement approaches (AMA)

See OPR template




630


1.5.   ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR
Only for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR
Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5.
Investment firms under Article 95 of CRR shall report:






—


If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero.










—


If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former.








640


1.6.   TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

Article 92(3) point (d) of CRR See CVA template.




650


1.6.1.   Advanced method

Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.




660


1.6.2.   Standardised method

Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.




670


1.6.3.   Based on OEM

Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.




680


1.7.   TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK

Articles 92(3) point (b) (ii) and 395 to 401 of CRR




690


1.8.   OTHER RISK EXPOSURE AMOUNTS

Articles 3, 458 and 459 of 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 Article 458 and 459 of CRR
Additional risk exposure amounts due to Article 3 CRR
This item does not have a link to a details template.




710


1.8.2.   Of which: Additional stricter prudential requirements based on Art 458

Article 458 of CRR




720


1.8.2*   Of which: requirements for large exposures

Article 458 of CRR




730


1.8.2**   Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property

Article 458 of CRR




740


1.8.2***   Of which: due to intra financial sector exposures

Article 458 of CRR




750 


1.8.3.   Of which: Additional stricter prudential requirements based on Art 459

Article 459 of CRR




760


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).




770 – 900


1.8.5   Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework

Institutions shall fill in information in rows 770 – 900 on reporting reference dates that are after 1 January 2019.
Rows 770 – 900 present the risk weighted exposure amounts for credit risk for those securitisation positions, the risk weighted exposure amount of which shall be calculated according to the provisions of CRR.
The amounts reported shall correspond to the total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5 of CRR, taking into account the total risk weight imposed in accordance with Article 247(6) CRR and the caps referred to in Part Three, Title II, Chapter 5, section 3, subsection 4 of CRR.




770


1.8.5.   Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework)

Articles 92(3)(a) and Part Three, Title II, Chapter 5 of CRR.




780


1.8.5.1.   Internal ratings-based approach (SEC-IRBA)

Articles 254(1)(a), 259, 260 of CRR.




790 


1.8.5.1.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(a), 259 of CRR.




800


1.8.5.1.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(a), 259, 260 of CRR.
Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.




810 


1.8.5.2   Standardised approach (SEC-SA)

Articles 254(1)(b), (6), 261, 262, 269 of CRR.




820


1.8.5.2.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(b), (6), 261, 269 of CRR.




830


1.8.5.2.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(b), 261, 262 of CRR.
Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.




840


1.8.5.3.   External ratings-based approach (SEC-ERBA)

Articles 254(1)(c), (2), (3), (4), 263, 264 of CRR




850


1.8.5.3.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(c), (2), (3), (4), 263 of CRR




860


1.8.5.3.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(c), (2), (3), (4), 263, 264 of CRR
Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.




870


1.8.5.4.   Internal assessment approach (IAA)

Articles 254(5), 265, 266 of CRR




880


1.8.5.4.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(5), 265, 266 of CRR




890


1.8.5.4.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(5), 265, 266 of CRR
Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.




900 


1.8.5.5.   Other (RW = 1 250  %)

Article 254(7) of CRR




910 – 1040


1.8.6   Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework)

Institutions shall fill in information in rows 910 – 1040 on reporting reference dates that are after 1 January 2019.
Rows 910 – 1040 shall include the risk weighted exposure amounts for those securitisation positions in the trading book, the total risk exposure amounts of which shall be calculated in accordance with the provisions of CRR. However, securitisation positions subject to own funds requirements for the correlation trading portfolio in accordance with Article 338 of the amended CRR shall not be reported in these rows, but in template MKR SA CTP.
The amounts reported shall correspond to the total risk exposure amount, being the result of the multiplication of the own funds requirements calculated in accordance with Article 337 of CRR by 12.5. The amount reported shall take into account the applicable total risk weight according to Article 337(3) of CRR as well as the cap of the own funds requirement for a net position in accordance with Article 335 of CRR.
In line with the determination of risk weights according to Article 337 of CRR, the approach applied for the calculation of the own funds requirements for instruments in the trading book that are securitisation positions shall be determined as the approach the institution would apply to the position in its non-trading book.




910


1.8.6.   Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework)

Articles 92(3)(b)(i), (4), 335, 337 of CRR




920


1.8.6.1.   Internal ratings-based approach (SEC-IRBA)

Articles 254(1)(a), 259, 260, 337 of CRR




930


1.8.6.1.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(a), 259, 337 of CRR




940 


1.8.6.1.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(a), 259, 260, 337 of CRR
Both STS securitisations qualifying for differentiated capital treatment according to Article 243 CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 CRR shall be reported in this row.




950


1.8.6.2.   Standardised approach (SEC-SA)

Articles 254(1)(b), (6), 261, 262, 269, 337 of CRR




960


1.8.6.2.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(b), (6), 261, 269, 337 of CRR




970


1.8.6.2.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(b), 261, 262, 337 of CRR
Both STS securitisations qualifying for differentiated capital treatment according to Article 243 CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 CRR shall be reported in this row.




980


1.8.6.3.   External ratings-based approach (SEC-ERBA)

Articles 254(1)(c), (2), (3), (4), 263, 264, 337 of CRR




990


1.8.6.3.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(1)(c), (2), (3), (4), 263, 337 of CRR




1000


1.8.6.3.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(1)(c), (2), (3), (4), 263, 264, 337 of CRR
Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.




1010


1.8.6.4.   Internal assessment approach (IAA)

Articles 254(5), 265, 266, 337 of CRR




1020


1.8.6.4.1.   Securitisations not qualifying for differentiated capital treatment

Articles 254(5), 265, 266, 337 of CRR




1030


1.8.6.4.2.   STS securitisations qualifying for differentiated capital treatment

Articles 254(5), 265, 266, 337 of CRR
Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.




1040


1.8.6.5.   Other (RW = 1 250  %)

Articles 254(7), 337 of CRR




1.4.   C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
1.4.1.   Instructions concerning specific positions






Rows




010


1   CET1 Capital ratio

Article 92(2) point (a) of CRR
The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.




020


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 Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.




030


3   T1 Capital ratio

Article 92(2) point (b) of CRR
The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.




040


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 Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.




050


5   Total capital ratio

Article 92(2) point (c) of CRR
The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.




060


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 Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.




130


13   Total SREP capital requirement (TSCR) ratio

The sum of (i) and (ii) as follows:






(i)


the total capital ratio (8 %) as specified in Article 92(1)(c) of CRR;










(ii)


the additional own funds requirements (Pillar 2 Requirements – P2R) ratio 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 1.2 of the EBA SREP GL.
If no additional own funds requirements were communicated by the competent authority, then only point (i) should be reported.




140


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 Article 92(1)(a) of CRR;










(ii)


the part of the P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of CET1 capital.




If no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, then only point (i) should be reported.




150


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 Article 92(1)(b) of CRR;










(ii)


the part of P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of Tier 1 capital.




If 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) should be reported.




160


14   Overall capital requirement (OCR) ratio

The sum of (i) and (ii) as follows:






(i)


the TSCR ratio referred to in row 130;










(ii)


to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD.




This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 1.2 of the EBA SREP GL.
If no buffer requirement is applicable, only point (i) shall be reported.




170


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 140;










(ii)


to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD.




If no buffer requirement is applicable, only point (i) shall be reported.




180


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 150;










(ii)


to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD.




If no buffer requirement is applicable, only point (i) shall be reported.




190 


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 Pillar 2 Guidance (P2G) as defined in the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority.




If no P2G is communicated by the competent authority, then only point (i) should be reported.




200


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 170;










(ii)


where applicable, the part of P2G, referred to in point (ii) in row 190, 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.




If no P2G is communicated by the competent authority, then only point (i) should be reported.




210


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 180;










(ii)


where applicable, the part of P2G, referred to in point (ii) in row 190, 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.




If no P2G is communicated by the competent authority, then only point (i) should be reported.




1.5.   C 04.00 — MEMORANDUM ITEMS (CA4)
1.5.1.   Instructions concerning specific positions






Rows




010


1.   Total deferred tax assets

The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.




020


1.1.   Deferred tax assets that do not rely on future profitability

Article 39(2) of CRR
Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.




030


1.2.   Deferred tax assets that rely on future profitability and do not arise from temporary differences

Articles 36(1) point (c) and 38 of 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).




040


1.3.   Deferred tax assets that rely on future profitability and arise from temporary differences

Articles 36(1) point (c); 38 and 48(1) point (a) of 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 of CRR.




050


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.




060


2.1.   Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

Article 38(3) and (4) of CRR
Deferred tax liabilities for which conditions in Article 38(3) and (4) of 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.




070


2.2.   Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

Article 38 of CRR




080


2.2.1.   Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

Article 38(3), (4) and (5) of CRR
Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR




090


2.2.2.   Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

Article 38(3), (4) and (5) of CRR
Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR




093


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.




096


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 CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.




097


2C   Deferred Tax Assets subject to a risk weight of 0 %

Article 469(1) lit. d, 470, 472 (5) and 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 Articles 469(1) lit. d and 470 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.




100 


3.   IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR
This item shall only be reported by IRB institutions.




110 


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 of CRR
This item shall only be reported by IRB institutions.




120


3.1.1.   General credit risk adjustments

Article 159 of CRR
This item shall only be reported by IRB institutions.




130


3.1.2.   Specific credit risk adjustments

Article 159 of CRR
This item shall only be reported by IRB institutions.




131


3.1.3.   Additional value adjustments and other own funds reductions

Articles 34, 110 and 159 of CRR
This item shall only be reported by IRB institutions.




140 


3.2.   Total expected losses eligible

Articles 158(5), (6) and (10), and 159 of CRR
This item shall only be reported by IRB institutions. Only the expected loss related to non-defaulted exposures shall be reported.




145


4   IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures

Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR
This item shall only be reported by IRB institutions.




150


4.1.   Specific credit risk adjustments and positions treated similarily

Article 159 of CRR
This item shall only be reported by IRB institutions.




155


4.2.   Total expected losses eligible

Articles 158(5), (6) and (10), and 159 of CRR
This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.




160


5   Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

Article 62 point (d) of CRR
For IRB institutions, according to Article 62 point (d) of CRR, 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.
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.




170


6   Total gross provisions eligible for inclusion in T2 capital

Article 62 point (c) of 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.




180


7   Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

Article 62 point (c) of CRR
According to Article 62 point (c) of 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.




190


8   Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

Article 46(1) point (a) of 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 %..




200


9   10 % CET1 threshold

Article 48(1) points (a) and (b) of CRR
This item contains the 10 % 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.
The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.




210


10   17,65 % CET1 threshold

Article 48(1) of 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 calculated so that the amount of the two items that is recognised must 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 provisions.




225


11.1.   Eligible capital for the purposes of qualifying holdings outside the financial sector

Article 4(1)(71)(a)




226


11.2.   Eligible capital for the purposes of large exposures

Article 4(1)(71)(b)




230


12   Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 44 to 46 and 49 of CRR




240


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 of CRR




250 


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 of 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 according to article 36(1) point (g) of CRR








260


12.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 45 of CRR
Article 45 of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




270


12.2.   Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(114), 44 and 45 of CRR




280


12.2.1.   Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(114), 44 and 45 of 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 article 36(1) point (g) of CRR shall not be included




290


12.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Articles 4(1)(114) and 45 of CRR
Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




291


12.3.1.   Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 44 and 45 of CRR




292


12.3.2.   Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 44 and 45 of CRR




293


12.3.3.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 45 of CRR




300


13   Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 58 to 60 of CRR




310


13.1.   Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 58, 59 and 60(2) of CRR




320


13.1.1.   Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 58 and 60(2) of 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 according to article 56 point (b) of CRR








330


13.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 59 of CRR
Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




340


13.2.   Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(114), 58 and 59 of CRR




350


13.2.1.   Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(114), 58 and 59 of 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 article 56 point (b) of CRR shall not be included




360


13.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Articles 4(1)(114) and 59 of CRR
Article 59 (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




361


13.3.   Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 58 and 59 of CRR




362


13.3.1.   Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 58 and 59 of CRR




363


13.3.2.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 59 of CRR




370


14.   Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 68 to 70 of CRR




380


14.1.   Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 68, 69 and 70(2) of CRR




390


14.1.1.   Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 68 and 70(2) of 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 according to article 66 point (b) of CRR








400


14.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 69 of CRR
Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




410


14.2.   Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Article 4(1)(114), 68 and 69 of CRR




420


14.2.1.   Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(114), 68 and 69 of 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 article 66 point (b) of CRR shall not be included




430 


14.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Articles 4(1)(114) and 69 of CRR
Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




431


14.3.   Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 68 and 69 of CRR




432


14.3.1.   Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 68 and 69 of CRR




433


14.3.2.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 69 of CRR




440


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 of CRR




450


15.1.   Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 44, 45, 47 and 49 of CRR




460


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 of 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 according to article 36(1) point (g) of CRR








470


15.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 45 of CRR
Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




480


15.2.   Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 44 and 45 of CRR




490


15.2.1.   Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 44 and 45 of 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 according to article 36(1) point (g) of CRR shall not be included.




500


15.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Articles 4(1)(114) and 45 of CRR
Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




501


15.3.   Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 44 and 45 of CRR




502


15.3.1.   Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 44 and 45 of CRR




503


15.3.2.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 45 of CRR




510


16   Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 58 and 59 of CRR




520


16.1.   Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 58 and 59 of CRR




530


16.1.1.   Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

Article 58 of 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 (Article 56 point (d); and










b)


Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR








540


16.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 59 of CRR
Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




550


16.2.   Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 58 and 59 of CRR




560


16.2.1.   Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 58 and 59 of 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 according to article 56 point (b) of CRR shall not be included.




570


16.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Article 4(1)(114) and 59 of CRR
Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




571


16.3.   Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 58 and 59 of CRR




572


16.3.1.   Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 58 and 59 of CRR




573


16.3.2.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 59 of CRR




580


17   Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 68 and 69 of CRR




590


17.1.   Direct holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 68 and 69 of CRR




600


17.1.1.   Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

Article 68 of 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 (Article 66 point (d); and










b)


Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR








610


17.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 69 of CRR
Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




620


17.2.   Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 68 and 69 of CRR




630


17.2.1.   Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 68 and 69 of 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 according to article 66 point (b) of CRR shall not be included




640


17.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Articles 4(1)(114), 69 of CRR
Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.




641


17.3.   Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 68 and 69 of CRR




642


17.3.1.   Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 68 and 69 of CRR




643


17.3.2.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 69 of CRR




650


18   Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital

Article 46(4), 48(4) and 49(4) of CRR




660


19   Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital

Article 60(4) of CRR




670


20   Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital

Article 70(4) of CRR




680


21   Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 of 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, 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 12.1.




690


22   Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of 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, 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 15.1.




700


23   Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 of 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.




710


24   Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of 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.




720


25   Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 of CRR
A competent authority may waive on a temporary basis 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 these instruments shall also be reported on item 14.1.




730


26   Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of CRR
A competent authority may waive on a temporary basis 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 these instruments shall also be reported on item 17.1.




740


27   Combined buffer requirement

Article 128 point (6) of CRD




750



Capital conservation buffer

Articles 128 point (1) and 129 of CRD
According to Article 129(1) 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.




760



Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State

Article 458(2) point d (iv) of CRR
In this cell 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 according to 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.




770



Institution specific countercyclical capital buffer

Articles 128 point (2), 130, 135-140 of CRD
The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.




780



Systemic risk buffer

Articles 128 point (5), 133 and 134 of CRD
The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.




800 



Global Systemically Important Institution buffer

Articles 128 point (3) and 131 of CRD
The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.




810



Other Systemically Important Institution buffer

Articles 128 point (4) and 131 of CRD
The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.




820


28   Own funds requirements related to Pillar II adjustments

Article 104(2) of 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 cell.




830


29   Initial capital

Articles 12, 28 to 31of CRD and Article 93 of CRR




840


30   Own funds based on Fixed Overheads

Articles 96(2) point (b), 97 and 98(1) point (a) of CRR




850


31   Non-domestic original exposures

Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this 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.




860


32   Total original exposures

Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this 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.




870



Adjustments to total own funds

Article 500(4) of CRR
The difference between the amount reported in position 880 and the total own funds pursuant to CRR has to be reported in this position.
If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.




880



Own funds fully adjusted for Basel I floor

Article 500(4) of CRR
Total own funds pursuant to CRR adjusted as required by Article 500(4) of CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Directive 93/6/EEC and Directive 2000/12/EC as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Part Three, Title II, Chapter 3, of CRR) have to be reported in this position.
If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.




890



Own funds requirements for Basel I floor

Article 500(1) point (b) of CRR
The amount of own funds required by Article 500(1)(b) of CRR to be hold (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC as that Directive and Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions as those Directives stood prior to January 2007) has to be reported in this position.




900



Own funds requirements for Basel I floor — SA alternative

Article 500(2) and (3) of CRR
The amount of own funds required by Article 500(2) of CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 2, and Part Three, Title III, Chapter 2 or 3 of CRR, as applicable, instead of in accordance with Part Three, Title II, Chapter 3, or Part Three, Title III, Chapter 4 of CRR, as applicable) has to be reported in this position.




910



Deficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative

Articles 500(1) point (b) and 500 (2) CRR
This row has to be filled with:






—


if Article 500(1)(b) CRR is applied and row 880 < row 890: the difference between row 890 and row 880










—


or if Article 500(2) CRR is applied and row 010 of C 01.00 < row 900 of C 04.00: the difference between row 900 of C 04.00 and row 010 of C 01.00








1.6.   TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)
1.6.1.   General remarks








15.


CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR.












16.


CA5 is structured as follows:






(a)


Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table 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.
















17.


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 050 and the eligible amount without the recognition of transitional provisions in column 060.












18.


Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.












19.


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)








20.


Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.












21.


Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.












22.


Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR).












23.


In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions.












24.


There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This 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 do not include any spill-over effects in the case of insufficient capital available.




1.6.2.1.   Instructions concerning specific positions






Columns




010



Adjustments to CET1





020



Adjustments to AT1





030



Adjustments to T2





040



Adjustments included in RWAs

Column 040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) of 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 Art. 92 (4) of CRR. This means that transitional amounts subject to provisions of 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 010 to 030 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 040 of CA5.1. As a consequence, those amounts are only memorandum items.




050



Applicable percentage





060



Eligible amount without transitional provisions

Column 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments.













Rows




010


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 these adjustments




020


1.1.   Grandfathered instruments

Articles 483 to 491 of CRR
This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.




030


1.1.1.   Grandfathered instruments: Instruments constituting state aid

Article 483 CRR




040


1.1.1.1.   Instruments that qualified as own funds according to 2006/48/EC

Article 483(1) (2), (4) and (6) of CRR




050


1.1.1.2.   Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

Article 483(1), (3), (5), (7) and (8) of CRR




060


1.1.2.   Instruments not constituting state aid

The amounts to be reported shall be obtained from column 060 of table CA 5.2.




070


1.2.   Minority interests and equivalents

Articles 479 and 480 of 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.




080


1.2.1.   Capital instruments and items that do not qualify as minority interests

Articles 479 of 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.




090


1.2.2.   Transitional recognition in consolidated own funds of minority interests

Articles 84 and 480 of CRR
The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.




091


1.2.3.   Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital

Article 85 and 480 of CRR
The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.




092


1.2.4.   Transitional recognition in consolidated own funds of qualifying Tier 2 capital

Article 87 and 480 of CRR
The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.




100


1.3.   Other transitional adjustments

Articles 467 to 478 and 481 of 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.




110


1.3.1.   Unrealised gains and losses

Articles 467 and 468 of CRR
This row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value.




120


1.3.1.1.   Unrealised gains

Article 468(1) of CRR




130


1.3.1.2.   Unrealised losses

Article 467(1) of CRR




133


1.3.1.3.   Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

Article 468 of CRR




136


1.3.1.4.   Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

Article 467 of CRR




138


1.3.1.5.   Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities

Article 468 of CRR




140


1.3.2.   Deductions

Articles 36(1), 469 to 478 of CRR
This row reflects the overall effect of transitional provisions on deductions.




150


1.3.2.1.   Losses for the current financial year

Articles 36(1) point (a), 469 (1), 472 (3) and 478 of CRR
The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR.
Where firms have only been required to deduct material losses:






—


where the total interim net loss was “material”, the full residual amount would be deducted from Tier 1, or










—


where the whole total interim net loss was not “material”, no deduction of residual amount would be made.








160


1.3.2.2.   Intangible assets

Articles 36(1) point (b), 469 (1), 472 (4) and 478 of CRR
When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR.
The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(b) of CRR.




170


1.3.2.3.   Deferred tax assets that rely on future profitability and do not arise from temporary differences

Articles 36(1) point (c), 469 (1), 472 (5) and 478 of 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 of CRR relating to the reduction of DTA by deferred tax liabilities.
The amount to be reported in column 060 of this row: Total amount according to Article 469(1) of CRR.




180


1.3.2.4.   IRB shortfall of provisions to expected losses

Articles 36(1) point (d), 469 (1), 472 (6) and 478 of CRR
When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR.
The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(d) of CRR




190


1.3.2.5.   Defined benefit pension fund assets

Articles 33(1) point (e), 469 (1), 472 (7), 473 and 478 of CRR
When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR.
The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(e) of CRR




194


1.3.2.5.*   of which: Introduction of amendments to IAS 19 – positive item

Article 473 of CRR




198


1.3.2.5.**   of which: Introduction of amendments to IAS 19 – negative item

Article 473 of CRR




200


1.3.2.6.   Own instruments

Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR




210


1.3.2.6.1.   Own CET1 instruments

Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR
When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR.
Given that the treatment of the “residual amount” differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to “direct” and “indirect” holdings.
The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR.




211


1.3.2.6.1**   of which: Direct holdings

Article 469(1)(b), 472 (8) (a) of CRR
The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.




212


1.3.2.6.1*   of which: Indirect holdings

Article 469(1)(b), 472 (8) (b) of CRR
The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.




220


1.3.2.6.2.   Own AT1 instruments

Articles 56 point (a), 474, 475(2) and 478 of CRR
When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR.
Given that the treatment of the “residual amount” differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to “direct” and “indirect” own Additional Tier 1 holdings.
The amount to be reported in column 060 of this row: Original deduction according to Article 56 (a) of CRR.




221


1.3.2.6.2**   of which: Direct holdings

The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 474 (b) and 475 (2) (a) of CRR.




222


1.3.2.6.2*   of which: Indirect holdings

The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 474 (b), 475 (2) (b) of CRR.




230


1.3.2.6.3.   Own T2 instruments

Articles 66 point (a), 476, 477(2) and 478 of CRR
When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR.
Given that the treatment of the “residual amount” differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to “direct” and “indirect” own Tier 2 holdings.
The amount to be reported in column 060 of this row: Original deduction0 according to Article 66 (a) of CRR.




231



of which: Direct holdings

The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (a) of CRR




232



of which: Indirect holdings

The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (b) of CRR




240


1.3.2.7.   Reciprocal cross holdings

Given that the treatment of the “residual amount” differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475 (3) and 477 (3) of CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments.




250


1.3.2.7.1.   Reciprocal cross holdings in CET1 Capital

Articles 36(1) point (g), 469 (1), 472(9) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(g) of CRR




260


1.3.2.7.1.1.   Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

Articles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR




270


1.3.2.7.1.2.   Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

Articles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR




280


1.3.2.7.2.   Reciprocal cross holdings in AT1 Capital

Articles 56 point (b), 474, 475(3) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction according to Article 56 (b) of CRR




290


1.3.2.7.2.1.   Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

Articles 56 point (b), 474, 475(3) point (a) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR




300


1.3.2.7.2.2.   Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

Articles 56 point (b), 474, 475(3) point (b) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR




310


1.3.2.7.3.   Reciprocal cross holdings in T2 Capital

Articles 66 point (b), 476, 477(3) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction according to Article 66 (b) of CRR




320


1.3.2.7.3.1.   Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

Articles 66 point (b), 476, 477(3) point (a) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR




330


1.3.2.7.3.2.   Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

Articles 66 point (b), 476, 477(3) point (b) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR




340


1.3.2.8.   Own funds instruments of financial sector entities where the institution does not have a significant investment





350


1.3.2.8.1.   CET1 instruments of financial sector entities where the institution does not have a significant investment

Articles 36(1) point (h), 469 (1), 472(10) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(h) of CRR




360


1.3.2.8.2.   AT1 instruments of financial sector entities where the institution does not have a significant investment

Articles 56 point (c), 474, 475(4) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction according to Article 56 (c) of CRR




370


1.3.2.8.3.   T2 instruments of financial sector entities where the institution does not have a significant investment

Articles 66 point (c), 476, 477(4) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction according to Article 66 (c) of CRR




380


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

Article 470(2) and (3) of CRR
The amount to be reported in column 060 of this row: Article 470(1) of CRR




385



Deferred tax assets that are dependent on future profitability and arise from temporary differences

Article 469(1)(c), 478 and 472(5) CRR.
Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in Article 470(2) lit. (a) CRR.




390


1.3.2.10.   Own funds instruments of financial sector entities where the institution has a significant investment





400


1.3.2.10.1.   CET1 instruments of financial sector entities where the institution has a significant investment

Articles 36(1) point (i), 469 (1), 472(11) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(i) of CRR




410


1.3.2.10.2.   AT1 instruments of financial sector entities where the institution has a significant investment

Articles 56 point (d), 474, 475(4) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction according to Article 56 (d) of CRR




420


1.3.2.10.2.   T2 instruments of financial sector entities where the institution has a significant investment

Articles 66 point (d), 476, 477(4) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction according to Article 66 (d) of CRR




425


1.3.2.11.   Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items

Article 471 of CRR




430


1.3.3.   Additional filters and deductions

Article 481 of CRR
This row reflects the overall effect of transitional provisions on additional filters and deductions.
In accordance with Article 481 of 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.




440


1.3.4.   Adjustments due to IFRS 9 transitional arrangements

Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions.




1.6.3.   C 05.02 — Grandfathered Instruments: Instruments Not Constituing State Aid (Ca5.2)








25.


Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).




1.6.3.1.   Instructions concerning specific positions






Columns




010



Amount of instruments plus related share premium

Article 484(3) to (5) of CRR
Instruments which are eligible for each respective row, including their related share premiums.




020



Base for calculating the limit

Articles 486(2) to (4) of CRR




030



Applicable percentage

Article 486(5) of CRR




040



Limit

Article 486(2) to (5) of CRR




050



(-) Amount that exceeds the limits for grandfathering

Article 486(2) to (5) of CRR




060



Total grandfathered amount

The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1.










Rows




010


1.   Instruments that qualified for point (a) of Article 57 of 2006/48/EC

Article 484(3) of CRR
The amount to be reported shall include the related share premium accounts.




020


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

Article 484(4) of CRR




030


2.1.   Total instruments without a call or an incentive to redeem

Article 484(4) and 489 of CRR
The amount to be reported shall include the related share premium accounts.




040


2.2.   Grandfathered instruments with a call and incentive to redeem

Article 489 of CRR




050


2.2.1.   Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity

Articles 489(3), and 491 point (a) of CRR
The amount to be reported shall include the related share premium accounts.




060


2.2.2.   Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

Articles 489(5), and 491 point (a) of CRR
The amount to be reported shall include the related share premium accounts.




070


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 of CRR after the date of effective maturity

Articles 489(6) and 491 point (c) of CRR
The amount to be reported shall include the related share premium accounts




080


2.3.   Excess on the limit of CET1 grandfathered instruments

Article 487(1) of CRR
The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.




090


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

Article 484(5) of CRR




100


3.1.   Total items without an incentive to redeem

Article 490 of CRR




110


3.2.   Grandfathered items with an incentive to redeem

Article 490 of CRR




120


3.2.1.   Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity

Articles 490(3), and 491 point (a) of CRR
The amount to be reported shall include the related share premium accounts.




130


3.2.2.   Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

Articles 490(5), and 491 point (a) of CRR
The amount to be reported shall include the related share premium accounts.




140


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 of CRR after the date of effective maturity

Articles 490(6) and 491 point (c) of CRR
The amount to be reported shall include the related share premium accounts.




150


3.3.   Excess on the limit of AT1 grandfathered instruments

Article 487(2) of 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








26.


Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. This template 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;
















27.


Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.












28.


The figures reported take into account all applicable transitional provisions of CRR which are applicable at the respective reporting date.




2.2.   DETAILED GROUP SOLVENCY INFORMATION








29.


The second part of this template (detailed group solvency information) in columns 070 to 210 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.












30.


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








31.


The objective of the third part of this template (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 250 to 400, 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.












32.


The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.












33.


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.












34.


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. In cases where the 1 % threshold is not exceeded a direct link to the CA template is not possible.












35.


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.












36.


It is possible for one consolidated group to be included within another consolidated group. This 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. If the subgroup is subject to reporting requirements, it 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.












37.


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. This 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




250-400



ENTITIES WITHIN SCOPE OF CONSOLIDATION

See instructions for C 06.02




410-480



CAPITAL BUFFERS

See instructions for C 06.02













Rows


Instructions




010



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




010-060



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 according to Chapter 2 of Title II of Part One of CRR.




010



NAME

Name of the entity within the scope of consolidation.




020



CODE

This code is a row identifier and shall be unique for each row in the table.
Code assigned to the entity within the scope of consolidation.
The actual composition of the code depends on the national reporting system.




025



LEI CODE

LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions.
Until the global LEI system is fully operational, pre-LEI codes are being assigned to counterparties by a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org)).
Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.




030



INSTITUTION OR EQUIVALENT (YES/NO)

“YES” shall be reported in case the entity is subject to own funds requirements according to CRR and CRD or provisions at least equivalent to Basel provisions.
“NO” shall be reported otherwise.



 Minority interests:
Articles 81(1) point (a) (ii) and 82(1) point (a) (ii) of 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 by virtue of applicable national law to the requirements of CRR.




035



TYPE OF ENTITY

The type of entity shall be reported based on the following categories:






(a)


credit institution
Article 4(1) (1) CRR;










(b)


investment firm
Article 4(1) (2) CRR;










(c)


financial institution (other)
Articles 4(1) (20), (21) and (26) CRR
Financial institutions within the meaning of Article 4(1) (26) CRR which are not included in any of the categories (d), (f) or (g);










(d)


(mixed) financial holding company
Articles 4(1) (20) and (21) CRR;










(e)


ancillary services undertaking
Article 4(1) (18) CRR;










(f)


securitisation special purpose entity (SSPE),
Article 4(1) (66) 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.




040



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.




050



COUNTRY CODE

Institutions shall report the two-letter country code according to ISO 3166-2.




060



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 Article 4(16) of CRR, the share of holding of a subsidiary of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned.




070-240



INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030).
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 be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to 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 is 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 according to Articles 95, 96, 97 and 98 of CRR.
The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.




070



TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 080 to 110 shall be reported.




080



CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

The amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 “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 490 “TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS” of the template CA2.




090



POSITION, FX AND COMMODITY RISKS

The amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 “TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS” of the template CA2.




100



OPERATIONAL RISK

The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 “TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)” of the template CA2.
Fixed overheads shall be included in this column including the row 630 “ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS” of the template CA2.




110



OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2.




120-240



DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating.




120



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 010 “OWN FUNDS” of the template CA1.




130



OF WHICH: QUALIFYING OWN FUNDS

Article 82 of CRR
This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which 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 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.




140



RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 87(1)(b) of CRR




150



TOTAL TIER 1 CAPITAL

Article 25 of CRR




160



OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 of CRR
This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which 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.




170



RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

Article 85(1)(b) of CRR




180



COMMON EQUITY TIER 1 CAPITAL

Article 50 of CRR




190



OF WHICH: MINORITY INTERESTS

Article 81 of CRR
This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis.
To the effects of CRR and this template, 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 provision. It shall be the eligible amount on the date of reporting.




200



RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 84(1)(b) of CRR




210



ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR




220



OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 of CRR
This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in Article 85(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis.
To the effects of CRR and this template, 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 provision. It shall be the eligible amount on the date of reporting.




230



TIER 2 CAPITAL

Article 71 of CRR




240 



OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 of CRR
This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in Article 87(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis.
To the effects of CRR and this template, 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 provision, i.e. it has to be the eligible amount in the date of reporting.




250-400



INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP





250-290



CONTRIBUTION TO RISKS

The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.




250 



TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 260 to 290 shall be reported.




260



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 as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation.




270



POSITION, FX AND COMMODITY RISKS

Risk exposure amounts for market risks are to be computed at each entity level following 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 corresponds to the amount reported in row 520 “TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS” of the consolidated report.




280



OPERATIONAL RISK

In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification.
Fixed overheads shall be included in this column.




290



OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above.




300-400



CONTRIBUTION TO OWN FUNDS

This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity.
Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital and/or qualifying own funds. Subject to the threshold defined in the last paragraph of Part II, chapter 2.3 above, columns 360 to 400 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, that is mainly the own funds raised from third parties and accumulated reserves.
The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.




300-350



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 of CRR, excluding any fund brought in by other group entities.




300 



QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 of CRR




310 



QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 of CRR




320 



MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 of CRR
The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to CRR.




330



QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 of CRR
The amount to be reported is the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 according to CRR.




340



QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 88 of CRR
The amount to be reported is the amount of qualifying own funds of a subsidiary that is included in consolidated T2 according to CRR.




350



MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL





360-400



CONSOLIDATED OWN FUNDS

Article 18 CRR
The amount to be reported as “CONSOLIDATED OWN FUNDS” is the amount as derived from the balance sheet, excluding any fund brought in by other group entities.




360 



CONSOLIDATED OWN FUNDS





370 



OF WHICH: COMMON EQUITY TIER 1





380 



OF WHICH: ADDITIONAL TIER 1





390



OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

The contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests.




400 



OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL

Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here.




410-480



CAPITAL BUFFERS

The structure of the reporting of capital buffers for the GS template follows 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 represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national transposition measures of CRD and on CRR, including any transitional provisions provided for therein.




410



COMBINED BUFFER REQUIREMENT

Article 128 point (6) of CRD




420 



CAPITAL CONSERVATION BUFFER

Article 128 point (1) and 129 of CRD
According to Article 129(1) 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.




430



INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Article 128 point (2), Article 130 and 135-140 of CRD
In this cell the concrete amount of the countercyclical buffer shall be reported.




440



CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

Article 458(2) point d (iv) of CRR
In this cell 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 according to Article 458 of CRR in addition to the capital conservation buffer shall be reported.




450



SYSTEMIC RISK BUFFER

Articles 128 point (5), 133 and 134 of CRD
In this cell the amount of the systemic risk buffer shall be reported.




470



GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Articles 128 point (3) and 131 of CRD
In this cell the amount of the Global Systemically Important Institution buffer shall be reported.




480



OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Articles 128 point (4) and 131 of CRD
In this cell the amount of the Other Systemically Important Institution buffer shall be reported.




3.   CREDIT RISK TEMPLATES
3.1.   GENERAL REMARKS








38.


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 as set out in Article 5(a)(4) is exceeded.




3.1.1.   Reporting of CRM techniques with substitution effect








39.


Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.












40.


Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority.












41.


Articles 196, 197 and 200 of CRR regulate the funded credit protection.












42.


Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class.












43.


The exposure type does not change because of unfunded credit protection.












44.


If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class.












45.


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 is risk weighted according to the SA approach and shall be reported in the CR SA template.




3.1.2.   Reporting of Counterparty Credit Risk








46.


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








47.


The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to 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








48.


According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements.












49.


The information in CR SA is required for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.












50.


However the following positions are not within the scope of CR SA:






(a)


Exposures assigned to exposure class “items representing securitisation positions” according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.










(b)


Exposures deducted from own funds.
















51.


The scope of the CR SA template covers the following own funds requirements:






(a)


Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;










(b)


Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;










(c)


Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.
















52.


The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94(1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only 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.












53.


In addition CR SA includes memorandum items in rows 290 to 320 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.












54.


These memorandum items shall only be reported for the following exposure classes:






(a)


Central governments or central banks (Article 112 point (a) of CRR)










(b)


Regional governments or local authorities (Article 112 point (b) of CRR)










(c)


Public sector entities (Article 112 point (c) of CRR)










(d)


Institutions (Article 112 point (f) of CRR)










(e)


Corporates (Article 112 point (g) of CRR)










(f)


Retail (Article 112 point (h) of CRR).
















55.


The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA.












56.


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”. However the figures reported are the same as used to calculate the risk weighted exposure amounts in the exposure classes “in default” or ‘secured by immovable property.












57.


E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, row 320 in the total and in the exposure class “in default”. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 320 of exposure class “institutions”.




3.2.3.   Assignment of exposures to exposure classes under the Standardised Approach








58.


In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied:






(a)


In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of 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.
















59.


The following criteria apply 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.












60.


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 mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property).












61.


Article 112 of 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 (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but 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.












62.


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 it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.












63.


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 it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process.












64.


With this background the assessment ranking in the decision tree mentioned below would 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.
















65.


In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132(3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but 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”).












66.


In the case of “nth” to default credit derivatives specified in Article 134(6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the “Other items” exposure class. In this 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) of CRR.












67.


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 ACCORDING TO CRR







Original exposure pre conversion factors


 


 




Does it fit for being assigned to the exposure class of Article 112 (m)?

YES







Securitisation positions



NO







 


 




Does it fit for being assigned to the exposure class of Article 112point (k)?

YES







Items associated with particular high risk (also see Article 128)



NO







 


 




Does it fit for being assigned to the exposure class of Article 112 point (p)?

YES







Equity exposures (also see Article 133)



NO







 


 




Does it fit for being assigned to the exposure class of Article 112 point (j)?

YES







Exposures in default



NO







 


 




Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)?

YES







Exposures in the form of units or shares in collective investment undertakings (CIU)
Exposures in the form of covered bonds (also see Article 129)
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 Article 112 point (i)?

YES







Exposures secured by mortgages on immovable property (also see Article 124)



NO







 


 




Does it fit for being assigned to the exposure class of Article 112 point (q)?

YES







Other items



NO







 


 




Does it fit for being assigned to the exposure class of Article 112 point (n)?

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 of CRR
3.2.4.1.   Exposure Class “Institutions”








68.


Reporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows:












69.


Exposures which fulfil the requirements of Article 113(7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures.












70.


According Article 113(6) and (7) of CRR “an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this 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.” This 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 undertakings within the meaning of Article 12(1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.




3.2.4.2.   Exposure Class “Covered Bonds”








71.


The assignment of SA exposures to the exposure class “covered bonds” shall be done as follows:












72.


Bonds as defined in Article 52(4) of Directive 2009/65/EC shall fulfil the requirements of Article 129(1) to (2) of CRR to be classified in the exposure class “Covered Bonds”. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class “Covered Bonds” because of Article 129(6) of CRR.




3.2.4.3.   Exposure class “Collective Investment Undertakings”








73.


Where the possibility according to Article 132(5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111(1) sentence 1 of CRR.




3.2.5.   Instructions concerning specific positions






Columns




010



ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Exposure value according to Article 111 of CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of CRR:
For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92(3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR.
Exposure values for leases are subject to Article 134(7) of CRR.
In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral.
In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220(4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.




030



(-) Value adjustments and provision associated with the original exposure


Article 24 and 111 of CRR

Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.




040



Exposure net of value adjustments and provisions

Sum of columns 010 and 030.




050 - 100



CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM.
If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.
Items to be reported here:






—


collateral, incorporated according to Financial Collateral Simple Method;










—


eligible unfunded credit protection.




Please also see instructions of point 4.1.1.




050 - 060



Unfunded credit protection: adjusted values (Ga)

Article 235 of CRR
Article 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection.




050



Guarantees

Article 203 of CRR
Unfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives.




060



Credit derivatives

Article 204 of CRR.




070 – 080



Funded credit protection

These columns refer to funded credit protection according to Article 4(58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors).
Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.




070



Financial collateral: simple method

Article 222(1) to (2) of CRR.




080



Other funded credit protection

Article 232 of CRR.




090 - 100



SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Articles 222(3), Article 235(1) to (2) and Article 236 of CRR.
Outflows 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. This 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.




110



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




120-140



CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD

Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR)
Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are 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, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.




120



Volatility adjustment to the exposure

Article 223(2) to (3) of CRR.
The amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = E*He




130 



(-) Financial collateral adjusted value (Cvam)

Article 239(2) of CRR.
For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR.
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 part 3 title II chapter 4 section 4 and 5 of CRR.




140



(-) Of which: Volatility and maturity adjustments

Article 223(1) of CRR and Article 239(2) of 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]




150



Fully adjusted exposure value (E*)

Article 220(4), Article 223(2) to (5) and Article 228(1) of CRR.




160 - 190



Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors

Article 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR.
The figures reported shall be the fully adjusted exposure values before application of the conversion factor.




200



Exposure value

Article 111 of CRR and Part 3 title II chapter 4 section 4 of 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 according to Article 113 and part 3 title II chapter 2 section 2 of CRR.




210



Of which: Arising from Counterparty Credit Risk

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.




215 



Risk weighted exposure amount pre SME-supporting factor

Article 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.




220



Risk weighted exposure amount after SME-supporting factor

Article 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR.




230



Of which: with a credit assessment by a nominated ECAI

Article 112 a) to d), f), g), l), n) o) and q) of CRR




240



Of which: with a credit assessment derived from central government

Article 112 b) to d), f), g), l) and o) of CRR













Rows


Instructions




010



Total exposures





015



of which: Defaulted exposures

Article 127 CRR
This row shall only be reported in exposure classes “Items associated with a particular high risk” and “Equity exposures”.
If an exposure is either listed in Article 128(2) of CRR or meets the criteria set in Articles 128(3) or 133 of CRR, it shall be assigned to the exposure class “Items associated with particular high risk” or “Equity exposures”. Consequently, there shall be no other allocation, even if the exposure is defaulted according to Article 127 of CRR.




020



of which: SME

All exposures to SME shall be reported here.




030



of which: Exposures subject to the SME-supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.




040



of which: Secured by mortgages on immovable property — Residential property

Article 125 of CRR.
Only reported in exposure class “Secured by mortgages on immovable property”




050



of which: Exposures under the permanent partial use of the standardised approach

Exposures treated under Article 150(1) of CRR




060



of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

Exposures treated under Article 148(1) of CRR




070-130



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.
Reporting institution's “trading book” counterparty credit risk positions according to Article 92(3) point (f) and Article 299(2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of CRR also break down their “trading book” positions 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.




070



On balance sheet exposures subject to credit risk

Assets referred to in Article 24 of CRR not included in any other category.
Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row.
Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.
Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.




080



Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise those items listed in Annex I of CRR.
Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row.
Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.




090-130



Exposures/Transactions subject to counterparty credit risk





090



Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document “The Application of Basel II to Trading Activities and the Treatment of Double Default Effects”, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) of CRR.




100



Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR.
Trade exposures to a CCP according to Article 4(91) of CRR




110 



Derivatives and Long Settlement Transactions

Derivatives comprise those contract listed in Annex II of CRR.
Long Settlement Transactions as defined in Article 272(2) of CRR.
Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row.




120



Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR
Trade exposures to a CCP according to Article 4(91) of CRR




130



From Contractual Cross Product Netting

Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) of CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row.




140-280



BREAKDOWN OF EXPOSURES BY RISK WEIGHTS





140



0  %





150



2 %

Article 306(1) of CRR




160



4 %

Article 305(3) of CRR




170



10  %





180



20  %





190



35  %





200



50  %





210



70  %

Article 232(3) point (c) of CRR.




220



75  %





230



100  %





240



150  %





250



250  %

Articles 133(2) and 48(4) CRR




260



370  %

Article 471 of CRR




270



1 250  %

Articles 133(2), 379 of CRR




280



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.
Article 113(1) to (5) of CRR.
Unrated nth to default credit derivatives under the Standardized Approach (Article 134(6) of CRR) shall be reported in this row under the exposure class “Other items”.
See also Article 124(2) and Article 152(2) point (b) of CRR.




290-320



Memorandum Items

See also the explanation of the purpose of the memorandum items in the general section of the CR SA.




290



Exposures secured by mortgages on commercial immovable property

Article 112 point (i) of CRR
This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate.




300



Exposures in default subject to a risk weight of 100 %

Article 112 point (j) of CRR.
Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.




310



Exposures secured by mortgages on residential property

Article 112 point (i) of CRR.
This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property.




320



Exposures in default subject to a risk weight of 150 %

Article 112 point (j) of 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








74.


The scope of the CR IRB template covers own funds requirements for:






i.


Credit risk in the banking book, among which:






—


Counterparty credit risk in the banking book;










—


Dilution risk for purchased receivables;














ii.


Counterparty credit risk in the trading book;










iii.


Free deliveries resulting from all business activities..
















75.


The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).












76.


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 SA, CR SEC IRB and/or CR SEC Details templates;










iii.


“Other non-obligation assets”, according to Article 147(2) point (g) 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, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are 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 is reported in the template CR GB.
















77.


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)




In any case, for the reporting of the retail portfolios “YES” has to be reported.
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 uses 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








78.


The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk 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. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:






1.


Total
(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)










2.


Central banks and central governments
(Article 147(2)(a) CRR)










3.


Institutions
(Article 147(2) point (b) CRR)










4.1)


Corporate – SME
(Article 147(2) point (c) CRR










4.2)


Corporate – Specialised lending
(Article 147(8) CRR)










4.3)


Corporate – Other
(All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).










5.1)


Retail – Secured by immovable property SME
(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).










5.2)


Retail – Secured by immovable property non-SME
(Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).










5.3)


Retail – Qualifying revolving
(Article 147(2) point (d) in conjunction with Article 154(4) CRR).










5.4)


Retail – Other SME
(Article 147(2) point (d) not reported under 5.1 and 5.3).










5.5)


Retail – Other non – SME
(Article 147(2) point (d) 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




010



INTERNAL RATING SYSTEM/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 of 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 110) 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 system 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 system or is able to report according to an internal master scale, this scale is used.
Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems 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.
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.
For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for “total exposure”). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %.




020



ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Institutions 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 of CRR and Article 166(1) and (2) and (4) to (7) of CRR.
The effect resulting from Article 166(3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure.




030



OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the original exposure pre conversion factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.




040-080



CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in “SUBSTITUTION OF THE EXPOSURE DUE TO CRM”.




040-050



UNFUNDED CREDIT PROTECTION

Unfunded credit protection: Values as they are defined in Article 4(59) of CRR.
If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.




040



GUARANTEES:

When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.
When Own estimates of LGD are used, (Article 183 of CRR, except paragraph 3), the relevant value used in the internal model shall be reported.
Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.
Regarding exposures subject to the double default treatment, the value of unfunded credit protection is re-ported in column 220.




050



CREDIT DERIVATIVES:

When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided.
When own estimates of LGD are used (Article 183 of CRR), the relevant value used in the internal modelling shall be reported.
When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160
Regarding exposures subject to the double default treatment the value of unfunded credit protection shall be reported in column 220.




060



OTHER FUNDED CREDIT PROTECTION

If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects of the exposure), it shall be capped at the exposure value.
When own estimates of LGD are not used, Article 232 of CRR shall be applied.
When own estimates of LGD are used, those credit risk mitigants that comply with the criteria in Article 212 of CRR shall be reported. The relevant value used in the internal model shall be reported.
To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170.




070-080



SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor’s exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider’s exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, obligor grades or pools.
Inflows and outflows within the same exposure classes and, when 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.




090



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.




100, 120



Of which: Off Balance Sheet Items

See CR-SA instructions




110 



EXPOSURE VALUE

The value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported.
For the instruments as defined in Annex I, the credit conversion factors (Article 166(8) to (10) of CRR) irrespective the approach chosen by the institution, are applied.
For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 “Of which: arising from counterparty credit risk”.




130



Of which: Arising from counterparty Credit Risk

See CR SA instructions.




140



OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.




150-210



CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

CRM techniques that have an impact on LGDs 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: Articles 228(2), 230 (1) and (2), 231 of CRR
Where own estimates of LGD are used:






—


Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of CRR. For retail exposures Article 164(2) of CRR.










—


Regarding funded credit protection collateral taken into account in the LGD estimates according to points (e) and (f) of Article 181(1) of CRR.








150



GUARANTEES

See instructions to column 040.




160



CREDIT DERIVATIVES

See instructions to column 050.




170



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 of CRR.




180 



ELIGIBLE FINANCIAL COLLATERAL

For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragraph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral.
When own estimates of LGD are not used: values in accordance with Article 193(1) to (4) and Article 194(1) of CRR. The adjusted value (Cvam) as set out in Article 223(2) of CRR is reported.
When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral.




190-210



OTHER ELIGIBLE COLLATERAL

Where own estimates of LGD are not used: Article 199(1) to (8) of CRR and Article 229 of CRR.
Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR.




190



REAL ESTATE

Where own estimates of LGD are not used, values in accordance with Article 199(2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199(7) of CRR). See also Article 229 of CRR.
When own estimates of LGD are used the amount to be reported shall be the estimated market value.




200



OTHER PHYSICAL COLLATERAL

Where own estimates of LGD are not used, values in accordance with Article 199(6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199(7) of CRR). See also Article 229(3) of CRR.
Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral.




210



RECEIVABLES

When own estimates of LGD are not used, values in accordance with Articles 199(5), 229 (2) of CRR are reported.
When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.




220



SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 “Guarantees” and 050 “Credit derivatives”.




230



EXPOSURE WEIGHTED AVERAGE LGD (%)

All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of 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 according to Article 161(4) of CRR.
For defaulted exposures, provisions laid down in Article 181(1) point (h) of CRR shall be considered.
The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages.
All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).
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* according to 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 110.
If own estimates of LGD are applied Article 175 and Article 181(1) and (2) of 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 according to Article 161(4) of CRR.
The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority.
Data shall not be reported for specialized lending exposures referred to in Article 153(5).
Exposure and the respective LGD's for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.




240



EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Exposure weighted average LGD (%) for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.




250



EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is 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. This means that this column shall not be filled in for the exposure class “retail”.




255



RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.
The SME-supporting factor according to Article 501 of CRR shall not be taken into account.




260



RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.
The SME-supporting factor according to Article 501 of CRR shall be taken into account.




270



OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.




280



EXPECTED LOSS AMOUNT

For the definition of Expected Loss see Article 5(3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.




290



(-) VALUE ADJUSTMENTS AND PROVISIONS

Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades.




300



NUMBER OF OBLIGORS

Articles 172(1) and (2) of CRR.
For all exposure classes with the exception of the exposure class retail and the cases mentioned in Article 172(1) lit. e, second sentence 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 Article 172(1) lit. e, second sentence 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) of 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 systems, 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).













Rows


Instructions




010



TOTAL EXPOSURES





015



of which: Exposures subject to SME-supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.




020-060


BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:




020



On balance sheet items subject to credit risk

Assets referred to in Article 24 of CRR not included in any other category.
Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.
Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.
Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.




030



Off balance sheet items subject to credit risk

Off-balance sheet positions comprise those items listed in Annex I of CRR.
Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.
Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.




040-060



Exposures/Transactions subject to counterparty credit risk





040



Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document “The Application of Basel II to Trading Activities and the Treatment of Double Default Effects”, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) of CRR.
Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.




050



Derivatives and Long Settlement Transactions

Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.




060



From Contractual Cross Product Netting

See CR SA instructions




070



EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

For exposures to corporates, institutions and Central governments and Central Banks see Article 142(1) point (6) and Article 170(1) point (c) of CRR.
For retail exposures see Article 170(3) point (b) of CRR. For Exposures arising from purchased receivables see Article 166(6) of CRR.
Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180.
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 master scale is not used. Instead, institutions shall determine the scale to be used themselves.




080



SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

Article 153(5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.




090-150



BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:





120



Of which: In category 1

Article 153(5) table 1 of CRR.




160



ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Articles 193(1) and (2), 194 (1) to (7) and 230 (3) of CRR.




170



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 Article 379(2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to Article 379(2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153(8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.




180



DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See Article 4(53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) of CRR.
According to Article 166(6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.




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




005



Obligor grade (row identifier)

This is a row identifier and shall be unique for each row on a particular sheet of the table. It shall follow the numerical order 1, 2, 3, etc.




010-300


Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1.













Row


Instructions




010-001 – 010-NNN


Values reported in these rows must be in ordered from the lower to the higher according 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 according to the PD of the obligor and not reported in this template.




3.4.   CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN








79.


All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2. Exposures to supranational organisations shall be assigned to the geographical area “other countries”.












80.


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.












81.


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.




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




010



ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Same definition as for column 010 of CR SA template




020



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” provides additional information about the obligor structure of defaulted exposures. Exposures classified as “exposures in default” in accordance with Article 112 point (j) 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” according to Article 112 points (j), (k) respectively (p) of CRR.




040



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.




050



General credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.
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 Article 62 (c) of CRR.
The amount to be reported shall be gross of tax effects.




055



Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.




060



Write-offs

Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].




070



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.




075



Exposure value

Same definition as for column 200 of CR SA template




080



RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 215 of CR SA template




090



RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 220 of CR SA template














Rows





010



Central governments or central banks

Article 112 point (a) of CRR.




020



Regional governments or local authorities

Article 112 point (b) of CRR.




030



Public sector entities

Article 112 point (c) of CRR.




040



Multilateral developments banks

Article 112 point (d) of CRR.




050



International organisations

Article 112 point (e) of CRR.




060



Institutions

Article 112 point (f) of CRR.




070



Corporates

Article 112 point (g) of CRR.




075



of which: SME

Same definition as for row 020of CR SA template




080



Retail

Article 112 point (h) of CRR.




085



of which: SME

Same definition as for row 020of CR SA template




090



Secured by mortgages on immovable property

Article 112 point (i) of CRR.




095



of which: SME

Same definition as for row 020of CR SA template




100



Exposures in default

Article 112 point (j) of CRR.




110



Items associated with particularly high risk

Article 112 point (k) of CRR.




120



Covered bonds

Article 112 point (l) of CRR.




130



Claims on institutions and corporates with a short-term credit assessment

Article 112 point (n) of CRR.




140



Collective investments undertakings (CIU)

Article 112 point (o) of CRR.




150



Equity exposures

Article 112 point (p) of CRR.




160



Other exposures

Article 112 point (q) of CRR.




170



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


 




010



ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Same definition as for column 020 of CR IRB template




030



Of which defaulted

Original exposure value for those exposures which have been classified as “defaulted exposures” according to CRR article 178.




040



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.




050



General credit risk adjustments

Credit risk adjustments according to Article 110of CRR.




055



Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.




060



Write-offs

Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].




070



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.




080



INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

Same definition as for column 010 of CR IRB template




090



EXPOSURE WEIGHTED AVERAGE LGD (%)

Same definition as for columns 230 and 240 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. Provisions laid down in Article 181(1) point (h) of CRR shall apply.
Data shall not be reported for specialized lending exposures referred to in Article 153(5).




100



Of which: defaulted

Exposure weighted LGD for those exposures which have been classified as “defaulted exposures” according to Article 178 of CRR.




105



Exposure value

Same definition as for column 110 of CR IRB template.




110



RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 255 of CR IRB template




120



Of which defaulted

Risk weighted exposure amount for those exposures which have been classified as “defaulted exposures” according to Article 178 of CRR.




125



RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 260 of CR IRB template




130



EXPECTED LOSS AMOUNT

Same definition as for column 280 of CR IRB template













Rows


 




010



Central banks and central governments

(Article 147(2)(a) CRR)




020



Institutions

(Article 147(2) point (b) CRR)




030



Corporates

(All corporates according to Article 147(2) point (c).)




042



Of which: Specialized lending (excl. SL subject to slotting criteria)

(Article 147(8) a CRR)
Data shall not be reported for specialized lending exposures referred to in Article 153(5).




045



Of which: Specialized lending subject to slotting criteria

Articles 147(8) lit. a and 153(5) CRR




050



Of which: SME

(Article 147(2) point (c) CRR)




060



Retail

All Retail exposures according to Article 147(2) point (d)




070



Retail – Secured by real estate property

Exposures reflecting Article 147(2) point (d) CRR which are secured by real estate.




080



SME

Retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR which are secured by real estate.




090



non-SME

Retail exposures reflecting Article 147(2) point (d) CRR which are secured by real estate.




100



Retail – Qualifying revolving

(Article 147(2) point (d) in conjunction with Article 154(4) CRR).




110



Other Retail

Other retail exposures according to Article 147(2) point (d) not reported in rows 070 - 100.




120



SME

Other retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR.




130



non-SME

Other retail exposures reflecting Article 147(2) point (d) CRR.




140 



Equity

Equity exposures reflecting Article 147(2) point (e) CRR.




150 



Total exposures





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








82.


This table 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 Part Three, Title II and Title IV of CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).












83.


Information in template C 09.04 shall be reported for the “Total” of relevant credit exposures across all jurisdictions where these 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.












84.


The threshold set in Article 5 (a) (4) of this Regulation shall not apply for the reporting of this breakdown.












85.


In order to determine the geographical location, the exposures are allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 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. Therefore CRM techniques do 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


 




010



Amount

The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.




020



Percentage





030



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


 




010-020



Relevant credit exposures – Credit risk

Relevant credit exposures defined in accordance with Article 140(4)(a) CRD.




010



Exposure value under the Standardised Approach

Exposure value determined in accordance with Article 111 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.
The exposure value of securitisation positions in the banking book under the Standardised Approach shall be excluded from this row and reported in row 050.




020



Exposure value under the IRB Approach

Exposure value determined in accordance with Article 166 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.
The exposure value of securitisation positions in the banking book under the IRB Approach shall be excluded from this row and reported in row 060




030-040



Relevant credit exposures – Market risk

Relevant credit exposures defined in accordance with Article 140(4)(b) CRD.




030



Sum of long and short positions of trading book exposures for standardised approaches

Sum of net long and net short positions according to Article 327 CRR of relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 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, and










—


exposures to CIUs if capital requirements are calculated according to Article 348 CRR.








040



Value of trading book exposures under internal model approaches

For relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 and Chapter 5 CRR, the sum of the following shall be reported:






—


Fair value of non-derivative positions, that represent relevant credit exposures as defined in Article 140(4)(b) CRD, determined in accordance with Article 104 CRR.










—


Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) CRD.








050-060



Relevant credit exposures – Securitisation positions in the banking book

Relevant credit exposures defined in accordance with Article 140(4)(c) CRD.




050



Exposure value of securitisation positions in the banking book under the Standardised Approach

Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.




060



Exposure value of securitisation positions in the banking book under the IRB Approach

Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.




070-110



Own funds requirements and weights





070



Total own funds requirements for CCB

The sum of rows 080, 090 and 100.




080



Own funds requirements for relevant credit exposures – Credit risk

Own funds requirements determined in accordance with Part Three, Title II, Chapter 1 to 4 and Chapter 6 CRR for relevant credit exposures, defined in accordance with Article 140(4)(a) of 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 100.
The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 1 to 4 and Chapter 6 of CRR.




090



Own funds requirements for relevant credit exposures – Market risk

Own funds requirements determined in accordance with Part Three, Title IV, Chapter 2 of CRR for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of CRR for incremental default and migration risk for relevant credit exposures, defined in accordance with Article 140(4)(b) of CRD, in the country in question.
The own funds requirements for relevant credit exposures under the market risk framework include, among others, the own fund requirements for securitisation positions under Part Three, Title IV, Chapter 2 CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.




100



Own funds requirements for relevant credit exposures – Securitisation positions in the banking book

Own funds requirements determined in accordance with Part Three, Title II, Chapter 5 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD in the country in question.
The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 5 CRR.




110



Own funds requirements weights

The weight applied to the countercyclical buffer rate in each country is calculated as a ratio of own fund requirements, determined as follows:






1.


Numerator: The total own funds requirements that relates to the relevant credit exposures in the country in question [r070; c010 country sheet],










2.


Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of CRD [r070; c010; “Total”].




Information on the Own fund requirements weights shall not be reported for the “Total” of all countries.




120-140



Countercyclical buffer rates





120 



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 Article 136, 137, 138 and 139 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.




130



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 Article 137, 138, 139 and Article 140(1), (2) and (3) CRD. Countercyclical 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 institution shall not be reported for the “Total” of all countries.




140



Institution-specific countercyclical capital buffer rate

Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) CRD.
The institution-specific countercyclical capital buffer rate is 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 Article 139(2) or (3) CRD. The relevant countercyclical buffer rate is reported in [r120; c020; country sheet], or [r130; c020; country sheet] as applicable.
The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements, and is reported in [r110; c020; 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.




150 - 160



Use of the 2 % threshold





150



Use of 2 % threshold for general credit exposure

In accordance with Article 2(5)(b) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, whose aggregate 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 is calculated by excluding the general credit exposures located in accordance with Article 2(5) point (a) 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 table 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.




160



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, if 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 table 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.




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








86.


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.












87.


The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR.












88.


According to Article 147(6) of 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; or










(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).
















89.


Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template.












90.


In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR:






—


the Simple Risk Weight approach,










—


the PD/LGD approach, or










—


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 according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))).












91.


The following equity claims shall not be reported in the CR EQU IRB template:






—


Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).










—


Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:










—


Grandfathered equity exposures according to Article 495(1) of CRR,










—


Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of 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 (Article 150(1) point (h) of CRR).










—


Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of “other non credit-obligation assets” (in accordance with Article 155(1) of CRR).










—


Equity claims deducted from own funds in accordance with Articles 46 and 48 of CRR.








3.5.2.   Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)






Columns




005



OBLIGOR GRADE (ROW IDENTIFIER)

The obligor grade is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.




010



INTERNAL RATING SYSTEM


PD ASSIGNED TO THE OBLIGOR GRADE (%)

Institutions applying the PD/LGD approach report in column 010 the probability of default (PD) calculated in accordance with the provisions referred to in Article 165(1) of CRR.
The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements as laid down in Part Three, Title II, Chapter 3, Section 6 of 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 system 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 060) shall be used for weighting purposes.




020



ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Institutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of 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 also include in column 020 off balance sheet items referred to in Annex I of 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) also consider the offsetting provisions referred to in Article 155(2) of CRR.




030-040



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 recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.




050



CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE


SUBSTITUTION OF THE EXPOSURE DUE TO CRM


(-) TOTAL OUTFLOWS

Institutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.




060



EXPOSURE VALUE

Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR).
As a reminder, in the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of CRR).




070



EXPOSURE WEIGHTED AVERAGE LGD (%)

Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR.




080



RISK WEIGHTED EXPOSURE AMOUNT

Institutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR.
In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of 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) of CRR).




090



MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

Institutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR.












92.


In accordance with Article 155 of 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 according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach).










Rows




CR EQU IRB 1 — row 020,



PD/LGD APRROACH: TOTAL

Institutions applying the PD/LGD approach (Article 155(3) of CRR) shall report the required information in row 020 of the CR EQU IRB 1 template.




CR EQU IRB 1 — rows 050- 090



SIMPLE RISK WEIGHT APPROACH: TOTAL


BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:

Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) shall report the required information according to the characteristics of the underlying exposures in rows 050 to 090.




CR EQU IRB 1 — row 100



INTERNAL MODELS APPROACH

Institutions applying the Internal Models approach (Article 155(4) of CRR) shall report the required information in row 100.




CR EQU IRB 1 — row 110



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 according to 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) of CRR, as well as










—


equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR




shall be reported in row 110.




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) of CRR) shall report the required information in the CR EQU IRB 2 template.
In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems 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








93.


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 according to Articles 92(3) point (c) ii) and 378 of CRR.












94.


Institutions 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.












95.


According to Article 378 of 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 settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.












96.


In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This 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.












97.


Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.












98.


According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.












99.


Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).




3.6.2.   Instructions concerning specific positions






Columns




010



UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices.
All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.




020



PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

In accordance with Article 378 of CRR, institutions report in column 020 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.
Only unsettled transactions at a loss after the due settlement date shall be reported in column 020




030



OWN FUNDS REQUIREMENTS

Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.




040



TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.













Rows




010



Total unsettled transactions in the Non-trading Book

Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR).
Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.
Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.
Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).




020 to 060


Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060.
No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.




070



Total unsettled transactions in the Trading Book

Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR).
Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.
Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.
Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).




080 to 120



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 report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120.
No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.




3.7.   C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
3.7.1.   General remarks








100.


The information in this template shall be submitted with regard to all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Standardised Approach. On reporting reference dates that are after 1 January 2019, securitisations the risk weighted exposure amount of which is determined based on the revised securitisation framework shall not be reported in this template, but only in template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions, which are subject to a 1 250 % risk weight in accordance with the revised securitisation framework and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of CRR, shall not be reported in this template, but only in template C 01.00.












100a.


For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR shall be read as references to CRR in the version applicable on 31 December 2018.












100b.


The information to be reported is contingent on the role of the institution in the context of a securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.












101.


The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242(10) and (11) of CRR, respectively.




3.7.2.   Instructions concerning specific positions






Columns




010



TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

Originator institutions must 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 the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR.




020-040



SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Following the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch.




020



(-) FUNDED CREDIT PROTECTION (CVA)

The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR.




030



(-) 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 relevant for 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 established in Article 233(3) of CRR.




040



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.




050



SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Securitisation positions held by the reporting institution, calculated according to Article 246(1)(a), (c) and (e), and (2) of CRR, without applying credit conversion factors and any credit risk adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.
Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered.
In case of early amortization clauses, institutions must specify the amount of “originator’s” interest’ as defined in Article 256(2) of CRR.
In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.




060



(-) VALUE ADJUSTMENTS AND PROVISIONS

Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized 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 exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.




070



EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

Securitisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors.
This piece of information is related to column 040 of the CR SA Total template.




080-110



CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Article 4(57) and Part Three, Title II, Chapter 4 of CRR.
This block of columns gathers 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).
See CR SA instructions (Reporting of CRM techniques with substitution effect).




080



(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)

Unfunded credit protection is defined in Article 4(59) and regulated in Article 235 of CRR.
See CR SA instructions (Reporting of CRM techniques with substitution effect).




090



(-) FUNDED CREDIT PROTECTION

Funded credit protection is defined in Article 4(58) and regulated in Articles 195, 197 and 200 of CRR.
Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral.
See CR SA instructions (Reporting of CRM techniques with substitution effect).




100-110



SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.




100 



(-) TOTAL OUTFLOWS

Articles 222(3) and 235 (1) and (2).
Outflows correspond to the covered part of the “Exposure net of value adjustments and provisions”, that is deducted from the obligor’s exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, when relevant, risk weight or obligor grade.
This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, risk weights or obligor grades.
This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template.




110



TOTAL INFLOWS

Securitisation positions which are debt securities and are eligible financial collateral according to Article 197(1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.
This piece of information is related to column 100 (Total Inflows) of the CR SA Total template.




120



NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure 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”.
This piece of information is related to column 110 of the CR SA Total template.




130



(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

This item also includes credit linked notes (Article 218 of CRR).
This piece of information is related to columns 120 and 130 of the CR SA Total template.




140



FULLY ADJUSTED EXPOSURE VALUE (E*)

Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point (c) of CRR.
This piece of information is related to column 150 of the CR SA Total template.




150-180



BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100 % unless otherwise specified in CRR.
See columns 160 to 190 of the CR SA Total template.
For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %,]0 %, 20 %],]20 %, 50 %] and]50 %, 100 %].




190



EXPOSURE VALUE

Securitisation positions according to Article 246 of CRR.
This piece of information is related to column 200 of the CR SA Total template.




200



(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1 250  % risk weight is assigned, 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.




210 



EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

Exposure value minus the exposure value deducted from own funds.




220-320



BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS





220-260



RATED

Article 242(8) of CRR defines rated positions.
Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR.




270



1 250  % (UNRATED)

Article 242(7) of CRR defines unrated positions.




280 



LOOK-THROUGH

Articles 253, 254 and 256(5) of CRR.
The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).




290



LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP

Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR.
Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme.




300



LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%)

Exposure value weighted average risk weight shall be provided.




310



INTERNAL ASSESSMENT APPROACH (IAA)

Articles 109(1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach.




320



IAA: AVERAGE RISK WEIGHT (%)

Exposure value weighted average risk weight shall be provided.




330



RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of 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.




340



OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch.




350



OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Articles 14(2), 406(2) and 407 of CRR require that whenever certain requirements in Articles 405, 406 or 409 of CRR are not met by the institution, Member States shall ensure that the competent authorities 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 Part Three, Title II, Chapter 5, Section 3 of CRR. Such an additional risk weight may not only be imposed to investor institutions, but also to originators, sponsors and original lenders.




360



ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250  % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.




370-380



TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (column 370)/after (column 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR.




390



MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION 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.












102.


The CR SEC SA 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 is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.












103.


Positions treated according to the ratings based method and unrated positions (exposures at reporting date) shall also be broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.










Rows




010



TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.




020



OF WHICH: RE-SECURITISATIONS

Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.




030



ORIGINATOR: TOTAL EXPOSURES

This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.




040-060



ON-BALANCE SHEET ITEMS

Article 246(1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments.
On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060).




070-090



OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows 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 figure unless otherwise specified.
The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.
For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.
For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.
Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR.




100



EARLY AMORTISATION

This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR.




110



INVESTOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.
CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.




120-140



ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.




150-170



OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.




180



SPONSOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows the information regarding its own securitised assets.




190-210



ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.




220-240



OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.




250-290



BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

These rows gather information on outstanding positions treated according to the ratings based method and unrated positions (at reporting date) according to credit quality steps (envisaged for the SA in Article 251 (Table 1) of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.
These rows are only to be reported for columns 190, 210 to 270 and columns 330 to 340.




3.8.   C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
3.8.1.   General remarks








104.


The information in this template is required for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach. On reporting reference dates that are after 1 January 2019, securitisations the risk weighted exposure amounts of which is determined based on the revised securitisation framework shall not be reported in this template, but only template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions, which are subject to a 1 250 % risk weight in accordance with the revised securitisation framework and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of CRR, shall not be reported in this template, but only in template C 01.00.












104a.


For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR shall be read as references to CRR in the version applicable on 31 December 2018.












105.


The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.












106.


The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.




3.8.2.   Instructions concerning specific positions






Columns




010



TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

For the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date.
See column 010 of CR SEC SA.




020-040



SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Articles 249 and 250 of CRR.
Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.




020



(-) FUNDED CREDIT PROTECTION (CVA)

The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR.




030



(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

Following the general rule for “inflows” and “outflows” the amounts reported under column 030 of the CR SEC IRB template shall appear as “inflows” in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for 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 established in Article 233(3) of CRR.




040



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.




050



SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Securitisation positions held by the reporting institution, calculated according to Article 246(1)(b), (d) and (e), and (2) of CRR, without applying credit conversion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.
Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitized positions are not considered.
In case of early amortisation clauses, institutions must specify the amount of “originator’s” interest’ as defined in Article 256(2) of CRR.
In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.




060-090



CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

See Article 4(1)(57) and Part Three, Title II, Chapter 4 of CRR.
This block of columns gathers 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).




060



(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)

Unfunded credit protection is defined in Article 4(1)(59) of CRR.
Article 236 of CRR describes the computation procedure of GA in the case of full protection/partial protection — equal seniority.
This piece of information is related to columns 040 and 050 of the CR IRB template.




070



(-) FUNDED CREDIT PROTECTION

Funded credit protection is defined in Article 4(1)(58) of CRR.
Since the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column.
This piece of information is related to column 060 of the CR IRB template.




080-090



SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.




080



(-) TOTAL OUTFLOWS

Article 236 of CRR.
Outflows correspond to the covered part of the “Exposure net of value adjustments and provisions”, that is deducted from the obligor’s exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, when relevant, risk weight or obligor grade.
This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, risk weights or obligor grades.
This piece of information is related to column 070 of the CR IRB template.




090



TOTAL INFLOWS

This piece of information is related to column 080 of the CR IRB template.




100



EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure 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”.
This piece of information is related to column 090 of the CR IRB template.




110



(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

Articles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR).




120



FULLY ADJUSTED EXPOSURE VALUE (E*)

Securitisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point (c) of CRR.




130-160



BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion figure. This conversion figure shall be 100 % unless otherwise specified.
In this respect, Article 4(1)(56) of CRR defines conversion factor.
For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, (0 %, 20 %], (20 %, 50 %] and (50 %, 100 %].




170



EXPOSURE VALUE

Securitisation positions according to Article 246 of CRR.
This piece of information is related to column 110 of the CR IRB template.




180



(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

Article 266(3) of CRR foresees that in case of a securitisation position in respect of 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.




190



EXPOSURE VALUE SUBJECT TO RISK WEIGHTS





200-320



RATINGS BASED METHOD (CREDIT QUALITY STEPS)

Article 261 of CRR.
IRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating.
Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the IRB Approach Article 261(1) Table 4 of CRR.




330



SUPERVISORY FORMULA METHOD

For the Supervisory Formula Method (SFM), Article 262 of CRR.
The risk weight for a securitisation position shall be the greater of 7 % or the risk weight to be applied in accordance with the formulas provided.




340



SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT

Credit risk mitigation on securitisation positions may be recognised in accordance with Article 264 of CRR. In this case, the institution shall indicate the “effective risk weight” of the position when full protection has been received, according to what is established in Article 264(2) of CRR (the effective risk weight equals the risk-weighted exposure amount of the position divided by the exposure value of the position, multiplied by 100).
When the position benefits from partial protection, the institution must apply the Supervisory Formula Method using the “T” adjusted according to what is established in Article 264(3) of CRR.
Weighted average risk weights shall be reported in this column.




350



LOOK-THROUGH

The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (highest risk weight of the pool).
Article 263(2) and (3) of CRR envisage an exceptional treatment where Kirb cannot be calculated.
The undrawn amount of the liquidity facilities shall be reported under “Off balance sheet items and derivatives”.
As long as an originator would be under the exceptional treatment where Kirb cannot be calculated, then column 350 would be the right column to use for the reporting of the risk weighting treatment given to the exposure value of a liquidity facility subject to the treatment laid down in Article 263 of CRR.
For early amortisations see Articles 256(5) and 265 of CRR.




360



LOOK-THROUGH: AVERAGE RISK WEIGHT

Exposure value weighted average risk weight shall be provided.




370 



INTERNAL ASSESSMENT APPROACH

Article 259(3) and (4) of CRR envisages the “Internal Assessment Approach” (IAA) for positions in ABCP programmes.




380 



IAA: AVERAGE RISK WEIGHT

Weighted average risk weights shall be reported in this column.




390 



(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS

Institutions applying the IRB Approach shall follow Article 266(1) (only applicable for originators, when the exposure has not been deducted from own funds) and (2) of CRR.
Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized 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 exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.




400



RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of 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.




410



RWEA OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.




420



OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Articles 14(2), 406(2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities 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 Part Three, Title II, Chapter 5, Section 3 of CRR.




430



ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250  % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.




440-450



TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col 440)/after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered.




460



MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION 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.












107.


The CR SEC IRB 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 is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations.












108.


Positions treated according to the ratings based method and unrated positions (exposures at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.










Rows




010



TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.




020



OF WHICH: RE-SECURITISATIONS

Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.




030



ORIGINATOR: TOTAL EXPOSURES

This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.




040-090



ON-BALANCE SHEET ITEMS

Article 246(1) lit b) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the IRB Approach, the exposure value of an on-balance sheet securitisation position shall be the accounting value without taking into account any credit risk adjustments made.
On-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 050-070, and re-securitisations (D-E), in rows 080-090, as stated in Article 261(1) Table 4 of CRR.




100-150



OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows 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 of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.
For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.
For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.
Off-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 110-130, and re-securitisations (D-E), in rows 140-150, as stated in Article 261(1) Table 4 of CRR.




160



EARLY AMORTISATION

This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR.




170



INVESTOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.
CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.




180-230



ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here.




240-290



OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.




300 



SPONSOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets.




310-360



ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here.




370-420



OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.




430-540



BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

These rows gather information on outstanding positions treated according to the ratings based method and unrated positions (at reporting date) according to credit quality steps (envisaged for the IRB in Article 261 Table 4 of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.
These rows are only to be reported for columns 170, 190 to 320 and columns 400 to 410.




3.9.   C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
3.9.1.   General remarks








109.


This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, 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.












110.


This template is to be reported for:






a.


Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, 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 405 of CRR.










b.


Securitisations originated/sponsored by the reporting institution during the year of report (1), in case it holds no position.










c.


Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.










d.


Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
















111.


This template shall be reported by consolidated groups and stand-alone institutions (2) 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.












112.


On account of Article 406(1) of CRR, 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 is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.












113.


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.




3.9.2.   Instructions concerning specific positions






Columns




005



ROW NUMBER

The row number is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.




010



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.




020



IDENTIFIER OF THE SECURITISATION (Code/Name)

Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When 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.




030



IDENTIFIER OF THE ORIGINATOR (Code/Name)

The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column.
In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported.




040



SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)

Report the following abbreviations:






—


“T” for Traditional;










—


“S” for Synthetic.




The definitions of “traditional securitisation” and “synthetic securitisation” is provided in Article 242(10) and (11) of CRR.




050



ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

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.
In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet.
In case of the securitisations of liabilities originators shall not report this column.
Option “P” (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity’ continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21.




060



SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

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.




Articles 109, 243 and 244 of CRR.
This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book).
If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution.
Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation 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.




070



SECURITISATION OR RE-SECURITISATION?

According to definitions of “securitisation” and “re-securitisation” are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations:






—


“S” for securitisation;










—


“R” for re-securitisation.








075



STS SECURITISATION

Article 18 of Regulation (EU) 2017/2402
Report one of the following abbreviations







Y


–


Yes




N


–


No








080-100



RETENTION

Articles 404 to 410 of CRR.




080



TYPE OF RETENTION APPLIED

For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR:






 


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 provisions in Article 405(3) of CRR.










 


N — Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR.










 


U — In breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance.








090



% OF RETENTION AT REPORTING DATE

The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date).
Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not required.
This column shall not be reported in case codes “E” (exempted) or “N” (not applicable) are reported under column 080 (Type of retention applied).




100 



COMPLIANCE WITH THE RETENTION REQUIREMENT?

Article 405(1) of CRR.
Report the following abbreviations:







Y


–


Yes;




N


–


No.




This column shall not be reported in case codes “E” (exempted) or “N” (not applicable) are reported under column 080 (Type of retention applied).




110



ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)

Report the following abbreviations:






—


“O” for Originator;










—


“S” for Sponsor;










—


“L” for Original Lender;










—


“I” for Investor.




See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply.




120-130



NON ABCP PROGRAMS

Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130.




120



ORIGINATION DATE (mm/yyyy)

The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to 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 when the reporting entity does not hold any positions in the securitisation.




130



TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date.
In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of 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. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported.
This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.




140-220



SECURITISED EXPOSURES

Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity.




140



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 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. 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 piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.




150



INSTITUTION’S SHARE (%)

It shall be reported the 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 securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms).
This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.




160



TYPE

This column gathers information on the type of assets (“1” to “8”) or liabilities (“9” and “10”) of the securitised portfolio. The institution must report one of the following number codes:






 


1 — Residential mortgages;










 


2 — Commercial mortgages;










 


3 — Credit card receivables;










 


4 — Leasing;










 


5 — Loans to corporates or SMEs (treated as corporates);










 


6 — Consumer loans;










 


7 — Trade receivables;










 


8 — Other assets;










 


9 — Covered bonds;










 


10 — Other liabilities.




In case the pool of securitised exposures is a mix of the previous types, 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 “10” (Other liabilities) includes treasury bonds and credit linked notes.
For securitisation schemes backed by closed pools the type cannot change between reporting dates.




170



APPROACH APPLIED (SA/IRB/MIX)

This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures.
Report the following abbreviations:






—


“S” for Standardised Approach;










—


“I” for Internal Ratings Based Approach;










—


“M” for a combination of both approaches (SA/IRB).




If under SA, “P” is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template.
If under IRB, “P” is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template.
If under combination of SA and IRB, “P” is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates.
This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column.




180



NUMBER OF EXPOSURES

Article 261(1) of CRR.
This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting “I” in column 170). The institution shall report the effective number of exposures.
This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors.




190 



COUNTRY

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). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then “other countries” shall be reported.




200



ELGD (%)

The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting “I” in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR.
This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.




210



(-) VALUE ADJUSTMENTS AND PROVISIONS

Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized 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 exposures purchased when in default according to Article 166(1) of CRR. Provisions 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 case of securitisation of liabilities.
This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
Sponsors shall not report this column.




220 



OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (Kirb), as a percentage (with two decimals) on the total of securitised exposures at origination date. Kirb is defined in Article 242(4) of CRR.
This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
Sponsors shall not report this column.




230-300



SECURITISATION STRUCTURE

This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity.
In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported.




230-250



ON-BALANCE SHEET ITEMS

This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).




230



SENIOR

On reporting reference dates that are after 1 January 2019, for securitisation positions the exposure values of which are calculated in accordance with CRR: A securitisation position as defined in Article 242(6) of CRR.
For all other securitisation positions: All tranches that do not qualify as mezzanine or first loss in accordance with CRR in the version applicable on 31 December 2018 shall be included in this category.




240



MEZZANINE

On reporting reference dates that are after 1 January 2019, for securitisation positions the exposure values of which are calculated according to CRR:






—


all positions as defined in Article 242(18) of the CRR;










—


all positions which are not subject to Articles 242(6) or (17) of the CRR.




For all other securitisation positions: see Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR in the version applicable on 31 December 2018.




250



FIRST LOSS

On reporting reference dates that are after 1 January 2019, for securitisation positions the exposure values of which are calculated according to CRR: a securitisation position as defined in Article 242(17) of CRR.
For all other securitisation positions: first loss tranche is defined in Article 242(15) of CRR in the version applicable on 31 December 2018.




260-280



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.




290



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 (defined in Article 242(2) of 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 foreseeable termination date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.




300



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 if this data is available, otherwise the first day of the month shall be reported.




310-400



SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.




310-330



ON-BALANCE SHEET ITEMS

The same criteria of classification among tranches used for columns 230 to 250 shall be applied here.




340-360



OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for columns 260 to 280 shall be applied here.




370-400



MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

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 340-360).




370



DIRECT CREDIT SUBSTITUTES (DCS)

This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).
According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS:






—



Guarantees having the character of credit substitutes.











—



Irrevocable standby letters of credit having the character of credit substitutes.









380 



IRS/CRS

IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR.




390



ELIGIBLE LIQUIDITY FACILITIES

Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-).




400 



OTHER (INCLUDING NON-ELIGIBLE LF)

This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR).




410



EARLY AMORTISATION: CONVERSION FACTOR APPLIED

Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors’ interest (in order to calculate risk-weighted exposure amounts).
This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations).
According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread.
In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template.




420



(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template.
A negative figure shall be reported in this column.




430



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. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column.
In the case of the securitisations of liabilities this column shall not be reported.




440



TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column.
In the case of the securitisations of liabilities this column shall not be reported.




445



APPROACH

In this column, the approach to determining the total risk exposure amount as reported in column 440 shall be reported.
The approach shall be one of the following ones:






 



For securitisation positions the risk weighted exposure amounts of which are calculated according to CRR in the version applicable on 31 December 2018







—


Other (original securitisation framework)














 



On reporting reference dates that are after 1 January 2019, for securitisation positions the risk weighted exposure amounts of which are calculated according to CRR:







—


SEC-IRBA










—


SEC-SA










—


SEC-ERBA










—


IAA










—


1 250  % for positions not subject to any method (Article 254(7) CRR)










—


Multiple approaches








In line with the determination of risk weights according to Article 337 CRR, for instruments in the trading book that are securitisation positions, the approach shall be determined as the approach the institution would apply to the position in its non-trading book.
“Multiple approaches” shall be used if the institution is involved in or exposed to a securitisation transaction in multiple ways and applies different approaches to the calculation of own funds requirements in its different roles or for its different exposures.




446 



SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

On reporting reference dates that are after 1 January 2019, Articles 243 and 270 of CRR
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 of the CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 of the CRR.




450-510



SECURITISATION POSITIONS — TRADING BOOK





450



CTP OR NON-CTP?

Report the following abbreviations:







C


—


Correlation Trading Portfolio (CTP);




N


—


Non-CTP








460-470



NET POSITIONS — LONG/SHORT

See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.




480



TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK

See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.




4.   OPERATIONAL RISK TEMPLATES
4.1.   C 16.00 – OPERATIONAL RISK (OPR)
4.1.1.   General Remarks








114.


This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of 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












115.


Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If 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.












116.


If 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. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available.












117.


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. If applicable, it must be detailed which part of this 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.












118.


By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.












119.


This template shall be submitted by all institutions subject to operational risk own funds requirement.




4.1.2.   Instructions concerning specific positions






Columns




010-030



RELEVANT INDICATOR

Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case 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 defined in Article 316 point 1, Table1 of CRR.
If 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 table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2).
Furthermore if there are no historical data on “relevant indicator” available the institution may use forward-looking business estimates.




040-060



LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)

These columns shall be used to report the amounts of the loans and advances for business lines “Commercial banking” and “Retail banking”, as referred to in Article 319(1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319(1) point (a) of CRR).
For the “commercial banking” business line, securities held in the non-trading book shall also be included.




070



OWN FUND REQUIREMENT

The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070.




071



TOTAL OPERATIONAL RISK EXPOSURE AMOUNT


Article 92(4) of CRR. Own funds requirements in column 070 multiplied by 12.5.





080



OF WHICH: DUE TO AN ALLOCATION MECHANISM

Article 18(1) of CRR (related to the inclusion, in the application referred to in Article 312(2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored 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 EU parent mixed financial holding company.




090-120



AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE





090



OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION 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).




100



(-) 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 Article 322(2) point (a) of CRR) is reported.




110



(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

The diversification effect in column 110 is 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 when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes 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 that 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 the 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.




120



(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported.













Rows




010



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 of CRR).




020



BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES

The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported.




030-100



SUBJECT TO TSA

In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR.




110-120



SUBJECT TO ASA

Institutions using the ASA (Article 319 of CRR) shall report for the respective years the relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines “Commercial banking” and “Retail banking”.
Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line “Commercial banking” and those corresponding to the business line “Retail banking” (Article 319 of CRR). There can be amounts for the rows corresponding to “Commercial banking” and “Retail banking” under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).




130



BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported.
In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks.




4.2.   OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)
4.2.1.   General Remarks








120.


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 according to event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the last year.












121.


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.












122.


In case of a combined use of different approaches for the calculation of own funds requirements for operational risk according to 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.












123.


“Gross loss” means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of CRR — before recoveries of any type, without prejudice to “rapidly recovered loss events” as defined below.












124.


“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.












125.


“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, as well as into the OPR DETAILS reporting at all.












126.


“Date of accounting” means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss. This date logically follows 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).












127.


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 adjustments shall be summed up.












128.


The figures reported in June of the respective year are interim figures, while the final figures are reported in December. Therefore the figures in June have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported as of June and December, “previous reporting reference periods” means all reporting reference periods until and including the one ending at the preceding calendar year end.












129.


In order to verify the conditions envisaged by Article 5 (b) (2) (b) (i) of this Regulation, the institutions shall use the latest statistics as available in the Supervisory Disclosure webpage of the EBA to get “the sum of individual balance sheet totals of all institutions within the same Member State”. In order to verify the conditions envisaged by Article 5 (b) 2 (b) (iii), the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010) and published by Eurostat for the previous calendar year shall be used.




4.2.2.   C 17.01: Operational risk losses and recoveries by business lines and event types in the last year (OPR DETAILS 1)
4.2.2.1.   General Remarks








130.


In template C 17.01, the information is presented by distributing the losses and recoveries above internal thresholds amongst business lines (as defined in Article 317, Table 2 of CRR including the additional business line “Corporate items” as referred to in Article 322(3) point (b) CRR) and event types (as defined in Article 324 CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.












131.


Columns present the different 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 if there is more than one threshold.












132.


Rows present the business lines, and within each business line, information on the number of events (new events), the gross loss amount (new events), the number of 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).












133.


For the total business lines, data on the number of events and the gross loss amount is also required for certain ranges based on set thresholds, 10,000, 20,000, 100,000, and 1 000 000. The thresholds are set in Euro amounts and are included for comparability purposes of the reported losses among institutions; therefore they do not necessarily relate with the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.




4.2.2.2.   Instructions concerning specific positions






Columns




0010-0070



EVENT TYPES

Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 CRR.
Institutions that calculate their own funds requirement according to BIA may report those losses for which the event type is not identified in column 080 only.




0080



TOTAL EVENT TYPES

In column 080, for each business line, institutions report the total “number of events (new events)”, the total of “gross loss amount (new events)”, the total “number of 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 event types for all losses, column 080 shows 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 010 to 070.
The “maximum single loss” reported in column 080 is the maximum single loss within a business line and identical to the maximum of the “maximum single losses” reported in columns 010 to 070, provided that the institution has identified the event types for all losses.
For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported.




0090-0100



MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322(3) point (c), last sentence CRR.
If the institution applies only one threshold for in each business line, only the column 090 shall be filled in.
In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) 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 as defined in Article 317(4), table 2 CRR, including the additional business line “Corporate items” as referred to in Article 322(3) point (b) CRR, and for each event type, the institution shall report, according to the internal thresholds the following information: number of events (new events), gross loss amount (new events), the number of 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” is distributed among all the affected business lines.
Institutions that calculate their own funds requirement according to BIA can report those losses for which the business line is not identified in rows 910-980 only.




0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810



Number of events (new events)

The number of events is the number of operational risk events for which gross losses were accounted for within the reporting reference period.
The number of 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, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that 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 events” do not include operational risk events “accounted for the first time” within a previous reporting reference period, which had been included already in previous supervisory reports.




0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820



Gross loss amount (new events)

The gross loss amount is the gross loss amounts pertinent to operational risk events (e.g. direct charges, provisions, settlements). All losses related to a single event which are accounted for within the reporting reference period are summed up and considered as the gross loss for that event for that reporting reference period.
The reported gross loss amount shall refer to “new events” as defined in the row above. For events “accounted for the first time” within a previous reporting reference period which had not been 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 do 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 is the number of operational risk 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.
If more than one loss adjustment was made for an event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.




0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840



Loss adjustments relating to previous reporting periods

Loss adjustments relating to previous reporting reference periods is 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 events “accounted for the first time” and reported in previous reporting reference periods.




If more than one loss adjustment was made for an event within the reporting reference period, the amounts of all those loss adjustments are summed up, taking into account the sign of the adjustments (positive, negative). This sum is considered as the loss adjustment for that event for that reporting reference period.
If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that 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 do 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 an event reported for the first time within the reporting reference period and










(ii)


the largest positive loss adjustment amount (as defined above) related to an event reported for the first time within a previous reporting reference period.




The amounts to be reported do 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 is the sum of the five largest amounts among






(i)


the gross loss amounts for events reported for the first time within the reporting reference period and










(ii)


the positive loss adjustment amounts (as defined for rows 040, 140, …, 840 above) relating to events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones is the amount of the loss adjustment itself, not the total loss associated with the respective event before or after the loss adjustment.




The amounts to be reported do not take into account obtained recoveries.




0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870



Total direct loss recovery

Direct recoveries are all recoveries obtained except those which are subject to Article 323 CRR as reported in the row below.
The total direct loss recovery is the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk 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 are those recoveries which are subject to Article 323 CRR.
The total recovery from insurance and other risk transfer mechanisms is the sum of all the recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted within the reporting reference period and pertinent to operational risk events accounted for the first time within the reporting reference period or in previous reporting reference periods.




0910-0980



TOTAL BUSINESS LINES

For each event type (column 010 to 080), the information (Article 322(3) lit. b), c) and e) of CRR on total business lines has to be reported.




0910-0914



Number of Events

In row 910, the number of events above the internal threshold by event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of events by business lines since the events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case.
In rows 911 – 914, the number of events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.
Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080:






—


The total number of events reported in rows 910 to 914 is equal to the horizontal aggregation of the number of events in the corresponding row, given that in those figures the events with impacts in different business lines shall have already been considered as one event.










—


The figure reported in column 080, row 910 shall not necessarily be equal to the vertical aggregation of the number of events which are included in column 080, given that one event can have an impact in different business lines simultaneously.








0920-0924



Gross loss amount (new events)

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR, the gross loss amount (new events) reported in row 920 is the simple aggregation of the gross loss amounts of new events for each business line.
In rows 921 – 924, the gross loss amount for 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 930, the total of the numbers of events subject to loss adjustments as defined for rows 030, 130, …, 830 shall be reported. This figure may be lower than the aggregation of the number of events subject to loss adjustments by business lines since events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, if an institution calculating its own funds requirements according to 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 events for which a positive loss adjustment was made within the reporting reference period and the number of 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 940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as defined for rows 040, 140, …, 840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 of CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) of CRR, the amount reported in row 940 is 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 events for which a positive loss adjustment was made in the reporting reference period (row 945, reported with as positive figure) and the amount related to events for which a negative loss adjustment was made within the reporting period (row 946, reported as negative figure). If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that 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 in row 946 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 Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR, the maximum single loss is the maximum loss over the internal threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines.
Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080:






—


The maximum single loss reported shall be equal to the highest of the values reported in columns 010 – 070 of this row.










—


If there are events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of “Maximum single loss” per business line reported in other rows of column 080.








0960



Sum of the five largest losses

The sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This 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 Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, for column 080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of “sum of the five largest losses” in row 960 nor the maximum value of “sum of the five largest losses” in column 080.




0970



Total direct loss recovery

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR, the total direct loss recovery is 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 Article 317(4) table 2 CRR or the business line “Corporate items” as referred to in Article 322(3) point (b) CRR, the total recovery from insurance and other risk transfer mechanisms is 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








134.


In template C 17.02, information on individual loss events shall be provided (one row per event).












135.


The information reported in this template shall refer to “new 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, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that 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..
















136.


Only events entailing a gross loss amount of 100,000 EUR or more shall be reported.
1. Subject to that threshold,






(a)


the largest event for each event type, provided that the institution has identified the event types for losses and










(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)


Events are ranked based on the gross loss attributed to them.










(d)


An 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 table.
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 when a loss or reserve/provision against an operational risk loss was first recognized in the Profit and Loss statement.




0030



Date of occurrence

Date of occurrence is the date when the operational risk event happened or first began.




0040



Date of discovery

Date of discovery is the date on which the institution became aware of the operational risk event.




0050



Event Type

Event types as defined in Article 324 CRR




0060



Gross loss

Gross loss related to the event as defined for rows 020, 120 etc. of template C 17.01 above




0070



Gross loss net of direct recoveries

Gross loss related to the event as defined for rows 020, 120 etc. of template C 17.01 above net of direct recoveries pertinent to that loss event




0080 - 0160



Gross loss by business line

The gross loss as reported in column 060 shall be allocated to the relevant business lines as defined in Articles 317 and 322 (3) point (b) CRR.




0170



Legal Entity name

Name of the legal entity as reported in column 010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.




0180



Legal Entity ID

LEI code of the legal entity as reported in column 025 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.




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 event, where necessary in an generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the event, where known.




5.   MARKET RISK TEMPLATES








137.


These instructions refer to the templates reporting of the calculation of own funds requirements according to 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 reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part.












138.


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 — this 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 — this 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 of 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








139.


This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has 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 {325;060} (securitisations) and {330;060} (CTP) respectively..












140.


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.




5.1.2.   Instructions concerning specific positions






Columns




010-020



ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.




030-040



NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.




050



POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.




060



OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.




070



TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.













Rows




010-350



TRADED DEBT INSTRUMENTS IN TRADING BOOK

Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used.




011



GENERAL RISK.





012


Derivatives
Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable.




013


Other assets and liabilities
Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.




020-200



MATURITY BASED APPROACH

Positions in traded debt instruments subject to the maturity-based approach according to Article 339(1) to (8) of CRR and the correspondent own funds requirements set up in Article 339(9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.




210-240



GENERAL RISK. DURATION BASED APPROACH

Positions in traded debt instruments subject to the duration-based approach according to Article 340(1) to (6) of CRR and the correspondent own funds requirements set up in Article 340(7) of CRR. The position shall be split by zones 1, 2 and 3.




250



SPECIFIC RISK

Sum of amounts reported in rows 251, 325 and 330.
Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92(3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327(1) of CRR.




251-321



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 has to be computed by summing up the risk weights of the reference entities (Article 332(1) point (e) para 1 and 2 CRR – “look-through”). N-th-to-default credit derivatives which are rated externally (Article 332(1) point (e) para 3 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 according to Article 129(3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity.
If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.




325



Own funds requirement for securitisation instruments

Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI.




330



Own funds requirement for the correlation trading portfolio

Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI.




350-390



ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(3) of CRR.
The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.




5.2.   C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
5.2.1.   General Remarks








141.


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. On reporting reference dates that are after 1 January 2019, securitisations held in the trading book, the own funds requirement for specific risk of which is determined based on CRR, i.e where the own funds requirement is calculated in accordance with the revised securitisation framework, shall not be reported in this template, but only in template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions which are subject to a 1 250 % risk weight in accordance with the CRR and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of the CRR, shall not be reported in this template, but only in template C 01.00.












141a.


For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR and Article 337 CRR shall be read as references to CRR in the version applicable on 31 December 2018.












142.


The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If 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 fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.












143.


Positions which receive a risk weight of 1,250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.




5.2.2.   Instructions concerning specific positions






Columns




010-020



ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.




030-040



(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 258 of CRR.




050-060



NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.




070-520



BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions.




230-240 and 460-470



1 250  %

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.




250-260 and 480-490



SUPERVISORY FORMULA METHOD

Article 337(2) of CRR in connection with Article 262 of CRR.
These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche.




270 and 500



LOOK THROUGH

SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).
IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.




280-290/510-520



INTERNAL ASSESSMENT APPROACH

Article 109(1) sentence 2 and Article 259(3) and (4) of CRR.
These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI’s methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception.




530-540



OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Article 337(3) of CRR in connection with Article 407 of CRR. Article 14(2) of CRR




550-570



BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

Article 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.




580-600



AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

Article 337 of CRR taking into account the discretion of Article 335 of CRR.




610



TOTAL OWN FUNDS REQUIREMENTS

According to Article 337(4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (column 580) and its weighted net short positions (column 590). The larger of those sums (after cap) shall constitute the own funds requirement. From 2015 onwards according to Article 337(4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (column 600), in order to calculate the own funds requirements.













Rows




010



TOTAL EXPOSURES

Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor.




040,070 and
100



SECURITISATIONS

Article 4(61) and (62) of CRR.




020,050,
080 and110



RE-SECURITISATIONS

Article 4(63) of CRR.




030-050



ORIGINATOR

Article 4(13) of CRR




060-080



INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor




090-110



SPONSOR

Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets




120-210



BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES

Article 337(4), last sentence of CRR.
The breakdown of the underlying assets follows the classification used in the SEC Details template (Column “Type”):






—


1-residential mortgages;










—


2-commercial mortgages;










—


3-credit card receivables;










—


4-leasing;










—


5-loans to corporates or SMEs (treated as corporates);










—


6-consumer loans;










—


7-trade receivables;










—


8-other assets;










—


9-covered bonds;










—


10-other liabilities.




For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type.




5.3.   C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
5.3.1.   General Remarks








144.


This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338(3)) and the corresponding own funds requirements under the standardised approach.












145.


The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of 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 fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.












146.


This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The “other CTP-positions” are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338(3) CRR), but they are explicitly “linked” (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading “securitisation” or “n-th to default credit derivative”.












147.


Positions which receive a risk weight of 1,250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.




5.3.2.   Instructions concerning specific positions






Columns




010-020



ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338(2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.




030-040



(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 258 of CRR.




050-060



NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.




070-400



BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB)

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.




160 and 330



OTHER

Other risk weights not explicitly mentioned in the previous columns.
For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or – if they are incorporated into the CTP – shall be assigned to the column of the respective risk weight.




170-180 and 360-370



1 250  %

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.




190 -200 and 340 -350



SUPERVISORY FORMULA METHOD

Article 337(2) of CRR in connection with Article 262 of CRR.




210/380



LOOK THROUGH

SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).
IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.




220-230 and 390-400



INTERNAL ASSESSMENT APPROACH

Article 259(3) and (4) of CRR.




410-420



BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS

Article 338 without taking into account the discretion of Article 335 of CRR.




430-440



AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS

Article 338 taking into account the discretion of Article 335 of CRR.




450



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 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440).













Rows




010



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.




020-040



ORIGINATOR

Article 4(13) of CRR




050-070



INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor




080-100



SPONSOR

Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets




030,060 and 090



SECURITISATIONS

The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338(2) and (3) of 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”.




110 



N-TH-TO-DEFAULT CREDIT DERIVATIVES

N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here.
The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.




040, 070, 100 and 120



OTHER CTP POSITIONS

The positions in:






—


Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions;










—


CTP positions hedged by credit derivatives according to Article 346 CRR;










—


Other positions that satisfy Article 338(3) of CRR;




are included.




5.4.   C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
5.4.1.   General Remarks








148.


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.












149.


The template has to be filled out separately for the “Total”, plus a static, pre-defined list of 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).




5.4.2.   Instructions concerning specific positions






Columns




010-020



ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR).




030-040



NET POSITIONS (LONG AND SHORT)

Articles 327, 329, 332, 341 and 345 of CRR.




050



POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures according to the second sentence of Article 344(4) CRR shall not be included in this column.




060



OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.




070



TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.













Rows




010-130



EQUITIES IN TRADING BOOK

Own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR.




020-040



GENERAL RISK

Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR.
Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk.
Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements.




021


Derivatives
Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.




022


Other assets and liabilities
Instruments other than derivatives included in the calculation of equity risk of trading book positions.




030



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 according to Article 344(1) and (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050).




040



Other equities than exchange traded stock-index futures broadly diversified

Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.




050



SPECIFIC RISK

Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.




090-130



ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(2) and (3) of 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








150.


Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs.












151.


Rows 100 to 480 of this template shall be reported even if institutions are not required to calculate own funds requirements for foreign exchange risk according to Article 351 of CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of the extent to which they are considered for the purposes of Article 354 CRR. Rows 130 to 480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union and the following currencies: 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




020-030



ALL POSITIONS (LONG AND SHORT)

Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of CRR. According to Article 352(2) 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) and positions related to items that are already deducted in the calculation of own funds shall not be reported.




040-050



NET POSITIONS (LONG AND SHORT)

Articles 352(3) and (4), first and second sentences, and 353 of CRR.
The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.




060-080



POSITIONS SUBJECT TO CAPITAL CHARGE

Articles 352(4), third sentence, 353 and 354 of CRR.




060-070



POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions.
Long net positions for each operation in a currency are added to obtain the long net position in that currency.
Short net positions for each operation in a currency are added to obtain the short net position in that currency.
Unmatched positions in non-reporting currencies are added to positions subject to capital charges for other currencies (row 030) in column (060) or (070) depending on their short or long arrangement.




080



POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

Matched positions for closely correlated currencies




090



OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.




100 



TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.













Rows




010



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 according to Article 92(3) point (c) (i) and Article 352(2) and (4) of CRR (for conversion into the reporting currency).




020



CURRENCIES CLOSELY CORRELATED

Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.




025



Currencies closely correlated: of which: reporting currency

Positions in the reporting currency which contribute to the calculation of the capital requirements according to Article 354 CRR




030



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 Articles 351 and 352 (2) and (4) of CRR.
Reporting of CIU's treated as separate currencies according to Article 353 CRR:






 


There are two different treatments of CIU's treated as separate currencies for calculating the capital requirements:






1.


The modified gold method, if the direction of the CIU's investment is not available (those CIU's shall be added to an institution's overall net foreign-exchange position)










2.


If the direction of the CIU's investment is available, those CIU's 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 follows the calculation of the capital requirements accordingly.








040



GOLD

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.




050 - 090



ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 352(5) and (6) of CRR.
The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.




100-120



Breakdown of total positions (reporting currency included) by exposure types

Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.




100



Other assets and liabilities other than off-balance sheet items and derivatives

Positions not included in row 110 or 120 shall be included here.




110



Off-balance sheet items

Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.




120



Derivatives

Positions valued according to Articles 352 CRR.




130-480



MEMORANDUM ITEMS: CURRENCY POSITIONS

The memorandum items of the template shall be filled out separately for All currencies of the Member States of the Union and the following currencies: 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








152.


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




010-020



All POSITIONS (LONG AND SHORT)

Gross long/short positions considered positions in the same commodity according to Article 357(1) and (4) of CRR (see also Article 359(1) of CRR).




030-040



NET POSITIONS (LONG AND SHORT)

As defined in Article 357(3) of CRR.




050



POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge.




060



OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR.




070



TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.













Rows




010



TOTAL POSITIONS IN COMMODITIES

Positions in commodities and their correspondent own funds requirements for market risk according to Article 92(3) point (c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR.




020-060



POSITIONS BY CATEGORY OF COMMODITY

For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.




070



MATURITY LADDER APPROACH

Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.




080



EXTENDED MATURITY LADDER APPROACH

Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR




090



SIMPLIFIED APPROACH

Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.




100-140



ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 358(4) of 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








153.


This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.












154.


Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. 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 resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.




5.7.2.   Instructions concerning specific positions






Columns




030-040



VaR

It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.




030



Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Articles 364(1) point (a) (ii) and 365 (1) of CRR.




040



Previous day VaR (VaRt-1)

Articles 364(1) point (a) (i) and 365 (1) of CRR.




050-060



Stressed VaR

It means the maximum potential loss that would result from a price change with a given probability over a specified 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.




050



Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

Articles 364(1) point (b) (ii) and 365 (1) of CRR.




060



Latest available (SVaRt-1)

Articles 364(1) point (b) (i) and 365 (1) of CRR.




070-080



INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364(2) point (b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.




070



12 weeks average measure

Article 364(2) point (b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.




080



Last Measure

Article 364(2) point (b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.




090-110



ALL PRICE RISKS CAPITAL CHARGE FOR CTP





090



FLOOR

Article 364(3) point (c) of CRR.
= 8 % of the capital charge that would be calculated in accordance with Article 338(1) of CRR for all positions in the “all price risks” capital charge.




100-110



12 WEEKS AVERAGE MEASURE AND LAST MEASURE

Article 364(3) point (b).




110 



LAST MEASURE

Article 364(3) point (a)




120



OWN FUNDS REQUIREMENTS

Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if 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 Article 364(2) of CRR.




130



TOTAL RISK EXPOSURE AMOUNT

Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.




140 



Number of overshootings (during previous 250 working days)

Referred to in Article 366 of CRR.
The number of overshootings based on which the addend is determined shall be reported.




150-160



VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

As referred to in Article 366 of CRR.




170-180



ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP

The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364(3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.













Rows




010



TOTAL POSITIONS

Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of CRR linked to the risk factors specified in Article 367(2) of CRR.
Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items.




020



TRADED DEBT INSTRUMENTS

Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367(2) of CRR.




030



TDI – GENERAL RISK

General risk defined in Article 362 of CRR.




040



TDI – SPECIFIC RISK

Specific risk defined in Article 362 of CRR.




050



EQUITIES

Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367(2) of CRR.




060



EQUITIES – GENERAL RISK

General risk defined in Article 362 of CRR.




070



EQUITIES – SPECIFIC RISK

Specific risk defined in Article 362 of CRR.




080



FOREIGN EXCHANGE RISK

Articles 363(1) and 367 (2) of CRR.




090



COMMODITY RISK

Articles 363(1) and 367 (2) of CRR.




100



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 if applicable).




110



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 if applicable).




5.8.   C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)
5.8.1.   Instructions concerning specific positions






Columns




010



Exposure value

Article 271 of CRR in accordance with article 382 of CRR
Total EAD from all transactions subject to CVA charge




020



Of which: OTC derivatives

Article 271 of CRR in accordance with Article 382(1) of 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




030



Of which: SFT

Article 271 of CRR in accordance with Article 382(2) of 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




040



MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

Article 383 of CRR in accordance with Article 363(1)(d) of CRR
VaR calculation based on internal models for market risk




050



PREVIOUS DAY (VaRt-1)

See instructions referring to column 040




060



MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

See instructions referring to column 040




070



LATEST AVAILABLE (SVaRt-1)

See instructions referring to column 040




080



OWN FUNDS REQUIREMENTS

Article 92(3) d) of CRR
Own funds requirements for CVA Risk calculated via the chosen method




090



TOTAL RISK EXPOSURE AMOUNT

Article 92(4) b) of CRR
Own funds requirements multiplied by 12,5.




 



Memorandum items





100



Number of counterparties

Article 382 of 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 simply the other contracting party.




110



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




120



INCURRED CVA

Accounting provisions due to decreased credit worthiness of derivatives counterparties




130



SINGLE NAME CDS

Article 386(1) lit. a of CRR
Total notional amounts of single name CDS used as hedge for CVA risk




140 



INDEX CDS

Article 386(1) lit. b) of CRR
Total notional amounts of index CDS used as hedge for CVA risk













Rows




010



CVA risk total

Sum of rows 020-040 as applicable




020



According to Advanced method

Advanced CVA risk method as prescribed by Article 383 of CRR




030



According to Standardised method

Standardised CVA risk method as prescribed by Article 384 of CRR




040



Based on OEM

Amounts subject to the application of Article 385 of CRR




6.   PRUDENT VALUATION (PRUVAL)
6.1.   C 32.01 — PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
6.1.1.   General remarks








154a.


This template shall be completed by all institutions, whether or not they have adopted the simplified approach for the determination of Additional Valuation Adjustments (“AVAs”). It is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether or not the conditions set out in Article 4 of Delegated Regulation (EU) 2016/101 on prudent valuation for using the simplified approach for the determination of AVAs are met.












154b.


With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds under Articles 34 and 105 CRR as set out in Article 5 of the Delegated Regulation (EU) 2016/101 on prudent valuation, which shall be reported accordingly in row 290 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 the Delegated Regulation (EU) 2016/101 on prudent valuation, before any deduction pursuant to Article 4(2) is performed.




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 pursuant to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0030



Exactly matching

Exactly matching, offsetting fair-valued assets and liabilities excluded according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




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 according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0050



PRUDENTIAL Filters

Absolute value of fair-valued assets and liabilities excluded according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation due to the transitional filters referred to in Articles 467 and 468 of CRR.




0060



Other

Any other positions excluded according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation 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 pursuant to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation cannot be assigned to columns 0 030 , 0 040  or 0 050  of this template.




0070



Comment for other

The main reasons why the positions reported in column 0 060  were excluded shall be provided.




0080



FAIR-VALUED Assets and Liabilities included in ART. 4(1) threshold

Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0090



OF WHICH: trading book

Absolute value of fair-valued assets and liabilities, as reported in column 0 080 , 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 20 to 210.




0020


1.1   TOTAL FAIR-VALUED ASSETS

Total of fair-valued assets reported in rows 0 030  to 0 140 .
Relevant cells of rows 0 030  to 0 130  shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Regulation depending on the institution’s applicable standards:






—


IFRS as endorsed by the Union in application of Regulation (EU) No 1606/2002 (“EU IFRS”)










—


National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”) or










—


National GAAP based on Directive 86/635/EC, the Bank Accounting Directive (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 050 of template F 01.01 of Annexes III and IV to this Regulation.




0040


1.1.2   TRADING FINANCIAL ASSETS

BAD Article 32-33; Annex V. Part 1.17.
The information reported in this row shall correspond to row 091 of template F 01.01 of Annexes III and IV to this 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 096 of template F 01.01 of Annexes III and IV to this Regulation.




0060


1.1.4   FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

IFRS 7.8(a)(i); IFRS 9.4.1.5; Accounting Directive art 8(1)(a), (6).
The information reported in this row shall correspond to row 100 of template F 01.01 of Annexes III and IV to this 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 141 of template F 01.01 of Annexes III and IV to this Regulation.




0080


1.1.6   NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS

BAD art 36(2).
The information reported in this row shall correspond to row 171 of template F 01.01 of Annexes III and IV to this Regulation.




0090


1.1.7   NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY

Accounting Directive art 8(1)(a), (8).
The information reported in this row shall correspond to row 175 of template F 01.01 of Annexes III and IV to this Regulation.




0100


1.1.8   OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

BAD art 37; Accounting Directive Article 12(7); Annex V. Part 1.20.
The information reported in this row shall correspond to row 234 of template F 01.01 of Annexes III and IV to this Regulation.




0110


1.1.9   DERIVATIVES — HEDGE ACCOUNTING

IFRS 9.6.2.1; Annex V. Part 1.22; Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V. Part 1.22.
The information reported in this row shall correspond to row 240 of template F 01.01 of Annexes III and IV to this 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; Accounting Directive art 8(5), (6).
The information reported in this row shall correspond to row 250 of template F 01.01 of Annexes III and IV to this Regulation.




0130


1.1.11   INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

IAS 1.54(e); Annex V. Part 1.21, Part 2.4; BAD art 4.Assets(7)-(8); Accounting Directive art 2(2).
The information reported in this row shall correspond to row 260 of template F 01.01 of Annexes III and IV to this Regulation.




0140


1.1.12   (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE

Annex V Part 1.29.
The information reported in this row shall correspond to row 375 of template F 01.01 of Annexes III and IV to this Regulation.




0150


1.2   TOTAL FAIR-VALUED LIABILITIES

Total of fair-valued liabilities reported in rows 0 160  to 0 210 .
Relevant cells of rows 0 150  to 0 190  shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Regulation depending on the institution’s applicable standards:






—


IFRS as endorsed by the Union in application of Regulation (EU) No 1606/2002 (“EU IFRS”)










—


National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”)










—


or National GAAP based on Directive 86/635/EC, the Bank Accounting Directive (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 010 of template F 01.02 of Annexes III and IV to this Regulation.




0170


1.2.2   TRADING FINANCIAL LIABILITIES

Accounting Directive art 8(1)(a),(3),(6).
The information reported in this row shall correspond to row 061 of template F 01.02 of Annexes III and IV to this 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; Accounting Directive art 8(1)(a), (6); IAS 39.9.
The information reported in this row shall correspond to row 070 of template F 01.02 of Annexes III and IV to this Regulation.




0190


1.2.4   DERIVATIVES — HEDGE ACCOUNTING

IFRS 9.6.2.1; Annex V. Part 1.26; Accounting Directive art 8(1)(a), (6), (8)(a).
The information reported in this row shall correspond to row 150 of template F 01.02 of Annexes III and IV to this 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; Accounting Directive art 8(5), (6); Annex V. Part 2.8.
The information reported in this row shall correspond to row 160 of template F 01.02 of Annexes III and IV to this Regulation.




0210


1.2.6   HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE

Annex V Part 1.29
The information reported in this row shall correspond to row 295 of template F 01.02 of Annexes III and IV to this Regulation.




6.2.   C 32.02 — PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
6.2.1.   General remarks








154c.


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.












154d.


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 the Delegated Regulation (EU) 2016/101 on prudent valuation, either on an individual basis or on a consolidated basis as set out in Article 4(3) the Delegated Regulation (EU) 2016/101 on prudent valuation or










(b)


have chosen to apply the Core approach despite not exceeding the threshold.
















154e.


For the purposes of this template, “upside uncertainty” shall be defined as follows: As determined by Article 8(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, AVAs are calculated as the difference between the fair value and a prudent valuation that is defined 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, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9 to 11 and 14 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation respectively.
For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out under Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation, 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 the Delegated Regulation (EU) 2016/101 on prudent valuation 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 defined in Articles 9(5)(b), 10(6)(b) and 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation shall be separately reported in columns 0 020 , 0 040  and 0 060 .




0010



MARKET PRICE UNCERTAINTY

Article 105(10) CRR.
Market price uncertainty AVAs computed according to Article 9 of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0020



OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Market price uncertainty AVAs computed according to Article 9(5)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0030



CLOSE-OUT COSTS

Article 105(10) CRR.
Close-out costs AVAs computed according to Article 10 of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0040



OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Close-out costs AVAs computed according to Article 10(6)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0050



MODEL RISK

Article 105(10) CRR
Model risk AVAs computed according to Article 11 of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0060



OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

Model risk AVAs computed according to Article 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0070



CONCENTRATED POSITIONS

Article 105(11) CRR
Concentrated positions AVAs as computed under Article 14 of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0080



FUTURE ADMINISTRATIVE COSTS

Article 105(10) CRR
Future administrative costs AVAs as computed under Article 15 of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0090



EARLY TERMINATION

Article 105(10) CRR
Early termination AVAs as computed under Article 16 of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0100



OPERATIONAL RISK

Article 105(10) CRR
Operational risk AVAs as computed under Article 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0110



TOTAL AVA

Row 0 010 : total AVA to be deducted from own funds under Articles 34 and 105 CRR and reported accordingly in row 290 of C 01.00. The total AVA shall be the sum of rows 0 030  and 0 180 .
Row 0 020 : Share of the total AVA reported in row 0 010  stemming from trading book positions (absolute value).
Rows 0 030  to 0 160 : Sum of columns 0 010 , 0 030 , 0 050  and 0 070  to 0 100 .
Rows 0 180  to 0 210 : Total AVA stemming from portfolios under the fall-back approach.




0120



UPSIDE UNCERTAINTY

Article 8(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation
The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 0 110 , 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 0 010  to 0 130  and row 0 180 . For some rows, in particular rows 0 090  to 0 130 , these amounts may have to be approximated or allocated based on expert judgement.
Row 0 010 : Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 0 070  and 0 080 .
Row 0 010  is the sum of row 0 030  and row 0 180 .
Row 0 020 : share of total absolute value of fair-valued assets and liabilities reported in row 0 010  stemming from trading book positions (absolute value).
Row 0 030 : Absolute value of fair-valued assets and liabilities corresponding to the portfolios under Articles 9 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 0 070  and 0 080 . Row 0 030  shall be the sum of rows 0 090  to 0 130 .
Row 0 050 : 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 the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore.
Row 0 060 : 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 the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore.
Row 0 070 : Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.
Row 0 080 : 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 t the Delegated Regulation (EU) 2016/101 on prudent valuation.
Rows 0 090  to 0 130 : Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) according to the following risk categories: interest rates, foreign exchange, credit, equities, commodities. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 0 070  and 0 080 .
Row 0 180 : 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 difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) of 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.




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 should 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 uncertainty 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 that 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).




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 that 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, administration and settlement of contracts in the portfolio, and thus that 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 under Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation 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 the Delegated Regulation (EU) 2016/101 on prudent valuation
For each relevant category of AVAs referred to in columns 0 010  to 0 110 , total AVAs computed under the Core approach as set out in Chapter 3 of t the Delegated Regulation (EU) 2016/101 on prudent valuation for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the diversification benefits reported in row 0 140  in accordance with Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0020



OF WHICH: TRADING BOOK

Article 7(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation
For each relevant category of AVAs referred to in columns 0 010  to 0 110 , share of total AVAs reported in row 0 010  stemming from trading book positions (absolute value).




0030


1.1   PORTFOLIOS UNDER ARTICLES 9 TO 17 — TOTAL CATEGORY LEVEL POST-DIVERSIFICATION

Article 7(2)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation
For each relevant category of AVAs referred to in columns 0 010  to 0 110 , total AVAs computed according to Articles 9 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation, except fair-valued assets and liabilities subject to the treatment described in Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation.
This includes the AVAs computed in accordance with Articles 12 and 13 of the Delegated Regulation (EU) 2016/101 on prudent valuation that are reported in rows 0 050  and 0 060  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 the Delegated Regulation (EU) 2016/101 on prudent valuation.
This includes the diversification benefits reported in row 0 140  in accordance with Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation.
Row 0 030  is therefore expected to be the difference between rows 0 040  and 0 140 .




0040 - 0130


1.1.1   TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION

For rows 0 090  to 0 130 , institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation (trading book and non-trading book) according to the following risk categories: interest rates, foreign exchange, credit, equities, commodities.
To this 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 then be allocated to the same relevant risk category, in order 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 0 040  being the sum of rows 0 050  to 0 130  for columns 0 010  to 0 100 .
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 0 090  to 0 130  excludes the AVAs computed in accordance with Articles 12 and 13 of the Delegated Regulation (EU) 2016/101 on prudent valuation that are reported in rows 0 050  and 0 060  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 the Delegated Regulation (EU) 2016/101 on prudent valuation.
Diversification benefits are reported in row 0 140  in accordance with Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation and are therefore excluded from rows 0 040  to 0 130 .




0050



OF WHICH: UNEARNED CREDIT SPREADS AVA

Article 105(10) CRR, Article 12 of the Delegated Regulation (EU) 2016/101 on prudent valuation
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 the Delegated Regulation (EU) 2016/101 on prudent valuation.
Column 0 110 : 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 0 130  and 0 140 : 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 the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore.




0060



OF WHICH: INVESTMENT AND FUNDING COSTS AVA

Article 105(10) CRR, Article 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation
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 the Delegated Regulation (EU) 2016/101 on prudent valuation.
Column 0 110 : 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 0 130  and 0 140 : 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 the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore.




0070



OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2)

Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0080



OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2)&10(3)

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 the Delegated Regulation (EU) 2016/101 on prudent valuation.




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

Total diversification benefit. Sum of rows 0 150  and 0 160 .




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 the Delegated Regulation (EU) 2016/101 on prudent valuation, 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 the Delegated Regulation (EU) 2016/101 on prudent valuation, 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

Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation
For portfolios subject to the fall-back approach under Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA shall be computed as a sum of rows 0 190 , 0 200  and 0 210 .
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 the Delegated Regulation (EU) 2016/101 on prudent valuation shall be provided in column 0 270 .




0190


1.2.1   Fall-back approach; 100 % unrealised profit

Article 7(2)(b)(i) of the Delegated Regulation (EU) 2016/101 on prudent valuation




0200


1.2.2   Fall-back approach; 10 % notional value

Article 7(2)(b)(ii) of the Delegated Regulation (EU) 2016/101 on prudent valuation




0210


1.2.3   Fall-back approach; 25 % of inception value

Article 7(2)(b)(iii) of the Delegated Regulation (EU) 2016/101 on prudent valuation




6.3.   C 32.03 — PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)
6.3.1.   General remarks








154f.


This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation 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.












154g.


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 the Delegated Regulation (EU) 2016/101 on prudent valuation. This information corresponds to the information reported in column 0 050 of template C 32.02.












154h.


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.












154i.


Products corresponding to these top individual model risk AVAs shall be reported using the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation.












154j.


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 table. 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 Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation, 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+”.




0050



MODEL RISK AVA

Article 11(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation
Individual model risk AVA before diversification benefit, but after portfolio netting where relevant.




0060



OF WHICH: USING EXPERT-BASED APPROACH

Amounts in column 0 050  that have been calculated under the expert-based approach as defined in Article 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0070



OF WHICH: AGGREGATED USING METHOD 2

Amounts in column 0050 that have been aggregated under Method 2 of Annex to the Delegated Regulation (EU) 2016/101 on prudent valuation. This corresponds to FV – PV in the terminology of the Annex.




0080



AGGREGATED AVA CALCULATED UNDER METHOD 2

The contribution towards the total category level AVA for model risk, as computed according to Article 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation, of individual model risk AVAs that are aggregated using Method 2 of the Annex to the Delegated Regulation (EU) 2016/101 on prudent valuation. This 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 0 010  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 Art 105(8) of 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.




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 0 110 .




0130 – 0140



FAIR VALUE ADJUSTMENTS

Fair Value adjustments as defined in columns 0 190  and 0 240  of template C 32.02 that have been applied to the positions mapped to the model in column 0 010 .




0150



DAY 1 P&L

Adjustments as defined in column 0 260  of template C 32.02 that have been applied to the positions mapped to the model in column 0 010 .




6.4   C 32.04 — PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)
6.4.1.   General remarks








154k.


This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation at their level. 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.












154l.


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 the Delegated Regulation (EU) 2016/101 on prudent valuation. This information shall correspond to the information reported in column 0 070 of template C 32.02.












154m.


The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs.












154n.


Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation.












154o.


Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible in order 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 table. 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 – Commodities




0020



PRODUCT

Internal name for the product or group of products in line with the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




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 according to Article 14(1)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation, expressed in the unit described in column 0 050 .




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 0 040 .
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 under Art 14(1)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation.




0080



CONCENTRATED POSITIONS AVA

The concentrated positions AVA amount calculated according to Article 14(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation 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.




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 Art 105(8) of 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








155.


The information for the purpose of template C 33.00 shall cover all exposures to “General governments” as defined in paragraph 42 (b) of Annex V.












156.


Exposures to “General governments” are included in different exposure classes in accordance with Article 112 and Article 147 of CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02.












157.


Table 2 (Standardised approach) and Table 3 (IRB approach), included in Part 3 of Annex 5, shall be observed for the mapping of exposure classes used to calculate capital requirements under CRR to counterparty sector “General governments”.












158.


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.












159.


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 includes the incidence of credit risk mitigation techniques, including substitution effects.












160.


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 in Article 5 (b) point 3 of this Regulation.




7.2.   SCOPE OF THE TEMPLATE ON EXPOSURES TO “GENERAL GOVERNMENTS”








161.


The scope of the GOV template covers on, 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.












162.


An exposure is a direct exposure when the immediate counterparty is an entity covered by the definition of “General governments”.












163.


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




010-260



DIRECT EXPOSURES





010-140



ON-BALANCE SHEET EXPOSURES





010



Total gross carrying amount of non-derivative financial assets

Aggregate of gross carrying amount, as determined in accordance with paragraph 34 in Annex V, Part 1, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on Directive 86/635/EEC (Bank Accounting Directive, “BAD”) defined in paragraphs 15 to 22 in Annex V, Part 1 and listed in columns 030 to 120.
Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value.




020



Total carrying amount of non-derivative financial assets (net of short positions)

Aggregate of the carrying amount, in accordance with paragraph 27 in Annex V, Part 1, 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 in Annex V, Part 1 and listed in columns 030 to 120, net of short positions.
When the institution has a short position for the same residual maturity, 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. This net amount shall be considered as zero when it is a negative amount.
The sum of the columns 030 to 120 minus column 130 must be reported. If this amount is lower than zero, the amount to be reported shall be zero.




030-120



NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS

Aggregate carrying amount of non-derivative financial assets, as defined above, to General governments by accounting portfolio under the applicable accounting framework.




030



Financial assets held for trading

IFRS 7.8(a)(ii); IFRS 9 Appendix A




040



Trading financial assets

BAD Articles 32-33; Annex V. Part 1.16; Accounting Directive Article 8(1)(a)
Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).




050



Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 7.8(a)(ii); IFRS 9.4.1.4




060



Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5 and Accounting Directive Article 8(1)(a), (6)




070



Non-trading non-derivative financial assets measured at fair value through profit or loss

BAD Article 36(2); Accounting Directive Article 8(1)(a)
Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).




080



Financial assets at fair value through other comprehensive income

IFRS 7.8(d); IFRS 9.4.1.2 A




090



Non-trading non-derivative financial assets measured at fair value to equity

Accounting Directive Article 8(1)(a), (8)
Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).




100



Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2; Annex V. Part 1.15




110



Non-trading non-derivative financial assets measured at a cost-based method

BAD Article 35; Accounting Directive Article 6(1)(i) and Article 8(2); Annex V. Part 1.16
Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).




120



Other non-trading non-derivative financial assets

BAD Article 37; Accounting Directive Article 12(7); Annex V. Part 1.16
Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).




130



Short positions

Carrying amount of short positions, as defined in IFRS 9 BA.7(b) when the direct counterparty is a General government as defined in paragraph 1.
Short positions arise when the institution sells securities acquired in a reverse repurchase loan, or borrowed in a securities lending transaction, which direct counterparty is a General government.
The carrying amount is the fair value of the short positions.
Short positions must be reported by residual maturity bucket, as defined in row 170 to 230, and by immediate counterparty. Short positions will be then used for netting with positions for the same residual maturity and immediate counterparty for the computation of columns 030 to 120.




140



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, which direct counterparty is a General government, that are included in the held for trading or trading financial assets accounting portfolios (columns 030 or 040).
Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column.




150



Accumulated impairment

Aggregate accumulated impairment related to non-derivative financial assets reported in columns 080 to 120. [Annex V, Part 2, paragraphs 70 and 71]




160



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 080 and 090.




170



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 050, 060, 070, 080 and 090. [Annex V, Part 2, paragraph 69]




180



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 050, 060 and 070.




190



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 080 and 090.




200-230



DERIVATIVES

Direct derivative positions are to be reported in columns 200 to 230.
For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges see instructions for the row breakdown.




200-210



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 they 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 (Annex V, Part 2, paragraphs 120, 124, 125 and 137 to 140).




200



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.




210



Derivatives with positive fair value: Notional amount

Under IFRS and national GAAP based on BAD, notional amount, as defined in Annex V, Part 2, paragraphs 133 to 135, of all derivative contracts concluded and not yet settled at the reporting reference date whose counterparty is a General government, as defined above in paragraph 1, when its fair value is positive for the institution at the reporting reference date.




220-230



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 they 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 (Annex V, Part 2, paragraphs 120, 124, 125 and 137 to 140).




220 



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.




230 



Derivatives with negative fair value: Notional amount

Under IFRS and national GAAP based on BAD, notional amount, as defined in Annex V, Part 2, paragraphs 133 to 135, of all derivative contracts concluded and not yet settled at the reference date whose counterparty is a General government, as defined above in paragraph 1, when its fair value is negative for the institution.




240-260



OFF-BALANCE SHEET EXPOSURES





240



Nominal amount

When the direct counterparty of the off-balance sheet item is a General government as defined above in paragraph 1, 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 (Annex V, Part 2, paragraphs 102-119).
In accordance with Annex V, Part 1, paragraphs 43 and 44, 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.




250



Provisions

BAD Article 4 Liabilities (6)(c), Off balance sheet items, Article 27(11), Article 28(8), Article 33; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Annex V Part 2.11.
Provisions on all off-balance sheet exposures regardless 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 when 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 250.




260



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 (Annex V, Part 2, paragraph110)




270-280



Memorandum item: credit derivatives sold on general government exposures

Credit derivatives that do not meet the definition of financial guarantees that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government must be reported.
These columns will not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 020 to 160).
The exposures reported in the section are not to be considered in the computation of exposure Value and Risk weighted amount (columns 290 and 300) which is based solely on direct exposures.




270



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 is the fair value of the derivatives with a positive fair value at the reference reporting date, independently how they are accounted for.




280



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 is 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, independently how they are accounted for.




290



Exposure value

Exposure value for exposures subject to the credit risk framework.
For exposures under the Standardised Approach (SA): see Article 111 of CRR. For exposures under the IRB approach: see Article 166 and Article 230(1) sentence 2 of CRR.
For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges see instructions for the row breakdown.




300



Risk weighted exposure amount

Risk weighted exposure amount for exposures subject to the credit risk framework.
For exposures under the Standardised Approach (SA): see Article 113(1) to (5) of CRR. For exposures under the IRB approach: see Article 153(1) and (3) of 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.













Rows


Instructions





BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH





010



Total exposures

Aggregate of exposures to General governments, as defined in paragraph 1




020-155



Exposures under the credit risk framework

Aggregate of exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II 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 (020 to 155) and the market risk row (row 160): 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.




030



Standardised Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 2 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.




040



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.




050



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.




060



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.




070



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.




075



Other general government exposures subject to Standardised Approach

Exposures to General governments other than those included in rows 040 to 070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements.




080



IRB Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 3 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.




090



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 Article 147(3)(a) 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..




100



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 Article 147(3)(a) 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.




110



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 Article 147(4)(a) 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.




120



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 Article 147(3)(a) 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.




130



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 Article 147(4)(b) 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.




140



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 Article 147(3)(c) 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.




155



Other general government exposures subject to IRB approach

Exposures to General governments other than those included in rows 090 to 140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements.




160 



Exposures subject to market risk

Market risk exposures cover positions for which own funds requirements are calculated according to 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 (020 to 155) and the market risk row (row 160): 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.




170-230



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’













(1)  The data requested from institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year).

(2)  
            “Stand alone institutions” are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.





ANNEX III




                     ‘ANNEX V

REPORTING ON FINANCIAL INFORMATION

Table of contents






GENERAL INSTRUCTIONS

337










1.

References
337










2.

Conventions
338










3.

Consolidation
340










4.

Accounting portfolios of financial instruments
340










4.1.

Financial assets
340










4.2.

Financial liabilities
341










5.

Financial instruments
342










5.1.

Financial assets
342










5.2.

Gross carrying amount
342










5.3.

Financial liabilities
343










6.

Counterparty breakdown
343









TEMPLATE RELATED INSTRUCTIONS

345










1.

Balance sheet
345










1.1.

Assets (1.1)
345










1.2.

Liabilities (1.2)
345










1.3.

Equity (1.3)
346










2.

Statement of profit or loss (2)
347










3.

Statement of comprehensive income (3)
350










4.

Breakdown of financial assets by instrument and by counterparty sector (4)
351










5.

Breakdown of non-trading loans and advances by product (5)
353










6.

Breakdown of non-trading loans and advances to non-financial corporations by NACE codes (6)
354










7.

Financial assets subject to impairment that are past due (7)
354










8.

Breakdown of financial liabilities (8)
355










9.

Loan commitments, financial guarantees and other commitments (9)
355










10.

Derivatives and hedge accounting (10 and 11)
358










10.1.

Classification of derivatives by type of risk
358










10.2.

Amounts to be reported for derivatives
359










10.3.

Derivatives classified as “economic hedges”
360










10.4.

Breakdown of derivatives by counterparty sector
361










10.5.

Hedge accounting under national GAAP (11.2)
361










10.6.

Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1)
361










10.7.

Hedged items in fair value hedges (11.4)
361










11.

Movements in allowances and provisions for credit losses (12)
362










11.1.

Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0)
362










11.2.

Movements in allowances and provisions for credit losses under IFRS (12.1)
362










11.3.

Transfers between impairment stages (gross basis presentation) (12.2)
364










12.

Collateral and guarantees received (13)
365










12.1.

Breakdown of collateral and guarantees by loans and advances other than held for trading(13.1)
365










12.2.

Collateral obtained by taking possession during the period [held at the reporting date] (13.2)
365










12.3.

Collateral obtained by taking possession [tangible assets] accumulated (13.3)
365










13.

Fair value hierarchy: Financial instruments at fair value (14)
365










14.

Derecognition and financial liabilities associated with transferred financial assets (15)
366










15.

Breakdown of selected statement of profit or loss items (16)
366










15.1.

Interest income and expenses by instrument and counterparty sector (16.1)
366










15.2.

Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)
367










15.3.

Gains or losses on financial assets and liabilities held for trading by instrument (16.3)
367










15.4.

Gains or losses on financial assets and liabilities held for trading by risk (16.4)
368










15.5.

Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1)
368










15.6.

Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5)
368










15.7.

Gains or losses from hedge accounting (16.6)
369










15.8.

Impairment on non-financial assets (16.7)
369










16.

Reconciliation between accounting and CRR scope of consolidation (17)
369










17.

Non-performing exposures (18)
369










18.

Forborne exposures (19)
373










19.

Geographical breakdown (20)
376










19.1.

Geographical breakdown by location of activities (20.1-20.3)
376










19.2.

Geographical breakdown by residence of the counterparty (20.4-20.7)
376










20.

Tangible and intangible assets: assets subject to operating lease (21)
377










21.

Asset management, custody and other service functions (22)
377










21.1.

Fee and commission income and expenses by activity (22.1)
377










21.2.

Assets involved in the services provided (22.2)
378










22.

Interests in unconsolidated structured entities (30)
379










23.

Related parties (31)
379










23.1.

Related parties: amounts payable to and amounts receivable from (31.1)
379










23.2.

Related parties: expenses and income generated by transactions with (31.2)
380










24.

Group structure (40)
380










24.1.

Group structure: “entity-by-entity” (40.1)
380










24.2.

Group structure: “instrument-by-instrument” (40.2)
381










25.

Fair value (41)
382










25.1.

Fair value hierarchy: financial instruments at amortised cost (41.1)
382










25.2.

Use of fair value option (41.2)
382










26.

Tangible and intangible assets: carrying amount by measurement method (42)
382










27.

Provisions (43)
382










28.

Defined benefit plans and employee benefits (44)
382










28.1.

Components of net defined benefit plan assets and liabilities (44.1)
382










28.2.

Movements in defined benefit obligations (44.2)
383










28.3.

Memo items [related to staff expenses] (44.3)
383










29.

Breakdown of selected items of statement of profit or loss (45)
383










29.1.

Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1)
383










29.2.

Gains or losses on de-recognition of non-financial assets (45.2)
383










29.3.

Other operating income and expenses (45.3)
383










30.

Statement of changes in equity (46)
383









MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS

384




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 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 Article 4(1)(77) of Regulation (EU) No 575/2013.












4.


Institutions shall only submit those parts of the templates related 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 institution.
















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 the IAS Regulation (EC) No 1606/2002 (1), which have been adopted by the Commission;










(c)


“ECB BSI Regulation” or “ECB/2013/33”: Regulation (EC) 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 (5);










(h)


“National GAAP”: national generally accepted accounting principles developed under BAD;










(i)


“SME”: micro, small and medium-sized enterprises 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.








2.   CONVENTIONS








6.


For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that this 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 means 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. This allocation ensures that all entities who report data points follow the “sign convention” and allows to know the “credit/debit” attribute that corresponds to each data point.












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)








3.   CONSOLIDATION








12.


Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Part 1, Title II, Chapter 2, Section 2, of 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) of CRR;










(b)


institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) of CRR;










(c)


institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) of 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. These 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” as well as those 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 they 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”;










(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”; and










(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. This classification shall also apply for 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 these 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. This 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 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.




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”.
















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. This classification shall also apply for 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 shall be either 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 in accordance with the ECB BSI Regulation.












32.


“Loans and advances” are debt instruments held by the institutions that are not securities; this item includes “loans” in accordance with the ECB BSI Regulation as well as advances that cannot be classified as “loans” according to the ECB BSI Regulation. “Advances that are not loans” are further characterized in paragraph 85(g) of Part 2 of this Annex.












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 they 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 fair value adjustment due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purpose 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 or at fair value through other comprehensive income, the gross carrying amount shall be the carrying amount 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 these financial assets are subject to impairment requirements. Where they are subject to impairment requirements, 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 these financial assets are not subject to impairment requirements, the gross carrying amount of these 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 period. Where these 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-derivative 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 these haircuts.








5.3.   Financial liabilities









35.


Financial liabilities shall be distributed among the following classes of instruments: “Derivatives”, “Short positions”, “Deposits”, “Debt securities issued” and “Other financial liabilities”.












36.


For the purposes of Annexes III and IV as well as this Annex the definition of “deposits” in Annex II, Part 2 of the ECB BSI Regulation applies.












37.


“Debt securities issued” shall be debt instruments issued as securities by the institution that are not deposits in accordance with 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 Article 4(1)(1) of 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 institutions 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: corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services according to the ECB BSI Regulation;










(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 institutions 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 determinant 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 substantially all the risks and rewards of ownership of the transferred receivables;










(b)


for debt securities 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 guaranteed 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 balances receivable on demand at central banks.












3.


“Other demand deposits” shall include balances receivable on demand with credit institutions.












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, irrespectively 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 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”.












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 whose values 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.












24.


“Hedge of net investments in foreign operations [effective portion]” shall include the foreign currency translation 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”.












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 de-recognition 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, these 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), these 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”. These assets and their interests give rise to a negative yield for an institution.












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 these classes of instruments where the clean price is used or as part of gains or losses from these 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 period and dividends related to instruments held at the end of the reporting period.












42.


Dividend income from investments in subsidiaries, joint ventures and associates shall include the dividends of these 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 include also 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 chose 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.
















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.












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.












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 de-recognition of these investments shall be reported in accordance with paragraph 55 and 56 of 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 de-recognition 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. Under national GAAP based on BAD, these gains and losses 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.












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 de-recognition 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.












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.












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. This amount shall only be reported if 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” means:






(a)


for debt instruments measured at amortised cost or at a cost-based method, 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, 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.
















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. 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. These 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.












73.


Where a debt instrument is eventually totally written-off as a consequence of successive partial write-offs, the cumulative 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 de-recognition 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 both by reductions of the carrying amount of financial assets recognised directly in profit or loss as well as 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 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.












77.


Purchased or originated financial assets that are credit-impaired at initial recognition shall be separately reported in 4.3.1 and 4.4.1. For these loans, the accumulated impairment shall only include the cumulative changes in lifetime expected credit losses since initial recognition [IFRS 9.5.5.13].












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 these 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 these 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.












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 or trading 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 [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. This 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” according to the ECB BSI Regulation. This 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).
















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 residential or commercial immovable property collateral, independently 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, independently of their loan/collateral ratio (commonly referred to as “loan-to-value”) and the legal form of the collateral, other than “Loans collateralised by immovable property”. This collateral shall include pledges of securities, cash, and other collateral independently from 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 collateral where they are secured by immovable property collateral regardless of whether they are also secured by other types of collateral.












88.


Loans and advances shall be classified on the basis of its purpose as:






(a)


“Credit for consumption” shall include loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation];










(b)


“Lending for house purchase” shall include credit extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments [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 defined in Article 147(8) of 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 or trading assets 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 shall include (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.




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 if 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 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. The carrying amounts of such assets shall be reported by impairment stages or impairment status in accordance with the applicable accounting standards and broken down according to the number of days of the oldest past due amount unpaid at the reference date.




8.   BREAKDOWN OF FINANCIAL LIABILITIES (8)








97.


“Deposits” and the product breakdown shall be defined in the same way as in the ECB BSI Regulation and therefore, 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 close 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” according to Article 4(1)(61) of CRR;










(c)


“Covered Bonds” according to Article 129(1) of CRR;










(d)


“Hybrid contracts” shall comprise contracts with embedded derivatives;










(e)


“Other debt securities issued” shall include debt securities not recorded in the previous lines and distinguishes 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”, whereas subordinated liabilities in the form of deposits are classified as “Deposits”.












100.


Template 8.2 shall include the carrying amount of “Deposits” and “Debt securities issued” that meet the definition of subordinated debt 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 [ECB BSI Regulation].












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 comprehensive 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 as 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) in paragraph 105 of this Part of this Annex shall be reported as provisions independently 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 recognised, broken down by impairment stages.












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 separately identify 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 impairment stage in template 9.1.1 [IFRS 9.5.5.20 and IFRS 7.B8E].












109.


Where a financial guarantee or a commitment to provide a loan at a below-market rate is measured in accordance with IFRS 9.4.2.1(d) and its loss allowance determined in accordance with IFRS 9.5.5 it shall be reported in the appropriate impairment stage.












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 these 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 69 of 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 these 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 these 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”.
















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 transactions”;










(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 de-recognition under IFRS 9;










(d)


“Transactions with recourse” that do not meet the criteria for de-recognition under IFRS 9;










(e)


“Assets purchased under outright forward purchase agreements” are “derivatives” under IFRS 9;










(f)


“Asset sale and repurchase agreements as defined in paragraphs (3) and (5) of Article 12 of Directive 86/635/EEC”. In these 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, these contracts meet the definition of derivatives under IFRS 9-Appendix A.
















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 paragraphs 213-239 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 could 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.












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 could 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 recognised on the balance sheet or not 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 separately identified.












125.


Template 11 shall include hedging instruments and hedged items irrespective of the accounting standard used to recognise a qualifying hedge relationship, including where this qualifying hedge relationship is in relation to 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 these 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 are not 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.




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 whose cash flows are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a Treasury bill. This category shall be restricted to those deals where all the legs are exposed to only one currency’s interest rate. Thus it shall exclude contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts whose predominant risk characteristic 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 these 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 swaptions 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 therefore shall cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaptions and currency warrant. 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]. 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: These 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;










(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 either to 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 these 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 defined as either the predefined monetary amount or the fair value of the underlying at the reference date.
















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 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 their 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 Article 4(92) of 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 IFRS 9 Appendix A or trading assets in accordance with the national GAAP based on BAD but are not part of the trading book as defined in Article 4(1)(86) of CRR.
















138.


“Economic hedges” shall not include derivatives for proprietary trading.












139.


Derivatives that meet the definition of “economic hedges” shall be reported separately for each type of risk in template 10.












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 unrecognised 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.




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 counterparty using the following categories:






(a)


“credit institutions”;










(b)


“other financial corporations”;










(c)


“rest” comprising all other counterparties.
















142.


All OTC derivatives, without regarding the type of risk to which they are related, shall be broken down by these 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 their carrying amount according to the applicable measurement rules for the accounting portfolios to which they belong in IFRS or in GAAP based on BAD. 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 include hedges of net positions in accordance with IFRS 9.6.6.












148.


“Hedge adjustments on micro-hedges” shall include all hedge adjustments for all the micro-hedges as defined in paragraph 147.












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 this 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. These 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 if the national GAAP under BAD require those assets to be subject to impairment. 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.




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 and by counterparty.












157.


The provisions for off-balance sheet exposures that are subject to the impairment requirements of IFRS 9 shall be reported by impairment stages. 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 if 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 respectively 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. This 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, as applicable. 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 expected losses due to financial assets de-recognised totally in the reporting 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 period due to an increase or decrease in credit risk since initial recognition irrespectively of whether they led to a transfer of the financial asset to another stage. The impact in the allowance due to the increase or decrease of the amount of financial assets as 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 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.












163.


“Changes due to 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 derecognition 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 de-recognised because there is no reasonable expectation 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 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 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 among others 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.




11.3.   Transfers between impairment stages (gross basis presentation) (12.2)









167.


For financial assets the gross carrying amount and for off-balance exposures that are subject to the impairment requirements of IFRS 9 the nominal amount that has been transferred between impairment stages during the reporting period shall be reported in template 12.2.












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.












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 this 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, 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.












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 residential 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 the CRR;










(b)


within “Other collateralised loans”, “Cash [Debt instruments 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. “Rest” shall include pledges of other securities issued by any third parties or pledges of other 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 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.
















174.


For loans and advances that have simultaneously more than one type 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 reporting date] (13.2)









175.


This template shall include the carrying amount of the 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.




12.3.   Collateral obtained by taking possession [tangible assets] accumulated (13.3)









176.


“Foreclosure [tangible assets]” shall be the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as “Property, plant and equipment”.




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 also 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 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. These 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 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 de-recognition, 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.












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 institution is treating them as securitisation positions for capital purposes in accordance with Articles 109, 243 and 244 of 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 institution 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 de-recognition.




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 and other assets;










(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 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.












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. Under national GAAP under BAD, it shall include interest income on assets impaired with a specific impairment allowance for credit risk.




15.2.   Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)









195.


Gains and losses on de-recognition 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 according to other 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 these 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 de-recognition 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.












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 is the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated to 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 316 of 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 is 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 comprehensive income.












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 these 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. These not designated hedging instruments shall be reported in accordance with paragraph 60 of 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 also 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 result in the recognition of net income.




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 with the accounting scope of consolidation all subsidiaries are fully consolidated.












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)








213.


For the purpose of template 18, non-performing exposures shall be those that satisfy any of the following criteria:






(a)


material exposures which are more than 90 days past due;










(b)


the debtor is assessed as unlikely to pay its credit obligations in full without realisation of collateral, regardless of the existence of any past due amount or of the number of days past due.
















214.


That categorisation as non-performing exposures shall apply notwithstanding the classification of an exposure as defaulted for regulatory purposes in accordance with Article 178 of CRR or as impaired for accounting purposes in accordance with the applicable accounting framework.












215.


Exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR and exposures that have been found impaired in accordance with the applicable accounting framework shall always be considered as non-performing exposures. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3), including purchased or originated credit-impaired assets. Exposures included in impairment stages other than Stage 3 shall be considered as non-performing where they meet the criteria to be considered as non-performing.












216.


Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. Materiality shall be assessed in accordance with Article 178 of CRR.












217.


For the purpose of template 18, “exposures” shall include all debt instruments (debt securities and loans and advances which shall include also 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” shall be reported as defined in paragraph 34 of Part 1 of this Annex. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part 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.












223.


For the purpose of template 18, “debtor” means an obligor within the meaning of Article 178 of CRR.












224.


A commitment shall be considered as a non-performing exposure for its nominal amount where, drawn down or otherwise used, it would lead to exposures that present a risk of not being paid back in full without realisation of collateral.












225.


Financial guarantees given shall be considered as non-performing exposures for their nominal amount where the financial guarantee is at risk of being called by the guaranteed party, including, in particular, where the underlying guaranteed exposure meets the criteria to be considered as non-performing, referred to in paragraph 213. Where the guaranteed party is past-due on the amount due under the financial guarantee contract, the reporting institution shall assess whether the resulting receivable meets the non-performing criteria.












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 of CRR, the categorisation 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 of 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 also consider exposures to other entities of the group as non-performing shall be assessed, where they are not already considered as impaired or defaulted in accordance with Article 178 of CRR, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty.












228.


Exposures shall be considered to have ceased being non-performing where all of the following conditions are met:






(a)


the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification according to the applicable accounting framework and Article 178 of the CRR respectively;










(b)


the situation of the debtor has improved to the extent that full repayment, according to the original or where applicable the modified conditions, is likely to be made;










(c)


the debtor does not have any amount past-due by more than 90 days.
















229.


An exposure shall remain classified as non-performing while the conditions in points (a), (b) and (c) of paragraph 228 of this Part of this Annex are not met, even though the exposure has already met the discontinuation criteria applied by the reporting institution for the impairment and default classification according to the applicable accounting framework and Article 178 of CRR respectively.












230.


The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 does not discontinue their classification as non-performing exposure.












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 following conditions are met:






(a)


exposures are not considered to be impaired or defaulted by the reporting institution according to the applicable accounting framework and Article 178 of the CRR, respectively;










(b)


one year has passed since the latest between the moment where forbearance measures were applied and the moment where exposures have been classified as non-performing;










(c)


there is not, following the forbearance measures, any past-due amount or concern regarding the full repayment of the exposure according to the post-forbearance conditions. The absence of concerns shall be determined after an analysis of the debtor’s financial situation by the institution. Concerns may be considered as no longer existing where the debtor has paid, via its regular payments in accordance with the post-forbearance conditions, a total equal to the amount that was previously past-due (where there were past-due amounts) or that has been written-off (where there were no past-due amounts) under the forbearance measures or the debtor has otherwise demonstrated its ability to comply with the post-forbearance conditions.




The specific exit conditions referred to in points (a), (b) and (c) shall apply in addition to the criteria applied by reporting institutions for impaired and defaulted exposures according to the applicable accounting framework and Article 178 of CRR, respectively.












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 that paragraph, 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.




















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 F18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9.












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 of 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. Exposures that are not past due or are past due by 90 days or less but nevertheless are 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), including purchased or originated credit-impaired assets, shall be reported in this column;










(b)


exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR.
















238.


“Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions” figures shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part.












239.


Information on collateral held and guarantees received on non-performing exposures shall be reported 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 or nominal 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 have been applied. Forbearance measures consist of concessions towards a debtor that is experiencing or about to experience difficulties in meeting its financial commitments (“financial difficulties”).












241.


For the purpose of template 19, a concession may entail a loss for the lender and shall refer to either of the following actions:






(a)


a modification of the previous terms and conditions of a contract that the debtor is considered unable to comply with due to its financial difficulties (“troubled debt”) resulting in insufficient debt service ability and that would not have been granted had the debtor not been experiencing financial difficulties;










(b)


a total or partial refinancing of a troubled debt contract, that would not have been granted had the debtor not been experiencing financial difficulties.
















242.


Evidence of a concession shall include at least any of the following:






(a)


a difference in favour of the debtor between the modified terms of the contract and the previous terms of the contract;










(b)


inclusion in a modified contract of more favourable terms than other debtors with a similar risk profile could have obtained from the same institution at that time.
















243.


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”) 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” means the use of debt contracts to ensure the total or partial payment of other debt contracts the current terms of which the debtor is unable to comply with.












245.


For the purpose of template 19, “debtor” shall include all the legal entities in the debtor’s group which are within the accounting scope of consolidation and natural persons who control that group.












246.


For the purpose of template 19, “debt” shall include loans and advances (which include also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given including those loan commitments 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.












248.


For the purpose of template 19, “exposure” shall have the same meaning as given for “debt” in paragraph 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 as defined in paragraph 233 of this Part.












250.


For the purpose of template 19, “institution” means the institution which applied the forbearance measures.












251.


In template 19 for “debt”, the “gross carrying amount” shall be reported as defined in 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, 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 of 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 provided that a concession as defined in paragraphs 240 and 241 of this Part of this Annex has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition. Any of the following shall be treated as forbearance measures:






(a)


a modified contract that has been classified as non-performing before the modification or would in the absence of modification be classified as non-performing;










(b)


the modification that has been made to a contract involves a total or partial cancellation by write-offs of the debt;










(c)


the institution approves the use of embedded forbearance clauses for a debtor who is non-performing or who would be considered as non-performing without the use of those clauses;










(d)


simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was non-performing or would in the absence of refinancing be classified as non-performing.
















253.


A modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession.












254.


There is a rebuttable presumption that forbearance has taken place in any of the following circumstances:






(a)


the modified contract was totally or partially past due by more than 30 days (without being non-performing) at least once during the three months prior to its modification or would be more than 30 days past due, totally or partially, without modification;










(b)


simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was totally or partially past due by 30 days at least once during the three months prior to its refinancing;










(c)


the institution approves the use of embedded forbearance clauses for 30 days past due debtors or debtors who would be 30 days past due without the exercise of those clauses.
















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 within the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 224 and 260 of this Part. The classification as forborne exposure shall be discontinued where all of the following conditions are met:






(a)


the forborne exposure is considered to be performing, including where it has been reclassified from the non-performing exposures category after an analysis of the financial condition of the debtor showed that it no longer met the conditions to be considered as non-performing;










(b)


a minimum two year period has passed from the date the forborne exposure was considered to be performing (“probation period”);










(c)


regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period;










(d)


none of the exposures to the debtor is more than 30 days past due at the end of the probation period.
















257.


Where the conditions referred to in paragraph 256 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 exposure becomes more than 30 days past due, it shall be classified as non-performing.












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 are included in the performing exposures category. Performing forborne exposures are under probation according to paragraph 256, including where paragraph 259 applies. Performing forborne exposures under probation that have been reclassified out of the non-performing 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 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 to be impaired in accordance with the applicable accounting framework. Under IFRS, the amount of credit-impaired assets (Stage 3), including purchased or originated credit-impaired assets shall be reported in this column;










(b)


exposures in respect of which a default is considered to have occurred in accordance with Article 178 of 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” according to 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 its de-recognition 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.












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. 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 exposure.




19.   GEOGRAPHICAL BREAKDOWN (20)








269.


Template 20 shall be reported where the institution exceeds the threshold described in Article 5 (a) (4) 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” means the jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability; for branches, it means the jurisdiction of its residence. For these purposes, “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 43 of 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. 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” shall be reported as defined in paragraphs 69 to 71 of this Part.












275.


In template 20.4 for debt instruments, “gross carrying amount” shall be reported as defined in paragraph 34 of Part 1 of this Annex. For derivatives and equity instruments, the amount to be reported shall be the carrying amount. In column “Of which: Non-performing” debt instruments shall be reported as defined in paragraphs 213 to 232 of this Part. Debt forbearance comprises all “debt” contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 240 to 255 of 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.












277.


In template 20.7, loans and advances not held for trading 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 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 reported 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; they shall form part of the initial acquisition/issue value of these instruments and shall be amortised to profit or loss over their residual life using the effective interest rate [see 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 mandatorily 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 they are classified. They shall not be part of the initial acquisition or issuance value of these instruments and are immediately recognized in profit or loss.












284.


Institutions shall report fee and commission income and expenses according to the following criteria:






(a)


“Securities. Issuances” shall include fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution;










(b)


“Securities. Transfer orders” shall include fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities;










(c)


“Securities. Other” shall include fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;










(d)


“Clearing and settlement” shall include fee and commission income (expenses) generated by (charged to) the institution where participating in counterparty, clearing and settlement facilities;










(e)


“Asset management”, “Custody”, “Central administrative services for collective investment undertakings”, “Fiduciary transactions”, “Payment services” shall include fee and commission income (expenses) generated by (charged to) the institution where providing these services;










(f)


“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;










(g)


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;










(h)


“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 these activities initially recognised as “other liabilities”;










(i)


“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”;










(j)


“Other” shall include the rest of fee and commission income (expenses) generated by (charged to) the institution such as those derived from “other commitments”, from foreign exchange services (such as exchange of foreign banknotes or coins) or from providing (receiving) other fee-based advice and services.








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 without regarding whether the institution provides additionally other services;










(e)


“Payment services” shall refer to the collection on behalf of customers of payments generated by debt instruments that are neither recognised on the balance sheet of the institution nor originated by it;










(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, pension funds, the assets concerned may be shown at the value at which these entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, where appropriate.








22.   INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)








286.


For the purposes of Annexes III and IV as well as this Annex, “liquidity support drawn” means 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 incurred during the reporting period by a reporting institution relating to its interests in unconsolidated structured entities.




23.   RELATED PARTIES (31)








288.


Institutions shall report amounts and/or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party in accordance with 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 transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated with the prudential scope of consolidation or because, in accordance with Article 19 of CRR, the subsidiaries are excluded from the scope of prudential consolidation 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 of this Part.












291.


“Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures” shall be reported as defined as in paragraphs 69 to 71 in this Part only for non-performing exposures. “Provisions on non-performing off-balance sheet exposures” shall include provisions as defined as in paragraphs 11, 106 and 111 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part.




23.2.   Related parties: expenses and income generated by transactions with (31.2)









292.


“Gains or losses on de-recognition of other than financial assets” shall include all the gains and losses on de-recognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on de-recognition 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 de-recognition of investments in subsidiaries, joint ventures and associates”, where reporting under national GAAP based in BAD;










(b)


“Gains or losses on de-recognition 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 provision as defined in paragraph 50 of this Part for off-balance sheet exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part.




24.   GROUP STRUCTURE (40)








294.


Institutions shall provide detailed information as of the reporting date on subsidiaries, joint ventures and associates fully or proportionally consolidated in the accounting scope of consolidation as well as entities reported as “Investments in subsidiaries, joint ventures and associates” in accordance with paragraph 4 of this Part, including also those entities in which investments are held for sale under IFRS 5. All entities regardless the activity they perform shall be reported.












295.


Equity instruments that do not meet the criteria to be classified as investments in subsidiaries, joint ventures and associates and own shares of the reporting institution owned by it (“Treasury shares”), shall be excluded from the scope of 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 definitions apply for the purposes of Annexes III and IV as well as this Annex:






(a)


“LEI code” shall include the LEI code of the investee. Where a LEI code exists for the investee it shall be reported;










(b)


“Entity code” shall include the identification code of the investee. The entity code is a row identifier and shall be unique for each row in template 40.1.










(c)


“Entity name” shall include the name of the investee;










(d)


“Entry date” means the date in which the investee entered within the “scope of the group”;










(e)


“Share capital of investee” means the total amount of capital issued by the investee as at the reference date;










(f)


“Equity of investee”, “Total assets of the Investee” and “Profit or (loss) of the Investee” shall include the amounts of these items in the last financial statements of the investee;










(g)


“Residence of investee” means the country of residence of the investee;










(h)


“Sector of investee” means the sector of counterparty as defined in paragraph 42 of Part 1 of this Annex;










(i)


“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”);










(j)


“Accumulated equity interest (%)” shall be the percentage of ownership instruments held by the institution as of the reference date;










(k)


“Voting rights (%)” means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.










(l)


“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);










(m)


“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);










(n)


“Accounting treatment [CRR Group]” shall indicate the relationship between the accounting treatment with the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other);










(o)


“Carrying amount” means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;










(p)


“Acquisition cost” means the amount paid by the investors;










(q)


“Goodwill link to the investee” means 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”;










(r)


“Fair value of the investments for which there are published price quotations” means the price at the reference date; it shall be provided only if 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 assigned, 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. “Holding company LEI code” shall include the LEI code for the company holding the security. Where a LEI code exists for the holding company it shall be reported;










(c)


“Entity code”, “Accumulated equity interest (%)”, “Carrying amount” and “Acquisition cost” are defined above. 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 include for liabilities the carrying amount of hybrid financial instruments classified, as a whole, in these accounting portfolios; that is, it shall include non-separated hybrid instruments in their entirely.












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 other intangible assets than goodwill.




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.


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.


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.   Memo items [related to staff expenses] (44.3)









311.


For reporting of memorandum items related to staff expenses, the following definitions shall be used:






(a)


“Pension and similar expenses” shall include the amount recognized in the period as staff expenses for any post – employment benefit obligations (both defined contributions plans and defined benefits plans) and contributions to social security funds;










(b)


“Share based payments” shall include the amount recognized in the period as staff expenses for share based payments.








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.




29.2.   Gains or losses on de-recognition of non-financial assets (45.2)









313.


“Gains or losses on de-recognition 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 their 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 cost 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 discloses 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 de-recognition.





PART 3

MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS








1.


The Tables 2 and 3 map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables.





Table 2


Standardised Approach








SA exposure classes (CRR Article 112)


FINREP counterparty sectors


Comments










(a)


Central governments or central banks












(1)


Central banks










(2)


General governments






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty










(b)


Regional governments or local authorities












(2)


General governments






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty










(c)


Public sector entities












(2)


General governments










(3)


Credit institutions










(4)


Other financial corporations










(5)


Non financial corporations.






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty










(d)


Multilateral development banks












(3)


Credit institutions






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty










(e)


International organisations












(2)


General governments






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty










(f)


Institutions
(i.e. credit institutions and investment firms)












(3)


Credit institutions










(4)


Other financial corporations






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty










(g)


Corporates












(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 counterparty










(i)


Secured by mortgages on immovable property












(2)


General governments










(3)


Credit institutions










(4)


Other financial corporations










(5)


Non-financial corporations










(6)


Households






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.










(j)


In default












(1)


Central banks










(2)


General governments










(3)


Credit institutions










(4)


Other financial corporations










(5)


Non-financial corporations










(6)


Households






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.










(ja)


Items associated with particularly high risk












(1)


Central banks










(2)


General governments










(3)


Credit institutions










(4)


Other financial corporations










(5)


Non-financial corporations










(6)


Households






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.










(k)


Covered bonds












(3)


Credit institutions










(4)


Other financial corporations










(5)


Non-financial corporations






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.










(l)


Securitisation positions












(2)


General governments










(3)


Credit institutions










(4)


Other financial corporations










(5)


Non-financial corporations










(6)


Households






These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions.










(m)


Institutions and corporates with a short-term credit assessment












(3)


Credit institutions










(4)


Other financial corporations










(5)


Non-financial corporations






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.










(n)


Collective investment undertakings






Equity instruments


Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through.










(o)


Equity






Equity instruments


In FINREP, equities shall be separated as instruments under different categories of financial assets










(p)


Other items






Various items of the balance sheet


In FINREP, other items may be included under different asset categories.








Table 3


Internal Ratings Based Approach








IRBA exposure classes
(CRR Article 147)


FINREP counterparty sectors


Comments










(a)


Central governments and central banks












(1)


Central banks










(2)


General governments










(3)


Credit institutions






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty










(b)


Institutions
(i.e. credit institution and investment firms as well as some general governments and multilateral banks)












(2)


General governments










(3)


Credit institutions










(4)


Other financial corporations






These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty










(c)


Corporates












(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 securitisation positions. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions










(g)


Other non credit obligations






Various items of the balance sheet


In FINREP, other items may be included under different asset categories.’









(1)  Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1).

(2)  Regulation (EC) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of monetary financial institutions sector (recast) (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).

(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).





ANNEX IV




                     ‘ANNEX IX

INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK


Table of Contents







PART I: GENERAL INSTRUCTIONS

387










1.


Structure and conventions

387










2.


Abbreviations

388









PART II: TEMPLATE RELATED INSTRUCTIONS

388










1.


Scope and level of the LE reporting

388










2.


Structure of the LE template

389










3.


Definitions for the purposes of the LE reporting

389










4.


C 26.00 — LE Limits template

390










4.1.


Instructions concerning specific rows

390










5.


C 27.00 — Identification of the counterparty (LE1)

391










5.1.


Instructions concerning specific columns

391










6.


C 28.00 — Exposures in the non-trading and trading book (LE2)

392










6.1.


Instructions concerning specific columns

392










7.


C 29.00 — Details of the exposures to individual clients within groups of connected clients (LE3)

397










7.1.


Instructions concerning specific columns

397










8.


C 30.00 — Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial sector entities (LE 4)

398










8.1.


Instructions concerning specific columns

398










9.


C 31.00 — Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (LE5)

399










9.1.


Instructions concerning specific columns

399




PART I: GENERAL INSTRUCTIONS

1.   Structure and conventions









1.


The reporting framework on large exposures (“LE”) shall consist of six 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);










(e)


maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE4);










(f)


maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5).
















2.


The instructions include legal references as well as detailed information regarding the data that shall be reported in each template.












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

In this Annex, instructions relating to the reporting of Large Exposures shall also apply to the reporting of significant exposures required by Articles 9 and 11, in accordance with the scope defined in those Articles.
1.   Scope and level of the LE reporting









1.


In order to report information on large exposures to clients or groups of connected clients according to 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 according to Article 394(1) of 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 of 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 of CRR.












4.


In order to report information on the 20 largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of CRR on a consolidated basis, the parent institutions in a Member State which are subject to Part Three, Title II, Chapter 3, of 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 as well as on the ten largest exposures to unregulated financial sector entities according to points (a) to (d) of Article 394(2) of CRR on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. For the reporting of the maturity structure of these exposures according to Article 394(2)(e) of CRR, the parent institutions in a Member State shall use templates LE4 and LE5. 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.


The data on the large exposures and the relevant largest exposures 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.












7.


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.




2.   Structure of the LE template









8.


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.












9.


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.
















10.


The columns of the templates LE4 and LE5 shall present the information regarding the maturity buckets to which the expected maturing amounts of the ten largest exposures to institutions as well as the ten largest exposures to unregulated financial sector entities shall be allocated.




3.   Definitions and general instructions for the purposes of the LE reporting









11.


“Group of connected clients” is defined in Article 4(1)(39) of CRR.












12.


“Unregulated financial sector entities” are defined in Article 142(1)(5) of CRR.












13.


“Institutions” is defined in Article 4(1)(3) of CRR












14.


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.












15.


Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance to Article 389 of CRR. Specifically, credit conversion factors shall not be applied to off balance sheet items.












16.


“Exposures” are defined in Article 389 of CRR.






(a)


any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 of CRR, but excluding items which fall under effect of points (a) to (d) of Article 390(6) of 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 of CRR. The definitions here may not differ in any possible respect from the definitions provided in the basic act.]
















17.


The exposures to groups of connected clients shall be calculated in accordance with Article 390(5).












18.


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(1), (2) and (3) of CRR. The exposure value of a derivative instrument listed in Annex II of CRR shall be determined in accordance with Part Three, Title II, Chapter 6, of 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, of 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, of CRR. In accordance with Article 296 of 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.












19.


The “value of an exposure” shall be calculated according to Article 390 of CRR.












20.


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 described in Articles 399 to 403 of CRR.












21.


Reverse repurchase agreements which fall under the reporting for large exposures shall be reported according to Article 402(3) of 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

Articles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR.
The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25 % of the eligible capital, which is reported in row 226 of template 4 of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR.





020




Institutions

Articles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR.
The amount of the applicable limit for counterparties which are institutions shall be reported. According to Article 395(1) of CRR, this amount shall be the following:






—


if the 25 % of the eligible 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 paragraph of Article 395(1) of CRR, 25 % of the eligible 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) of CRR is greater than 25 % of the institution’s eligible 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 eligible 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 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR.





030




Institutions in %

Articles 395(1) and 459(a) of CRR.
The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage of the eligible capital.




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 31.00. 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 Article 394(1)(a) of CRR, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 of CRR.
According to Article 394(2)(a) of 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 an unregulated financial sector entity).





010




Code

The code is a row identifier, and must be unique for each row in the table.
The code shall be used to identify the individual counterparty. However, the purpose of this column is to link counterparty details in C 27.00 with exposures reported in C 28.00 – C 31.00. The code 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. 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 Union.





020




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.





030




LEI Code

The legal entity identifier code of the counterparty.





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 economic sector classes:






(i)


Central Banks;










(ii)


General Governments;










(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” 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” 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” and “Non-financial corporations” economic sectors shall be classified on the basis of FINREP counterparty breakdown.
For groups of connected clients, no NACE code shall be reported.





070




Type of counterparty

Article 394(2) of CRR
The type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities shall be specified by using “I” for institutions or “U” for unregulated financial sector entities.




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 or “2” for the reporting of exposures to groups of connected clients.





030




Transactions where there is an exposure to underlying assets

Article 390(7) of 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 of 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 of 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 of 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 of CRR.
Exposures deducted from own funds, which are not exposures according to Article 390(6)(e), shall be included in these columns. These exposures shall be deducted in column 200.
Exposures referred to in points (a) to (d) of Article 390(6)of CRR shall not be included in these columns.
Original exposures shall include any asset and off-balance sheet items according to Article 400 of CRR. The exemptions shall be deducted for the purpose of Article 395(1) of CRR in column 320.
Exposures from both non-trading and trading book shall be included.
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 of 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.





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.





070




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” according to ECB/2013/33.





080




Derivatives

Article 272(2) and Annex II of CRR.
The instruments that shall be reported in this column shall include derivatives listed in Annex II of CRR and long settlement transactions, as defined in Article 272(2) of CRR.
Credit derivatives that are subject to counterparty credit risk shall be included in this column.





090-110




Off balance sheet items

Annex I of 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) of 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), of 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.





120-180




Indirect exposures

Article 403 of CRR.
According to Article 403 of CRR, a credit institution may 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 third party under Part Three, Title II, Chapter 2 of CRR. 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 of 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) of CRR.
Additional exposures that arise from transactions where there is an exposure to underlying assets.





190




(-) Value adjustments and provisions

Articles 34, 24, 110 and 111 of 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 according to Articles 24 and 110 of CRR.
Value adjustments and provisions against the gross exposure given in column 040 shall be reported in this column.





200




(-) Exposures deducted from own funds

Article 390(6)(e) of CRR.
Exposures deducted from own funds, 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)(b) of 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 own funds.





220




Of which: Non-trading book

The amount of the non-trading book from the total exposure before exemptions and CRM.





230




% of eligible capital

Articles 4(1)(71)(b) and 395 of CRR.
The amount that shall be reported is the percentage of the exposure value before application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(1)(71)(b) of CRR.





240-310




(-) Eligible credit risk mitigation (CRM) techniques

Articles 399 and 401 to 403 of CRR.
CRM techniques as defined in Article 4(1)(57) of CRR.
For the purposes of this reporting, the CRM techniques recognised in Part Three, Title II, Chapter 3 and 4, of CRR shall be used in accordance with Articles 401 to 403 of 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.





240-290




(-) Substitution effect of eligible credit risk mitigation techniques

Article 403 of 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 decides to treat the exposure 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 of CRR.
The institution shall report the amounts of funded credit protection, as defined in Article 4(1)(58) of CRR, that are deducted from the exposure value due to the application of Article 401 of CRR.





310




(-) Real estate

Article 402 of CRR.
The institution shall report the amounts deducted from the exposure value due to the application of Article 402 of CRR.





320




(-) Amounts exempted

Article 400 of CRR.
The institution shall report the amounts exempted from the LE regime.





330-350




Exposure value after application of exemptions and CRM

Article 394(1)(d) of 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) of 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 of 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 eligible capital

The institution shall report the percentage of the exposure value after application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(1)(71)(b) of 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.





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.





030




Transactions where there is an exposure to underlying assets

See column 030 of template LE2.





040




Type of connection

The type of connection between the individual entity and the group of connected clients shall be specified by using either:
“a” within the meaning of Article 4(1)(39)(a) of CRR (control); or
“b” within the meaning of Article 4(1)(39)(b) of CRR (interconnectedness).





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.




8.   C 30.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE 4)

8.1.   Instructions concerning specific columns






Column


Legal references and instructions





010




Code

The code is a row identifier and must be unique for each row in the table.
See column 010 of template LE1.





020-250




Maturity buckets of the exposure

Article 394(2)(e) of CRR
The institution shall report this information for the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities.
The maturity buckets are defined with a monthly interval up to one year, with a quarterly interval from one year up to three years and with larger intervals from three years onwards.
Each exposure value before application of exemptions and CRM (column 210 of LE2 template) shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. In case of several separate relationships constituting an exposure to a client, each of these parts of the exposure shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. Instruments which do not have a fixed maturity, like equity, shall be included in the column “undefined maturity”.
The expected maturity of the exposure shall be reported for both direct and indirect exposures.
For direct exposures, when allocating expected amounts of debt instruments and derivatives into the different maturity buckets of this template, the instructions of the maturity ladder template of the additional metrics on liquidity shall be used (see Annex XXIII to this Regulation).
In the case of off-balance sheet items, the maturity of the underlying risk shall be used in the allocation of expected amounts to maturity buckets. More specifically, for forward deposits that means the maturity structure of the deposit; for financial guarantees, the maturity structure of the underlying financial asset; for undrawn facilities of loan commitments, the maturity structure of the loan; and for other commitments, the maturing structure of the commitment.
In the case of indirect exposures, the allocation into maturity buckets shall be based on the maturity of the guaranteed operations which generate the direct exposure.
In case an exposure or a part of an exposure is to be regarded as defaulted and is reported as such in template C 28.00 (LE 2, column 050) and C 29.00 (LE 3, column 060), the expected run-off of the defaulted exposure must be allocated to the respective maturity buckets as follows:






—


When the reporting entity, in spite of the default, has a clear calendar of expected repayments of the exposure, it shall allocate them into the respective buckets accordingly.










—


When the reporting entity does not have a reasoned view of when defaulted amounts will be repaid (if ever), it shall allocate them into the category “undefined maturity”.








9.   C 31.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5)

9.1.   Instructions concerning specific columns






Column


Legal references and instructions





010-260



The institution shall report in template LE5 the data of the individual counterparties belonging to the groups of connected clients included in the rows of template LE4.





010




Code

Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table.
See column 010 of template LE3.





020




Group code

Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table.
See column 020 of template LE3.





030-260




Maturity buckets of the exposures

See columns 020-250 of template LE4.’












ANNEX V




                     ‘ANNEX XI

REPORTING ON LEVERAGE







PART I: GENERAL INSTRUCTIONS

400










1.


Template labelling and other conventions

400










1.1.


Template labelling

400










1.2.


Numbering convention

401










1.3.


Abbreviations

401










1.4.


Sign convention

401









PART II: TEMPLATE RELATED INSTRUCTIONS

401










1.


Structure and frequency

401










2.


Formulas for leverage ratio calculation

401










3.


Materiality thresholds for derivatives

402










4.


C47.00 – Leverage ratio calculation (LRCalc)

402










5.


C40.00 – Alternative treatment of the Exposure Measure (LR1)

410










6.


C41.00 – On- and off-balance sheet items – additional breakdown of exposures (LR2)

419










7.


C42.00 – Alternative definition of capital (LR3)

421










8.


C43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4)

423










9.


C44.00 – General information (LR5)

440




PART I: GENERAL INSTRUCTIONS

1.   Template labelling and other conventions

1.1.   Template labelling









1.


This Annex contains additional instructions for the templates (hereinafter “LR”) included in Annex X of this Regulation.












2.


Overall, the framework consists of six templates:






—


C47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;










—


C40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;










—


C41.00: Leverage Ratio Template 2 (LR2): On and off-balance sheet items – additional breakdown of exposures;










—


C42.00: Leverage Ratio Template 3 (LR3): Alternative definition of capital;










—


C43.00: Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components; and










—


C44.00: Leverage Ratio Template 5 (LR5): General information.
















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.


SFT, which is an abbreviation of Securities Financing Transaction and shall mean “repurchase transaction, securities or commodities lending or borrowing transaction, long settlement transaction and margin lending transaction” as referred to in Regulation (EU) No 575/2013;










c.


CRM, which is an abbreviation for Credit Risk Mitigation.








1.4.   Sign convention









9.


All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010}, {LR3;040;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010}. Thereby note that {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010} only take negative values. Also note that, apart from extreme cases, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010} and {LR3;040;010} only take positive values.





PART II: TEMPLATE RELATED INSTRUCTIONS

1.   Structure and frequency









1.


The leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation of the leverage ratio that institutions shall submit to competent authorities in accordance with the first subparagraph of Article 430(1) of the CRR, while Part B comprises all the data items that institutions shall submit in accordance with the second subparagraph of Article 430(1) of the CRR (i.e. for the purposes of the report referred to in Article 511 of the CRR).












2.


When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(13) of the CRR.




2.   Formulas for leverage ratio calculation









3.


The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from Part A.












4.


Leverage Ratio – fully phased-in definition = {LRCalc;310;010}/{LRCalc;290;010}.












5.


Leverage Ratio – transitional definition = {LRCalc;320;010}/{LRCalc;300;010}.




3.   Materiality thresholds for derivatives









6.


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:












7.





.












8.


Where total exposure measure is equal to: {LRCalc;290;010}.












9.


Total notional value referenced by derivatives = {LR1; 010;070}. This is a cell that institutions shall always report.












10.


Credit derivatives volume = {LR1;020;070} + {LR1;050;070}. These are cells that institutions shall always report.












11.


Institutions are required to report the cells referred to in paragraph 14 in the next reporting period, if any of the following conditions is met:






—


the derivatives share referred to in paragraph 7 is more than 1,5 % on two consecutive reporting reference dates;










—


the derivatives share referred to in paragraph 7 exceeds 2,0 %.
















12.


Institutions for which the total notional value referenced by derivatives as defined in paragraph 9 exceeds 10 billion EUR shall report the cells referred to in paragraph 14, even though their derivatives share does not fulfil the conditions described in paragraph 11.












13.


Institutions are required to report the cells referred to in paragraph 15 if any of the following conditions is met:






—


the credit derivatives volume referred to in paragraph 10 is more than 300 million EUR on two consecutive reporting reference dates;










—


the credit derivatives volume referred to in paragraph 10 exceeds 500 million EUR.
















14.


The cells which are required to be reported by institutions in accordance with paragraph 11 are the following: {LR1;010;010}, {LR1;010;020}, {LR1;010;050}, {LR1;020;010}, {LR1;020;020}, {LR1;020;050}, {LR1;030;050}, {LR1;030;070}, {LR1;040;050}, {LR1;040;070}, {LR1;050;010}, {LR1;050;020}, {LR1;050;050}, {LR1;060;010}, {LR1;060;020}, {LR1;060;050} and {LR1;060;070}.












15.


The cells which are required to be reported by institutions in accordance with paragraph 13 are the following: {LR1;020;075}, {LR1;050;075} and {LR1;050;085}.




4.   C 47.00 – Leverage ratio calculation (LRCalc)









16.


This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Articles 429, 429a and 429b of the CRR.












17.


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.












18.


Institutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and {150;010} to {190;010} as if the exemptions referred to in {050;010}, {080;010}, {100;010}, {120;010}, and {220;010} did not apply.












19.


Institutions shall report {010;010} to {240;010} as if the exemptions referred to in {250;010} and {260;010} did not apply.












20.


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.






 


Legal references and instructions




Row and column


Exposure Values




{010;010}



SFTs: Exposure in accordance with Articles 429(5) and 429(8) of the CRR

Articles 429(5)(d) and 429(8) of the CRR
The exposure for SFTs calculated in accordance with Article 429(5)(d) and (8) of the CRR.
Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c).
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 {190,010}.
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 Article 429b(6)(a) of the CRR.




{020;010}



SFTs: Add-on for counterparty credit risk

Article 429b(1) of the CRR
The add-on for counterparty credit risk of SFTs, including those that are off-balance sheet, determined in accordance with Article 429b(2) or (3) of the CRR, as applicable.
Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c).
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 Article 429b(6)(a) of the CRR. Institutions shall instead include those items in {040;010}.




{030;010}



Derogation for SFTs: Add-on in accordance with Articles 429b(4) and 222 of the CRR

Article 429b(4) and 222 of the CRR
The exposure value for SFTs, including those that are off-balance sheet, calculated in accordance with Article 222 of the CRR, subject to a 20 % floor for the applicable risk weight.
Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c) of the 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 defined in Article 429b(1) of the CRR.




{040;010}



Counterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR

Article 429b(6)(a), (2) and (3) of the 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 Article 429b(6)(a) of the CRR, consists only of the add-on determined in accordance with Article 429b(2) or (3) of the CRR, as applicable.
Institutions shall not include in this cell transactions in accordance with Article 429b(6)(c). Institutions shall instead include those items in {010;010} and {020;010} or {010;010} and {030;010}, as applicable.




{050;010}



(-) Exempted CCP leg of client-cleared SFT exposures

Articles 429(11) and 306(1)(c) of the CRR
The exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in Article 306(1)(c) of the 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) of the CRR) is included at full value.
Institutions shall, as if no exemption applies, also include the amount reported in this cell in {010;010}, {020;010} and {030;010}, and, if the condition in the second half of the previous sentence is met, in {190;010}.
Where there is initial margin posted by the institution for an exempted leg of an SFT that is reported in {190;010} and not reported in {020;010} or {030;010}, then the institution can report it in this cell.




{060;010}



Derivatives: Current replacement cost

Articles 429a, 274, 295, 296, 297 and 298 of the CRR.
The current replacement cost as specified in Article 274(1) of the CRR of contracts listed in Annex II of the CRR and credit derivatives including those that are off-balance sheet reported gross of variation margin received.
As determined by Article 429a(1) of the CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 of the CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) of the CRR.
Institutions shall not include in this cell contracts measured by application of the original exposure method in accordance with Articles 429a(8) and 275 of the CRR.




{070;010}



(-) Eligible cash variation margin received offset against derivatives market value

Article 429a(3) of the 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 429a(3) of the CRR.
Any cash variation margin received on an exempted CCP leg in accordance with Article 429(11) of the CRR shall not be reported.




{080;010}



(-) Exempted CCP leg of client-cleared trade exposures (replacement costs)

Article 429(11) of the CRR
The replacement cost portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. This amount shall be reported gross of cash variation margin received on this leg.
Institutions shall include the amount reported in this cell also in {060;010} as if no exemption applied.




{090;010}



Derivatives: Add-on under the mark-to-market method

Articles 429a, 274, 295, 296, 297, 298 and 299(2) of the CRR
This cell provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives including those that are off-balance sheet calculated in accordance with the mark-to-market Method (Article 274 of the CRR for contracts listed in Annex II of the CRR and Article 299(2) of the CRR for credit derivatives) and applying netting rules in accordance with Article 429a(1) of the CRR. In determining the exposure value of those contracts, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 of the CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) of the CRR.
In accordance with the second subparagraph of Article 429a(1) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2)(a) of the CRR to all their credit derivatives, not just those assigned to the trading book.
Institutions shall not include in this cell contracts measured by application of the original exposure method in accordance with Articles 429a(8) and 275 of the CRR.




{100;010}



(-) Exempted CCP leg of client-cleared trade exposures (potential future exposure)

Article 429(11) of the CRR
The potential future exposure of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR.
Institutions shall include the amount reported in this cell also in {090;010} as if no exemption applied.




{110;010}



Derogation for derivatives: original exposure method

Articles 429a(8) and 275 of the CRR
This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II of the CRR calculated in accordance with the original exposure method set out in Article 275 of the CRR.
Institutions that apply the original exposure method shall not reduce the exposure measure by the amount of variation margin received in cash in accordance with Article 429a(8) of the 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 mark-to-market method in accordance with Articles 429a(1) and 274 of the CRR.




{120;010}



(-) Exempted CCP leg of client-cleared trade exposures (original exposure method)

Article 429(11) of the CRR
The exempted CCP leg of client-cleared trade exposures when applying the original exposure method as set out in Article 275 of the CRR, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR.
Institutions shall include the amount reported in this cell also in {110;010} as if no exemption applied.




{130;010}



Capped notional amount of written credit derivatives

Article 429a(5) to (7) of the CRR
Capped notional value of written credit derivatives (i.e. where the institution is providing credit protection to a counterparty) as set out in Article 429a(5) to (7) of the CRR.




{140;010}



(-) Eligible purchased credit derivatives offset against written credit derivatives

Article 429a(5) to (7) of the CRR
Capped notional value 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 {130;010} for each reference name.




{150;010}



Off-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR

Articles 429(10), 111(1)(d) and 166(9) of the CRR
The exposure value, in accordance with Articles 429(10) and 111(1)(d) of the 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 of the 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.
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) of the CRR.
Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.




{160;010}



Off-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR

Articles 429(10), 111(1)(c) and 166(9) of the CRR
The exposure value, in accordance with Articles 429(10) and 111(1)(c) of the 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 of the 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.
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) of the CRR.
Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.




{170;010}



Off-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR

Articles 429(10), 111(1)(b) and 166(9) of the CRR
The exposure value, in accordance with Articles 429(10) and 111(1)(b) of the 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 of the 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.
This cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 of the 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) of the CRR.
Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.




{180;010}



Off-balance sheet items with a 100 % CCF in accordance with CRR 429 (10)

Articles 429(10), 111(1)(a) and 166(9) of the CRR
The exposure value, in accordance with Articles 429(10) and 111(1)(a) of the 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 of the CRR (as a reminder the exposure value here shall be 100 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments.
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) of the CRR.
Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.




{190;010}



Other assets

Article 429(5) of the CRR
All assets other than contracts listed in Annex II of the 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 429(5) of the 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.




{200;010}



Gross-up for derivatives collateral provided

Article 429a(2) of the 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 429a(2) of the 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 429a(3) of the CRR.




{210;010}



(-) Receivables for cash variation margin provided in derivatives transactions

Third subparagraph of Article 429a(3) of the 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 429a(3) of the CRR are met.
The amount reported shall also be included in the other assets reported in {190, 010}.




{220;010}



(-) Exempted CCP leg of client-cleared trade exposures (initial margin)

Article 429(11) of the 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 Article 306(1)(c) of the CRR.
The amount reported shall also be included in the other assets reported in {190, 010}.




{230;010}



Adjustments for SFT sales accounting transactions

Article 429b(5) of the CRR
The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework.




{240;010}



(-) Fiduciary assets

Article 429(13) of the CRR
The value of fiduciary assets that meet the IAS 39 criteria for derecognition and, where applicable, IFRS 10 for deconsolidation, in accordance with Article 429(13) of the 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 {190, 010}.




{250;010}



(-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR

Articles 429(7) and 113(6) of the 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) of the CRR, provided that all the conditions set out in points (a) to (e) of Article 113(6) of the 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.




{260;010}



(-) Exposures exempted in accordance with Article 429(14) of the CRR

Article 429(14) of the CRR
Exposures exempted in accordance with 429(14) of the CRR subject to the therein stated conditions being 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.




{270;010}



(-) Asset amount deducted — Tier 1 capital — fully phased-in definition

Articles 429(4)(a) and 499(1)(a) of the CRR
It includes all the adjustments that target the value of an asset and which are required by:






—


Articles 32 to 35 of the CRR, or










—


Articles 36 to 47 of the CRR, or










—


Articles 56 to 60 of the CRR,




as applicable.
Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {010;010} to {260;010}, 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.




{280;010}



(-) Asset amount deducted — Tier 1 capital — transitional definition

Articles 429(4)(a) and 499(1)(b) of the CRR
It includes all the adjustments that adjust the value of an asset and which are required by:






—


Articles 32 to 35 of the CRR, or










—


Articles 36 to 47 of the CRR, or










—


Articles 56 to 60 of the CRR’




as applicable.
Institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition to taking into account the derogations laid down in Chapter 1 and 2 of Title I of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {010;010} to {260;010}, 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.




{290;010}



Total Leverage Ratio exposure — using a fully phased-in definition of Tier 1 capital

Institutions shall report the following amount:
{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010} + {LRCalc;270;010}.




{300;010}



Total Leverage Ratio exposure — using a transitional definition of Tier 1 capital

Institutions shall report the following amount:
{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} - {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010} + {LRCalc;280;010}.




Row
and column


Capital




{310;010}



Tier 1 capital — fully phased-in definition

Articles 429(3) and 499(1) of the CRR
This is the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR.




{320;010}



Tier 1 capital — transitional definition

Articles 429(3) and 499(1) of the CRR
This is the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR.




Row
and column


Leverage Ratio




{330;010}



Leverage Ratio – using a fully phased-in definition of Tier 1 capital

Articles 429(2) and 499(1) of the CRR
This is the leverage ratio as calculated under paragraph 4 of Part II of this Annex.




{340;010}



Leverage Ratio – using a transitional definition of Tier 1 capital

Articles 429(2) and 499(1) of the CRR
This is the leverage ratio as calculated under paragraph 5 of Part II of this Annex.








5.   C 40.00 – Alternative treatment of the Exposure Measure (LR1)









21.


This part of the reporting collects data on an alternative treatment of derivatives, SFTs and off-balance sheet items.












22.


Institutions shall determine the “accounting balance sheet values” in LR1 based on the applicable accounting framework in accordance with Article 4(1)(77) of the 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.












23.


Apart from {250;120} and {260;120}, institutions shall report LR1 as if the exemptions referred to in LRCalc cells {050;010}, {080;010}, {100;010}, {120;010}, {220;010}, {250;010} and {260;010} did not apply.






Row and column


Legal references and instructions




{010;010}



Derivatives – Accounting balance sheet value

This is the sum of {020;010}, {050;010} and {060;010}.




{010;020}



Derivatives – Accounting value assuming no netting or other CRM

This is the sum of {020;020}, {050;020} and {060;020}.




{010;050}



Derivatives – Add-on under the mark-to-market method (assuming no netting or other CRM)

This is the sum of {020;050}, {050;050} and {060;050}.




{010;070}



Derivatives – Notional amount

This is the sum of {020;070}, {050;070} and {060;070}.




{020;010}



Credit derivatives (protection sold) – Accounting balance sheet value

Article 4(1)(77) of the 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.




{020;020}



Credit derivatives (protection sold) – Accounting value assuming no netting or other CRM

Article 4(1)(77) of the 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).




{020;050}



Credit derivatives (protection sold) – Add-on under the mark-to-market method (assuming no netting or other CRM)

This is the sum of {030;050} and {040;050}.




{020;070}



Credit derivatives (protection sold) – Notional amount

This is the sum of cells {030;070} and {040;070}.




{020;075}



Credit derivatives (protection sold) – Capped notional amount

This cell provides the notional amount referenced by the credit derivatives (protection sold) as in {020; 070} after reduction by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative.




{030;050}



Credit derivatives (protection sold), which are subject to a close-out clause – Add-on under the mark-to-market method (assuming no netting or other CRM)

Article 299(2) of the CRR
This cell provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause assuming no netting or other CRM. Institutions shall not include in this cell the add-on for credit derivatives where the institution is selling credit protection to a counterparty not subject to a close-out clause. Institutions shall instead include this in {LR1;040;050}.
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.




{030;070}



Credit derivatives (protection sold), which are subject to a close-out clause – Notional amount

This cell provides 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.




{040;050}



Credit derivatives (protection sold), which are not subject to a close-out clause – Add-on under the mark-to-market method (assuming no netting or other CRM)

Article 299(2) of the CRR
This cell provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty not subject to a “close-out clause” assuming no netting or other CRM.
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.




{040;070}



Credit derivatives (protection sold), which are not subject to a close-out clause – Notional amount

This cell provides 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




{050;010}



Credit derivatives (protection bought) – Accounting balance sheet value

Article 4(1)(77) of the 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.




{050;020}



Credit derivatives (protection bought) – Accounting value assuming no netting or other CRM

Article 4(1)(77) of the 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.




{050;050}



Credit derivatives (protection bought) – Add-on under the mark-to-market method (assuming no netting or other CRM)

Article 299(2) of the CRR
This cell provides the potential future exposure of credit derivatives where the institution is buying credit protection from a counterparty assuming no netting or other CRM.
Institutions shall consider all credit derivatives, not just those assigned to the trading book




{050;070}



Credit derivatives (protection bought) – Notional amount

This cell provides 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




{050;075}



Credit derivatives (protection bought) – Capped notional amount

This cell provides the notional amount referenced by credit derivatives (protection bought) as in {050;050} after reduction by any positive fair value changes that have been incorporated in Tier 1 capital with respect to the bought credit derivative.




{050;085}



Credit derivatives (protection bought) – Capped notional amount (same reference name)

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 is 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 bought which are considered in this cell shall not exceed the amounts reported in {020;075} and {050;075}.




{060;010}



Financial derivatives – Accounting balance sheet value

Article 4(1)(77) of the CRR
The accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II of the CRR where the contracts are recognised as assets on the balance sheet.




{060;020}



Financial derivatives – Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR
The accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II of the 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).




{060;050}



Financial derivatives – Add-on under the mark-to-market method (assuming no netting or other CRM)

Article 274 of the CRR
This cell provides the regulatory potential future exposure of contracts listed in Annex II of the CRR assuming no netting or other CRM.




{060;070}



Financial derivatives — Notional amount

This cell provides the notional amount referenced by contracts listed in Annex II of the CRR.




{070;010}



SFTs covered by a master netting agreement – Accounting balance sheet value

Articles 4(1)(77) and 206 of the CRR
The accounting balance sheet value of SFTs under the applicable accounting framework that are covered by a master netting agreement eligible under Article 206 of the 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 this in {090,010}.




{070;020}



SFTs covered by a master netting agreement – Accounting value assuming no netting or other CRM

Articles 4(77) and 206 of the CRR
The accounting balance sheet value under the applicable accounting framework of SFTs that are covered by a master netting agreement eligible under Article 206 of the CRR 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). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions 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 {090,020}.




{070;040}



Securities financing transactions covered by a master netting agreement – Add-on for SFT

Articles 206 of the CRR
For SFTs, including those that are off-balance sheet, that are covered by a netting agreement that meets the requirements in Article 206 of the CRR, institutions shall form netting sets. For each netting set, institutions shall calculate the add-on for current counterparty exposure (CCE) in accordance with the formula

CCE = max{(Σi
E
i – Σi
C
i); 0}
Where







i


=


each transaction included in the netting set.




Ei



=


for transaction i, the value Ei as defined in Article 220(3) of the CRR.




Ci



=


for transaction i, the value Ci as defined in Article 220(3) of the CRR.




Institutions shall aggregate the outcome of this formula for all netting sets and report the result in this cell.




{080;010}



SFTs not covered by a master netting agreement – Accounting balance sheet value

Article 4(1)(77) of the CRR
The accounting balance sheet value under the applicable accounting framework of SFTs that are not covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as assets on the balance sheet.
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 {090,010}.




{080;020}



SFTs not covered by a master netting agreement — Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR
The accounting balance sheet value under the applicable accounting framework of SFTs that are not covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as assets on the balance sheet 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). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions 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 {090,020}.




{080;040}



SFTs not covered by a master netting agreement – Add-on for SFT

Articles 206 of the CRR
For SFTs, including those that are off-balance sheet, that are not covered by a master netting agreement eligible under Article 206 of the CRR, institutions shall form sets that consist of all assets included in a transaction (i.e. each SFT is treated as its own set), and shall determine for each set the add-on for current counterparty exposure (CCE) in accordance with the formula
CCE = max {(E – C); 0}
Where
E=, the value Ei as defined in Article 220(3) of the CRR.
C=, the value Ci as defined in Article 220(3) of the CRR.
Institutions shall aggregate the outcome of this formula for all of above-mentioned sets and report the result in this cell.




{090;010}



Other assets – Accounting balance sheet value

Article 4(1)(77) of the CRR
The accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs.




{090;020}



Other assets – Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR
The accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the 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).




{100;070}



Low risk off-balance sheet items in the RSA; of which – nominal value

Article 111 of the CRR
This cell provides the nominal value of off-balance sheet items that would be assigned a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.
Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.




{110;070}



Revolving retail exposures; of which – Nominal value

Articles 111 and 154(4) of the CRR
This cell provides the nominal value of off-balance sheet qualifying revolving retail exposures that meet the conditions set in points (a) to (c) of Article 154(4) of the CRR. This value shall not be reduced by specific credit risk adjustments.
This covers all exposures that are to individuals, are revolving and unconditionally cancellable as described in point (b) of Article 149 of the CRR, and are in total limited to EUR 100 000  per obligor.
Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.




{120;070}



Unconditionally cancellable credit cards commitments – Nominal value

Articles 111 and 154(4) of the CRR
This cell provides the nominal value of credit cards commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) that would receive a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.
Institutions shall not include in this cell credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness but are not UCC.
Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.




{130;070}



Non revolving unconditionally cancellable commitments – Nominal value

Articles 111 and 154(4) of the CRR
It provides the nominal value of other commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) and that would receive a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.
Institutions shall not include in this cell credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness but are not UCC.
Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.




{140;070}



Medium/low risk off-balance sheet items under the RSA – Nominal value

Article 111 of the CRR
This cell provides the nominal value of off-balance sheet items that would be assigned a 20 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.
Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.




{150;070}



Medium risk off-balance sheet items under the RSA – Nominal value

Article 111 of the CRR
This cell provides the nominal value of off-balance sheet items that would be assigned a 50 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.
Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.




{160;070}



Full risk off-balance sheet items under the RSA – Nominal value

Article 111 of the CRR
This cell provides the nominal value of off-balance sheet items that would be assigned a 100 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.
Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.




{170;070}



(memo item) Drawn amounts of revolving retail exposures – Nominal value

Article 154(4) of the CRR
This cell provides the nominal value of amounts drawn on off-balance sheet revolving retail exposures. This value shall not be reduced by specific credit risk adjustments.




{180;070}



(memo item) Drawn amounts on unconditionally cancellable credit card commitments – Nominal value

Articles 111 and 154(4) of the CRR
This cell provides the nominal value of amounts drawn on unconditionally cancellable credit card commitments. This value shall not be reduced by specific credit risk adjustments.




{190;070}



(memo item) Drawn amounts on non-revolving unconditionally cancellable commitments – Nominal value

Articles 111 and 154(4) of the CRR
This cell provides the nominal value of amounts drawn on non-revolving unconditionally cancellable commitments. This value shall not be reduced by specific credit risk adjustments.




{210;020}



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).
For the purpose of this cell, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks is 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.




{220;020}



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.




{230;020}



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).




{240;020}



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 transaction (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 is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks is 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 is 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;










(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.








{250;120}



Exposures that can benefit from treatment under Article 113(6) of the CRR – Leverage ratio exposure amount hypothetically exempted

The amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures for which all the conditions set out in points (a) to (e) of Article 113(6) of the CRR are met and for which approval laid down in Article 113(6) of the CRR has been provided. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;250;010}.




{260;120}



Exposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR – Leverage ratio exposure amount hypothetically exempted

The amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;260;010}.








6.   C 41.00 – On- and off-balance sheet items – additional breakdown of exposures (LR2)









24.


Template LR2 provides information on additional breakdown items of all on- and off-balance sheet exposures (1) belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown is in accordance with the risk weights applied under the credit risk section of the CRR. The information is derived differently for exposures under respectively the Standardised and the IRB Approach.












25.


For exposures supported by CRM techniques implying the substitution of the risk weighting of the counterparty with the risk weighting of the guarantee, institutions shall refer to the risk weight after the substitution effect. Under the IRB Approach, institutions shall proceed with the following calculation: for exposures (other than those for which specific regulatory risk weights are provided for) belonging to each obligor grade, the risk weight shall be derived by dividing the risk weighted exposure obtained from the risk weight formula or the supervisory formula (for credit risk and securitisations exposures, respectively) by the exposure value after taking into account inflows and outflows due to CRM techniques with substitution effect on the exposure. Under the IRB Approach, exposures classified as in default shall be excluded from {020;010} to {090;010} and included in {100;010}. Under the Standardised Approach, exposures falling under Article 112(j) of the CRR shall be excluded from {020;020} to {090;020} and included in {100;020}.












26.


Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1 250 % risk weight.






Row


Legal references and instructions




010



Total on- and off-balance sheet exposures belonging to the non-trading book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight):

This is the sum of {020:*} to {100;*}.




020



= 0 %

Exposures with a 0 % risk weight.




030



> 0 % and ≤ 12 %

Exposures with a risk weight included within a range of risk weights strictly greater than 0 % and smaller than or equal to 12 %.




040



> 12 % and ≤ 20 %

Exposures with a risk weight included within a range of risk weights strictly greater than 12 % and smaller than or equal to 20 %.




050



> 20 % and ≤ 50 %

Exposures with a risk weight included within a range of risk weights strictly greater than 20 % and smaller than or equal to 50 %.




060



> 50 % and ≤ 75 %

Exposures with a risk weight included within a range of risk weights strictly greater than 50 % and smaller than or equal to 75 %.




070



> 75 % and ≤ 100 %

Exposures with a risk weight included within a range of risk weights strictly greater than 75 % and smaller than or equal to 100 %.




080



> 100 % and ≤ 425 %

Exposures with a risk weight included within a range of risk weights strictly greater than 100 % and smaller than or equal to 425 %.




090



> 425 % and ≤ 1250  %

Exposures with a risk weight included within a range of risk weights strictly greater than 425 % and smaller than or equal to 1250  %.




100 



Exposures in default

Under the Standardised Approach, exposures falling under Article 112(j) of the CRR.
Under the IRB approach, all exposures with a PD of 100 % are exposures in default.




110 



(memo item) Low-risk off-balance sheet items or off-balance sheet items attracting a 0 % conversion factor under the solvency ratio

Low risk off-balance sheet items in accordance with Article 111 of the CRR and off-balance sheet items attracting a 0 % conversion factor in accordance with Article 166 of the CRR.





Column




Legal references and instructions





010



On- and off-balance sheet exposures (SA exposures)

On- and off-balance sheet exposure values after taking into account value adjustments, all CRM and credit conversion factors, as calculated under Title II, Chapter 2, Part Three of the CRR.




020



On and off-balance sheet exposures (IRB exposures)

On- and off-balance sheet exposures values in accordance with Article 166 of the CRR and the first sentence of the second subparagraph of Article 230(1) of the CRR, after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.
For off-balance sheet items, institutions shall apply the conversion factors as defined in Article 166(8) to (10) of the CRR.




030



Nominal value

Exposure values of off-balance sheet items as defined in Articles 111 and 166 of the CRR without the application of conversion factors.








7.   C 42.00 – Alternative definition of capital (LR3)









27.


Template LR3 provides information on the capital measures needed for the review of Article 511 of the CRR.






Row
and column


Legal references and instructions




{010;010}



Common Equity Tier 1 capital – fully phased-in definition

Article 50 of the CRR
This is the amount of CET1 capital as defined in Article 50 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.




{020;010}



Common Equity Tier 1 capital – transitional definition

Article 50 of the CRR
This is the amount of CET1 capital as calculated defined in Article 50 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.




{030;010}



Total own funds – fully phased-in definition

Article 72 of the CRR
This is the amount of own funds as defined in Article 72 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.




{040;010}



Total own funds – transitional definition

Article 72 of the CRR
This is the amount of own fund as defined in Article 72 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.




{055;010}



Asset amount deducted – from CET1 items – fully phased-in definition

It includes the amount of regulatory adjustments to CET1 items that adjust the value of an asset and which are required by:






—


Articles 32 to 35 of the CRR, or










—


Articles 36 to 47 of the CRR,




as applicable
Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.
As these adjustments reduce the total own funds, they shall be reported as a negative figure.




{065;010}



Asset amount deducted – from CET1 items – transitional definition

It includes the amount of regulatory adjustments from CET1 that adjust the value of an asset and which are required by:






—


Articles 32 to 35 of the CRR, or










—


Articles 36 to 47 of the CRR,




as applicable.
Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.
As these adjustments reduce the total own funds, they shall be reported as a negative figure.




{075;010}



Asset amount deducted – from own funds items – fully phased-in definition

It includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by:






—


Articles 32 to 35 of the CRR, or










—


Articles 36 to 47 of the CRR, or










—


Articles 56 to 60 of the CRR, or










—


Articles 66 to 70 of the CRR,




as applicable.
Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in rows {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.
As these adjustments reduce the total own funds, they shall be reported as a negative figure.




{085,010}



Asset amount deducted – from own funds items – transitional definition

It includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by:






—


Articles 32 to 35 of the CRR, or










—


Articles 36 to 47 of the CRR, or










—


Articles 56 to 60 of the CRR, or










—


Articles 66 to 70 of the CRR,




as applicable.
Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.
As these adjustments reduce the total own funds, they shall be reported as a negative figure.








8.   C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4)









28.


Institutions shall report the leverage ratio exposure values in LR4 after the application of exemptions, as applicable, referred to in the following LRCalc cells: {050;010}, {080;010}, {100;010}, {120;010}, {220; 010}, {250;010} and {260;010}.












29.


In order to avoid double-counting, institutions shall uphold the equation referred to in the following paragraph:












30.


The equation that institutions shall uphold according to paragraph 29 is: [{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010}] = [{LR4;010;010} + {LR4;040;010} + {LR4;050;010} + {LR4;060;010} + {LR4;065;010} + {LR4;070;010} + {LR4;080;010} + {LR4;080;020} + {LR4;090;010} + {LR4;090;020} + {LR4;140;010} + {LR4;140;020} + {LR4;180;010} + {LR4;180;020} + {LR4;190;010} + {LR4;190;020} + {LR4;210;010} + {LR4;210;020} + {LR4;230;010} + {LR4;230;020} + {LR4;280;010} + {LR4;280;020} + {LR4;290;010} + {LR4;290;020}].






Row and column


Legal references and instructions




{010;010}



Off-balance sheet items; of which – Leverage Ratio Exposure Value

The leverage ratio exposure value calculated as the sum of {LRCalc;150;010}, {LRCalc;160;010}, {LRCalc;170;010} and {LRCalc;180;010} excluding the respective intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR.




{010;020}



Off-balance sheet items; of which – RWA

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, Title II, Part Three of the CRR. For exposures under the IRB Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 3, Title II, Part Three of the CRR.




{020;010}



Trade Finance; of which – 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 which are short-term and self-liquidating, and similar transactions.




{020;020}



Trade Finance; of which – RWA

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 which are short-term and self-liquidating, and similar transactions.




{030;010}



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 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.




{030;020}



Under official export credit insurance scheme – RWA

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.




{040;010}



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) of the CRR.




{040;020}



Derivatives and SFTs subject to a cross-product netting agreement – RWA

The risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title II of Part Three of the 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) of the CRR.




{050;010}



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) of the CRR.




{050;020}



Derivatives not subject to a cross-product netting agreement – RWA

The risk-weighted exposure amounts to credit and counterparty credit risk of derivatives as calculated under Title II of Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.




{060;010}



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) of the CRR.




{060;020}



SFTs not subject to a cross-product netting agreement – RWA

The risk-weighted exposure amounts to credit and counterparty credit risk of SFTs, as calculated under Title II of Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.




{065;010}



Exposure amounts resulting from the additional treatment for credit derivatives – Leverage Ratio Exposure Value

This cell shall equal the difference between {LRCalc;130;010} and {LRCalc;140;010} excluding the respective intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR.




{070;010}



Other assets belonging to the trading book – Leverage Ratio Exposure Value

The leverage ratio exposure value of items reported in {LRCalc;190;010} excluding non-trading book items.




{070;020}



Other assets belonging to the trading book – RWA

Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three of the CRR.




{080;010}



Covered bonds – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 129 of the CRR.
Institutions shall report net of defaulted exposures.




{080;020}



Covered bonds – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 161(1)(d) of the CRR.
Institutions shall report net of defaulted exposures.




{080;030}



Covered bonds – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 129 of the CRR.
Institutions shall report net of defaulted exposures.




{080;040}



Covered bonds – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 161(1)(d) of the CRR.
Institutions shall report net of defaulted exposures.




{090,010}



Exposures treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

This is the sum of cells from {100,010} to {130,010}.
Institutions shall report net of defaulted exposures.




{090;020}



Exposures treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

This is the sum of cells from {100,020} to {130,020}.
Institutions shall report net of defaulted exposures.




{090;030}



Exposures treated as sovereigns – RWA – SA exposures

This is the sum of cells from {100,030} to {130,030}.
Institutions shall report net of defaulted exposures.




{090;040}



Exposures treated as sovereigns – RWA – IRB exposures

This is the sum of cells from {100,040} to {130,040}.
Institutions shall report net of defaulted exposures.




{100;010}



Central governments and central banks – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR.
Institutions shall report net of defaulted exposures.




{100;020}



Central governments and central banks – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{100;030}



Central governments and central banks – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR.
Institutions shall report net of defaulted exposures.




{100;040}



Central governments and central banks – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{110;010}



Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR.
Institutions shall report net of defaulted exposures.




{110;020}



Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{110;030}



Regional governments and local authorities treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR.
Institutions shall report net of defaulted exposures.




{110;040}



Regional governments and local authorities treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{120;010}



MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 of the CRR.
Institutions shall report net of defaulted exposures.




{120;020}



MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Article 147(3)(b) and (c) of the CRR.
Institutions shall report net of defaulted exposures.




{120;030}



MDBs and international organisations treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 of the CRR.
Institutions shall report net of defaulted exposures.




{120;040}



MDBs and international organisations treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Article 147(3)(b) and (c) of the CRR.
Institutions shall report net of defaulted exposures.




{130;010}



PSEs treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR.
Institutions shall report net of defaulted exposures.




{130;020}



PSEs treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{130;030}



PSEs treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR.
Institutions shall report net of defaulted exposures.




{130;040}



PSEs treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{140;010}



Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

This is the sum of cells from {150,010} to {170,010}.
Institutions shall report net of defaulted exposures.




{140;020}



Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

This is the sum of cells from {150,020} to {170,020}.
Institutions shall report net of defaulted exposures.




{140;030}



Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWA – SA exposures

This is the sum of cells from {150,030} to {170,030}.
Institutions shall report net of defaulted exposures.




{140;040}



Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWA – IRB exposures

This is the sum of cells from {150,040} to {170,040}.
Institutions shall report net of defaulted exposures.




{150;010}



Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR.
Institutions shall report net of defaulted exposures.




{150;020}



Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{150;030}



Regional governments and local authorities not treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR.
Institutions shall report net of defaulted exposures.




{150;040}



Regional governments and local authorities not treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{160;010}



MDBs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR.
Institutions shall report net of defaulted exposures.




{160;020}



MDBs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR.
Institutions shall report net of defaulted exposures.




{160;030}



MDBs not treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR.
Institutions shall report net of defaulted exposures.




{160;040}



MDBs not treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR.
Institutions shall report net of defaulted exposures.




{170;010}



PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR..
Institutions shall report net of defaulted exposures.




{170;020}



PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR.
Institutions shall report net of defaulted exposures.




{170;030}



PSEs not treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR.
Institutions shall report net of defaulted exposures.




{170;040}



PSEs not treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR.
Institutions shall report net of defaulted exposures.




{180;010}



Institutions – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR.
Institutions shall report net of defaulted exposures.




{180;020}



Institutions – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to institutions that fall under Article 147(2)(b) of the CRR and are not exposures in the form of covered bonds under Article 161(1)(d) of the CRR and do not fall under Article 147(4)(a) to (c) of the CRR.
Institutions shall report net of defaulted exposures.




{180;030}



Institutions – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR.
Institutions shall report net of defaulted exposures.




{180;040}



Institutions – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to institutions that fall under Article 147(2)(b) of the CRR and are not exposures in the form of covered bonds under Article 161(1)(d) of the CRR and do not fall under Article 147(4)(a) to (c) of the CRR.
Institutions shall report net of defaulted exposures.




{190;010}



Secured by mortgages on immovable properties; of which – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR.
Institutions shall report net of defaulted exposures.




{190;020}



Secured by mortgages on immovable properties; of which – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to corporate under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{190;030}



Secured by mortgages on immovable properties; of which – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR.
Institutions shall report net of defaulted exposures.




{190;040}



Secured by mortgages on immovable properties; of which – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to corporate under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{200;010}



Secured by mortgages of residential properties – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures fully and completely secured by mortgages on residential property that fall under Article 125 of the CRR.
Institutions shall report net of defaulted exposures.




{200;020}



Secured by mortgages of residential properties – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on residential property in accordance with Article 199(1)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{200;030}



Secured by mortgages of residential properties – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures fully and completely secured by mortgages on residential property that fall under Article 125 of the CRR.
Institutions shall report net of defaulted exposures.




{200;040}



Secured by mortgages of residential properties – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on residential property in accordance with Article 199(1)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{210;010}



Retail exposures; of which – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are retail exposures that fall under Article 123 of the CRR.
Institutions shall report net of defaulted exposures.




{210;020}



Retail exposures; of which – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{210;030}



Retail exposures; of which – RWA – SA exposures

The risk-weighted exposure amount of assets that are retail exposures that fall under Article 123 of the CRR.
Institutions shall report net of defaulted exposures.




{210;040}



Retail exposures; of which – RWA – IRB exposures

The risk-weighted exposure amount of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.
Institutions shall report net of defaulted exposures.




{220;010}



Retail SME – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are retail exposures to small- and medium-sized enterprises that fall under Article 123 of the CRR.
For the purpose of this cell, the term “small and medium enterprise” is defined in accordance with Article 501(2)(b) of the CRR.
Institutions shall report net of defaulted exposures.




{220;020}



Retail SME – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.
For the purpose of this cell, the term “small and medium enterprise” is defined in accordance with Article 501(2)(b) of the CRR.
Institutions shall report net of defaulted exposures.




{220;030}



Retail SME – RWA – SA exposures

The risk-weighted exposure amount of assets that are retail exposures to small- and medium-sized enterprises that fall under Article 123 of the CRR.
For the purpose of this cell, the term “small and medium enterprise” is defined in accordance with Article 501(2)(b) of the CRR.
Institutions shall report net of defaulted exposures.




{220;040}



Retail SME – RWA – IRB exposures

The risk-weighted exposure amount of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.
For the purpose of this cell, the term “small and medium enterprise” is defined in accordance with Article 501(2)(b) of the CRR.
Institutions shall report net of defaulted exposures.




{230;010}



Corporate; of which – Leverage Ratio Exposure Value – SA exposures

This is the sum of {240,010} and {250,010}.
Institutions shall report net of defaulted exposures.




{230;020}



Corporate; of which – Leverage Ratio Exposure Value – IRB exposures

This is the sum of {240,020} and {250,020}.
Institutions shall report net of defaulted exposures.




{230;030}



Corporate; of which – RWA – SA exposures

This is the sum of {240,030} and {250,030}.
Institutions shall report net of defaulted exposures.




{230;040}



Corporate; of which – RWA – IRB exposures

This is the sum of {240,040} and {250,040}.
Institutions shall report net of defaulted exposures.




{240;010}



Financial – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of the reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, 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 Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.
Institutions shall report net of defaulted exposures.




{240;020}



Financial – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, 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 Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.
Institutions shall report net of defaulted exposures.




{240;030}



Financial – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, 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 Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.
Institutions shall report net of defaulted exposures.




{240;040}



Financial – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, 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 Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.
Institutions shall report net of defaulted exposures.




{250;010}



Non-financial; of which – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR.
This is the sum of {260,010} and {270,010}.
Institutions shall report net of defaulted exposures.




{250;020}



Non-financial; of which – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to non-financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.
This is the sum of {260,020} and {270,020}.
Institutions shall report net of defaulted exposures.




{250;030}



Non-financial; of which – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR.
This is the sum of {260,030} and {270,030}.
Institutions shall report net of defaulted exposures.




{250;040}



Non-financial; of which – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to non-financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.
This is the sum of {260,040} and {270,040}.
Institutions shall report net of defaulted exposures.




{260;010}



SME exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 of the CRR.
For the purpose of this cell, a small and medium enterprise is in accordance with Article 501(2)(b) of the CRR.
Institutions shall report net of defaulted exposures.




{260;020}



SME exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.
For the purpose of this cell, the term “small and medium enterprise” is defined in accordance with Article 501(2)(b) of the CRR.
Institutions shall report net of defaulted exposures.




{260;030}



SME exposures – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 of the CRR.
For the purpose of this cell, the term “small and medium enterprise” is defined in accordance with Article 501(2)(b) of the CRR.
Institutions shall report net of defaulted exposures.




{260;040}



SME exposures – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.
For the purpose of this cell, the term “small and medium enterprise” is defined in accordance with Article 501(2)(b) of the CRR.
Institutions shall report net of defaulted exposures.




{270;010}



Exposures other than SME exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to corporates that fall under Article 122 of the CRR and that are not reported in {230;040} and {250;040}.
Institutions shall report net of defaulted exposures.




{270;020}



Exposures other than SME exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR and that are not reported in {230;040} and {250;040}.
Institutions shall report net of defaulted exposures.




{270;030}



Exposures other than SME exposures – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to corporates that fall under Article 122 of the CRR and that are not reported in {230;040} and {250;040}.
Institutions shall report net of defaulted exposures.




{270;040}



Exposures other than SME exposures – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR and that are not reported in {230;040} and {250;040}.
Institutions shall report net of defaulted exposures.




{280;010}



Exposures in default – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures in default and thus fall under Article 127 of the CRR.




{280;020}



Exposures in default – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets categorised in the exposures classes listed in Article 147(2) of the CRR if a default in accordance with Article 178 of the CRR has occurred.




{280;030}



Exposures in default – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures in default and thus fall under Article 127 of the CRR.




{280;040}



Exposures in default – RWA – IRB exposures

The risk-weighted exposure amount of assets categorised in the exposures classes listed in Article 147(2) of the CRR if a default in accordance with Article 178 of the CRR has occurred.




{290;010}



Other exposures; of which – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the 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 {*; 030} and {*; 040}.
Institutions shall report net of defaulted exposures.




{290;020}



Other exposures; of which – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the 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 {*; 030} and {*; 040}.
Institutions shall report net of defaulted exposures.




{290;030}



Other exposures; of which – RWA – SA exposures

The risk-weighted exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR.
Institutions shall report net of defaulted exposures.




{290;040}



Other exposures; of which – RWA – IRB exposures

The risk-weighted exposure value of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR.
Institutions shall report net of defaulted exposures.




{300;010}



Securitisation exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to securitisations that fall under Article 112(m) of the CRR.
Institutions shall report net of defaulted exposures.




{300;020}



Securitisation exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR.
Institutions shall report net of defaulted exposures.




{300;030}



Securitisation exposures – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to securitisations that fall under Article 112(m) of the CRR.
Institutions shall report net of defaulted exposures.




{300;040}



Securitisation exposures – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR.
Institutions shall report net of defaulted exposures.




{310;010}



Trade finance (memo item); of which – 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 exposures.




{310;020}



Trade finance (memo item); of which – 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 exposures.




{310;030}



Trade finance (memo item); of which – RWA – 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 exposures.




{310;040}



Trade finance (memo item); of which – RWA – 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 exposures.




{320;010}



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 exposures.




{320;020}



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 exposures.




{320;030}



Under official export credit insurance scheme – RWA – 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 exposures.




{320;040}



Under official export credit insurance scheme – RWA – 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 exposures.








9.   C 44.00 – General information (LR5)









31.


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




{010;010}



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.








{020;010}



Derivatives treatment

The institution shall specify the regulatory derivatives treatment in accordance with the categories given below:






—


Original exposure method;










—


Mark-to-market method.








{040;010}



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;










—


Specialised lender










—


Other business model.’

















(1)  This includes securitisations and equity exposures subject to credit risk





ANNEX VI




                     ‘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 ABSs 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








F 32.01 - ASSETS OF THE REPORTING INSTITUTION (AE-ASS)

















 



Carrying amount of encumbered assets




Fair value of encumbered assets




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: central bank's eligible



 



of which: issued by other entities of the group




of which: central bank's eligible



 



of which: central bank's eligible





010


020


030


040


050


060


070


080


090


100





010




Assets of the reporting institution



 


 


 


 


 


 


 


 


 


 




020


Loans on demand


 


 


 


 


 


 


 


 


 


 




030


Equity instruments


 


 


 


 


 


 


 


 


 


 




040


Debt securities


 


 


 


 


 


 


 


 


 


 




050


of which: covered bonds


 


 


 


 


 


 


 


 


 


 




060


of which: asset-backed securities


 


 


 


 


 


 


 


 


 


 




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: mortgage loans


 


 


 


 


 


 


 


 


 


 




120 


Other assets


 


 


 


 


 


 


 


 


 


 








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: issued by other entities of the group




of which: central bank's eligible





010


020


030


040


050


060


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: asset-backed securities


 


 


 


 


 


 


 




190 


of which: issued by general governments


 


 


 


 


 


 


 




200 


of which: issued by financial corporations


 


 


 


 


 


 


 




210 


of which: issued by non-financial corporations


 


 


 


 


 


 


 




220 


Loans and advances other than loans on demand


 


 


 


 


 


 


 




230 


Other collateral received


 


 


 


 


 


 


 





240 




Own debt securities issued other than own covered bonds or ABSs



 


 


 


 


 


 


 





250 




TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED



 


 


 


 


 


 


 








F 32.03 - OWN COVERED BONDS AND ABSs 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





010


020


030


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


 


 


 


 








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 ABSs 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: asset-backed securities 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








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)


 


 


 


 


 


 


 


 


 


 


 


 


 








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: asset-backed securities issued


 


 


 


 


 


 





120 




Other sources of encumbrance



 


 


 


 


 


 





170 




TOTAL SOURCES OF ENCUMBRANCE



 


 


 


 


 


 








F 35.00 - COVERED BONDS ISSUANCE (AE-CB)

z-axis

Cover pool identifier (open)

































 



Compliance with Art. 129 CRR?




Covered bond liabilities




Cover pool






Reporting date




+ 6 months




+ 12 months




+ 2 years




+ 5 years




+ 10 years




Cover pool derivative positions with net negative market value




External credit rating on covered bond




Reporting date




+ 6 months




+ 12 months




+ 2 years




+ 5 years




+ 10 years




Cover pool derivative positions with net positive market value




Cover pool amount in excess of minimum coverage requirements






[YES/NO]




If YES, indicate primary asset class of cover pool




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 1




Credit rating agency 2




Credit rating 2




Credit rating agency 3




Credit rating 3




Reporting date




Credit rating agency 1




Credit rating agency 2




Credit rating agency 3





010


012


020


030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180


190


200


210


220


230


240


250




010


Nominal amount


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




020


Present value (swap) / Market value


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




030


Asset-specific value


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




040


Carrying amount


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








F 36.01 - ADVANCE DATA. PART I (AE-ADV-1)


























 



Sources of encumbrance




Assets/Liabilities




Collateral Type - Classification by Asset type




Total






Loans on demand




Equity instruments




Debt Securities




Loans and advances other than loans on demand




Other


assets






Total




of which: covered bonds




of which: asset-backed securities




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




Non financial Corporations




Households





 



of which: issued by other entities of the group



 



of which: issued by other entities of the group



 



of which: mortgage loans



 



of which: mortgage loans





010


020


030


040


050


060


070


080


090


100


110


120


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 



Asset-backed securities issued




Encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




140 



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




150 



Debt securities issued other than covered bonds and ABSs




Encumbered assets



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




160 



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




170 



Other sources of encumbrance




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



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 








F 36.02 - ADVANCE DATA. PART II (AE-ADV-2)



























 



Sources of encumbrance




Assets/Liabilities




Collateral Type - Classification by Asset type




Total






Loans on demand




Equity instruments




Debt Securities




Loans and advances other than loans on demand




Other collateral received




Own debt securities issued other than own covered bonds or ABSs






Total




of which: covered bonds




of which: asset-backed securities




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




Non financial Corporations




Households





 



of which: issued by other entities of the group



 



of which: issued by other entities of the group



 



of which: mortgage loans



 



of which: mortgage loans





010


020


030


040


050


060


070


080


090


100


110


120


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 



Asset-backed securities issued




Encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




140 



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




150 



Debt securities issued other than Covered bonds and ABSs




Encumbered collateral received



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




160 



Matching liabilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




170 



Other sources of encumbrance




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’


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 












ANNEX VII




                     ‘ANNEX XIX

INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

1.   Additional Monitoring Tools
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 threshold according to reporting 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 according to Article 4(39) 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 the sublines 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.












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.




020



LEI Code

The legal entity identifier code of the counterparty.




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 last 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)

UWNF (unsecured wholesale funding obtained from non-financial customers)

SFT (funding obtained from repurchase agreements as defined in Article 4(1) (82) 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 575/2013or 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 (EC) No 2015/61




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 (EC) No 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 (EC) No 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.




150


2.2.   secured wholesale funding;

All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 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 Article 4(1) (82) 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 575/2013or 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




020



Amount covered by a Deposit Guarantee Scheme according to 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 according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.
Note: 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 according to 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 according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.
Note: 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 in column 040.
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 in column 050.
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 in template C 69.00, 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 accordance with the following original maturities:






(a)


overnight in columns 010 and 020;










(b)


greater than overnight and less than or equal to 1 week (columns 030 and 040)










(c)


greater than 1 week and less than or equal to 1 month in columns 050 and 060;










(d)


greater than 1 month and less than or equal to 3 months in columns 070 and 080;










(e)


greater than 3 months and less than or equal to 6 months in columns 090 and 100;










(f)


greater than 6 months and less than or equal to 1 year in columns 110 and 120;










(g)


greater than 1 year and less than or equal to 2 years in columns 130 and 140;










(h)


greater than 2 years and less than or equal to 5 years in columns 150 and 160;










(i)


greater than 5 years and less than or equal to 10 years in columns 170 and 180.
















2.


For the purpose 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 LIBOR for GBP and USD, 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 according to 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 C69.00 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 the deposits as defined by Article 3(8) Delegated Regulation (EC) No 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 C69.00, funding that rolled-over and is still there at the end of the reporting period shall be considered to represent new funding.












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 in accordance as follows:






(a)


overnight in columns 010 and 020;










(b)


greater than overnight and less than or equal to 1 week in columns 030 and 040;










(c)


greater than 1 week and less than or equal to 1 month in columns 050 and 060;










(d)


greater than 1 month and less than or equal to 3 months in columns 070 and 080;










(e)


greater than 3 months and less than or equal to 6 months in columns 090 and 100;










(f)


greater than 6 months and less than or equal to 1 year in columns 110 and 120;










(g)


greater than 1 year and less than or equal to 2 years in columns 130 and 140;










(h)


greater than 2 years and less than or equal to 5 years in columns 150 and 160;










(i)


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 paper.








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 according to the original maturity:






(a)


overnight in columns 010 to 040);










(b)


between 1 and 7 days in columns 050 to 080);










(c)


between 7 and 14 days in columns 090 to 120);










(d)


between 14 and 1 month in columns 130 to 160);










(e)


between 1 and 3 months in columns 170 to 200);










(f)


between 3 and 6 months in columns 210 to 240);










(g)


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 according to 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.
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



> 7days ≤ 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.




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.’
















ANNEX VIII




                     ‘ANNEX XXI

INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XX

Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00)








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.




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 according to 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 according to 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.’
















ANNEX IX




                     ‘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








C 66.01 - MATURITY LADDER

Total and significant currencies






























Code




ID




Item




Contractual Flow Maturity





010


020


030


040


050


060


070


080


090


100


110


120


130


140


150


160


170


180


190


200


210


220





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




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




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)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





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




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




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 transactions 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)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





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




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




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)


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1040


3.8.4


other facilities


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




1050


3.8.4.1


from intragroup counterparties


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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




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




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 facilities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 





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




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




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 securities)



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




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 X




                     ‘ANNEX XXIII

INSTRUCTIONS FOR COMPLETING THE MATURITY LADDER TEMPLATE OF ANNEX XXII







PART I: GENERAL INSTRUCTIONS

509









PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS

510




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 according to 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 according to 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;










(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 according to 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 according to Article 25(4)(b) of 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 according to the maturity of the transaction that generated the reception of the collateral.












19.


Intragroup items shall not affect the reporting on a consolidated basis





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 line 1.1, 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 line 1.1, which is bonds eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Art. 52(4) of Directive 2009/65/EC.




040


1.1.3   securitisations due

The amount of cash outflows resulting from securities issued, reported in line 1.1, which is securitisation transactions with third parties, in accordance with Article 4(1) point 61 of Regulation (EU) No 575/2013.




050


1.1.4   other

The amount of cash outflows resulting from securities issued reported in line 1.1, other than those reported in the above subcategories.




060


1.2   Liabilities resulting from secured lending and capital market driven transactions, collateralised 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.
Note: 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.




070


1.2.1   Level 1 tradable assets

The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 10 of Regulation (EU) 2015/61 if they were not securing the particular transaction.
CIU shares or units in accordance with article 15 of 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 item 1.2.1 which is collateralised by assets that are not covered bonds.




090


1.2.1.1.1   Level 1 central bank

The amount of cash outflows reported in item 1.2.1.1 which 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 item 1.2.1.1 other than those reported in item 1.2.1.1.1 which 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 item 1.2.1.1 other than those reported in item 1.2.1.1.1 which 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 item 1.2.1.1 other than those reported in item 1.2.1.1.1 which 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 item 1.2.1 which is collateralised by assets that are covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.




140


1.2.2   Level 2A tradable assets

The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 11 of Regulation (EU) 2015/61 if they were not securing the particular transaction.
CIU shares or units in accordance with article 15 of 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 item 1.2.2 which 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 item 1.2.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.




170


1.2.2.3   Level 2A public sector (CQS1, CQS2)

The amount of cash outflows reported in item 1.2.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must 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 in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61 if they were not securing the particular transaction.
CIU shares or units in accordance with article 15 of 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 item 1.2.3 which is collateralised by asset backed securities, including RMBS. Note that in accordance with Article 13(2)(a) of Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B shall be required to have credit quality step 1.




200


1.2.3.2   Level 2B covered bonds (CQS 1-6)

The amount of cash outflows reported in item 1.2.3 which is collateralised by covered bonds.




210


1.2.3.3   Level 2B corporate bonds (CQS 1-3)

The amount of cash outflows reported in item 1.2.3 which is collateralised by corporate debt securities.




220


1.2.3.4   Level 2B shares

The amount of cash outflows reported in item 1.2.3 which is collateralised by shares.




230


1.2.3.5   Level 2B public sector (CQS 3-5)

The amount of cash outflows reported in item 1.2.3 which is collateralised by Level 2B assets not reported in items 1.2.3.1 to 1.2.3.4.




240


1.2.4   other tradable assets

The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets not reported in items 1.2.1, 1.2.2 or 1.2.3.




250


1.2.5   other assets

The amount of cash outflows reported in item 1.2 which is collateralised by assets not reported in items 1.2.1, 1.2.2. 1.2.3 or 1.2.4.




260


1.3   Liabilities not reported in 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 item 1.2 and deposits received as collateral. Cash outflows arising from derivative transactions shall be reported in items 1.4 or 1.5.
Deposits shall be reported according to 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 item 1.3, which derives from retail deposits in accordance with Article 3(8) and Article 24 of Regulation (EU) 2015/61.




280


1.3.2   other retail deposits

The amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 3(8) of Regulation (EU) 2015/61 other than those reported in item 1.3.1.




290


1.3.3   operational deposits

The amount of cash outflows reported in item 1.3, which derives from operational deposits in accordance with Article 27 of Regulation (EU) 2015/61.




300


1.3.4   non-operational deposits from credit institutions

The amount of cash outflows reported in item 1.3, which derives from deposits by credit institutions other than those reported in item 1.3.3.




310


1.3.5   non-operational deposits from other financial customers

The amount of cash outflows reported in item 1.3, which derives from deposits from financial customers in accordance with Article 3(9) of Regulation (EU) 2015/61 other than those reported in item 1.3.3 and 1.3.4.




320


1.3.6   non-operational deposits from central banks

The amount of cash outflows reported in item 1.3, which 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 item 1.3, which 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 item 1.3, which derives from deposits not reported in items 1.3.1 to 1.3.7.




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.




360


1.5   Derivatives amount payables other than those reported in 1.4

Total amount of cash outflows resulting from derivatives payables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of outflows resulting from maturing FX swaps which shall be reported in item 1.4.
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 in items 1.1, 1.2, 1.3, 1.4 or 1.5. Contingent outflows shall not be reported here.




380


1.7   Total outflows

The sum of outflows reported in items 1.1, 1.2, 1.3, 1.4, 1.5 and 1.6.





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 item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 10 of Regulation (EU) 2015/61.
CIU shares or units in accordance with article 15 of 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 item 2.1.1 which 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 item 2.1.1.1 which 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 item 2.1.1.1 other than those reported in item 2.1.1.1.1, which 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 item 2.1.1.1 other than those reported in item 2.1.1.1.1, which 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 item 2.1.1.1 other than those reported in item 2.1.1.1.1, which 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.




460


2.1.1.2   Level 1 covered bonds (CQS1)

The amount of cash inflows reported in item 2.1.1 which is collateralised by assets that are covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.




470


2.1.2   Level 2A tradable assets

The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 11 of Regulation (EU) 2015/61.
CIU shares or units in accordance with article 15 of 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 item 2.1.2 which 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 item 2.1.2 which 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 item 2.1.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of 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 item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61.
CIU shares or units in accordance with article 15 of 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 item 2.1.3 which 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 item 2.1.3 which is collateralised by covered bonds.




540


2.1.3.3   Level 2B corporate bonds (CQS 1-3)

The amount of cash inflows reported in item 2.1.3 which is collateralised by corporate debt securities.




550


2.1.3.4   Level 2B shares

The amount of cash inflows reported in item 2.1.3 which is collateralised by shares.




560


2.1.3.5   Level 2B public sector (CQS 3-5)

The amount of cash inflows reported in item 2.1.3 which is collateralised by Level 2B assets not reported in items 2.1.3.1 to 2.1.3.4.




570


2.1.4   other tradable assets

The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets not reported in items 2.1.1, 2.1.2 or 2.1.3.




580


2.1.5   other assets

The amount of cash inflows reported in item 2.1 which is collateralised by assets not reported in items 2.1.1, 2.1.2, 2.1.3 or 2.1.4.




590


2.2   Monies due not reported in 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 item 2.2, which derives from natural persons or SMEs in accordance with Article 3(8) of Regulation (EU) 2015/61.




610


2.2.2   non-financial corporates

The amount of cash inflows reported in item 2.2, which derives from non- financial corporates.




620


2.2.3   credit institutions

The amount of cash inflows reported in item 2.2, which derives from credit institutions.




630


2.2.4   other financial customers

The amount of cash inflows reported in item 2.2, which derives from financial customers in accordance with Article 3(9) of Regulation (EU) 2015/61 other than those reported in item 2.2.3.




640


2.2.5   central banks

The amount of cash inflows reported in item 2.2, which derives from central banks.




650


2.2.6   other counterparties

The amount of cash inflows reported in item 2.2, which derives from other counterparties not referred to in sections 2.2.1-2.2.5.




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 of 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 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.












680


2.5   Paper in own portfolio maturing

The amount of inflows which is principal repayment from own investments due taken in bonds, reported according to 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, not reported in items 2.1, 2.2, 2.3, 2.4 or 2.5 above. Contingent inflows shall not be reported here.




700


2.7   Total inflows

Sum of inflows reported in items 2.1, 2.2, 2.3, 2.4, 2.5 and 2.6.




710


2.8   Net contractual gap

Total Inflows reported in item 2.7 less total outflows reported in item 1.7.




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.
In order to avoid double counting, where the institution reports prepositioned assets in item 3.1 to 3.7, it shall not report the related capacity of those facilities in 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. Correspondingly, the cash outflow following from the maturing repo shall be reported in the relevant cash outflow bucket in 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 in 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 in 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 in item 3.2 and as a cash outflow in the maturity bucket “overnight” for this item. Correspondingly, the resultant cash inflow shall be reported in 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 in item 2.5.
All security values shall be reported in the relevant bucket at current market values.
In item 3.8 only contractually available amounts shall be reported.
To avoid double counting, cash-inflows shall not be accounted for in 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 according to Article 10(1)(b)(iii) of 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 Regulation (EU) 2015/61.
CIU shares or units in accordance with article 15 of 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 item 3.3 which is not covered bonds.




770


3.3.1.1   Level 1 central bank

The amount reported in item 3.3.1 which is assets representing claims on or guaranteed by central banks.




780


3.3.1.2   Level 1 (CQS 1)

The amount reported in item 3.3.1 other than the amount reported in item 3.3.1.1, which is assets representing 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 item 3.3.1 other than those reported in item 3.3.1.1 which 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 item 3.3.1 other than those reported in item 3.3.1.1 which 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 item 3.3 which is covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are 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 Regulation (EU) 2015/61.
CIU shares or units in accordance with article 15 of 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 item 3.4 which 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 item 3.4 which 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 item 3.4 which is assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2.




860


3.5   Level 2B tradable assets

The market value of tradable assets in accordance with Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61.
CIU shares or units in accordance with article 15 of 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 item 3.5 which is asset backed securities (including RMBS). Note that in accordance with Article 13(2)(a) of Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B have credit quality step 1.




880


3.5.2   Level 2B covered bonds (CQS 1-6)

The amount reported in item 3.5 which is covered bonds.




890


3.5.3   Level 2B corporate bonds (CQS 1-3)

The amount reported in item 3.5 which is corporate debt securities.




900


3.5.4   Level 2B shares

The amount reported in item 3.5 which is shares.




910


3.5.5   Level 2B public sector (CQS 3-5)

The amount reported in 3.5 which 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 items 3.3, 3.4 and 3.5.
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 item 3.6 which 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 item 3.6 which 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 item 3.6 which is shares.




960


3.6.4   covered bonds

The amount reported in item 3.6 which is covered bonds.




970


3.6.5   ABS

The amount reported in item 3.6 which is ABS.




980


3.6.6   other tradable assets

The amount reported in item 3.6 which is other tradable asset not reported in items 3.6.1 to 3.6.5.




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 of 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 items 3.1 to 3.7, shall not be reported in item 3.8. 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 item 3.8 which is central bank facility in accordance with Article 19(1)(b) of Regulation (EU) 2015/61.




1020


3.8.2   Level 2B restricted use facilities

The amount reported in item 3.8 which are facilities in accordance with Article 14 of Regulation (EU) 2015/61.




1030


3.8.3   Level 2B IPS facilities

The amount reported in item 3.8 which is liquidity funding in accordance with Article 16(2) of Regulation (EU) 2015/61.




1040


3.8.4   Other facilities

The amount reported in item 3.8 other than the amount reported in 3.8.1 to 3.8.3.




1050


3.8.4.1   from intragroup counterparties

The amount reported in 3.8.4 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 3.8.4 other than the amount reported in 3.8.4.1.




1070


3.9   Net change of Counterbalancing Capacity

Net change in exposures to 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.




1010


4.1.1   Committed credit facilities

The amount reported in item 4.1, which derives from committed credit facilities in accordance with Article 31 of Regulation (EU) 2015/61.




1110


4.1.1.1   considered as Level 2B by the receiver

The amount reported in item 4.1.1, which is considered liquidity funding in accordance with Article 16(2) of Regulation (EU) 2015/61.




1120


4.1.1.2   other

The amount reported in item 4.1.1, other than the amount reported in item 4.1.1.1.




1130


4.1.2   Liquidity facilities

The amount reported in item 4.1, which derives from liquidity facilities in accordance with Article 31 of 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.
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 in 1.1, 1.2, 1.3, 1.5, 1.6 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 in 2.1, 2.2, 2.4, 2.6 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 2.5 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

The amount reported in items 3.3, 3.4 and 3.5 which 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 of Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.




1240


14   non-HQLA central bank eligible

The sum of:






i)


The sum of the amounts reported in item 3.6 which are 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 item 1.3 redistributed into the time buckets according to the behavioural 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 item 2.2 redistributed into the time buckets according to the behavioural 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 item 4.1 redistributed into the time buckets according to the behavioural 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.’









(1)  http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32015R0233